//-------------------------------------------------------------------------
private void assertDefinition(RatesCurveGroupDefinition defn)
{
assertEquals(defn.Name, CurveGroupName.of("Default"));
assertEquals(defn.Entries.size(), 3);
assertEquals(defn.SeasonalityDefinitions.size(), 1);
assertEquals(defn.SeasonalityDefinitions.get(CurveName.of("USD-CPI")).AdjustmentType, ShiftType.SCALED);
RatesCurveGroupEntry entry0 = findEntry(defn, "USD-Disc");
RatesCurveGroupEntry entry1 = findEntry(defn, "USD-3ML");
RatesCurveGroupEntry entry2 = findEntry(defn, "USD-CPI");
CurveDefinition defn0 = defn.findCurveDefinition(entry0.CurveName).get();
CurveDefinition defn1 = defn.findCurveDefinition(entry1.CurveName).get();
CurveDefinition defn2 = defn.findCurveDefinition(entry2.CurveName).get();
assertEquals(entry0.DiscountCurrencies, ImmutableSet.of(Currency.USD));
assertEquals(entry0.Indices, ImmutableSet.of());
assertEquals(defn0.Name, CurveName.of("USD-Disc"));
assertEquals(defn0.YValueType, ValueType.ZERO_RATE);
assertEquals(defn0.ParameterCount, 17);
assertEquals(entry1.DiscountCurrencies, ImmutableSet.of());
assertEquals(entry1.Indices, ImmutableSet.of(IborIndices.USD_LIBOR_3M));
assertEquals(defn1.Name, CurveName.of("USD-3ML"));
assertEquals(defn1.YValueType, ValueType.ZERO_RATE);
assertEquals(defn1.ParameterCount, 27);
assertEquals(entry2.DiscountCurrencies, ImmutableSet.of());
assertEquals(entry2.Indices, ImmutableSet.of(PriceIndices.US_CPI_U));
assertEquals(defn2.Name, CurveName.of("USD-CPI"));
assertEquals(defn2.YValueType, ValueType.PRICE_INDEX);
assertEquals(defn2.ParameterCount, 2);
}
public virtual void test_builder2()
{
RatesCurveGroupDefinition test = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("Test")).addCurve(CURVE_DEFN1, GBP, GBP_LIBOR_1M, GBP_LIBOR_3M).build();
assertEquals(test.Name, CurveGroupName.of("Test"));
assertEquals(test.Entries, ImmutableList.of(ENTRY3));
assertEquals(test.findEntry(CurveName.of("Test")), ENTRY3);
assertEquals(test.findEntry(CurveName.of("Test2")), null);
assertEquals(test.findEntry(CurveName.of("Rubbish")), null);
assertEquals(test.findCurveDefinition(CurveName.of("Test")), CURVE_DEFN1);
assertEquals(test.findCurveDefinition(CurveName.of("Test2")), null);
assertEquals(test.findCurveDefinition(CurveName.of("Rubbish")), null);
}
public virtual void test_builder_seasonality()
{
RatesCurveGroupDefinition test = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("Test")).addCurve(CURVE_DEFN1, GBP, GBP_LIBOR_1M, GBP_LIBOR_3M).addSeasonality(CURVE_NAME_I, SEASONALITY_ADDITIVE_DEF).build();
assertEquals(test.Name, CurveGroupName.of("Test"));
assertEquals(test.Entries, ImmutableList.of(ENTRY3));
assertEquals(test.findEntry(CurveName.of("Test")), ENTRY3);
assertEquals(test.findEntry(CurveName.of("Test2")), null);
assertEquals(test.findEntry(CurveName.of("Rubbish")), null);
assertEquals(test.findCurveDefinition(CurveName.of("Test")), CURVE_DEFN1);
assertEquals(test.findCurveDefinition(CurveName.of("Test2")), null);
assertEquals(test.findCurveDefinition(CurveName.of("Rubbish")), null);
ImmutableMap <CurveName, SeasonalityDefinition> seasonMap = test.SeasonalityDefinitions;
assertTrue(seasonMap.size() == 1);
assertEquals(seasonMap.get(CURVE_NAME_I), SEASONALITY_ADDITIVE_DEF);
}
public virtual void test_builder1()
{
RatesCurveGroupDefinition test = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("Test")).addDiscountCurve(CURVE_DEFN1, GBP).addForwardCurve(CURVE_DEFN1, GBP_SONIA).addForwardCurve(CURVE_DEFN1, GBP_LIBOR_1W).addForwardCurve(CURVE_DEFN2, GBP_LIBOR_1M, GBP_LIBOR_3M).build();
assertEquals(test.Name, CurveGroupName.of("Test"));
assertEquals(test.Entries, ImmutableList.of(ENTRY1, ENTRY2));
assertEquals(test.findDiscountCurveName(GBP), CURVE_NAME1);
assertEquals(test.findDiscountCurveName(USD), null);
assertEquals(test.findForwardCurveName(GBP_LIBOR_1W), CURVE_NAME1);
assertEquals(test.findForwardCurveName(GBP_LIBOR_1M), CURVE_NAME2);
assertEquals(test.findForwardCurveName(GBP_LIBOR_6M), null);
assertEquals(test.findForwardCurveNames(GBP_LIBOR), ImmutableSet.of(CURVE_NAME1, CURVE_NAME2));
