private static void CreateAwakerService(StandardComponents standardComponents)
{
var awakeReaderService = new AwakeService();
standardComponents.MainBus.Subscribe <StorageMessage.EventCommitted>(awakeReaderService);
standardComponents.MainBus.Subscribe <StorageMessage.TfEofAtNonCommitRecord>(awakeReaderService);
standardComponents.MainBus.Subscribe <AwakeServiceMessage.SubscribeAwake>(awakeReaderService);
standardComponents.MainBus.Subscribe <AwakeServiceMessage.UnsubscribeAwake>(awakeReaderService);
}
// obtains the data and calculates the grid of results
private static void calculate(CalculationRunner runner)
{
// the trade that will have measures calculated
IList <Trade> trades = ImmutableList.of(createVanillaFixedVsLibor3mSwap());
// the columns, specifying the measures to be calculated
IList <Column> columns = ImmutableList.of(Column.of(Measures.PRESENT_VALUE), Column.of(Measures.PV01_CALIBRATED_SUM));
// use the built-in example market data
ExampleMarketDataBuilder marketDataBuilder = ExampleMarketData.builder();
// the complete set of rules for calculating measures
LocalDate valuationDate = LocalDate.of(2014, 1, 22);
CalculationFunctions functions = StandardComponents.calculationFunctions();
CalculationRules rules = CalculationRules.of(functions, Currency.USD, marketDataBuilder.ratesLookup(valuationDate));
// mappings that select which market data to apply perturbations to
// this applies the perturbations above to all curves
PerturbationMapping <Curve> mapping = PerturbationMapping.of(MarketDataFilter.ofIdType(typeof(CurveId)), CurveParallelShifts.absolute(0, ONE_BP));
// create a scenario definition containing the single mapping above
// this creates two scenarios - one for each perturbation in the mapping
ScenarioDefinition scenarioDefinition = ScenarioDefinition.ofMappings(mapping);
// build a market data snapshot for the valuation date
MarketData marketData = marketDataBuilder.buildSnapshot(valuationDate);
// the reference data, such as holidays and securities
ReferenceData refData = ReferenceData.standard();
// calculate the results
MarketDataRequirements reqs = MarketDataRequirements.of(rules, trades, columns, refData);
ScenarioMarketData scenarioMarketData = marketDataFactory().createMultiScenario(reqs, MarketDataConfig.empty(), marketData, refData, scenarioDefinition);
Results results = runner.calculateMultiScenario(rules, trades, columns, scenarioMarketData, refData);
// TODO Replace the results processing below with a report once the reporting framework supports scenarios
// The results are lists of currency amounts containing one value for each scenario
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: com.opengamma.strata.data.scenario.ScenarioArray<?> pvList = (com.opengamma.strata.data.scenario.ScenarioArray<?>) results.get(0, 0).getValue();
ScenarioArray <object> pvList = (ScenarioArray <object>)results.get(0, 0).Value;
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: com.opengamma.strata.data.scenario.ScenarioArray<?> pv01List = (com.opengamma.strata.data.scenario.ScenarioArray<?>) results.get(0, 1).getValue();
ScenarioArray <object> pv01List = (ScenarioArray <object>)results.get(0, 1).Value;
double pvBase = ((CurrencyAmount)pvList.get(0)).Amount;
double pvShifted = ((CurrencyAmount)pvList.get(1)).Amount;
double pv01Base = ((CurrencyAmount)pv01List.get(0)).Amount;
NumberFormat numberFormat = new DecimalFormat("###,##0.00", new DecimalFormatSymbols(Locale.ENGLISH));
Console.WriteLine(" PV (base) = " + numberFormat.format(pvBase));
Console.WriteLine(" PV (1 bp curve shift) = " + numberFormat.format(pvShifted));
Console.WriteLine("PV01 (algorithmic differentiation) = " + numberFormat.format(pv01Base));
Console.WriteLine(" PV01 (finite difference) = " + numberFormat.format(pvShifted - pvBase));
}
public virtual void test_scenarioMarketData()
{
