//-------------------------------------------------------------------------
public virtual void test_filtered()
{
DummyFraCurveNode node1 = DummyFraCurveNode.of(Period.ofDays(5), GBP_LIBOR_1M, GBP_LIBOR_1M_ID);
DummyFraCurveNode node2 = DummyFraCurveNode.of(Period.ofDays(10), GBP_LIBOR_1M, GBP_LIBOR_1M_ID);
DummyFraCurveNode node3 = DummyFraCurveNode.of(Period.ofDays(11), GBP_LIBOR_1M, GBP_LIBOR_1M_ID, DROP_THIS_2D);
ImmutableList <DummyFraCurveNode> nodes = ImmutableList.of(node1, node2, node3);
LocalDate valuationDate = date(2015, 6, 30);
InterpolatedNodalCurveDefinition curveDefn = InterpolatedNodalCurveDefinition.builder().name(CURVE_NAME1).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(ACT_365F).nodes(nodes).interpolator(CurveInterpolators.LINEAR).extrapolatorLeft(CurveExtrapolators.FLAT).extrapolatorRight(CurveExtrapolators.FLAT).build();
RatesCurveGroupDefinition test = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("Test")).addCurve(curveDefn, GBP, GBP_LIBOR_1M, GBP_LIBOR_3M).build();
RatesCurveGroupDefinition expected = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("Test")).addCurve(curveDefn.filtered(valuationDate, REF_DATA), GBP, GBP_LIBOR_1M, GBP_LIBOR_3M).build();
assertEquals(test.filtered(valuationDate, REF_DATA), expected);
}
/* Check calibration for forward curve directly interpolated on forward rates. */
public virtual void calibration_present_value_simple_forward()
{
InterpolatedNodalCurveDefinition dsc = InterpolatedNodalCurveDefinition.builder().name(DSCON_CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(CURVE_DC).interpolator(INTERPOLATOR_LINEAR).extrapolatorLeft(EXTRAPOLATOR_FLAT).extrapolatorRight(EXTRAPOLATOR_FLAT).nodes(DSC_NODES).build();
InterpolatedNodalCurveDefinition fwd = InterpolatedNodalCurveDefinition.builder().name(FWD3_CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.FORWARD_RATE).dayCount(CURVE_DC).interpolator(INTERPOLATOR_LINEAR).extrapolatorLeft(EXTRAPOLATOR_FLAT).extrapolatorRight(EXTRAPOLATOR_FLAT).nodes(FWD3_NODES).build();
RatesCurveGroupDefinition config = RatesCurveGroupDefinition.builder().name(CURVE_GROUP_NAME).addCurve(dsc, USD, USD_FED_FUND).addForwardCurve(fwd, USD_LIBOR_3M).build();
RatesProvider result = CALIBRATOR.calibrate(config, ALL_QUOTES_BD, REF_DATA);
assertResult(result, ALL_QUOTES_BD);
IborIndexRates ibor3M = result.iborIndexRates(USD_LIBOR_3M);
assertTrue(ibor3M is SimpleIborIndexRates, "USD-LIBOR-3M curve should be simple interpolation on forward rates");
double shift = 1.0E-6;
System.Func <MarketData, RatesProvider> f = marketData => CALIBRATOR.calibrate(config, marketData, REF_DATA);
calibration_market_quote_sensitivity_check(f, config, shift, TS_EMPTY);
}
public virtual void test_builder_seasonality()
{
RatesCurveGroupDefinition test = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("Test")).addCurve(CURVE_DEFN1, GBP, GBP_LIBOR_1M, GBP_LIBOR_3M).addSeasonality(CURVE_NAME_I, SEASONALITY_ADDITIVE_DEF).build();
assertEquals(test.Name, CurveGroupName.of("Test"));
assertEquals(test.Entries, ImmutableList.of(ENTRY3));
assertEquals(test.findEntry(CurveName.of("Test")), ENTRY3);
assertEquals(test.findEntry(CurveName.of("Test2")), null);
assertEquals(test.findEntry(CurveName.of("Rubbish")), null);
assertEquals(test.findCurveDefinition(CurveName.of("Test")), CURVE_DEFN1);
assertEquals(test.findCurveDefinition(CurveName.of("Test2")), null);
assertEquals(test.findCurveDefinition(CurveName.of("Rubbish")), null);
ImmutableMap <CurveName, SeasonalityDefinition> seasonMap = test.SeasonalityDefinitions;
assertTrue(seasonMap.size() == 1);
assertEquals(seasonMap.get(CURVE_NAME_I), SEASONALITY_ADDITIVE_DEF);
}
