static CalibrationZeroRateUsdEur2OisFxTest() { DSC_NAMES[USD_DSCON_CURVE_NAME] = USD; ISet <Index> usdFedFundSet = new HashSet <Index>(); usdFedFundSet.Add(USD_FED_FUND); IDX_NAMES[USD_DSCON_CURVE_NAME] = usdFedFundSet; USD_DSC_NODES[0] = TermDepositCurveNode.of(TermDepositTemplate.of(Period.ofDays(1), USD_SHORT_DEPOSIT_T0), QuoteId.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[0]))); USD_DSC_NODES[1] = TermDepositCurveNode.of(TermDepositTemplate.of(Period.ofDays(1), USD_SHORT_DEPOSIT_T1), QuoteId.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[1]))); for (int i = 0; i < USD_DSC_NB_OIS_NODES; i++) { USD_DSC_NODES[USD_DSC_NB_DEPO_NODES + i] = FixedOvernightSwapCurveNode.of(FixedOvernightSwapTemplate.of(Period.ZERO, Tenor.of(USD_DSC_OIS_TENORS[i]), USD_FIXED_1Y_FED_FUND_OIS), QuoteId.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[USD_DSC_NB_DEPO_NODES + i]))); } for (int i = 0; i < EUR_DSC_NB_FX_NODES; i++) { EUR_DSC_NODES[i] = FxSwapCurveNode.of(FxSwapTemplate.of(EUR_DSC_FX_TENORS[i], EUR_USD), QuoteId.of(StandardId.of(SCHEME, EUR_DSC_ID_VALUE[i]))); } ImmutableMarketDataBuilder builder = ImmutableMarketData.builder(VAL_DATE); for (int i = 0; i < USD_DSC_NB_NODES; i++) { builder.addValue(QuoteId.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[i])), USD_DSC_MARKET_QUOTES[i]); } for (int i = 0; i < EUR_DSC_NB_NODES; i++) { builder.addValue(QuoteId.of(StandardId.of(SCHEME, EUR_DSC_ID_VALUE[i])), EUR_DSC_MARKET_QUOTES[i]); } builder.addValue(FxRateId.of(EUR, USD), FX_RATE_EUR_USD); ALL_QUOTES = builder.build(); }
internal static Order CreateNew(CustomerId customerId, QuoteId quoteId, List <QuoteItemProductData> products, Currency currency, ICurrencyConverter converter) { var orderId = new OrderId(Guid.NewGuid()); return(new Order(orderId, customerId, quoteId, products, currency, converter)); }
static CalibrationDiscountingSimpleEurStdTenorsTest() { for (int i = 0; i < DSC_NB_OIS_NODES; i++) { DSC_NODES[i] = FixedOvernightSwapCurveNode.of(FixedOvernightSwapTemplate.of(Period.ZERO, Tenor.of(DSC_OIS_TENORS[i]), EUR_FIXED_1Y_EONIA_OIS), QuoteId.of(StandardId.of(SCHEME, DSC_ID_VALUE[i]))); } for (int i = 0; i < FWD3_NB_IRS_NODES; i++) { FWD3_NODES[i] = FixedIborSwapCurveNode.of(FixedIborSwapTemplate.of(Period.ZERO, Tenor.of(FWD3_IRS_TENORS[i]), EUR_FIXED_1Y_EURIBOR_3M), QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[i]))); } for (int i = 0; i < FWD6_NB_IRS_NODES; i++) { FWD6_NODES[i] = FixedIborSwapCurveNode.of(FixedIborSwapTemplate.of(Period.ZERO, Tenor.of(FWD6_IRS_TENORS[i]), EUR_FIXED_1Y_EURIBOR_6M), QuoteId.of(StandardId.of(SCHEME, FWD6_ID_VALUE[i]))); } ImmutableMarketDataBuilder builder = ImmutableMarketData.builder(VAL_DATE); for (int i = 0; i < DSC_NB_NODES; i++) { builder.addValue(QuoteId.of(StandardId.of(SCHEME, DSC_ID_VALUE[i])), DSC_MARKET_QUOTES[i]); } for (int i = 0; i < FWD3_NB_NODES; i++) { builder.addValue(QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[i])), FWD3_MARKET_QUOTES[i]); } for (int i = 0; i < FWD6_NB_NODES; i++) { builder.addValue(QuoteId.of(StandardId.of(SCHEME, FWD6_ID_VALUE[i])), FWD6_MARKET_QUOTES[i]); } ALL_QUOTES = builder.build(); }
//------------------------------------------------------------------------- private static FraCurveNode fraNode(int startTenor, string marketDataId) { Period periodToStart = Period.ofMonths(startTenor); FraTemplate template = FraTemplate.of(periodToStart, IborIndices.USD_LIBOR_3M); return(FraCurveNode.of(template, QuoteId.of(StandardId.of("test", marketDataId)))); }
public override Builder set(string propertyName, object newValue) { switch (propertyName.GetHashCode()) { case -1321546630: // template this.template_Renamed = (IborFutureTemplate)newValue; break; case -938107365: // rateId this.rateId_Renamed = (QuoteId)newValue; break; case 291232890: // additionalSpread this.additionalSpread_Renamed = (double?)newValue.Value; break; case 102727412: // label this.label_Renamed = (string)newValue; break; case 3076014: // date this.date_Renamed = (CurveNodeDate)newValue; break; case -263699392: // dateOrder this.dateOrder_Renamed = (CurveNodeDateOrder)newValue; break; default: throw new NoSuchElementException("Unknown property: " + propertyName); } return(this); }
/// <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); }
internal static FraCurveNode fraNode(int startMonths, string id) { Period periodToStart = Period.ofMonths(startMonths); QuoteId quoteId = QuoteId.of(StandardId.of(TEST_SCHEME, id)); return(FraCurveNode.of(FraTemplate.of(periodToStart, IborIndices.USD_LIBOR_3M), quoteId)); }
internal static FixedIborSwapCurveNode fixedIborSwapNode(Tenor tenor, string id) { QuoteId quoteId = QuoteId.of(StandardId.of(TEST_SCHEME, id)); FixedIborSwapTemplate template = FixedIborSwapTemplate.of(Period.ZERO, tenor, SWAP_CONVENTION); return(FixedIborSwapCurveNode.of(template, quoteId)); }