ScenarioMarketData marketDataCalibrated = StandardComponents.marketDataFactory().createMultiScenario(REQUIREMENTS, SCENARIO_CONFIG, SCENARIO_MARKET_DATA, REF_DATA, ScenarioDefinition.empty());
Results results = CALC_RUNNER.calculateMultiScenario(RULES, TARGETS, COLUMN, marketDataCalibrated, REF_DATA);
CurrencyScenarioArray pvs = results.get(0, 0, typeof(CurrencyScenarioArray)).Value;
CurrencyAmount pv0 = PRICER.presentValue(OPTION_TRADE.resolve(REF_DATA), EXP_RATES, EXP_VOLS).convertedTo(USD, EXP_RATES);
CurrencyAmount pv1 = PRICER.presentValue(OPTION_TRADE.resolve(REF_DATA), EXP_RATES_1, EXP_VOLS_1).convertedTo(USD, EXP_RATES_1);
assertEquals(pvs.get(0), pv0);
assertEquals(pvs.get(1), pv1);
}
public static void CreateManagerService(
StandardComponents standardComponents,
ProjectionsStandardComponents projectionsStandardComponents,
IDictionary <Guid, IPublisher> queues,
TimeSpan projectionQueryExpiry)
{
IQueuedHandler inputQueue = projectionsStandardComponents.MasterInputQueue;
InMemoryBus outputBus = projectionsStandardComponents.MasterOutputBus;
var ioDispatcher = new IODispatcher(outputBus, new PublishEnvelope(inputQueue));
var projectionsController = new ProjectionsController(
standardComponents.HttpForwarder,
inputQueue,
standardComponents.NetworkSendService);
var forwarder = new RequestResponseQueueForwarder(
inputQueue: projectionsStandardComponents.MasterInputQueue,
externalRequestQueue: standardComponents.MainQueue);
if (projectionsStandardComponents.RunProjections != ProjectionType.None)
{
foreach (var httpService in standardComponents.HttpServices)
{
httpService.SetupController(projectionsController);
}
}
var commandWriter = new MultiStreamMessageWriter(ioDispatcher);
var projectionManagerCommandWriter = new ProjectionManagerCommandWriter(commandWriter);
var projectionManagerResponseReader = new ProjectionManagerResponseReader(outputBus, ioDispatcher,
queues.Count);
var projectionManager = new ProjectionManager(
inputQueue,
outputBus,
queues,
new RealTimeProvider(),
projectionsStandardComponents.RunProjections,
ioDispatcher,
projectionQueryExpiry);
SubscribeMainBus(
projectionsStandardComponents.MasterMainBus,
projectionManager,
projectionsStandardComponents.RunProjections,
projectionManagerResponseReader,
ioDispatcher,
projectionManagerCommandWriter);
SubscribeOutputBus(standardComponents, projectionsStandardComponents, forwarder);
}
// obtains the data and calculates the grid of results
private static void calculate(CalculationRunner runner)
{
// the trades that will have measures calculated
IList <Trade> trades = createSwapTrades();
// the columns, specifying the measures to be calculated
IList <Column> columns = ImmutableList.of(Column.of(Measures.PRESENT_VALUE), Column.of(Measures.PAR_RATE), Column.of(Measures.PV01_MARKET_QUOTE_BUCKETED), Column.of(Measures.PV01_CALIBRATED_BUCKETED));
// load quotes
ImmutableMap <QuoteId, double> quotesCcp1 = QuotesCsvLoader.load(VAL_DATE, QUOTES_RESOURCE_CCP1);
ImmutableMap <QuoteId, double> quotesCcp2 = QuotesCsvLoader.load(VAL_DATE, QUOTES_RESOURCE_CCP2);
// load fixings
ImmutableMap <ObservableId, LocalDateDoubleTimeSeries> fixings = FixingSeriesCsvLoader.load(FIXINGS_RESOURCE);
// create the market data
MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValueMap(quotesCcp1).addValueMap(quotesCcp2).addTimeSeriesMap(fixings).build();
// the reference data, such as holidays and securities
ReferenceData refData = ReferenceData.standard();
// load the curve definition
IDictionary <CurveGroupName, RatesCurveGroupDefinition> defnsCcp1 = RatesCalibrationCsvLoader.load(GROUPS_RESOURCE_CCP1, SETTINGS_RESOURCE_CCP1, CALIBRATION_RESOURCE_CCP1);
IDictionary <CurveGroupName, RatesCurveGroupDefinition> defnsCcp2 = RatesCalibrationCsvLoader.load(GROUPS_RESOURCE_CCP2, SETTINGS_RESOURCE_CCP2, CALIBRATION_RESOURCE_CCP2);
RatesCurveGroupDefinition curveGroupDefinitionCcp1 = defnsCcp1[CURVE_GROUP_NAME_CCP1].filtered(VAL_DATE, refData);
