//-------------------------------------------------------------------------
public virtual void test_load_all_curves()
{
ListMultimap <LocalDate, RatesCurveGroup> allGroups = RatesCurvesCsvLoader.loadAllDates(ResourceLocator.of(GROUPS_1), ResourceLocator.of(SETTINGS_1), ImmutableList.of(ResourceLocator.of(CURVES_1), ResourceLocator.of(CURVES_2), ResourceLocator.of(CURVES_3)));
assertEquals(allGroups.size(), 2);
assertCurves(allGroups.get(CURVE_DATE));
IList <RatesCurveGroup> curves3 = allGroups.get(CURVE_DATE_CURVES_3);
assertEquals(curves3.Count, 1);
RatesCurveGroup group = curves3[0];
// All curve points are set to 0 in test data to ensure these are really different curve instances
Curve usdDisc = group.findDiscountCurve(Currency.USD).get();
InterpolatedNodalCurve usdDiscNodal = (InterpolatedNodalCurve)usdDisc;
assertEquals(usdDiscNodal.Metadata.CurveName, CurveName.of("USD-Disc"));
assertTrue(usdDiscNodal.YValues.equalZeroWithTolerance(0d));
Curve usd3ml = group.findForwardCurve(IborIndices.USD_LIBOR_3M).get();
InterpolatedNodalCurve usd3mlNodal = (InterpolatedNodalCurve)usd3ml;
assertEquals(usd3mlNodal.Metadata.CurveName, CurveName.of("USD-3ML"));
assertTrue(usd3mlNodal.YValues.equalZeroWithTolerance(0d));
}
//-------------------------------------------------------------------------
/// <summary>
/// Loads one or more CSV format curve files for a specific date.
/// <para>
/// Only those quotes that match the specified date will be loaded.
/// </para>
/// <para>
/// If the files contain a duplicate entry an exception will be thrown.
///
/// </para>
/// </summary>
/// <param name="marketDataDate"> the curve date to load </param>
/// <param name="groupsResource"> the curve groups CSV resource </param>
/// <param name="settingsResource"> the curve settings CSV resource </param>
/// <param name="curveValueResources"> the CSV resources for curves </param>
/// <returns> the loaded curves, mapped by an identifying key </returns>
/// <exception cref="IllegalArgumentException"> if the files contain a duplicate entry </exception>
public static ImmutableList <LegalEntityCurveGroup> load(LocalDate marketDataDate, ResourceLocator groupsResource, ResourceLocator settingsResource, ICollection <ResourceLocator> curveValueResources)
{
ICollection <CharSource> curveCharSources = curveValueResources.Select(r => r.CharSource).ToList();
ListMultimap <LocalDate, LegalEntityCurveGroup> map = parse(d => marketDataDate.Equals(d), groupsResource.CharSource, settingsResource.CharSource, curveCharSources);
return(ImmutableList.copyOf(map.get(marketDataDate)));
}
// creates the tasks for a single target
private static IList <CalculationTask> createTargetTasks <T1>(CalculationTarget resolvedTarget, int rowIndex, CalculationFunction <T1> function, IList <Column> columns)
{
// create the cells and group them
ListMultimap <CalculationParameters, CalculationTaskCell> grouped = ArrayListMultimap.create();
for (int colIndex = 0; colIndex < columns.Count; colIndex++)
{
Column column = columns[colIndex];
Measure measure = column.Measure;
ReportingCurrency reportingCurrency = column.ReportingCurrency.orElse(ReportingCurrency.NATURAL);
CalculationTaskCell cell = CalculationTaskCell.of(rowIndex, colIndex, measure, reportingCurrency);
// group to find cells that can be shared, with same mappings and params (minus reporting currency)
CalculationParameters @params = column.Parameters.filter(resolvedTarget, measure);
grouped.put(@params, cell);
}
// build tasks
ImmutableList.Builder <CalculationTask> taskBuilder = ImmutableList.builder();
foreach (CalculationParameters @params in grouped.Keys)
{
taskBuilder.add(CalculationTask.of(resolvedTarget, function, @params, grouped.get(@params)));
}
return(taskBuilder.build());
}