public virtual void calibration_present_value_discountCurve_clamped()
{
CurveInterpolator interp = CurveInterpolators.LOG_NATURAL_SPLINE_DISCOUNT_FACTOR;
CurveExtrapolator extrapRight = CurveExtrapolators.LOG_LINEAR;
CurveExtrapolator extrapLeft = CurveExtrapolators.INTERPOLATOR;
InterpolatedNodalCurveDefinition dsc = InterpolatedNodalCurveDefinition.builder().name(DSCON_CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.DISCOUNT_FACTOR).dayCount(CURVE_DC).interpolator(interp).extrapolatorLeft(extrapLeft).extrapolatorRight(extrapRight).nodes(DSC_NODES).build();
InterpolatedNodalCurveDefinition fwd = InterpolatedNodalCurveDefinition.builder().name(FWD3_CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.DISCOUNT_FACTOR).dayCount(CURVE_DC).interpolator(interp).extrapolatorLeft(extrapLeft).extrapolatorRight(extrapRight).nodes(FWD3_NODES).build();
RatesCurveGroupDefinition config = RatesCurveGroupDefinition.builder().name(CURVE_GROUP_NAME).addCurve(dsc, USD, USD_FED_FUND).addForwardCurve(fwd, USD_LIBOR_3M).build();
RatesProvider result = CALIBRATOR.calibrate(config, ALL_QUOTES_BD, REF_DATA);
assertResult(result, ALL_QUOTES_BD);
double shift = 1.0E-6;
System.Func <MarketData, RatesProvider> f = marketData => CALIBRATOR.calibrate(config, marketData, REF_DATA);
calibration_market_quote_sensitivity_check(f, config, shift, TS_EMPTY);
}
/// <summary>
/// Test that the curve node requirements are extracted and returned.
/// </summary>
public virtual void requirements()
{
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();
RatesCurveInputsMarketDataFunction marketDataFunction = new RatesCurveInputsMarketDataFunction();
RatesCurveInputsId curveInputsId = RatesCurveInputsId.of(groupDefn.Name, curve.Name, ObservableSource.NONE);
MarketDataRequirements requirements = marketDataFunction.requirements(curveInputsId, marketDataConfig);
assertThat(requirements.Observables).contains(QuoteId.of(StandardId.of("test", "a"))).contains(QuoteId.of(StandardId.of("test", "b"))).contains(QuoteId.of(StandardId.of("test", "c")));
}
/// <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));
}
public virtual void test_builder1()
{
RatesCurveGroupDefinition test = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("Test")).addDiscountCurve(CURVE_DEFN1, GBP).addForwardCurve(CURVE_DEFN1, GBP_SONIA).addForwardCurve(CURVE_DEFN1, GBP_LIBOR_1W).addForwardCurve(CURVE_DEFN2, GBP_LIBOR_1M, GBP_LIBOR_3M).build();
assertEquals(test.Name, CurveGroupName.of("Test"));
assertEquals(test.Entries, ImmutableList.of(ENTRY1, ENTRY2));
assertEquals(test.findDiscountCurveName(GBP), CURVE_NAME1);
assertEquals(test.findDiscountCurveName(USD), null);
assertEquals(test.findForwardCurveName(GBP_LIBOR_1W), CURVE_NAME1);
assertEquals(test.findForwardCurveName(GBP_LIBOR_1M), CURVE_NAME2);
assertEquals(test.findForwardCurveName(GBP_LIBOR_6M), null);
assertEquals(test.findForwardCurveNames(GBP_LIBOR), ImmutableSet.of(CURVE_NAME1, CURVE_NAME2));
assertEquals(test.findEntry(CurveName.of("Test")), ENTRY1);
assertEquals(test.findEntry(CurveName.of("Test2")), ENTRY2);
assertEquals(test.findEntry(CurveName.of("Rubbish")), null);
assertEquals(test.findCurveDefinition(CurveName.of("Test")), CURVE_DEFN1);
assertEquals(test.findCurveDefinition(CurveName.of("Test2")), CURVE_DEFN2);
assertEquals(test.findCurveDefinition(CurveName.of("Rubbish")), null);
}
//-------------------------------------------------------------------------
public virtual void duplicateInputDataKeys()
{
FxSwapTemplate template1 = FxSwapTemplate.of(Period.ofMonths(1), FxSwapConventions.EUR_USD);
FxSwapTemplate template2 = FxSwapTemplate.of(Period.ofMonths(2), FxSwapConventions.EUR_USD);
QuoteId pointsKey1a = QuoteId.of(StandardId.of("test", "1a"));
