//-------------------------------------------------------------------------
public virtual void test_marketDataView()
{
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);
LocalDate valDate = date(2015, 6, 30);
ScenarioMarketData md = new TestMarketDataMap(valDate, ImmutableMap.of(), ImmutableMap.of());
RatesScenarioMarketData multiScenario = test.marketDataView(md);
assertEquals(multiScenario.Lookup, test);
assertEquals(multiScenario.MarketData, md);
assertEquals(multiScenario.ScenarioCount, 1);
RatesMarketData scenario = multiScenario.scenario(0);
assertEquals(scenario.Lookup, test);
assertEquals(scenario.MarketData, md.scenario(0));
assertEquals(scenario.ValuationDate, valDate);
}
//-------------------------------------------------------------------------
// calculates explain present value for all scenarios
internal ScenarioArray <ExplainMap> explainPresentValue(ResolvedFraTrade trade, RatesScenarioMarketData marketData)
{
return(ScenarioArray.of(marketData.ScenarioCount, i => explainPresentValue(trade, marketData.scenario(i).ratesProvider())));
}
//-------------------------------------------------------------------------
// calculates present value for all scenarios
internal CurrencyScenarioArray presentValue(ResolvedFraTrade trade, RatesScenarioMarketData marketData)
{
return(CurrencyScenarioArray.of(marketData.ScenarioCount, i => presentValue(trade, marketData.scenario(i).ratesProvider())));
}
//-------------------------------------------------------------------------
// calculates currency exposure for all scenarios
internal MultiCurrencyScenarioArray currencyExposure(ResolvedFraTrade trade, RatesScenarioMarketData marketData)
{
return(MultiCurrencyScenarioArray.of(marketData.ScenarioCount, i => currencyExposure(trade, marketData.scenario(i).ratesProvider())));
}
//-------------------------------------------------------------------------
// calculates cash flows for all scenarios
internal ScenarioArray <CashFlows> cashFlows(ResolvedFraTrade trade, RatesScenarioMarketData marketData)
{
return(ScenarioArray.of(marketData.ScenarioCount, i => cashFlows(trade, marketData.scenario(i).ratesProvider())));
}
//-------------------------------------------------------------------------
// calculates par spread for all scenarios
internal DoubleScenarioArray parSpread(ResolvedFraTrade trade, RatesScenarioMarketData marketData)
{
return(DoubleScenarioArray.of(marketData.ScenarioCount, i => parSpread(trade, marketData.scenario(i).ratesProvider())));
}
//-------------------------------------------------------------------------
// calculates single-node gamma PV01 for all scenarios
internal ScenarioArray <CurrencyParameterSensitivities> pv01SingleNodeGammaBucketed(ResolvedFraTrade trade, RatesScenarioMarketData marketData)
{
return(ScenarioArray.of(marketData.ScenarioCount, i => pv01SingleNodeGammaBucketed(trade, marketData.scenario(i).ratesProvider())));
}
//-------------------------------------------------------------------------
// calculates semi-parallel gamma PV01 for all scenarios
internal ScenarioArray <CurrencyParameterSensitivities> pv01SemiParallelGammaBucketed(ResolvedFraTrade trade, RatesScenarioMarketData marketData)
{
return(ScenarioArray.of(marketData.ScenarioCount, i => pv01SemiParallelGammaBucketed(trade, marketData.scenario(i))));
}
//-------------------------------------------------------------------------
// calculates market quote sum PV01 for all scenarios
internal MultiCurrencyScenarioArray pv01MarketQuoteSum(ResolvedFraTrade trade, RatesScenarioMarketData marketData)
{
return(MultiCurrencyScenarioArray.of(marketData.ScenarioCount, i => pv01MarketQuoteSum(trade, marketData.scenario(i).ratesProvider())));
}
//-------------------------------------------------------------------------
// calculates leg present value for all scenarios
internal ScenarioArray <LegAmounts> legPresentValue(ResolvedSwapTrade trade, RatesScenarioMarketData marketData)
{
return(ScenarioArray.of(marketData.ScenarioCount, i => legPresentValue(trade, marketData.scenario(i).ratesProvider())));
}
//-------------------------------------------------------------------------
// calculates accrued interest for all scenarios
internal MultiCurrencyScenarioArray accruedInterest(ResolvedSwapTrade trade, RatesScenarioMarketData marketData)
{
return(MultiCurrencyScenarioArray.of(marketData.ScenarioCount, i => accruedInterest(trade, marketData.scenario(i).ratesProvider())));
}