RatesCurveGroupDefinition curveGroupDefinitionCcp2 = defnsCcp2[CURVE_GROUP_NAME_CCP2].filtered(VAL_DATE, refData);
// the configuration that defines how to create the curves when a curve group is requested
MarketDataConfig marketDataConfig = MarketDataConfig.builder().add(CURVE_GROUP_NAME_CCP1, curveGroupDefinitionCcp1).add(CURVE_GROUP_NAME_CCP2, curveGroupDefinitionCcp2).build();
// the complete set of rules for calculating measures
CalculationFunctions functions = StandardComponents.calculationFunctions();
RatesMarketDataLookup ratesLookupCcp1 = RatesMarketDataLookup.of(curveGroupDefinitionCcp1);
RatesMarketDataLookup ratesLookupCcp2 = RatesMarketDataLookup.of(curveGroupDefinitionCcp2);
// choose RatesMarketDataLookup instance based on counterparty
TradeCounterpartyCalculationParameter perCounterparty = TradeCounterpartyCalculationParameter.of(ImmutableMap.of(CCP1_ID, ratesLookupCcp1, CCP2_ID, ratesLookupCcp2), ratesLookupCcp1);
CalculationRules rules = CalculationRules.of(functions, perCounterparty);
// calibrate the curves and calculate the results
MarketDataRequirements reqs = MarketDataRequirements.of(rules, trades, columns, refData);
MarketData calibratedMarketData = marketDataFactory().create(reqs, marketDataConfig, marketData, refData);
Results results = runner.calculate(rules, trades, columns, calibratedMarketData, refData);
// use the report runner to transform the engine results into a trade report
ReportCalculationResults calculationResults = ReportCalculationResults.of(VAL_DATE, trades, columns, results, functions, refData);
TradeReportTemplate reportTemplate = ExampleData.loadTradeReportTemplate("swap-report-template2");
TradeReport tradeReport = TradeReport.of(calculationResults, reportTemplate);
tradeReport.writeAsciiTable(System.out);
}
// obtains the data and calculates the grid of results
private static void calculate(CalculationRunner runner)
{
// the trades for which to calculate a P&L series
IList <Trade> trades = ImmutableList.of(createTrade());
// the columns, specifying the measures to be calculated
IList <Column> columns = ImmutableList.of(Column.of(Measures.PRESENT_VALUE));
// use the built-in example historical scenario market data
ExampleMarketDataBuilder marketDataBuilder = ExampleMarketDataBuilder.ofResource(MARKET_DATA_RESOURCE_ROOT);
// the complete set of rules for calculating measures
CalculationFunctions functions = StandardComponents.calculationFunctions();
CalculationRules rules = CalculationRules.of(functions, marketDataBuilder.ratesLookup(LocalDate.of(2015, 4, 23)));
// load the historical calibrated curves from which we will build our scenarios
// these curves are provided in the example data environment
SortedDictionary <LocalDate, RatesCurveGroup> historicalCurves = marketDataBuilder.loadAllRatesCurves();
// sorted list of dates for the available series of curves
// the entries in the P&L vector we produce will correspond to these dates
IList <LocalDate> scenarioDates = new List <LocalDate>(historicalCurves.Keys);
// build the historical scenarios
ScenarioDefinition historicalScenarios = buildHistoricalScenarios(historicalCurves, scenarioDates);
// build a market data snapshot for the valuation date
// this is the base snapshot which will be perturbed by the scenarios
LocalDate valuationDate = LocalDate.of(2015, 4, 23);
MarketData marketData = marketDataBuilder.buildSnapshot(valuationDate);
// the reference data, such as holidays and securities
ReferenceData refData = ReferenceData.standard();
// calculate the results
MarketDataRequirements reqs = MarketDataRequirements.of(rules, trades, columns, refData);
ScenarioMarketData scenarioMarketData = marketDataFactory().createMultiScenario(reqs, MarketDataConfig.empty(), marketData, refData, historicalScenarios);
Results results = runner.calculateMultiScenario(rules, trades, columns, scenarioMarketData, refData);