static CalibrationDiscountingSmithWilsonTest() { IBOR_INDICES.Add(GBP_LIBOR_6M); DSC_NAMES[CURVE_NAME] = GBP; IDX_NAMES[CURVE_NAME] = IBOR_INDICES; for (int i = 0; i < FWD6_NB_NODES; i++) { ALL_NODES[i] = FixedIborSwapCurveNode.of(FixedIborSwapTemplate.of(Period.ZERO, Tenor.of(FWD6_IRS_TENORS[i]), GBP_FIXED_6M_LIBOR_6M), QuoteId.of(StandardId.of(SCHEME, FWD6_ID_VALUE[i]))); NODE_TIMES[i] = CURVE_DC.relativeYearFraction(VAL_DATE, ALL_NODES[i].date(VAL_DATE, REF_DATA)); } ImmutableMarketDataBuilder builder = ImmutableMarketData.builder(VAL_DATE); for (int i = 0; i < FWD6_NB_NODES; i++) { builder.addValue(QuoteId.of(StandardId.of(SCHEME, FWD6_ID_VALUE[i])), FWD6_MARKET_QUOTES[i]); } ALL_QUOTES = builder.build(); IList <CurveNode[]> groupNodes = new List <CurveNode[]>(); groupNodes.Add(ALL_NODES); CURVES_NODES.Add(groupNodes); IList <CurveMetadata> groupMetadata = new List <CurveMetadata>(); groupMetadata.Add(DefaultCurveMetadata.builder().curveName(CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.DISCOUNT_FACTOR).dayCount(CURVE_DC).build()); CURVES_METADATA.Add(groupMetadata); }
static CalibrationDiscountingSimple1Test() { IBOR_INDICES.Add(USD_LIBOR_3M); DSC_NAMES[ALL_CURVE_NAME] = USD; IDX_NAMES[ALL_CURVE_NAME] = IBOR_INDICES; ALL_NODES[0] = IborFixingDepositCurveNode.of(IborFixingDepositTemplate.of(USD_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[0]))); for (int i = 0; i < FWD3_NB_FRA_NODES; i++) { ALL_NODES[i + 1] = FraCurveNode.of(FraTemplate.of(FWD3_FRA_TENORS[i], USD_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[1]))); } for (int i = 0; i < FWD3_NB_IRS_NODES; i++) { ALL_NODES[i + 1 + FWD3_NB_FRA_NODES] = FixedIborSwapCurveNode.of(FixedIborSwapTemplate.of(Period.ZERO, Tenor.of(FWD3_IRS_TENORS[i]), USD_FIXED_6M_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[i]))); } ImmutableMarketDataBuilder builder = ImmutableMarketData.builder(VAL_DATE); for (int i = 0; i < FWD3_NB_NODES; i++) { builder.addValue(QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[i])), FWD3_MARKET_QUOTES[i]); } ALL_QUOTES = builder.build(); IList <CurveNode[]> groupNodes = new List <CurveNode[]>(); groupNodes.Add(ALL_NODES); CURVES_NODES.Add(groupNodes); IList <CurveMetadata> groupMetadata = new List <CurveMetadata>(); groupMetadata.Add(DefaultCurveMetadata.builder().curveName(ALL_CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(CURVE_DC).build()); CURVES_METADATA.Add(groupMetadata); }
static IsdaCompliantIndexCurveCalibratorTest() { ImmutableList.Builder <StandardId> legalEntityIdsbuilder = ImmutableList.builder(); ImmutableMarketDataBuilder marketDataBuilder = ImmutableMarketData.builder(VALUATION_DATE); ImmutableMarketDataBuilder marketDataPsBuilder = ImmutableMarketData.builder(VALUATION_DATE); for (int?i = 0; i.Value < INDEX_SIZE; ++i) { StandardId legalEntityId = StandardId.of("OG", "ABC" + i.ToString()); LegalEntityInformation information = DEFAULTED_NAMES.contains(i) ? LegalEntityInformation.isDefaulted(legalEntityId) : LegalEntityInformation.isNotDefaulted(legalEntityId); legalEntityIdsbuilder.add(legalEntityId); marketDataBuilder.addValue(LegalEntityInformationId.of(legalEntityId), information); marketDataPsBuilder.addValue(LegalEntityInformationId.of(legalEntityId), information); } LEGAL_ENTITIES = legalEntityIdsbuilder.build(); ImmutableList.Builder <CdsIndexIsdaCreditCurveNode> curveNodesBuilder = ImmutableList.builder(); ImmutableList.Builder <CdsIndexIsdaCreditCurveNode> curveNodesPsBuilder = ImmutableList.builder(); for (int i = 0; i < NUM_PILLARS; ++i) { QuoteId id = QuoteId.of(StandardId.of("OG", INDEX_TENORS[i].ToString())); CdsTemplate temp = TenorCdsTemplate.of(INDEX_TENORS[i], CONVENTION); curveNodesBuilder.add(CdsIndexIsdaCreditCurveNode.ofPointsUpfront(temp, id, INDEX_ID, LEGAL_ENTITIES, COUPON)); curveNodesPsBuilder.add(CdsIndexIsdaCreditCurveNode.ofParSpread(temp, id, INDEX_ID, LEGAL_ENTITIES)); marketDataBuilder.addValue(id, PUF_QUOTES[i]); marketDataPsBuilder.addValue(id, PS_QUOTES[i]); } CURVE_NODES = curveNodesBuilder.build(); MARKET_DATA = marketDataBuilder.build(); CURVE_NODES_PS = curveNodesPsBuilder.build(); MARKET_DATA_PS = marketDataPsBuilder.build(); }
