//-------------------------------------------------------------------------
public virtual FunctionRequirements requirements(FxSingleTrade trade, ISet <Measure> measures, CalculationParameters parameters, ReferenceData refData)
{
// extract data from product
ImmutableSet <Currency> currencies = trade.Product.CurrencyPair.toSet();
// use lookup to build requirements
RatesMarketDataLookup ratesLookup = parameters.getParameter(typeof(RatesMarketDataLookup));
return(ratesLookup.requirements(currencies));
}
//-------------------------------------------------------------------------
public virtual FunctionRequirements requirements(SwapTrade trade, ISet <Measure> measures, CalculationParameters parameters, ReferenceData refData)
{
// extract data from product
Swap product = trade.Product;
ImmutableSet <Currency> currencies = product.allPaymentCurrencies();
// use lookup to build requirements
RatesMarketDataLookup ratesLookup = parameters.getParameter(typeof(RatesMarketDataLookup));
return(ratesLookup.requirements(currencies, product.allIndices()));
}
//-------------------------------------------------------------------------
public virtual FunctionRequirements requirements(BulletPaymentTrade trade, ISet <Measure> measures, CalculationParameters parameters, ReferenceData refData)
{
// extract data from product
BulletPayment product = trade.Product;
Currency currency = product.Currency;
// use lookup to build requirements
RatesMarketDataLookup ratesLookup = parameters.getParameter(typeof(RatesMarketDataLookup));
return(ratesLookup.requirements(currency));
}
//-------------------------------------------------------------------------
public virtual FunctionRequirements requirements(FxNdfTrade trade, ISet <Measure> measures, CalculationParameters parameters, ReferenceData refData)
{
// extract data from product
FxNdf fx = trade.Product;
Currency settleCurrency = fx.SettlementCurrency;
Currency otherCurrency = fx.NonDeliverableCurrency;
ImmutableSet <Currency> currencies = ImmutableSet.of(settleCurrency, otherCurrency);
// use lookup to build requirements
RatesMarketDataLookup ratesLookup = parameters.getParameter(typeof(RatesMarketDataLookup));
return(ratesLookup.requirements(currencies));
}
//-------------------------------------------------------------------------
public virtual FunctionRequirements requirements(FxSingleBarrierOptionTrade trade, ISet <Measure> measures, CalculationParameters parameters, ReferenceData refData)
{
// extract data from product
FxSingleBarrierOption product = trade.Product;
CurrencyPair currencyPair = product.CurrencyPair;
// use lookup to build requirements
RatesMarketDataLookup ratesLookup = parameters.getParameter(typeof(RatesMarketDataLookup));
FunctionRequirements ratesReqs = ratesLookup.requirements(ImmutableSet.of(currencyPair.Base, currencyPair.Counter));
FxOptionMarketDataLookup optionLookup = parameters.getParameter(typeof(FxOptionMarketDataLookup));
FunctionRequirements optionReqs = optionLookup.requirements(currencyPair);
return(ratesReqs.combinedWith(optionReqs));
}
//-------------------------------------------------------------------------
public virtual void test_of_map()
{
ImmutableMap <Currency, CurveId> discounts = ImmutableMap.of(USD, CURVE_ID_DSC);
ImmutableMap <Index, CurveId> forwards = ImmutableMap.of(USD_LIBOR_3M, CURVE_ID_FWD);
RatesMarketDataLookup test = RatesMarketDataLookup.of(discounts, forwards);
assertEquals(test.queryType(), typeof(RatesMarketDataLookup));
assertEquals(test.DiscountCurrencies, ImmutableSet.of(USD));
assertEquals(test.getDiscountMarketDataIds(USD), ImmutableSet.of(CURVE_ID_DSC));
assertEquals(test.ForwardIndices, ImmutableSet.of(USD_LIBOR_3M));
assertEquals(test.getForwardMarketDataIds(USD_LIBOR_3M), ImmutableSet.of(CURVE_ID_FWD));
assertThrowsIllegalArg(() => test.getDiscountMarketDataIds(GBP));
assertThrowsIllegalArg(() => test.getForwardMarketDataIds(GBP_LIBOR_3M));
assertEquals(test.ObservableSource, ObservableSource.NONE);
assertEquals(test.FxRateLookup, FxRateLookup.ofRates());
assertEquals(test.requirements(USD), FunctionRequirements.builder().valueRequirements(CURVE_ID_DSC).outputCurrencies(USD).build());
assertEquals(test.requirements(USD, USD_LIBOR_3M), FunctionRequirements.builder().valueRequirements(CURVE_ID_DSC, CURVE_ID_FWD).timeSeriesRequirements(IndexQuoteId.of(USD_LIBOR_3M)).outputCurrencies(USD).build());
assertEquals(test.requirements(ImmutableSet.of(USD), ImmutableSet.of(USD_LIBOR_3M)), FunctionRequirements.builder().valueRequirements(CURVE_ID_DSC, CURVE_ID_FWD).timeSeriesRequirements(IndexQuoteId.of(USD_LIBOR_3M)).outputCurrencies(USD).build());
assertThrowsIllegalArg(() => test.requirements(ImmutableSet.of(USD), ImmutableSet.of(GBP_LIBOR_3M)));
assertEquals(test.ratesProvider(MOCK_MARKET_DATA), DefaultLookupRatesProvider.of((DefaultRatesMarketDataLookup)test, MOCK_MARKET_DATA));
}
//-------------------------------------------------------------------------
public virtual FunctionRequirements requirements(IborCapFloorTrade trade, ISet <Measure> measures, CalculationParameters parameters, ReferenceData refData)
{
// extract data from product
IborCapFloor product = trade.Product;