// the results contain the one measure requested (Present Value) for each scenario
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: com.opengamma.strata.data.scenario.ScenarioArray<?> scenarioValuations = (com.opengamma.strata.data.scenario.ScenarioArray<?>) results.get(0, 0).getValue();
ScenarioArray <object> scenarioValuations = (ScenarioArray <object>)results.get(0, 0).Value;
outputPnl(scenarioDates, scenarioValuations);
}
// obtains the data and calculates the grid of results
private static void calculate(CalculationRunner runner)
{
// the trades that will have measures calculated
IList <Trade> trades = createSwapTrades();
// the columns, specifying the measures to be calculated
IList <Column> columns = ImmutableList.of(Column.of(Measures.LEG_INITIAL_NOTIONAL), Column.of(Measures.PRESENT_VALUE), Column.of(Measures.LEG_PRESENT_VALUE), Column.of(Measures.PV01_CALIBRATED_SUM), Column.of(Measures.PAR_RATE), Column.of(Measures.ACCRUED_INTEREST), Column.of(Measures.PV01_CALIBRATED_BUCKETED), Column.of(AdvancedMeasures.PV01_SEMI_PARALLEL_GAMMA_BUCKETED));
// load quotes
ImmutableMap <QuoteId, double> quotes = QuotesCsvLoader.load(VAL_DATE, QUOTES_RESOURCE);
// load fixings
ImmutableMap <ObservableId, LocalDateDoubleTimeSeries> fixings = FixingSeriesCsvLoader.load(FIXINGS_RESOURCE);
// create the market data
MarketData marketData = MarketData.of(VAL_DATE, quotes, fixings);
// the reference data, such as holidays and securities
ReferenceData refData = ReferenceData.standard();
// load the curve definition
IDictionary <CurveGroupName, RatesCurveGroupDefinition> defns = RatesCalibrationCsvLoader.load(GROUPS_RESOURCE, SETTINGS_RESOURCE, CALIBRATION_RESOURCE);
RatesCurveGroupDefinition curveGroupDefinition = defns[CURVE_GROUP_NAME].filtered(VAL_DATE, refData);
// the configuration that defines how to create the curves when a curve group is requested
MarketDataConfig marketDataConfig = MarketDataConfig.builder().add(CURVE_GROUP_NAME, curveGroupDefinition).build();
// the complete set of rules for calculating measures
CalculationFunctions functions = StandardComponents.calculationFunctions();
RatesMarketDataLookup ratesLookup = RatesMarketDataLookup.of(curveGroupDefinition);
CalculationRules rules = CalculationRules.of(functions, ratesLookup);
// calibrate the curves and calculate the results
MarketDataRequirements reqs = MarketDataRequirements.of(rules, trades, columns, refData);
MarketData calibratedMarketData = marketDataFactory().create(reqs, marketDataConfig, marketData, refData);
Results results = runner.calculate(rules, trades, columns, calibratedMarketData, refData);
// use the report runner to transform the engine results into a trade report
ReportCalculationResults calculationResults = ReportCalculationResults.of(VAL_DATE, trades, columns, results, functions, refData);
TradeReportTemplate reportTemplate = ExampleData.loadTradeReportTemplate("swap-report-template");
TradeReport tradeReport = TradeReport.of(calculationResults, reportTemplate);
tradeReport.writeAsciiTable(System.out);
}
public void Register(StandardComponents standardComponents)
{
_masterMainBus = new InMemoryBus("manager input bus");
_masterInputQueue = new QueuedHandler(_masterMainBus, "Projections Master");
_masterOutputBus = new InMemoryBus("ProjectionManagerAndCoreCoordinatorOutput");
var projectionsStandardComponents = new ProjectionsStandardComponents(
_projectionWorkerThreadCount,
_runProjections,
_masterOutputBus,
_masterInputQueue,
_masterMainBus);
CreateAwakerService(standardComponents);
_coreQueues = ProjectionCoreWorkersNode.CreateCoreWorkers(standardComponents, projectionsStandardComponents);
_queueMap = _coreQueues.ToDictionary(v => v.Key, v => (IPublisher)v.Value);
ProjectionManagerNode.CreateManagerService(standardComponents, projectionsStandardComponents, _queueMap);
