private RatesCurveGroup buildGroup(RatesCurveGroupDefinition groupDefn, RatesCurveCalibrator calibrator, MarketData marketData, ReferenceData refData)
{
// perform the calibration
ImmutableRatesProvider calibratedProvider = calibrator.calibrate(groupDefn, marketData, refData);
return(RatesCurveGroup.of(groupDefn.Name, calibratedProvider.DiscountCurves, calibratedProvider.IndexCurves));
}
public virtual MarketDataBox <RatesCurveGroup> build(RatesCurveGroupId id, MarketDataConfig marketDataConfig, ScenarioMarketData marketData, ReferenceData refData)
{
// create the calibrator, using the configured RootFinderConfig if found
RootFinderConfig rfc = marketDataConfig.find(typeof(RootFinderConfig)).orElse(RootFinderConfig.standard());
RatesCurveCalibrator calibrator = RatesCurveCalibrator.of(rfc.AbsoluteTolerance, rfc.RelativeTolerance, rfc.MaximumSteps, calibrationMeasures);
// calibrate
CurveGroupName groupName = id.CurveGroupName;
RatesCurveGroupDefinition configuredDefn = marketDataConfig.get(typeof(RatesCurveGroupDefinition), groupName);
return(buildCurveGroup(configuredDefn, calibrator, marketData, refData, id.ObservableSource));
}
// calibrates when there are multiple groups
private MarketDataBox <RatesCurveGroup> buildMultipleCurveGroups(RatesCurveGroupDefinition configuredGroup, RatesCurveCalibrator calibrator, MarketDataBox <LocalDate> valuationDateBox, IList <MarketDataBox <RatesCurveInputs> > inputBoxes, IDictionary <ObservableId, LocalDateDoubleTimeSeries> fixings, ReferenceData refData)
{
int scenarioCount = RatesCurveGroupMarketDataFunction.scenarioCount(valuationDateBox, inputBoxes);
ImmutableList.Builder <RatesCurveGroup> builder = ImmutableList.builder();
for (int i = 0; i < scenarioCount; i++)
{
LocalDate valuationDate = valuationDateBox.getValue(i);
RatesCurveGroupDefinition filteredGroup = configuredGroup.filtered(valuationDate, refData);
IList <RatesCurveInputs> curveInputsList = inputsForScenario(inputBoxes, i);
MarketData inputs = inputsByKey(valuationDate, curveInputsList, fixings);
builder.add(buildGroup(filteredGroup, calibrator, inputs, refData));
}
ImmutableList <RatesCurveGroup> curveGroups = builder.build();
return(MarketDataBox.ofScenarioValues(curveGroups));
}
// calibrates when there is a single group
private MarketDataBox <RatesCurveGroup> buildSingleCurveGroup(RatesCurveGroupDefinition configuredGroup, RatesCurveCalibrator calibrator, LocalDate valuationDate, IList <MarketDataBox <RatesCurveInputs> > inputBoxes, IDictionary <ObservableId, LocalDateDoubleTimeSeries> fixings, ReferenceData refData)
{
RatesCurveGroupDefinition filteredGroup = configuredGroup.filtered(valuationDate, refData);
//JAVA TO C# CONVERTER TODO TASK: Method reference arbitrary object instance method syntax is not converted by Java to C# Converter:
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IList <RatesCurveInputs> inputs = inputBoxes.Select(MarketDataBox::getSingleValue).collect(toImmutableList());
MarketData inputValues = inputsByKey(valuationDate, inputs, fixings);
RatesCurveGroup curveGroup = buildGroup(filteredGroup, calibrator, inputValues, refData);
return(MarketDataBox.ofSingleValue(curveGroup));
}
//-------------------------------------------------------------------------
/// <summary>
/// Builds a curve group given the configuration for the group and a set of market data.
/// </summary>
/// <param name="configuredGroup"> the definition of the curve group </param>
/// <param name="calibrator"> the calibrator </param>
/// <param name="marketData"> the market data containing any values required to build the curve group </param>
/// <param name="refData"> the reference data, used for resolving trades </param>
/// <param name="obsSource"> the source of observable market data </param>
/// <returns> a result containing the curve group or details of why it couldn't be built </returns>
internal virtual MarketDataBox <RatesCurveGroup> buildCurveGroup(RatesCurveGroupDefinition configuredGroup, RatesCurveCalibrator calibrator, ScenarioMarketData marketData, ReferenceData refData, ObservableSource obsSource)
{
// find and combine all the input data
CurveGroupName groupName = configuredGroup.Name;
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IList <MarketDataBox <RatesCurveInputs> > inputBoxes = configuredGroup.CurveDefinitions.Select(curveDefn => curveInputs(curveDefn, marketData, groupName, obsSource)).collect(toImmutableList());
MarketDataBox <LocalDate> valuationDates = marketData.ValuationDate;
// If any of the inputs have values for multiple scenarios then we need to build a curve group for each scenario.
// If all inputs contain a single value then we only need to build a single curve group.
bool multipleValuationDates = valuationDates.ScenarioValue;
bool multipleValues = inputBoxes.Any(MarketDataBox.isScenarioValue);
IDictionary <ObservableId, LocalDateDoubleTimeSeries> fixings = extractFixings(marketData);
return(multipleValues || multipleValuationDates?buildMultipleCurveGroups(configuredGroup, calibrator, valuationDates, inputBoxes, fixings, refData) : buildSingleCurveGroup(configuredGroup, calibrator, valuationDates.SingleValue, inputBoxes, fixings, refData));
}