//------------------------------------------------------------------------- // loads a single curves CSV file // requestedDate can be null, meaning load all dates private static IList <CurveDefinition> parseSingle(CharSource resource, IDictionary <CurveName, LoadedCurveSettings> settingsMap) { CsvFile csv = CsvFile.of(resource, true); IDictionary <CurveName, IList <CurveNode> > allNodes = new Dictionary <CurveName, IList <CurveNode> >(); foreach (CsvRow row in csv.rows()) { string curveNameStr = row.getField(CURVE_NAME); string label = row.getField(CURVE_LABEL); string symbologyQuoteStr = row.getField(CURVE_SYMBOLOGY_QUOTE); string tickerQuoteStr = row.getField(CURVE_TICKER_QUOTE); string fieldQuoteStr = row.getField(CURVE_FIELD_QUOTE); string typeStr = row.getField(CURVE_TYPE); string conventionStr = row.getField(CURVE_CONVENTION); string timeStr = row.getField(CURVE_TIME); string dateStr = row.findField(CURVE_DATE).orElse(""); string minGapStr = row.findField(CURVE_MIN_GAP).orElse(""); string clashActionStr = row.findField(CURVE_CLASH_ACTION).orElse(""); string spreadStr = row.findField(CURVE_SPREAD).orElse(""); CurveName curveName = CurveName.of(curveNameStr); StandardId quoteStandardId = StandardId.of(symbologyQuoteStr, tickerQuoteStr); FieldName quoteField = fieldQuoteStr.Length == 0 ? FieldName.MARKET_VALUE : FieldName.of(fieldQuoteStr); QuoteId quoteId = QuoteId.of(quoteStandardId, quoteField); double spread = spreadStr.Length == 0 ? 0d : double.Parse(spreadStr); CurveNodeDate date = parseDate(dateStr); CurveNodeDateOrder order = parseDateOrder(minGapStr, clashActionStr); IList <CurveNode> curveNodes = allNodes.computeIfAbsent(curveName, k => new List <CurveNode>()); curveNodes.Add(createCurveNode(typeStr, conventionStr, timeStr, label, quoteId, spread, date, order)); } return(buildCurveDefinition(settingsMap, allNodes)); }
// loads a single CSV file, filtering by date private static void parseSingle(System.Predicate <LocalDate> datePredicate, CharSource resource, IDictionary <LocalDate, ImmutableMap.Builder <QuoteId, double> > mutableMap) { try { CsvFile csv = CsvFile.of(resource, true); foreach (CsvRow row in csv.rows()) { string dateText = row.getField(DATE_FIELD); LocalDate date = LoaderUtils.parseDate(dateText); if (datePredicate(date)) { string symbologyStr = row.getField(SYMBOLOGY_FIELD); string tickerStr = row.getField(TICKER_FIELD); string fieldNameStr = row.getField(FIELD_NAME_FIELD); string valueStr = row.getField(VALUE_FIELD); double value = Convert.ToDouble(valueStr); StandardId id = StandardId.of(symbologyStr, tickerStr); FieldName fieldName = fieldNameStr.Length == 0 ? FieldName.MARKET_VALUE : FieldName.of(fieldNameStr); ImmutableMap.Builder <QuoteId, double> builderForDate = mutableMap.computeIfAbsent(date, k => ImmutableMap.builder()); builderForDate.put(QuoteId.of(id, fieldName), value); } } } catch (Exception ex) { throw new System.ArgumentException(Messages.format("Error processing resource as CSV file: {}", resource), ex); } }
//------------------------------------------------------------------------- public virtual FunctionRequirements requirements(SecurityTrade trade, ISet <Measure> measures, CalculationParameters parameters, ReferenceData refData) { Security security = refData.getValue(trade.SecurityId); QuoteId id = QuoteId.of(trade.SecurityId.StandardId); return(FunctionRequirements.builder().valueRequirements(ImmutableSet.of(id)).outputCurrencies(security.Currency).build()); }
static CalibrationZeroRateAndDiscountFactorUsd2OisIrsTest() { DSC_NAMES[DSCON_CURVE_NAME] = USD; ISet <Index> usdFedFundSet = new HashSet <Index>(); usdFedFundSet.Add(USD_FED_FUND); IDX_NAMES[DSCON_CURVE_NAME] = usdFedFundSet; ISet <Index> usdLibor3Set = new HashSet <Index>(); usdLibor3Set.Add(USD_LIBOR_3M); IDX_NAMES[FWD3_CURVE_NAME] = usdLibor3Set; double fixingValue = 0.002345; LocalDateDoubleTimeSeries tsBdUsdLibor3M = LocalDateDoubleTimeSeries.builder().put(VAL_DATE_BD, fixingValue).build(); LocalDate fixingDateHo = LocalDate.of(2015, 12, 24); LocalDateDoubleTimeSeries tsHoUsdLibor3M = LocalDateDoubleTimeSeries.builder().put(fixingDateHo, fixingValue).build(); TS_BD_LIBOR3M = ImmutableMarketData.builder(VAL_DATE_BD).addTimeSeries(IndexQuoteId.of(USD_LIBOR_3M), tsBdUsdLibor3M).build(); TS_HO_LIBOR3M = ImmutableMarketData.builder(VAL_DATE_HO).addTimeSeries(IndexQuoteId.of(USD_LIBOR_3M), tsHoUsdLibor3M).build(); for (int i = 0; i < DSC_NB_OIS_NODES; i++) { DSC_NODES[i] = FixedOvernightSwapCurveNode.of(FixedOvernightSwapTemplate.of(Period.ZERO, Tenor.of(DSC_OIS_TENORS[i]), USD_FIXED_1Y_FED_FUND_OIS), QuoteId.of(StandardId.of(SCHEME, DSC_ID_VALUE[i]))); } FWD3_NODES[0] = IborFixingDepositCurveNode.of(IborFixingDepositTemplate.of(USD_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[0]))); for (int i = 0; i < FWD3_NB_FRA_NODES; i++) { FWD3_NODES[i + 1] = FraCurveNode.of(FraTemplate.of(FWD3_FRA_TENORS[i], USD_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[i + 1]))); } for (int i = 0; i < FWD3_NB_IRS_NODES; i++) { FWD3_NODES[i + 1 + FWD3_NB_FRA_NODES] = FixedIborSwapCurveNode.of(FixedIborSwapTemplate.of(Period.ZERO, Tenor.of(FWD3_IRS_TENORS[i]), USD_FIXED_6M_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[i + 1 + FWD3_NB_FRA_NODES]))); } ImmutableMarketDataBuilder builder = ImmutableMarketData.builder(VAL_DATE_BD); for (int i = 0; i < FWD3_NB_NODES; i++) { builder.addValue(QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[i])), FWD3_MARKET_QUOTES[i]); } for (int i = 0; i < DSC_NB_NODES; i++) { builder.addValue(QuoteId.of(StandardId.of(SCHEME, DSC_ID_VALUE[i])), DSC_MARKET_QUOTES[i]); } ALL_QUOTES_BD = builder.build(); IList <CurveNode[]> groupDsc = new List <CurveNode[]>(); groupDsc.Add(DSC_NODES); CURVES_NODES.Add(groupDsc); IList <CurveNode[]> groupFwd3 = new List <CurveNode[]>(); groupFwd3.Add(FWD3_NODES); CURVES_NODES.Add(groupFwd3); IList <CurveMetadata> groupDsc = new List <CurveMetadata>(); groupDsc.Add(DefaultCurveMetadata.builder().curveName(DSCON_CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(CURVE_DC).build()); CURVES_METADATA.Add(groupDsc); IList <CurveMetadata> groupFwd3 = new List <CurveMetadata>(); groupFwd3.Add(DefaultCurveMetadata.builder().curveName(FWD3_CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(CURVE_DC).build()); CURVES_METADATA.Add(groupFwd3); }
/// <summary> /// Restricted copy constructor. </summary> /// <param name="beanToCopy"> the bean to copy from, not null </param> internal Builder(IborFutureCurveNode beanToCopy) { this.template_Renamed = beanToCopy.Template; this.rateId_Renamed = beanToCopy.RateId; this.additionalSpread_Renamed = beanToCopy.AdditionalSpread; this.label_Renamed = beanToCopy.Label; this.date_Renamed = beanToCopy.Date; this.dateOrder_Renamed = beanToCopy.DateOrder; }
static CalibrationZeroRateUsdOisIrsEurFxXCcyIrsTest() { USD_DSC_NODES[0] = TermDepositCurveNode.of(TermDepositTemplate.of(Period.ofDays(1), USD_SHORT_DEPOSIT_T0), QuoteId.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[0]))); USD_DSC_NODES[1] = TermDepositCurveNode.of(TermDepositTemplate.of(Period.ofDays(1), USD_SHORT_DEPOSIT_T1), QuoteId.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[1]))); for (int i = 0; i < USD_DSC_NB_OIS_NODES; i++) { USD_DSC_NODES[2 + i] = FixedOvernightSwapCurveNode.of(FixedOvernightSwapTemplate.of(Period.ZERO, Tenor.of(USD_DSC_OIS_TENORS[i]), USD_FIXED_1Y_FED_FUND_OIS), QuoteId.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[2 + i]))); } USD_FWD3_NODES[0] = IborFixingDepositCurveNode.of(IborFixingDepositTemplate.of(USD_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, USD_FWD3_ID_VALUE[0]))); for (int i = 0; i < USD_FWD3_NB_FRA_NODES; i++) { USD_FWD3_NODES[i + 1] = FraCurveNode.of(FraTemplate.of(USD_FWD3_FRA_TENORS[i], USD_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, USD_FWD3_ID_VALUE[i + 1]))); } for (int i = 0; i < USD_FWD3_NB_IRS_NODES; i++) { USD_FWD3_NODES[i + 1 + USD_FWD3_NB_FRA_NODES] = FixedIborSwapCurveNode.of(FixedIborSwapTemplate.of(Period.ZERO, Tenor.of(USD_FWD3_IRS_TENORS[i]), USD_FIXED_6M_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, USD_FWD3_ID_VALUE[i + 1 + USD_FWD3_NB_FRA_NODES]))); } for (int i = 0; i < EUR_DSC_NB_FX_NODES; i++) { EUR_DSC_NODES[i] = FxSwapCurveNode.of(FxSwapTemplate.of(EUR_DSC_FX_TENORS[i], EUR_USD), QuoteId.of(StandardId.of(SCHEME, EUR_DSC_ID_VALUE[i]))); } for (int i = 0; i < EUR_DSC_NB_XCCY_NODES; i++) { EUR_DSC_NODES[EUR_DSC_NB_FX_NODES + i] = XCcyIborIborSwapCurveNode.of(XCcyIborIborSwapTemplate.of(Tenor.of(EUR_DSC_XCCY_TENORS[i]), EUR_EURIBOR_3M_USD_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, EUR_DSC_ID_VALUE[EUR_DSC_NB_FX_NODES + i]))); } EUR_FWD3_NODES[0] = IborFixingDepositCurveNode.of(IborFixingDepositTemplate.of(EUR_EURIBOR_3M), QuoteId.of(StandardId.of(SCHEME, EUR_FWD3_ID_VALUE[0]))); for (int i = 0; i < EUR_FWD3_NB_FRA_NODES; i++) { EUR_FWD3_NODES[i + 1] = FraCurveNode.of(FraTemplate.of(EUR_FWD3_FRA_TENORS[i], EUR_EURIBOR_3M), QuoteId.of(StandardId.of(SCHEME, EUR_FWD3_ID_VALUE[i + 1]))); } for (int i = 0; i < EUR_FWD3_NB_IRS_NODES; i++) { EUR_FWD3_NODES[i + 1 + EUR_FWD3_NB_FRA_NODES] = FixedIborSwapCurveNode.of(FixedIborSwapTemplate.of(Period.ZERO, Tenor.of(EUR_FWD3_IRS_TENORS[i]), EUR_FIXED_1Y_EURIBOR_3M), QuoteId.of(StandardId.of(SCHEME, EUR_FWD3_ID_VALUE[i + 1 + EUR_FWD3_NB_FRA_NODES]))); } ImmutableMarketDataBuilder builder = ImmutableMarketData.builder(VAL_DATE); for (int i = 0; i < USD_DSC_NB_NODES; i++) { builder.addValue(QuoteId.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[i])), USD_DSC_MARKET_QUOTES[i]); } for (int i = 0; i < USD_FWD3_NB_NODES; i++) { builder.addValue(QuoteId.of(StandardId.of(SCHEME, USD_FWD3_ID_VALUE[i])), USD_FWD3_MARKET_QUOTES[i]); } for (int i = 0; i < EUR_DSC_NB_NODES; i++) { builder.addValue(QuoteId.of(StandardId.of(SCHEME, EUR_DSC_ID_VALUE[i])), EUR_DSC_MARKET_QUOTES[i]); } for (int i = 0; i < EUR_FWD3_NB_NODES; i++) { builder.addValue(QuoteId.of(StandardId.of(SCHEME, EUR_FWD3_ID_VALUE[i])), EUR_FWD3_MARKET_QUOTES[i]); } builder.addValue(QuoteId.of(StandardId.of(SCHEME, EUR_USD_ID_VALUE)), FX_RATE_EUR_USD); builder.addValue(FxRateId.of(EUR, USD), FxRate.of(EUR, USD, FX_RATE_EUR_USD)); ALL_QUOTES = builder.build(); }