}
private ReportCalculationResults runCalculationRequirements(ReportRequirements requirements)
{
IList <Column> columns = requirements.TradeMeasureRequirements;
ExampleMarketDataBuilder marketDataBuilder = marketDataRoot == null?ExampleMarketData.builder() : ExampleMarketDataBuilder.ofPath(marketDataRoot.toPath());
CalculationFunctions functions = StandardComponents.calculationFunctions();
RatesMarketDataLookup ratesLookup = marketDataBuilder.ratesLookup(valuationDate);
CalculationRules rules = CalculationRules.of(functions, ratesLookup);
MarketData marketData = marketDataBuilder.buildSnapshot(valuationDate);
IList <Trade> trades;
if (Strings.nullToEmpty(idSearch).Trim().Empty)
{
trades = tradeList.Trades;
}
else
{
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
trades = tradeList.Trades.Where(t => t.Info.Id.Present).Where(t => t.Info.Id.get().Value.Equals(idSearch)).collect(toImmutableList());
if (trades.Count > 1)
{
throw new System.ArgumentException(Messages.format("More than one trade found matching ID: '{}'", idSearch));
}
}
if (trades.Count == 0)
{
throw new System.ArgumentException("No trades found. Please check the input portfolio or trade ID filter.");
}
// the reference data, such as holidays and securities
ReferenceData refData = ReferenceData.standard();
// calculate the results
CalculationTasks tasks = CalculationTasks.of(rules, trades, columns, refData);
MarketDataRequirements reqs = tasks.requirements(refData);
MarketData calibratedMarketData = marketDataFactory().create(reqs, MarketDataConfig.empty(), marketData, refData);
Results results = runner.TaskRunner.calculate(tasks, calibratedMarketData, refData);
return(ReportCalculationResults.of(valuationDate, trades, requirements.TradeMeasureRequirements, results, functions, refData));
}
public void Register(StandardComponents standardComponents)
{
_masterMainBus = new InMemoryBus("manager input bus");
_masterInputQueue = QueuedHandler.CreateQueuedHandler(_masterMainBus, "Projections Master");
_masterOutputBus = new InMemoryBus("ProjectionManagerAndCoreCoordinatorOutput");
var projectionsStandardComponents = new ProjectionsStandardComponents(
_projectionWorkerThreadCount,
_runProjections,
_masterOutputBus,
_masterInputQueue,
_masterMainBus, _faultOutOfOrderProjections);
CreateAwakerService(standardComponents);
_coreQueues = ProjectionCoreWorkersNode.CreateCoreWorkers(standardComponents, projectionsStandardComponents);
_queueMap = _coreQueues.ToDictionary(v => v.Key, v => (IPublisher)v.Value);
ProjectionManagerNode.CreateManagerService(standardComponents, projectionsStandardComponents, _queueMap, _projectionsQueryExpiry);
projectionsStandardComponents.MasterMainBus.Subscribe <CoreProjectionStatusMessage.Stopped>(this);
}
//-------------------------------------------------------------------------
public virtual void presentValueVanillaFixedVsLibor1mSwap()
{
SwapLeg payLeg = fixedLeg(LocalDate.of(2014, 9, 12), LocalDate.of(2016, 9, 12), Frequency.P6M, PayReceive.PAY, NOTIONAL, 0.0125, null);
SwapLeg receiveLeg = RateCalculationSwapLeg.builder().payReceive(RECEIVE).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 9, 12)).endDate(LocalDate.of(2016, 9, 12)).frequency(Frequency.P1M).businessDayAdjustment(BDA_MF).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.P1M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NOTIONAL).calculation(IborRateCalculation.builder().index(USD_LIBOR_1M).fixingDateOffset(DaysAdjustment.ofBusinessDays(-2, CalendarUSD.NYC, BDA_P)).build()).build();
SwapTrade trade = SwapTrade.builder().info(TradeInfo.builder().tradeDate(LocalDate.of(2014, 9, 10)).build()).product(Swap.of(payLeg, receiveLeg)).build();
CurveGroupName groupName = CurveGroupName.of("Test");
CurveId idUsdDsc = CurveId.of(groupName, StandardDataSets.GROUP1_USD_DSC.Name);
CurveId idUsdOn = CurveId.of(groupName, StandardDataSets.GROUP1_USD_ON.Name);