ISet <Currency> currencies = product.allPaymentCurrencies();
ISet <Index> indices = product.allIndices();
// use lookup to build requirements
RatesMarketDataLookup ratesLookup = parameters.getParameter(typeof(RatesMarketDataLookup));
FunctionRequirements ratesReqs = ratesLookup.requirements(currencies, indices);
IborCapFloorMarketDataLookup capFloorLookup = parameters.getParameter(typeof(IborCapFloorMarketDataLookup));
FunctionRequirements capFloorReqs = capFloorLookup.requirements(product.CapFloorLeg.Index);
return(ratesReqs.combinedWith(capFloorReqs));
}
//-------------------------------------------------------------------------
public virtual FunctionRequirements requirements(SwaptionTrade trade, ISet <Measure> measures, CalculationParameters parameters, ReferenceData refData)
{
// extract data from product
Swaption product = trade.Product;
Currency currency = product.Currency;
IborIndex index = product.Index;
// use lookup to build requirements
RatesMarketDataLookup ratesLookup = parameters.getParameter(typeof(RatesMarketDataLookup));
FunctionRequirements ratesReqs = ratesLookup.requirements(currency, index);
SwaptionMarketDataLookup swaptionLookup = parameters.getParameter(typeof(SwaptionMarketDataLookup));
FunctionRequirements swaptionReqs = swaptionLookup.requirements(index);
return(ratesReqs.combinedWith(swaptionReqs));
}
//-------------------------------------------------------------------------
public virtual FunctionRequirements requirements(FraTrade trade, ISet <Measure> measures, CalculationParameters parameters, ReferenceData refData)
{
// extract data from product
Fra product = trade.Product;
ISet <IborIndex> indices = new HashSet <IborIndex>();
indices.Add(product.Index);
product.IndexInterpolated.ifPresent(indices.add);
ImmutableSet <Currency> currencies = ImmutableSet.of(product.Currency);
// use lookup to build requirements
RatesMarketDataLookup ratesLookup = parameters.getParameter(typeof(RatesMarketDataLookup));
return(ratesLookup.requirements(currencies, indices));
}
//-------------------------------------------------------------------------
public virtual FunctionRequirements requirements(T target, ISet <Measure> measures, CalculationParameters parameters, ReferenceData refData)
{
// extract data from product
CapitalIndexedBond product = target.Product;
Currency currency = product.Currency;
SecurityId securityId = product.SecurityId;
LegalEntityId legalEntityId = product.LegalEntityId;
// use lookup to build requirements
RatesMarketDataLookup ratesLookup = parameters.getParameter(typeof(RatesMarketDataLookup));
FunctionRequirements ratesReqs = ratesLookup.requirements(ImmutableSet.of(), ImmutableSet.of(product.RateCalculation.Index));
LegalEntityDiscountingMarketDataLookup ledLookup = parameters.getParameter(typeof(LegalEntityDiscountingMarketDataLookup));
FunctionRequirements ledReqs = ledLookup.requirements(securityId, legalEntityId, currency);
return(ratesReqs.combinedWith(ledReqs));
}
//-------------------------------------------------------------------------
public virtual FunctionRequirements requirements(T target, ISet <Measure> measures, CalculationParameters parameters, ReferenceData refData)
{
// extract data from product
OvernightFuture product = target.Product;
QuoteId quoteId = QuoteId.of(target.Product.SecurityId.StandardId, FieldName.SETTLEMENT_PRICE);
OvernightIndex index = product.Index;
// use lookup to build requirements
RatesMarketDataLookup ratesLookup = parameters.getParameter(typeof(RatesMarketDataLookup));
FunctionRequirements ratesReqs = ratesLookup.requirements(ImmutableSet.of(), ImmutableSet.of(index));
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: com.google.common.collect.ImmutableSet<com.opengamma.strata.data.MarketDataId<?>> valueReqs = com.google.common.collect.ImmutableSet.builder<com.opengamma.strata.data.MarketDataId<?>>().add(quoteId).addAll(ratesReqs.getValueRequirements()).build();
ImmutableSet <MarketDataId <object> > valueReqs = ImmutableSet.builder <MarketDataId <object> >().add(quoteId).addAll(ratesReqs.ValueRequirements).build();
return(ratesReqs.toBuilder().valueRequirements(valueReqs).build());
}
//-------------------------------------------------------------------------
public virtual FunctionRequirements requirements(CmsTrade trade, ISet <Measure> measures, CalculationParameters parameters, ReferenceData refData)
{
// extract data from product
Cms product = trade.Product;
ISet <Currency> currencies = product.allPaymentCurrencies();
IborIndex cmsIndex = trade.Product.CmsLeg.UnderlyingIndex;
ISet <Index> payIndices = trade.Product.allRateIndices();
ISet <Index> indices = ImmutableSet.builder <Index>().add(cmsIndex).addAll(payIndices).build();
// use lookup to build requirements
RatesMarketDataLookup ratesLookup = parameters.getParameter(typeof(RatesMarketDataLookup));
FunctionRequirements ratesReqs = ratesLookup.requirements(currencies, indices);
SwaptionMarketDataLookup swaptionLookup = parameters.getParameter(typeof(SwaptionMarketDataLookup));
FunctionRequirements swaptionReqs = swaptionLookup.requirements(cmsIndex);
return(ratesReqs.combinedWith(swaptionReqs));
}