private void calibration_market_quote_sensitivity_check(System.Func <ImmutableMarketData, RatesProvider> calibrator, double shift) { double notional = 100_000_000.0; double fx = 1.1111; double fxPts = 0.0012; ResolvedFxSwapTrade trade = EUR_USD.createTrade(VAL_DATE, Period.ofWeeks(6), Period.ofMonths(5), BuySell.BUY, notional, fx, fxPts, REF_DATA).resolve(REF_DATA); RatesProvider result = CALIBRATOR.calibrate(CURVE_GROUP_CONFIG, ALL_QUOTES, REF_DATA); PointSensitivities pts = FX_PRICER.presentValueSensitivity(trade.Product, result); CurrencyParameterSensitivities ps = result.parameterSensitivity(pts); CurrencyParameterSensitivities mqs = MQC.sensitivity(ps, result); double pvUsd = FX_PRICER.presentValue(trade.Product, result).getAmount(USD).Amount; double pvEur = FX_PRICER.presentValue(trade.Product, result).getAmount(EUR).Amount; double[] mqsUsd1Computed = mqs.getSensitivity(USD_DSCON_CURVE_NAME, USD).Sensitivity.toArray(); for (int i = 0; i < USD_DSC_NB_NODES; i++) { //JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET: //ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, Object> map = new java.util.HashMap<>(ALL_QUOTES.getValues()); IDictionary <MarketDataId <object>, object> map = new Dictionary <MarketDataId <object>, object>(ALL_QUOTES.Values); map[QuoteId.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[i]))] = USD_DSC_MARKET_QUOTES[i] + shift; ImmutableMarketData marketData = ImmutableMarketData.of(VAL_DATE, map); RatesProvider rpShifted = calibrator(marketData); double pvS = FX_PRICER.presentValue(trade.Product, rpShifted).getAmount(USD).Amount; assertEquals(mqsUsd1Computed[i], (pvS - pvUsd) / shift, TOLERANCE_PV_DELTA); } double[] mqsUsd2Computed = mqs.getSensitivity(USD_DSCON_CURVE_NAME, EUR).Sensitivity.toArray(); for (int i = 0; i < USD_DSC_NB_NODES; i++) { //JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET: //ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, Object> map = new java.util.HashMap<>(ALL_QUOTES.getValues()); IDictionary <MarketDataId <object>, object> map = new Dictionary <MarketDataId <object>, object>(ALL_QUOTES.Values); map[QuoteId.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[i]))] = USD_DSC_MARKET_QUOTES[i] + shift; ImmutableMarketData marketData = ImmutableMarketData.of(VAL_DATE, map); RatesProvider rpShifted = calibrator(marketData); double pvS = FX_PRICER.presentValue(trade.Product, rpShifted).getAmount(EUR).Amount; assertEquals(mqsUsd2Computed[i], (pvS - pvEur) / shift, TOLERANCE_PV_DELTA); } double[] mqsEur1Computed = mqs.getSensitivity(EUR_DSC_CURVE_NAME, USD).Sensitivity.toArray(); for (int i = 0; i < EUR_DSC_NB_NODES; i++) { assertEquals(mqsEur1Computed[i], 0.0, TOLERANCE_PV_DELTA); } double[] mqsEur2Computed = mqs.getSensitivity(EUR_DSC_CURVE_NAME, EUR).Sensitivity.toArray(); for (int i = 0; i < EUR_DSC_NB_NODES; i++) { //JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET: //ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, Object> map = new java.util.HashMap<>(ALL_QUOTES.getValues()); IDictionary <MarketDataId <object>, object> map = new Dictionary <MarketDataId <object>, object>(ALL_QUOTES.Values); map[QuoteId.of(StandardId.of(SCHEME, EUR_DSC_ID_VALUE[i]))] = EUR_DSC_MARKET_QUOTES[i] + shift; ImmutableMarketData marketData = ImmutableMarketData.of(VAL_DATE, map); RatesProvider rpShifted = calibrator(marketData); double pvS = FX_PRICER.presentValue(trade.Product, rpShifted).getAmount(EUR).Amount; assertEquals(mqsEur2Computed[i], (pvS - pvEur) / shift, TOLERANCE_PV_DELTA, "Node " + i); } }
//------------------------------------------------------------------------- public virtual void test_requirementsAndCurrency() { GenericSecurityPositionCalculationFunction function = new GenericSecurityPositionCalculationFunction(); ISet <Measure> measures = function.supportedMeasures(); FunctionRequirements reqs = function.requirements(TRADE, measures, PARAMS, REF_DATA); assertThat(reqs.OutputCurrencies).containsOnly(CURRENCY); assertThat(reqs.ValueRequirements).isEqualTo(ImmutableSet.of(QuoteId.of(SEC_ID.StandardId))); assertThat(reqs.TimeSeriesRequirements).Empty; assertThat(function.naturalCurrency(TRADE, REF_DATA)).isEqualTo(CURRENCY); }
private Order(OrderId id, CustomerId customerId, QuoteId quoteId, List <QuoteItemProductData> products, Currency currency, ICurrencyConverter converter) { Id = id; QuoteId = quoteId; CustomerId = customerId; CreatedAt = DateTime.Now; Status = OrderStatus.Placed; BuildOrderLines(products, currency, converter); AddDomainEvent(new OrderPlacedEvent(customerId, Id)); }
/// <summary> /// Restricted copy constructor. </summary> /// <param name="beanToCopy"> the bean to copy from, not null </param> internal Builder(FxOptionVolatilitiesNode beanToCopy) { this.currencyPair_Renamed = beanToCopy.CurrencyPair; this.label_Renamed = beanToCopy.Label; this.spotDateOffset_Renamed = beanToCopy.SpotDateOffset; this.businessDayAdjustment_Renamed = beanToCopy.BusinessDayAdjustment; this.expiryDateOffset_Renamed = beanToCopy.ExpiryDateOffset; this.quoteValueType_Renamed = beanToCopy.QuoteValueType; this.quoteId_Renamed = beanToCopy.QuoteId; this.tenor_Renamed = beanToCopy.Tenor; this.strike_Renamed = beanToCopy.Strike; }