CurveId idUsdL1M = CurveId.of(groupName, StandardDataSets.GROUP1_USD_L1M.Name);
CurveId idUsdL3M = CurveId.of(groupName, StandardDataSets.GROUP1_USD_L3M.Name);
CurveId idUsdL6M = CurveId.of(groupName, StandardDataSets.GROUP1_USD_L6M.Name);
MarketData suppliedData = ImmutableMarketData.builder(VAL_DATE).addValue(idUsdDsc, StandardDataSets.GROUP1_USD_DSC).addValue(idUsdOn, StandardDataSets.GROUP1_USD_ON).addValue(idUsdL1M, StandardDataSets.GROUP1_USD_L1M).addValue(idUsdL3M, StandardDataSets.GROUP1_USD_L3M).addValue(idUsdL6M, StandardDataSets.GROUP1_USD_L6M).build();
CalculationFunctions functions = StandardComponents.calculationFunctions();
RatesMarketDataLookup ratesLookup = RatesMarketDataLookup.of(ImmutableMap.of(USD, idUsdDsc), ImmutableMap.of(USD_FED_FUND, idUsdOn, USD_LIBOR_1M, idUsdL1M, USD_LIBOR_3M, idUsdL3M, USD_LIBOR_6M, idUsdL6M));
// create the calculation runner
IList <SwapTrade> trades = ImmutableList.of(trade);
IList <Column> columns = ImmutableList.of(Column.of(Measures.PRESENT_VALUE));
CalculationRules rules = CalculationRules.of(functions, USD, ratesLookup);
// calculate results using the runner
// using the direct executor means there is no need to close/shutdown the runner
CalculationRunner runner = CalculationRunner.of(MoreExecutors.newDirectExecutorService());
Results results = runner.calculate(rules, trades, columns, suppliedData, REF_DATA);
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: com.opengamma.strata.collect.result.Result<?> result = results.get(0, 0);
Result <object> result = results.get(0, 0);
assertThat(result).Success;
CurrencyAmount pv = (CurrencyAmount)result.Value;
assertThat(pv.Amount).isCloseTo(-1003684.8402, offset(TOLERANCE_PV));
}
// calculates the PV results for the instruments used in calibration from the config
private static Pair <IList <Trade>, Results> calculate(CalculationRunner runner)
{
// the reference data, such as holidays and securities
ReferenceData refData = ReferenceData.standard();
// load quotes
ImmutableMap <QuoteId, double> quotes = QuotesCsvLoader.load(VAL_DATE, QUOTES_RESOURCE);
// load time series
IDictionary <ObservableId, LocalDateDoubleTimeSeries> fixings = FixingSeriesCsvLoader.load(FIXING_RESOURCE);
// create the market data
MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValueMap(quotes).addTimeSeriesMap(fixings).build();
// load the curve definition
IDictionary <CurveGroupName, RatesCurveGroupDefinition> defns = RatesCalibrationCsvLoader.load(GROUPS_RESOURCE, SETTINGS_RESOURCE, CALIBRATION_RESOURCE);
RatesCurveGroupDefinition curveGroupDefinition = defns[CURVE_GROUP_NAME].filtered(VAL_DATE, refData);
// extract the trades used for calibration
IList <Trade> trades = curveGroupDefinition.CurveDefinitions.stream().flatMap(defn => defn.Nodes.stream()).filter(node => !(node is IborFixingDepositCurveNode)).map(node => node.trade(1d, marketData, refData)).collect(toImmutableList());
// the columns, specifying the measures to be calculated
IList <Column> columns = ImmutableList.of(Column.of(Measures.PRESENT_VALUE));
// the configuration that defines how to create the curves when a curve group is requested
MarketDataConfig marketDataConfig = MarketDataConfig.builder().add(CURVE_GROUP_NAME, curveGroupDefinition).build();
// the complete set of rules for calculating measures
CalculationFunctions functions = StandardComponents.calculationFunctions();
RatesMarketDataLookup ratesLookup = RatesMarketDataLookup.of(curveGroupDefinition);
CalculationRules rules = CalculationRules.of(functions, ratesLookup);
// calibrate the curves and calculate the results
MarketDataRequirements reqs = MarketDataRequirements.of(rules, trades, columns, refData);
MarketData calibratedMarketData = marketDataFactory().create(reqs, marketDataConfig, marketData, refData);
Results results = runner.calculate(rules, trades, columns, calibratedMarketData, refData);