QuoteId pointsKey1b = QuoteId.of(StandardId.of("test", "1b"));
QuoteId pointsKey2a = QuoteId.of(StandardId.of("test", "2a"));
QuoteId pointsKey2b = QuoteId.of(StandardId.of("test", "2b"));
FxSwapCurveNode node1a = FxSwapCurveNode.of(template1, pointsKey1a);
FxSwapCurveNode node1b = FxSwapCurveNode.of(template2, pointsKey1b);
FxSwapCurveNode node2 = FxSwapCurveNode.of(template1, pointsKey2a);
FxSwapCurveNode node2b = FxSwapCurveNode.of(template2, pointsKey2b);
CurveName curveName1 = CurveName.of("curve1");
InterpolatedNodalCurveDefinition curve1 = InterpolatedNodalCurveDefinition.builder().name(curveName1).nodes(node1a, node1b).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(ACT_360).interpolator(CurveInterpolators.LINEAR).extrapolatorLeft(CurveExtrapolators.LINEAR).extrapolatorRight(CurveExtrapolators.LINEAR).build();
CurveName curveName2 = CurveName.of("curve2");
InterpolatedNodalCurveDefinition curve2 = InterpolatedNodalCurveDefinition.builder().name(curveName2).nodes(node2, node2b).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(ACT_360).interpolator(CurveInterpolators.LINEAR).extrapolatorLeft(CurveExtrapolators.LINEAR).extrapolatorRight(CurveExtrapolators.LINEAR).build();
CurveGroupName curveGroupName = CurveGroupName.of("group");
RatesCurveGroupDefinition groupDefinition = RatesCurveGroupDefinition.builder().name(curveGroupName).addDiscountCurve(curve1, Currency.EUR).addDiscountCurve(curve2, Currency.USD).build();
RatesCurveGroupMarketDataFunction fn = new RatesCurveGroupMarketDataFunction();
//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> marketDataMap1 = com.google.common.collect.ImmutableMap.of(com.opengamma.strata.data.FxRateId.of(com.opengamma.strata.basics.currency.Currency.EUR, com.opengamma.strata.basics.currency.Currency.USD), com.opengamma.strata.basics.currency.FxRate.of(com.opengamma.strata.basics.currency.Currency.EUR, com.opengamma.strata.basics.currency.Currency.USD, 1.01), pointsKey1a, 0.1d, pointsKey1b, 0.2d);
IDictionary <MarketDataId <object>, object> marketDataMap1 = ImmutableMap.of(FxRateId.of(Currency.EUR, Currency.USD), FxRate.of(Currency.EUR, Currency.USD, 1.01), pointsKey1a, 0.1d, pointsKey1b, 0.2d);
//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> marketDataMap2 = com.google.common.collect.ImmutableMap.of(com.opengamma.strata.data.FxRateId.of(com.opengamma.strata.basics.currency.Currency.EUR, com.opengamma.strata.basics.currency.Currency.USD), com.opengamma.strata.basics.currency.FxRate.of(com.opengamma.strata.basics.currency.Currency.EUR, com.opengamma.strata.basics.currency.Currency.USD, 1.01), pointsKey2a, 0.1d, pointsKey2b, 0.2d);
IDictionary <MarketDataId <object>, object> marketDataMap2 = ImmutableMap.of(FxRateId.of(Currency.EUR, Currency.USD), FxRate.of(Currency.EUR, Currency.USD, 1.01), pointsKey2a, 0.1d, pointsKey2b, 0.2d);
RatesCurveInputs curveInputs1 = RatesCurveInputs.of(marketDataMap1, DefaultCurveMetadata.of("curve1"));
RatesCurveInputs curveInputs2 = RatesCurveInputs.of(marketDataMap2, DefaultCurveMetadata.of("curve2"));
ImmutableScenarioMarketData marketData = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)).addValue(RatesCurveInputsId.of(curveGroupName, curveName1, ObservableSource.NONE), curveInputs1).addValue(RatesCurveInputsId.of(curveGroupName, curveName2, ObservableSource.NONE), curveInputs2).build();
fn.buildCurveGroup(groupDefinition, CALIBRATOR, marketData, REF_DATA, ObservableSource.NONE);
// This has a duplicate key with a different value which should fail