private IborFutureCurveNode(IborFutureTemplate template, QuoteId rateId, double additionalSpread, string label, CurveNodeDate date, CurveNodeDateOrder dateOrder) { JodaBeanUtils.notNull(template, "template"); JodaBeanUtils.notNull(rateId, "rateId"); JodaBeanUtils.notNull(label, "label"); JodaBeanUtils.notNull(dateOrder, "dateOrder"); this.template = template; this.rateId = rateId; this.additionalSpread = additionalSpread; this.label = label; this.date_Renamed = date; this.dateOrder = dateOrder; }
public async override Task <QuoteDetailsViewModel> ExecuteQuery(GetQuoteDetailsQuery query, CancellationToken cancellationToken) { QuoteDetailsViewModel viewModel = new QuoteDetailsViewModel(); var quoteId = new QuoteId(query.QuoteId); var quote = await _unitOfWork.Quotes .GetById(quoteId, cancellationToken); if (quote == null) { throw new ApplicationDataException("Quote not found."); } if (string.IsNullOrWhiteSpace(query.Currency)) { throw new ApplicationDataException("Currency can't be empty."); } if (quote.Items.Count > 0) { viewModel.QuoteId = quote.Id.Value; var currency = Currency.FromCode(query.Currency); var productIds = quote.Items.Select(p => p.ProductId).ToList(); var products = await _unitOfWork.Products .GetByIds(productIds, cancellationToken); if (products == null) { throw new ApplicationDataException("Products not found"); } foreach (var quoteItem in quote.Items) { var product = products.Single(p => p.Id == quoteItem.ProductId); var convertedPrice = _currencyConverter.Convert(currency, product.Price); viewModel.QuoteItems.Add(new QuoteItemDetailsViewModel { ProductId = quoteItem.ProductId.Value, ProductQuantity = quoteItem.Quantity, ProductName = product.Name, ProductPrice = Math.Round(convertedPrice.Value, 2), CurrencySymbol = currency.Symbol, });; } viewModel.CalculateTotalOrderPrice(); } return(viewModel); }
public override async Task <Guid> ExecuteCommand(PlaceOrderCommand command, CancellationToken cancellationToken) { var customerId = new CustomerId(command.CustomerId); var productsData = new List <QuoteItemProductData>(); var quoteId = new QuoteId(command.QuoteId); var quote = await _unitOfWork.Quotes .GetById(quoteId, cancellationToken); var customer = await _unitOfWork.Customers .GetById(customerId, cancellationToken); if (customer == null) { throw new ApplicationDataException("Customer not found."); } if (quote == null) { throw new ApplicationDataException("Quote not found."); } var currency = Currency.FromCode(command.Currency); var products = await _unitOfWork.Products .GetByIds(quote.Items.Select(i => i.ProductId).ToList()); if (products == null) { throw new ApplicationDataException("Products couldn't be loaded."); } foreach (var item in quote.Items) { var product = products .Where(p => p.Id == item.ProductId) .FirstOrDefault(); productsData.Add( new QuoteItemProductData(product.Id, product.Price, item.Quantity) ); } var order = Order.PlaceOrder(customerId, quoteId, productsData, currency, _currencyConverter); await _unitOfWork.Orders.Add(order); await _unitOfWork.CommitAsync(); return(order.Id.Value); }
//------------------------------------------------------------------------- private static ImmutableCreditRatesProvider createRatesProvider(LocalDate tradeDate, LocalDate snapDate, double rateScale, double recoveryRate) { ImmutableMarketDataBuilder builder = ImmutableMarketData.builder(snapDate); for (int j = 0; j < NUM_INSTRUMENTS; j++) { builder.addValue(QuoteId.of(StandardId.of("OG", ID_VALUES[j])), RATES[j] * rateScale); } ImmutableMarketData quotes = builder.build(); IsdaCreditCurveDefinition curveDefinition = IsdaCreditCurveDefinition.of(CurveName.of("yield"), EUR, tradeDate, ACT_365F, DSC_NODES, false, false); IsdaCreditDiscountFactors yc = IsdaCompliantDiscountCurveCalibrator.standard().calibrate(curveDefinition, quotes, REF_DATA); return(ImmutableCreditRatesProvider.builder().valuationDate(tradeDate).discountCurves(ImmutableMap.of(EUR, yc)).recoveryRateCurves(ImmutableMap.of(LEGAL_ENTITY, ConstantRecoveryRates.of(LEGAL_ENTITY, tradeDate, recoveryRate))).creditCurves(ImmutableMap.of()).build()); }