return(Pair.of(trades, results));
}
private static void SubscribeOutputBus(
StandardComponents standardComponents,
ProjectionsStandardComponents projectionsStandardComponents,
RequestResponseQueueForwarder forwarder,
IODispatcher ioDispatcher)
{
var managerOutput = projectionsStandardComponents.LeaderOutputBus;
managerOutput.Subscribe <ClientMessage.ReadEvent>(forwarder);
managerOutput.Subscribe <ClientMessage.ReadStreamEventsBackward>(forwarder);
managerOutput.Subscribe <ClientMessage.ReadStreamEventsForward>(forwarder);
managerOutput.Subscribe <ClientMessage.WriteEvents>(forwarder);
managerOutput.Subscribe <ClientMessage.DeleteStream>(forwarder);
managerOutput.Subscribe(Forwarder.Create <Message>(projectionsStandardComponents.LeaderInputQueue));
managerOutput.Subscribe <ClientMessage.NotHandled>(ioDispatcher);
managerOutput.Subscribe <TimerMessage.Schedule>(standardComponents.TimerService);
managerOutput.Subscribe(Forwarder.Create <AwakeServiceMessage.SubscribeAwake>(standardComponents.MainQueue));
managerOutput.Subscribe(
Forwarder.Create <AwakeServiceMessage.UnsubscribeAwake>(standardComponents.MainQueue));
managerOutput.Subscribe <SystemMessage.SubSystemInitialized>(forwarder);
// self forward all
standardComponents.MainBus.Subscribe(
Forwarder.Create <SystemMessage.StateChangeMessage>(projectionsStandardComponents.LeaderInputQueue));
standardComponents.MainBus.Subscribe(
Forwarder.Create <SystemMessage.SystemCoreReady>(projectionsStandardComponents.LeaderInputQueue));
standardComponents.MainBus.Subscribe(
Forwarder.Create <SystemMessage.EpochWritten>(projectionsStandardComponents.LeaderInputQueue));
standardComponents.MainBus.Subscribe(
Forwarder.Create <ProjectionCoreServiceMessage.SubComponentStarted>(projectionsStandardComponents
.LeaderInputQueue));
standardComponents.MainBus.Subscribe(
Forwarder.Create <ProjectionCoreServiceMessage.SubComponentStopped>(projectionsStandardComponents
.LeaderInputQueue));
projectionsStandardComponents.LeaderMainBus.Subscribe(new UnwrapEnvelopeHandler());
}
public virtual void test_builtData()
{
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.List<com.opengamma.strata.calc.marketdata.PerturbationMapping<?>> perturbationMapping = new java.util.ArrayList<>();
IList <PerturbationMapping <object> > perturbationMapping = new List <PerturbationMapping <object> >();
int nScenarios = 3;
foreach (KeyValuePair <QuoteId, double> entry in MARKET_QUOTES.entrySet())
{
DoubleArray shifts = DoubleArray.of(nScenarios, n => Math.Pow(0.9, n));
ScenarioPerturbation <double> perturb = GenericDoubleShifts.of(ShiftType.SCALED, shifts);
perturbationMapping.Add(PerturbationMapping.of(MarketDataFilter.ofId(entry.Key), perturb));
}
ScenarioDefinition scenarioDefinition = ScenarioDefinition.ofMappings(perturbationMapping);
ImmutableMarketData dataWithSurface = ImmutableMarketData.builder(VALUATION_DATE).addValueMap(MARKET_QUOTES).addValueMap(MARKET_FX_QUOTES).addValue(VOL_ID, EXP_VOLS).addValue(RatesCurveGroupId.of(CURVE_GROUP_NAME), RatesCurveGroup.ofCurves(CURVE_GROUP_DEFINITION, EXP_RATES.toImmutableRatesProvider().DiscountCurves.values())).build();
ScenarioMarketData marketDataCalibrated = StandardComponents.marketDataFactory().createMultiScenario(REQUIREMENTS, SCENARIO_CONFIG, dataWithSurface, REF_DATA, scenarioDefinition);
Results results = CALC_RUNNER.calculateMultiScenario(RULES, TARGETS, COLUMN, marketDataCalibrated, REF_DATA);
CurrencyScenarioArray computed = results.get(0, 0, typeof(CurrencyScenarioArray)).Value;
CurrencyAmount expected = PRICER.presentValue(OPTION_TRADE.resolve(REF_DATA), EXP_RATES, EXP_VOLS).convertedTo(USD, EXP_RATES);
// dependency graph is absent, thus scenarios are not created
assertTrue(computed.ScenarioCount == 1);
assertEquals(computed.get(0), expected);
}
public static Dictionary <Guid, IQueuedHandler> CreateCoreWorkers(