//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> badMarketDataMap = com.google.common.collect.ImmutableMap.of(com.opengamma.strata.data.FxRateId.of(com.opengamma.strata.basics.currency.Currency.EUR, com.opengamma.strata.basics.currency.Currency.USD), com.opengamma.strata.basics.currency.FxRate.of(com.opengamma.strata.basics.currency.Currency.EUR, com.opengamma.strata.basics.currency.Currency.USD, 1.02), pointsKey2a, 0.2d);
IDictionary <MarketDataId <object>, object> badMarketDataMap = ImmutableMap.of(FxRateId.of(Currency.EUR, Currency.USD), FxRate.of(Currency.EUR, Currency.USD, 1.02), pointsKey2a, 0.2d);
RatesCurveInputs badCurveInputs = RatesCurveInputs.of(badMarketDataMap, DefaultCurveMetadata.of("curve2"));
ScenarioMarketData badMarketData = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)).addValue(RatesCurveInputsId.of(curveGroupName, curveName1, ObservableSource.NONE), curveInputs1).addValue(RatesCurveInputsId.of(curveGroupName, curveName2, ObservableSource.NONE), badCurveInputs).build();
string msg = "Multiple unequal values found for identifier .*\\. Values: .* and .*";
assertThrowsIllegalArg(() => fn.buildCurveGroup(groupDefinition, CALIBRATOR, badMarketData, REF_DATA, ObservableSource.NONE), msg);
}
public virtual void metadata()
{
CurveGroupName groupName = CurveGroupName.of("Curve Group");
InterpolatedNodalCurveDefinition fraCurveDefn = CurveTestUtils.fraCurveDefinition();
IList <CurveNode> fraNodes = fraCurveDefn.Nodes;
RatesCurveGroupDefinition groupDefn = RatesCurveGroupDefinition.builder().name(groupName).addForwardCurve(fraCurveDefn, IborIndices.USD_LIBOR_3M).build();
MarketDataConfig marketDataConfig = MarketDataConfig.builder().add(groupName, groupDefn).build();
RatesCurveGroupId curveGroupId = RatesCurveGroupId.of(groupName);
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, double> fraInputData = com.google.common.collect.ImmutableMap.builder<com.opengamma.strata.data.MarketDataId<?>, double>().put(CurveTestUtils.key(fraNodes.get(0)), 0.003).put(CurveTestUtils.key(fraNodes.get(1)), 0.0033).put(CurveTestUtils.key(fraNodes.get(2)), 0.0037).put(CurveTestUtils.key(fraNodes.get(3)), 0.0054).put(CurveTestUtils.key(fraNodes.get(4)), 0.007).put(CurveTestUtils.key(fraNodes.get(5)), 0.0091).put(CurveTestUtils.key(fraNodes.get(6)), 0.0134).build();
IDictionary <MarketDataId <object>, double> fraInputData = ImmutableMap.builder <MarketDataId <object>, double>().put(CurveTestUtils.key(fraNodes[0]), 0.003).put(CurveTestUtils.key(fraNodes[1]), 0.0033).put(CurveTestUtils.key(fraNodes[2]), 0.0037).put(CurveTestUtils.key(fraNodes[3]), 0.0054).put(CurveTestUtils.key(fraNodes[4]), 0.007).put(CurveTestUtils.key(fraNodes[5]), 0.0091).put(CurveTestUtils.key(fraNodes[6]), 0.0134).build();
LocalDate valuationDate = date(2011, 3, 8);
RatesCurveInputs fraCurveInputs = RatesCurveInputs.of(fraInputData, fraCurveDefn.metadata(valuationDate, REF_DATA));
ScenarioMarketData marketData = ImmutableScenarioMarketData.builder(valuationDate).addValue(RatesCurveInputsId.of(groupName, fraCurveDefn.Name, ObservableSource.NONE), fraCurveInputs).build();
RatesCurveGroupMarketDataFunction function = new RatesCurveGroupMarketDataFunction();
MarketDataBox <RatesCurveGroup> curveGroup = function.build(curveGroupId, marketDataConfig, marketData, REF_DATA);
// Check the FRA curve identifiers are the expected tenors
Curve forwardCurve = curveGroup.SingleValue.findForwardCurve(IborIndices.USD_LIBOR_3M).get();
IList <ParameterMetadata> forwardMetadata = forwardCurve.Metadata.ParameterMetadata.get();
//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 <object> forwardTenors = forwardMetadata.Select(ParameterMetadata::getIdentifier).collect(toImmutableList());
IList <Tenor> expectedForwardTenors = ImmutableList.of(Tenor.TENOR_4M, Tenor.TENOR_5M, Tenor.TENOR_6M, Tenor.TENOR_9M, Tenor.TENOR_12M, Tenor.ofMonths(15), Tenor.ofMonths(21));
