//-----------------------------------------------------------------------
// create a trade
private static Trade createTrade1(ReferenceData refData)
{
Swap swap = FixedIborSwapConventions.USD_FIXED_6M_LIBOR_3M.createTrade(LocalDate.of(2015, 3, 18), Tenor.TENOR_5Y, BuySell.SELL, 1, 0.02, refData).Product;
Dsf product = Dsf.builder().securityId(SecurityId.of("OG-Future", "CME-F1U-Mar15")).lastTradeDate(LocalDate.of(2015, 3, 16)).deliveryDate(LocalDate.of(2015, 3, 18)).notional(100_000).underlyingSwap(swap).build();
return(DsfTrade.builder().info(TradeInfo.builder().id(StandardId.of("example", "1")).addAttribute(AttributeType.DESCRIPTION, "CME-5Y-DSF Mar15").counterparty(StandardId.of("mn", "Dealer G")).tradeDate(LocalDate.of(2015, 3, 18)).settlementDate(LocalDate.of(2015, 3, 18)).build()).product(product).quantity(20).price(1.0075).build());
}
//-------------------------------------------------------------------------
public virtual FunctionRequirements requirements(T target, ISet <Measure> measures, CalculationParameters parameters, ReferenceData refData)
{
// extract data from product
Dsf product = target.Product;
QuoteId quoteId = QuoteId.of(target.SecurityId.StandardId, FieldName.SETTLEMENT_PRICE);
ImmutableSet <Index> indices = product.UnderlyingSwap.allIndices();
ImmutableSet <Currency> currencies = ImmutableSet.of(product.Currency);
// use lookup to build requirements
RatesMarketDataLookup ratesLookup = parameters.getParameter(typeof(RatesMarketDataLookup));
FunctionRequirements ratesReqs = ratesLookup.requirements(currencies, indices);
//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 KruskalAlgorithm(Dsf dsf)
{
this.dsf = dsf;
}