public virtual void parSpreadTest() { LocalDate valuationDate = LocalDate.of(2013, 2, 27); DoubleArray ycTime = DoubleArray.ofUnsafe(new double[] { 0.09041095890410959, 0.1726027397260274, 0.26301369863013696, 0.5123287671232877, 0.7616438356164383, 1.010958904109589, 2.008219178082192, 3.008219178082192, 4.008219178082192, 5.008219178082192, 6.008219178082192, 7.013698630136987, 8.01095890410959, 9.01095890410959, 10.01095890410959, 12.01917808219178, 15.016438356164384, 20.01917808219178, 25.021917808219175, 30.027397260273972 }); DoubleArray ycRate = DoubleArray.ofUnsafe(new double[] { 0.0020651105531615476, 0.0024506037920717797, 0.0028872269869485313, 0.004599628230463427, 0.006160809466806469, 0.0075703969168129295, 0.003965128877560435, 0.005059104202201957, 0.0069669135253734825, 0.009361825469323602, 0.011916895611422482, 0.014311922779901886, 0.016519187063048578, 0.018512121993907647, 0.020289623737560873, 0.02329885162861984, 0.026399509889410745, 0.029087919732133784, 0.03037740056662963, 0.03110021763406523 }); IsdaCreditDiscountFactors yc = IsdaCreditDiscountFactors.of(EUR, valuationDate, CurveName.of("yc_usd"), ycTime, ycRate, ACT_365F); double[] timeNodeExp = new double[] { 0.5616438356164384, 1.0575342465753426, 2.0575342465753423, 3.0602739726027397, 4.06027397260274, 5.06027397260274, 6.06027397260274, 7.063013698630137, 8.063013698630137, 9.063013698630137, 10.063013698630137 }; double[] rateNodeExp = new double[] { 0.00876054089781935, 0.011037345646850688, 0.015955126945240167, 0.020617953392829177, 0.025787811343896218, 0.030329992053915133, 0.03313419899444371, 0.03528129159875671, 0.03675340516560903, 0.037946169956317416, 0.038951101800190346 }; double[] rateNodeExpMf = new double[] { 0.008754510260229803, 0.011030502992814844, 0.01594817866773906, 0.02060947097554756, 0.025776720596175737, 0.030316032527460755, 0.03311839631615255, 0.03526404051997617, 0.03673513322394772, 0.03792689865945585, 0.03893107891569398 }; ImmutableCreditRatesProvider ratesProvider = ImmutableCreditRatesProvider.builder().valuationDate(valuationDate).discountCurves(ImmutableMap.of(EUR, yc)).recoveryRateCurves(ImmutableMap.of(LEGAL_ENTITY, ConstantRecoveryRates.of(LEGAL_ENTITY, valuationDate, 0.25))).creditCurves(ImmutableMap.of()).build(); LocalDate startDate = LocalDate.of(2012, 12, 20); LocalDate[] pillarDates = new LocalDate[] { LocalDate.of(2013, 9, 20), LocalDate.of(2014, 3, 20), LocalDate.of(2015, 3, 20), LocalDate.of(2016, 3, 20), LocalDate.of(2017, 3, 20), LocalDate.of(2018, 3, 20), LocalDate.of(2019, 3, 20), LocalDate.of(2020, 3, 20), LocalDate.of(2021, 3, 20), LocalDate.of(2022, 3, 20), LocalDate.of(2023, 3, 20) }; int nPillars = pillarDates.Length; ImmutableMarketDataBuilder builderCredit = ImmutableMarketData.builder(valuationDate); IList <CdsIsdaCreditCurveNode> nodes = new List <CdsIsdaCreditCurveNode>(nPillars); double[] quotes = new double[] { 0.006485, 0.008163, 0.011763, 0.015136, 0.018787, 0.021905, 0.023797, 0.025211, 0.02617, 0.026928, 0.027549 }; for (int i = 0; i < nPillars; ++i) { CdsConvention conv = ImmutableCdsConvention.of("conv", EUR, ACT_360, Frequency.P3M, BUS_ADJ, CDS_SETTLE_STD); CdsTemplate temp = DatesCdsTemplate.of(startDate, pillarDates[i], conv); QuoteId id = QuoteId.of(StandardId.of("OG", pillarDates[i].ToString())); nodes.Add(CdsIsdaCreditCurveNode.ofParSpread(temp, id, LEGAL_ENTITY)); builderCredit.addValue(id, quotes[i]); } ImmutableMarketData marketData = builderCredit.build(); IsdaCreditCurveDefinition curveDefinition = IsdaCreditCurveDefinition.of(CurveName.of("zz"), EUR, valuationDate, ACT_365F, nodes, true, true); LegalEntitySurvivalProbabilities cc = BUILDER_ISDA.calibrate(curveDefinition, marketData, ratesProvider, REF_DATA); NodalCurve resCurve = ((IsdaCreditDiscountFactors)cc.SurvivalProbabilities).Curve; for (int i = 0; i < nPillars; ++i) { ParameterMetadata param = resCurve.getParameterMetadata(i); assertTrue(param is ResolvedTradeParameterMetadata); ResolvedTradeParameterMetadata tradeParam = (ResolvedTradeParameterMetadata)param; assertTrue(tradeParam.Trade is ResolvedCdsTrade); } assertTrue(DoubleArrayMath.fuzzyEquals(resCurve.XValues.toArray(), timeNodeExp, TOL)); assertTrue(DoubleArrayMath.fuzzyEquals(resCurve.YValues.toArray(), rateNodeExp, TOL)); testJacobian(BUILDER_ISDA, cc, ratesProvider, nodes, quotes, 1d, EPS); LegalEntitySurvivalProbabilities ccMf = BUILDER_MARKIT.calibrate(curveDefinition, marketData, ratesProvider, REF_DATA); NodalCurve resCurveMf = ((IsdaCreditDiscountFactors)ccMf.SurvivalProbabilities).Curve; assertTrue(DoubleArrayMath.fuzzyEquals(resCurveMf.XValues.toArray(), timeNodeExp, TOL)); assertTrue(DoubleArrayMath.fuzzyEquals(resCurveMf.YValues.toArray(), rateNodeExpMf, TOL)); testJacobian(BUILDER_MARKIT, ccMf, ratesProvider, nodes, quotes, 1d, EPS); }