assertThat(forwardTenors).isEqualTo(expectedForwardTenors);
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IList <ParameterMetadata> expectedForwardMetadata = fraNodes.Select(node => node.metadata(valuationDate, REF_DATA)).collect(toImmutableList());
assertThat(forwardMetadata).isEqualTo(expectedForwardMetadata);
}
/// <summary>
/// Tests calibration a curve containing FRAs and pricing the curve instruments using the curve.
/// </summary>
public virtual void roundTripFra()
{
InterpolatedNodalCurveDefinition curveDefn = CurveTestUtils.fraCurveDefinition();
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IList <FraCurveNode> nodes = curveDefn.Nodes.Select(typeof(FraCurveNode).cast).collect(toImmutableList());
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.List<com.opengamma.strata.data.MarketDataId<?>> keys = nodes.stream().map(CurveTestUtils::key).collect(toImmutableList());
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IList <MarketDataId <object> > keys = nodes.Select(CurveTestUtils.key).collect(toImmutableList());
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, double> inputData = com.google.common.collect.ImmutableMap.builder<com.opengamma.strata.data.MarketDataId<?>, double>().put(keys.get(0), 0.003).put(keys.get(1), 0.0033).put(keys.get(2), 0.0037).put(keys.get(3), 0.0054).put(keys.get(4), 0.007).put(keys.get(5), 0.0091).put(keys.get(6), 0.0134).build();
IDictionary <MarketDataId <object>, double> inputData = ImmutableMap.builder <MarketDataId <object>, double>().put(keys[0], 0.003).put(keys[1], 0.0033).put(keys[2], 0.0037).put(keys[3], 0.0054).put(keys[4], 0.007).put(keys[5], 0.0091).put(keys[6], 0.0134).build();
CurveGroupName groupName = CurveGroupName.of("Curve Group");
CurveName curveName = CurveName.of("FRA Curve");
RatesCurveInputs curveInputs = RatesCurveInputs.of(inputData, DefaultCurveMetadata.of(curveName));
RatesCurveGroupDefinition groupDefn = RatesCurveGroupDefinition.builder().name(groupName).addCurve(curveDefn, Currency.USD, IborIndices.USD_LIBOR_3M).build();
RatesCurveGroupMarketDataFunction function = new RatesCurveGroupMarketDataFunction();
LocalDate valuationDate = date(2011, 3, 8);
ScenarioMarketData inputMarketData = ImmutableScenarioMarketData.builder(valuationDate).addValue(RatesCurveInputsId.of(groupName, curveName, ObservableSource.NONE), curveInputs).build();
MarketDataBox <RatesCurveGroup> curveGroup = function.buildCurveGroup(groupDefn, CALIBRATOR, inputMarketData, REF_DATA, ObservableSource.NONE);
Curve curve = curveGroup.SingleValue.findDiscountCurve(Currency.USD).get();
//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> marketDataMap = com.google.common.collect.ImmutableMap.builder<com.opengamma.strata.data.MarketDataId<?>, Object>().putAll(inputData).put(com.opengamma.strata.market.curve.CurveId.of(groupName, curveName), curve).build();
IDictionary <MarketDataId <object>, object> marketDataMap = ImmutableMap.builder <MarketDataId <object>, object>().putAll(inputData).put(CurveId.of(groupName, curveName), curve).build();
MarketData marketData = ImmutableMarketData.of(valuationDate, marketDataMap);
TestMarketDataMap scenarioMarketData = new TestMarketDataMap(valuationDate, marketDataMap, ImmutableMap.of());
RatesMarketDataLookup lookup = RatesMarketDataLookup.of(groupDefn);
RatesProvider ratesProvider = lookup.ratesProvider(scenarioMarketData.scenario(0));
// The PV should be zero for an instrument used to build the curve
nodes.ForEach(node => checkFraPvIsZero(node, ratesProvider, marketData));
}
/// <summary>
/// Tests that par rates and ibor index are required for curves.
