/// <summary>
/// Adds the definition of a discount curve to the curve group definition.
/// <para>
/// A curve added with this method cannot be calibrated by the market data system as it does not include
/// a curve definition. It is intended to be used with curves which are supplied by the user.
///
/// </para>
/// </summary>
/// <param name="curveName"> the name of the curve </param>
/// <param name="otherCurrencies"> additional currencies for which the curve can provide discount factors </param>
/// <param name="currency"> the currency for which the curve provides discount rates </param>
/// <returns> this builder </returns>
public RatesCurveGroupDefinitionBuilder addDiscountCurve(CurveName curveName, Currency currency, params Currency[] otherCurrencies)
{
ArgChecker.notNull(curveName, "curveName");
ArgChecker.notNull(currency, "currency");
RatesCurveGroupEntry entry = RatesCurveGroupEntry.builder().curveName(curveName).discountCurrencies(ImmutableSet.copyOf(Lists.asList(currency, otherCurrencies))).build();
return(mergeEntry(entry));
}
//-------------------------------------------------------------------------
/// <summary>
/// Adds the definition of a forward curve to the curve group definition.
/// </summary>
/// <param name="curveDefinition"> the definition of the forward curve </param>
/// <param name="index"> the index for which the curve provides forward rates </param>
/// <param name="otherIndices"> the additional indices for which the curve provides forward rates </param>
/// <returns> this builder </returns>
public RatesCurveGroupDefinitionBuilder addForwardCurve(CurveDefinition curveDefinition, Index index, params Index[] otherIndices)
{
ArgChecker.notNull(curveDefinition, "curveDefinition");
ArgChecker.notNull(index, "index");
RatesCurveGroupEntry entry = RatesCurveGroupEntry.builder().curveName(curveDefinition.Name).indices(indices(index, otherIndices)).build();
return(merge(entry, curveDefinition));
}
//-------------------------------------------------------------------------
/// <summary>
/// Merges the specified entry with this entry, returning a new entry.
/// <para>
/// The two entries must have the same curve name.
///
/// </para>
/// </summary>
/// <param name="newEntry"> the new entry </param>
/// <returns> the merged entry </returns>
internal RatesCurveGroupEntry merge(RatesCurveGroupEntry newEntry)
{
if (!curveName.Equals(newEntry.curveName))
{
throw new System.ArgumentException(Messages.format("A CurveGroupEntry can only be merged with an entry with the same curve name. name: {}, other name: {}", curveName, newEntry.curveName));
}
return(RatesCurveGroupEntry.builder().curveName(curveName).discountCurrencies(Sets.union(discountCurrencies, newEntry.discountCurrencies)).indices(Sets.union(indices, newEntry.indices)).build());
}
// merges the specified entry with those already stored
private RatesCurveGroupDefinitionBuilder mergeEntry(RatesCurveGroupEntry newEntry)
{
CurveName curveName = newEntry.CurveName;
RatesCurveGroupEntry existingEntry = entries[curveName];
RatesCurveGroupEntry entry = existingEntry == null ? newEntry : existingEntry.merge(newEntry);
entries[curveName] = entry;
return(this);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
RatesCurveGroupEntry test = RatesCurveGroupEntry.builder().curveName(CURVE_NAME1).discountCurrencies(GBP).build();
coverImmutableBean(test);
RatesCurveGroupEntry test2 = RatesCurveGroupEntry.builder().curveName(CURVE_NAME2).indices(GBP_LIBOR_1M, GBP_SONIA).build();
coverBeanEquals(test, test2);
}
//-------------------------------------------------------------------------
/// <summary>
/// Adds the definition of a curve to the curve group definition which is used to provide
/// discount rates and forward rates.
/// </summary>
/// <param name="curveDefinition"> the definition of the forward curve </param>
/// <param name="currency"> the currency for which the curve provides discount rates </param>
/// <param name="index"> the index for which the curve provides forward rates </param>
/// <param name="otherIndices"> the additional indices for which the curve provides forward rates </param>
/// <returns> this builder </returns>
public RatesCurveGroupDefinitionBuilder addCurve(CurveDefinition curveDefinition, Currency currency, RateIndex index, params RateIndex[] otherIndices)
{
ArgChecker.notNull(curveDefinition, "curveDefinition");
ArgChecker.notNull(currency, "currency");
ArgChecker.notNull(index, "index");
RatesCurveGroupEntry entry = RatesCurveGroupEntry.builder().curveName(curveDefinition.Name).discountCurrencies(ImmutableSet.of(currency)).indices(indices(index, otherIndices)).build();
return(merge(entry, curveDefinition));
}
public virtual void test_builder()
{
RatesCurveGroupEntry test = RatesCurveGroupEntry.builder().curveName(CURVE_NAME1).discountCurrencies(GBP).indices(GBP_LIBOR_1M, GBP_LIBOR_3M, GBP_SONIA).build();
assertEquals(test.CurveName, CURVE_NAME1);
assertEquals(test.DiscountCurrencies, ImmutableSet.of(GBP));
assertEquals(test.Indices, ImmutableSet.of(GBP_LIBOR_1M, GBP_LIBOR_3M, GBP_SONIA));
assertEquals(test.getIndices(typeof(IborIndex)), ImmutableSet.of(GBP_LIBOR_1M, GBP_LIBOR_3M));
assertEquals(test.getIndices(typeof(OvernightIndex)), ImmutableSet.of(GBP_SONIA));
assertEquals(test.getIndices(typeof(PriceIndex)), ImmutableSet.of());
}
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
RatesCurveGroupEntry other = (RatesCurveGroupEntry)obj;
return(JodaBeanUtils.equal(curveName, other.curveName) && JodaBeanUtils.equal(discountCurrencies, other.discountCurrencies) && JodaBeanUtils.equal(indices, other.indices));
}
return(false);
}
//-------------------------------------------------------------------------
// merges the definition and entry
private RatesCurveGroupDefinitionBuilder merge(RatesCurveGroupEntry newEntry, CurveDefinition curveDefinition)
{
curveDefinitions[curveDefinition.Name] = curveDefinition;
return(mergeEntry(newEntry));
}
/// <summary>
/// Adds a curve to the curve group definition which is used to provide discount rates and forward rates.
/// <para>
/// A curve added with this method cannot be calibrated by the market data system as it does not include
/// a curve definition. It is intended to be used with curves which are supplied by the user.
///
/// </para>
/// </summary>
/// <param name="curveName"> the name of the curve </param>
/// <param name="currency"> the currency for which the curve provides discount rates </param>
/// <param name="index"> the index for which the curve provides forward rates </param>
/// <param name="otherIndices"> the additional indices for which the curve provides forward rates </param>
/// <returns> this builder </returns>
public RatesCurveGroupDefinitionBuilder addCurve(CurveName curveName, Currency currency, RateIndex index, params RateIndex[] otherIndices)
{
RatesCurveGroupEntry entry = RatesCurveGroupEntry.builder().curveName(curveName).discountCurrencies(ImmutableSet.of(currency)).indices(indices(index, otherIndices)).build();
return(mergeEntry(entry));
}
public virtual void test_serialization()
{
RatesCurveGroupEntry test = RatesCurveGroupEntry.builder().curveName(CURVE_NAME1).discountCurrencies(GBP).build();
assertSerialization(test);
}