StandardComponents standardComponents,
ProjectionsStandardComponents projectionsStandardComponents)
{
var coreTimeoutSchedulers =
CreateTimeoutSchedulers(projectionsStandardComponents.ProjectionWorkerThreadCount);
var coreQueues = new Dictionary <Guid, IQueuedHandler>();
while (coreQueues.Count < projectionsStandardComponents.ProjectionWorkerThreadCount)
{
var coreInputBus = new InMemoryBus("bus");
var coreQueue = QueuedHandler.CreateQueuedHandler(coreInputBus,
"Projection Core #" + coreQueues.Count,
groupName: "Projection Core");
var workerId = Guid.NewGuid();
var projectionNode = new ProjectionWorkerNode(
workerId,
standardComponents.Db,
coreQueue,
standardComponents.TimeProvider,
coreTimeoutSchedulers[coreQueues.Count],
projectionsStandardComponents.RunProjections);
projectionNode.SetupMessaging(coreInputBus);
var forwarder = new RequestResponseQueueForwarder(
inputQueue: coreQueue,
externalRequestQueue: standardComponents.MainQueue);
// forwarded messages
var coreOutput = projectionNode.CoreOutput;
coreOutput.Subscribe <ClientMessage.ReadEvent>(forwarder);
coreOutput.Subscribe <ClientMessage.ReadStreamEventsBackward>(forwarder);
coreOutput.Subscribe <ClientMessage.ReadStreamEventsForward>(forwarder);
coreOutput.Subscribe <ClientMessage.ReadAllEventsForward>(forwarder);
coreOutput.Subscribe <ClientMessage.WriteEvents>(forwarder);
coreOutput.Subscribe <ClientMessage.DeleteStream>(forwarder);
if (projectionsStandardComponents.RunProjections >= ProjectionType.System)
{
var slaveProjectionResponseWriter = projectionNode.SlaveProjectionResponseWriter;
coreOutput.Subscribe <PartitionMeasuredOutput>(slaveProjectionResponseWriter);
coreOutput.Subscribe <PartitionProcessingProgressOutput>(slaveProjectionResponseWriter);
coreOutput.Subscribe <PartitionProcessingResultOutput>(slaveProjectionResponseWriter);
coreOutput.Subscribe <ReaderSubscriptionManagement.SpoolStreamReading>(slaveProjectionResponseWriter);
coreOutput.Subscribe(
Forwarder.Create <AwakeServiceMessage.SubscribeAwake>(standardComponents.MainQueue));
coreOutput.Subscribe(
Forwarder.Create <AwakeServiceMessage.UnsubscribeAwake>(standardComponents.MainQueue));
}
coreOutput.Subscribe <TimerMessage.Schedule>(standardComponents.TimerService);
coreOutput.Subscribe(Forwarder.Create <Message>(coreQueue)); // forward all
coreInputBus.Subscribe(new UnwrapEnvelopeHandler());
coreQueues.Add(workerId, coreQueue);
}
var queues = coreQueues.Select(v => v.Value).Cast <IPublisher>().ToArray();
var coordinator = new ProjectionCoreCoordinator(
projectionsStandardComponents.RunProjections,
coreTimeoutSchedulers,
queues,
projectionsStandardComponents.MasterOutputBus,
new PublishEnvelope(projectionsStandardComponents.MasterInputQueue, crossThread: true));
coordinator.SetupMessaging(projectionsStandardComponents.MasterMainBus);
projectionsStandardComponents.MasterMainBus.Subscribe(
Forwarder.CreateBalancing <FeedReaderMessage.ReadPage>(coreQueues.Values.Cast <IPublisher>().ToArray()));
return(coreQueues);
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an instance from the valuation date, trades, columns and results.
/// <para>
/// This uses standard reference data.
///
/// </para>
/// </summary>
/// <param name="valuationDate"> the valuation date used in the calculations </param>
/// <param name="targets"> the targets for which the results were calculated </param>
/// <param name="columns"> the columns in the results </param>
/// <param name="calculationResults"> the results of the calculations </param>
/// <returns> the results </returns>
public static ReportCalculationResults of <T1>(LocalDate valuationDate, IList <T1> targets, IList <Column> columns, Results calculationResults) where T1 : com.opengamma.strata.basics.CalculationTarget
{
return(of(valuationDate, targets, columns, calculationResults, StandardComponents.calculationFunctions(), ReferenceData.standard()));
}