/// </summary>
public virtual void requirements()
{
FraCurveNode node1x4 = CurveTestUtils.fraNode(1, "foo");
FraCurveNode node2x5 = CurveTestUtils.fraNode(2, "foo");
IList <CurveNode> nodes = ImmutableList.of(node1x4, node2x5);
CurveGroupName groupName = CurveGroupName.of("Curve Group");
CurveName curveName = CurveName.of("FRA Curve");
ObservableSource obsSource = ObservableSource.of("Vendor");
InterpolatedNodalCurveDefinition curveDefn = InterpolatedNodalCurveDefinition.builder().name(curveName).nodes(nodes).interpolator(CurveInterpolators.DOUBLE_QUADRATIC).extrapolatorLeft(CurveExtrapolators.FLAT).extrapolatorRight(CurveExtrapolators.FLAT).build();
RateIndex ibor = IborIndices.USD_LIBOR_3M;
RatesCurveGroupDefinition groupDefn = RatesCurveGroupDefinition.builder().name(groupName).addCurve(curveDefn, Currency.USD, ibor).build();
MarketDataConfig marketDataConfig = MarketDataConfig.builder().add(groupName, groupDefn).build();
RatesCurveGroupMarketDataFunction function = new RatesCurveGroupMarketDataFunction();
RatesCurveGroupId curveGroupId = RatesCurveGroupId.of(groupName, obsSource);
MarketDataRequirements requirements = function.requirements(curveGroupId, marketDataConfig);
assertThat(requirements.NonObservables).contains(RatesCurveInputsId.of(groupName, curveName, obsSource));
assertThat(requirements.TimeSeries.contains(IndexQuoteId.of(ibor)));
}
//-------------------------------------------------------------------------
public virtual void test_bind()
{
RatesCurveGroupDefinition test = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("Test")).addCurve(CURVE_DEFN1, GBP, GBP_LIBOR_1M, GBP_LIBOR_3M).addForwardCurve(CURVE_DEFN_I, GB_RPI).addSeasonality(CURVE_NAME_I, SEASONALITY_ADDITIVE_DEF).build();
LocalDate valuationDate = LocalDate.of(2015, 11, 10);
LocalDate lastFixingDate = LocalDate.of(2015, 10, 31);
LocalDate otherFixingDate = LocalDate.of(2015, 9, 30);
double lastFixingValue = 234.56;
IDictionary <Index, LocalDateDoubleTimeSeries> map = ImmutableMap.of(GB_RPI, LocalDateDoubleTimeSeries.builder().put(lastFixingDate, 234.56).put(otherFixingDate, lastFixingValue - 1).build());
RatesCurveGroupDefinition testBound = test.bindTimeSeries(valuationDate, map);
IList <CurveDefinition> list = testBound.CurveDefinitions;
assertEquals(list.Count, 2);
assertTrue(list[0] is InterpolatedNodalCurveDefinition);
assertTrue(list[1] is InflationNodalCurveDefinition);
InflationNodalCurveDefinition seasonDef = (InflationNodalCurveDefinition)list[1];
assertEquals(seasonDef.CurveWithoutFixingDefinition, CURVE_DEFN_I);
assertEquals(seasonDef.LastFixingMonth, YearMonth.from(lastFixingDate));
assertEquals(seasonDef.LastFixingValue, lastFixingValue);
assertEquals(seasonDef.Name, CURVE_NAME_I);
assertEquals(seasonDef.SeasonalityDefinition, SEASONALITY_ADDITIVE_DEF);
assertEquals(seasonDef.YValueType, ValueType.PRICE_INDEX);
}
public virtual void roundTripFraAndFixedFloatSwap()
{
CurveGroupName groupName = CurveGroupName.of("Curve Group");
InterpolatedNodalCurveDefinition curveDefn = CurveTestUtils.fraSwapCurveDefinition();