assertEquals(test.findEntry(CurveName.of("Test")), ENTRY1);
assertEquals(test.findEntry(CurveName.of("Test2")), ENTRY2);
assertEquals(test.findEntry(CurveName.of("Rubbish")), null);
assertEquals(test.findCurveDefinition(CurveName.of("Test")), CURVE_DEFN1);
assertEquals(test.findCurveDefinition(CurveName.of("Test2")), CURVE_DEFN2);
assertEquals(test.findCurveDefinition(CurveName.of("Rubbish")), null);
}
public MarketDataRequirements requirements(RatesCurveInputsId id, MarketDataConfig marketDataConfig)
{
RatesCurveGroupDefinition groupConfig = marketDataConfig.get(typeof(RatesCurveGroupDefinition), id.CurveGroupName);
Optional <CurveDefinition> optionalDefinition = groupConfig.findCurveDefinition(id.CurveName);
if (!optionalDefinition.Present)
{
return(MarketDataRequirements.empty());
}
CurveDefinition definition = optionalDefinition.get();
return(MarketDataRequirements.builder().addValues(nodeRequirements(ImmutableList.of(definition))).build());
}
public MarketDataBox <RatesCurveInputs> build(RatesCurveInputsId id, MarketDataConfig marketDataConfig, ScenarioMarketData marketData, ReferenceData refData)
{
CurveGroupName groupName = id.CurveGroupName;
CurveName curveName = id.CurveName;
RatesCurveGroupDefinition groupDefn = marketDataConfig.get(typeof(RatesCurveGroupDefinition), groupName);
Optional <CurveDefinition> optionalDefinition = groupDefn.findCurveDefinition(id.CurveName);
if (!optionalDefinition.Present)
{
throw new System.ArgumentException(Messages.format("No curve named '{}' found in group '{}'", curveName, groupName));
}
CurveDefinition configuredDefn = optionalDefinition.get();
// determine market data needs
MarketDataBox <LocalDate> valuationDates = marketData.ValuationDate;
bool multipleValuationDates = valuationDates.ScenarioValue;
// curve definition can vary for each valuation date
if (multipleValuationDates)
{
IList <CurveDefinition> curveDefns = IntStream.range(0, valuationDates.ScenarioCount).mapToObj(valuationDates.getValue).map((LocalDate valDate) => configuredDefn.filtered(valDate, refData)).collect(toImmutableList());
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Set<com.opengamma.strata.data.MarketDataId<?>> requirements = nodeRequirements(curveDefns);
ISet <MarketDataId <object> > requirements = nodeRequirements(curveDefns);
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, com.opengamma.strata.data.scenario.MarketDataBox<?>> marketDataValues = requirements.stream().collect(toImmutableMap(k -> k, k -> marketData.getValue(k)));
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IDictionary <MarketDataId <object>, MarketDataBox <object> > marketDataValues = requirements.collect(toImmutableMap(k => k, k => marketData.getValue(k)));
return(buildMultipleCurveInputs(MarketDataBox.ofScenarioValues(curveDefns), marketDataValues, valuationDates, refData));
}
// only one valuation date
LocalDate valuationDate = valuationDates.getValue(0);
CurveDefinition filteredDefn = configuredDefn.filtered(valuationDate, refData);
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Set<com.opengamma.strata.data.MarketDataId<?>> requirements = nodeRequirements(com.google.common.collect.ImmutableList.of(filteredDefn));
ISet <MarketDataId <object> > requirements = nodeRequirements(ImmutableList.of(filteredDefn));
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, com.opengamma.strata.data.scenario.MarketDataBox<?>> marketDataValues = requirements.stream().collect(toImmutableMap(k -> k, k -> marketData.getValue(k)));
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IDictionary <MarketDataId <object>, MarketDataBox <object> > marketDataValues = requirements.collect(toImmutableMap(k => k, k => marketData.getValue(k)));
// Do any of the inputs contain values for multiple scenarios, or do they contain 1 value each?
bool multipleInputValues = marketDataValues.Values.Any(MarketDataBox.isScenarioValue);
return(multipleInputValues || multipleValuationDates?buildMultipleCurveInputs(MarketDataBox.ofSingleValue(filteredDefn), marketDataValues, valuationDates, refData) : buildSingleCurveInputs(filteredDefn, marketDataValues, valuationDate, refData));
}
