/// <summary> /// Test that inputs are correctly built from market data. /// </summary> public virtual void build() { FraCurveNode node1x4 = fraNode(1, "a"); FraCurveNode node2x5 = fraNode(2, "b"); FraCurveNode node3x6 = fraNode(3, "c"); InterpolatedNodalCurveDefinition curveDefn = InterpolatedNodalCurveDefinition.builder().name(CurveName.of("curve")).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(DayCounts.ACT_ACT_ISDA).interpolator(CurveInterpolators.DOUBLE_QUADRATIC).extrapolatorLeft(CurveExtrapolators.FLAT).extrapolatorRight(CurveExtrapolators.FLAT).nodes(node1x4, node2x5, node3x6).build(); RatesCurveGroupDefinition groupDefn = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("curve group")).addDiscountCurve(curveDefn, Currency.USD).build(); MarketDataConfig marketDataConfig = MarketDataConfig.builder().add(groupDefn.Name, groupDefn).build(); QuoteId idA = QuoteId.of(StandardId.of("test", "a")); QuoteId idB = QuoteId.of(StandardId.of("test", "b")); QuoteId idC = QuoteId.of(StandardId.of("test", "c")); ScenarioMarketData marketData = ImmutableScenarioMarketData.builder(VAL_DATE).addValue(idA, 1d).addValue(idB, 2d).addValue(idC, 3d).build(); RatesCurveInputsMarketDataFunction marketDataFunction = new RatesCurveInputsMarketDataFunction(); RatesCurveInputsId curveInputsId = RatesCurveInputsId.of(groupDefn.Name, curveDefn.Name, ObservableSource.NONE); MarketDataBox <RatesCurveInputs> result = marketDataFunction.build(curveInputsId, marketDataConfig, marketData, REF_DATA); RatesCurveInputs curveInputs = result.SingleValue; assertThat(curveInputs.MarketData.get(idA)).isEqualTo(1d); assertThat(curveInputs.MarketData.get(idB)).isEqualTo(2d); assertThat(curveInputs.MarketData.get(idC)).isEqualTo(3d); IList <ParameterMetadata> expectedMetadata = ImmutableList.of(node1x4.metadata(VAL_DATE, REF_DATA), node2x5.metadata(VAL_DATE, REF_DATA), node3x6.metadata(VAL_DATE, REF_DATA)); assertThat(curveInputs.CurveMetadata.ParameterMetadata).hasValue(expectedMetadata); }
/// <summary> /// Test that a failure is returned if there is no config for the curve group. /// </summary> public virtual void buildMissingGroupConfig() { RatesCurveInputsMarketDataFunction marketDataFunction = new RatesCurveInputsMarketDataFunction(); RatesCurveInputsId curveInputsId = RatesCurveInputsId.of(CurveGroupName.of("curve group"), CurveName.of("curve"), ObservableSource.NONE); ScenarioMarketData emptyData = ScenarioMarketData.empty(); assertThrows(() => marketDataFunction.build(curveInputsId, MarketDataConfig.empty(), emptyData, REF_DATA), typeof(System.ArgumentException), "No configuration found for type .*"); }
/// <summary> /// Test that a failure is returned if there is config for the curve group but it doesn't contain the named curve. /// </summary> public virtual void buildMissingCurveDefinition() { RatesCurveInputsMarketDataFunction marketDataFunction = new RatesCurveInputsMarketDataFunction(); RatesCurveInputsId curveInputsId = RatesCurveInputsId.of(CurveGroupName.of("curve group"), CurveName.of("curve"), ObservableSource.NONE); RatesCurveGroupDefinition groupDefn = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("curve group")).build(); MarketDataConfig marketDataConfig = MarketDataConfig.builder().add(groupDefn.Name, groupDefn).build(); ScenarioMarketData emptyData = ScenarioMarketData.empty(); assertThrows(() => marketDataFunction.build(curveInputsId, marketDataConfig, emptyData, REF_DATA), typeof(System.ArgumentException), "No curve named .*"); }
/// <summary> /// Test that a failure is returned if the observable data isn't available. /// </summary> public virtual void buildMissingMarketData() { FraCurveNode node1x4 = fraNode(1, "a"); FraCurveNode node2x5 = fraNode(2, "b"); FraCurveNode node3x6 = fraNode(3, "c"); InterpolatedNodalCurveDefinition curve = InterpolatedNodalCurveDefinition.builder().name(CurveName.of("curve")).interpolator(CurveInterpolators.DOUBLE_QUADRATIC).extrapolatorLeft(CurveExtrapolators.FLAT).extrapolatorRight(CurveExtrapolators.FLAT).nodes(node1x4, node2x5, node3x6).build(); RatesCurveGroupDefinition groupDefn = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("curve group")).addDiscountCurve(curve, Currency.USD).build(); MarketDataConfig marketDataConfig = MarketDataConfig.builder().add(groupDefn.Name, groupDefn).build(); ScenarioMarketData emptyData = ScenarioMarketData.of(1, date(2016, 6, 30), ImmutableMap.of(), ImmutableMap.of()); RatesCurveInputsMarketDataFunction marketDataFunction = new RatesCurveInputsMarketDataFunction(); RatesCurveInputsId curveInputsId = RatesCurveInputsId.of(groupDefn.Name, curve.Name, ObservableSource.NONE); assertThrows(() => marketDataFunction.build(curveInputsId, marketDataConfig, emptyData, REF_DATA), typeof(MarketDataNotFoundException)); }