CurveName curveName = curveDefn.Name;
IList <CurveNode> nodes = curveDefn.Nodes;
RatesCurveGroupDefinition groupDefn = RatesCurveGroupDefinition.builder().name(groupName).addCurve(curveDefn, Currency.USD, IborIndices.USD_LIBOR_3M).build();
RatesCurveGroupMarketDataFunction function = new RatesCurveGroupMarketDataFunction();
LocalDate valuationDate = date(2011, 3, 8);
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, double> inputData = com.google.common.collect.ImmutableMap.builder<com.opengamma.strata.data.MarketDataId<?>, double>().put(CurveTestUtils.key(nodes.get(0)), 0.0037).put(CurveTestUtils.key(nodes.get(1)), 0.0054).put(CurveTestUtils.key(nodes.get(2)), 0.005).put(CurveTestUtils.key(nodes.get(3)), 0.0087).put(CurveTestUtils.key(nodes.get(4)), 0.012).build();
IDictionary <MarketDataId <object>, double> inputData = ImmutableMap.builder <MarketDataId <object>, double>().put(CurveTestUtils.key(nodes[0]), 0.0037).put(CurveTestUtils.key(nodes[1]), 0.0054).put(CurveTestUtils.key(nodes[2]), 0.005).put(CurveTestUtils.key(nodes[3]), 0.0087).put(CurveTestUtils.key(nodes[4]), 0.012).build();
RatesCurveInputs curveInputs = RatesCurveInputs.of(inputData, DefaultCurveMetadata.of(curveName));
ScenarioMarketData inputMarketData = ImmutableScenarioMarketData.builder(valuationDate).addValue(RatesCurveInputsId.of(groupName, curveName, ObservableSource.NONE), curveInputs).build();
MarketDataBox <RatesCurveGroup> curveGroup = function.buildCurveGroup(groupDefn, CALIBRATOR, inputMarketData, REF_DATA, ObservableSource.NONE);
Curve curve = curveGroup.SingleValue.findDiscountCurve(Currency.USD).get();
//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> marketDataMap = com.google.common.collect.ImmutableMap.builder<com.opengamma.strata.data.MarketDataId<?>, Object>().putAll(inputData).put(com.opengamma.strata.market.curve.CurveId.of(groupName, curveName), curve).build();
IDictionary <MarketDataId <object>, object> marketDataMap = ImmutableMap.builder <MarketDataId <object>, object>().putAll(inputData).put(CurveId.of(groupName, curveName), curve).build();
MarketData marketData = ImmutableMarketData.of(valuationDate, marketDataMap);
TestMarketDataMap scenarioMarketData = new TestMarketDataMap(valuationDate, marketDataMap, ImmutableMap.of());
RatesMarketDataLookup lookup = RatesMarketDataLookup.of(groupDefn);
RatesProvider ratesProvider = lookup.ratesProvider(scenarioMarketData.scenario(0));
checkFraPvIsZero((FraCurveNode)nodes[0], ratesProvider, marketData);
checkFraPvIsZero((FraCurveNode)nodes[1], ratesProvider, marketData);
checkSwapPvIsZero((FixedIborSwapCurveNode)nodes[2], ratesProvider, marketData);
checkSwapPvIsZero((FixedIborSwapCurveNode)nodes[3], ratesProvider, marketData);
checkSwapPvIsZero((FixedIborSwapCurveNode)nodes[4], ratesProvider, marketData);
}
public virtual void test_serialization()
{
RatesCurveGroupDefinition test = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("Test")).addDiscountCurve(CURVE_DEFN1, GBP).build();
assertSerialization(test);
}