public virtual void test_parameter_secenarioDefinition()
{
//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 nVolParams = EXP_VOLS.ParameterCount;
int nScenarios = 3;
PointShiftsBuilder builder = PointShifts.builder(ShiftType.SCALED);
for (int i = 0; i < nVolParams; ++i)
{
object id = EXP_VOLS.getParameterMetadata(i).Identifier;
for (int j = 0; j < nScenarios; ++j)
{
builder.addShift(j, id, Math.Pow(0.9, j));
}
}
ScenarioPerturbation <ParameterizedData> perturb = builder.build();
perturbationMapping.Add(PerturbationMapping.of(MarketDataFilter.ofId(VOL_ID), perturb));
ScenarioDefinition scenarioDefinition = ScenarioDefinition.ofMappings(perturbationMapping);
ScenarioMarketData marketDataCalibrated = StandardComponents.marketDataFactory().createMultiScenario(REQUIREMENTS, SCENARIO_CONFIG, MARKET_DATA, REF_DATA, scenarioDefinition);
Results results = CALC_RUNNER.calculateMultiScenario(RULES, TARGETS, COLUMN, marketDataCalibrated, REF_DATA);
CurrencyScenarioArray pvs = results.get(0, 0, typeof(CurrencyScenarioArray)).Value;
for (int i = 0; i < nScenarios; ++i)
{
int index = i;
BlackFxOptionSmileVolatilities shiftedSmile = EXP_VOLS.withPerturbation((j, v, m) => Math.Pow(0.9, index) * v);
CurrencyAmount pv = PRICER.presentValue(OPTION_TRADE.resolve(REF_DATA), EXP_RATES, shiftedSmile).convertedTo(USD, EXP_RATES);
assertEquals(pvs.get(i), pv);
}
}
private static PointShifts buildShifts(IList <Curve> historicalCurves)
{
PointShiftsBuilder builder = PointShifts.builder(ShiftType.ABSOLUTE);
for (int scenarioIndex = 1; scenarioIndex < historicalCurves.Count; scenarioIndex++)
{
Curve previousCurve = historicalCurves[scenarioIndex - 1];
Curve curve = historicalCurves[scenarioIndex];
// build up the shifts to apply to each node
// these are calculated as the actual change in the zero rate at that node between the two scenario dates
for (int curveNodeIdx = 0; curveNodeIdx < curve.ParameterCount; curveNodeIdx++)
{
double zeroRate = curve.getParameter(curveNodeIdx);
double previousZeroRate = previousCurve.getParameter(curveNodeIdx);
double shift = (zeroRate - previousZeroRate);
// the parameter metadata is used to identify a node to apply a perturbation to
builder.addShift(scenarioIndex, curve.getParameterMetadata(curveNodeIdx).Identifier, shift);
}
}
return(builder.build());
}