private void calibration_market_quote_sensitivity_check(System.Func <MarketData, RatesProvider> calibrator, double shift) { double notional = 100_000_000.0; double spread = 0.0050; SwapTrade trade = IborIborSwapConventions.USD_LIBOR_3M_LIBOR_6M.createTrade(VAL_DATE, Period.ofMonths(8), Tenor.TENOR_7Y, BuySell.BUY, notional, spread, REF_DATA); RatesProvider result = calibrator(ALL_QUOTES); ResolvedSwap product = trade.Product.resolve(REF_DATA); PointSensitivityBuilder pts = SWAP_PRICER.presentValueSensitivity(product, result); CurrencyParameterSensitivities ps = result.parameterSensitivity(pts.build()); CurrencyParameterSensitivities mqs = MQC.sensitivity(ps, result); double pv0 = SWAP_PRICER.presentValue(product, result).getAmount(USD).Amount; double[] mqsDscComputed = mqs.getSensitivity(DSCON_CURVE_NAME, USD).Sensitivity.toArray(); for (int i = 0; i < DSC_NB_NODES; i++) { //JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET: //ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, Object> map = new java.util.HashMap<>(ALL_QUOTES.getValues()); IDictionary <MarketDataId <object>, object> map = new Dictionary <MarketDataId <object>, object>(ALL_QUOTES.Values); map[QuoteId.of(StandardId.of(SCHEME, DSC_ID_VALUE[i]))] = DSC_MARKET_QUOTES[i] + shift; ImmutableMarketData marketData = ImmutableMarketData.of(VAL_DATE, map); RatesProvider rpShifted = calibrator(marketData); double pvS = SWAP_PRICER.presentValue(product, rpShifted).getAmount(USD).Amount; assertEquals(mqsDscComputed[i], (pvS - pv0) / shift, TOLERANCE_PV_DELTA, "DSC - node " + i); } double[] mqsFwd3Computed = mqs.getSensitivity(FWD3_CURVE_NAME, USD).Sensitivity.toArray(); for (int i = 0; i < FWD3_NB_NODES; i++) { //JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET: //ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, Object> map = new java.util.HashMap<>(ALL_QUOTES.getValues()); IDictionary <MarketDataId <object>, object> map = new Dictionary <MarketDataId <object>, object>(ALL_QUOTES.Values); map[QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[i]))] = FWD3_MARKET_QUOTES[i] + shift; ImmutableMarketData marketData = ImmutableMarketData.of(VAL_DATE, map); RatesProvider rpShifted = calibrator(marketData); double pvS = SWAP_PRICER.presentValue(product, rpShifted).getAmount(USD).Amount; assertEquals(mqsFwd3Computed[i], (pvS - pv0) / shift, TOLERANCE_PV_DELTA, "FWD3 - node " + i); } double[] mqsFwd6Computed = mqs.getSensitivity(FWD6_CURVE_NAME, USD).Sensitivity.toArray(); for (int i = 0; i < FWD6_NB_NODES; i++) { //JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET: //ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, Object> map = new java.util.HashMap<>(ALL_QUOTES.getValues()); IDictionary <MarketDataId <object>, object> map = new Dictionary <MarketDataId <object>, object>(ALL_QUOTES.Values); map[QuoteId.of(StandardId.of(SCHEME, FWD6_ID_VALUE[i]))] = FWD6_MARKET_QUOTES[i] + shift; ImmutableMarketData marketData = ImmutableMarketData.of(VAL_DATE, map); RatesProvider rpShifted = calibrator(marketData); double pvS = SWAP_PRICER.presentValue(product, rpShifted).getAmount(USD).Amount; assertEquals(mqsFwd6Computed[i], (pvS - pv0) / shift, TOLERANCE_PV_DELTA, "FWD6 - node " + i); } }
// If your activity returns a value, derive from CodeActivity<TResult> // and return the value from the Execute method. protected override void Execute(CodeActivityContext context) { try { Advantech.Myadvantech.Business.QuoteBusinessLogic.SendFinalApprovalEmail(QuoteId.Get(context), Region.Get(context)); } catch (Exception ex) { string subject = String.Format("eQ3.0 approval process errors, quote Id: {0}", QuoteId.Get(context)); string strContent = String.Format("<p> eQ3.0 approval process errors in {0}</p>", DateTime.Now.ToString()); strContent += String.Format("<p>Quote Id: {0}</p>", QuoteId.Get(context)); strContent += ex.Message; MailHelper.SendMail("*****@*****.**", subject, strContent); } }
static BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecificationTest() { ImmutableList.Builder <FxOptionVolatilitiesNode> nodeBuilder = ImmutableList.builder(); ImmutableList.Builder <QuoteId> quoteIdBuilder = ImmutableList.builder(); for (int i = 0; i < TENORS.Count; ++i) { for (int j = 0; j < STRIKES.Count; ++j) { QuoteId quoteId = QuoteId.of(StandardId.of("OG", GBP_USD.ToString() + "_" + TENORS[i].ToString() + "_" + STRIKES[j])); nodeBuilder.add(FxOptionVolatilitiesNode.of(GBP_USD, SPOT_OFFSET, BDA, ValueType.BLACK_VOLATILITY, quoteId, TENORS[i], SimpleStrike.of(STRIKES[j]))); quoteIdBuilder.add(quoteId); } } NODES = nodeBuilder.build(); QUOTE_IDS = quoteIdBuilder.build(); }
//------------------------------------------------------------------------- public virtual FunctionRequirements requirements(T target, ISet <Measure> measures, CalculationParameters parameters, ReferenceData refData) { // extract data from product OvernightFuture product = target.Product; QuoteId quoteId = QuoteId.of(target.Product.SecurityId.StandardId, FieldName.SETTLEMENT_PRICE); OvernightIndex index = product.Index; // use lookup to build requirements RatesMarketDataLookup ratesLookup = parameters.getParameter(typeof(RatesMarketDataLookup)); FunctionRequirements ratesReqs = ratesLookup.requirements(ImmutableSet.of(), ImmutableSet.of(index)); //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()); }