//-------------------------------------------------------------------------
internal static ScenarioMarketData marketData()
{
Curve curve = ConstantCurve.of(Curves.discountFactors("Test", ACT_360), 0.99);
TestMarketDataMap md = new TestMarketDataMap(VAL_DATE, ImmutableMap.of(DISCOUNT_CURVE_ID, curve), ImmutableMap.of());
return(md);
}
//-------------------------------------------------------------------------
internal static ScenarioMarketData marketData()
{
LocalDateDoubleTimeSeries ts = LocalDateDoubleTimeSeries.of(date(2015, 10, 19), 0.013);
TestMarketDataMap md = new TestMarketDataMap(VAL_DATE, ImmutableMap.of(DISCOUNT_CURVE_ID, SwaptionSabrRateVolatilityDataSet.CURVE_DSC_EUR, FORWARD_CURVE_ID, SwaptionSabrRateVolatilityDataSet.CURVE_FWD_EUR, SWAPTION_ID, VOLS), ImmutableMap.of(IndexQuoteId.of(SWAP_INDEX), ts));
return(md);
}
//-------------------------------------------------------------------------
internal static ScenarioMarketData marketData()
{
Curve curve = ConstantCurve.of(Curves.discountFactors("Test", ACT_360), 0.99);
TestMarketDataMap md = new TestMarketDataMap(VAL_DATE, ImmutableMap.of(DISCOUNT_CURVE_ID, curve, FORWARD_CURVE_ID, curve, VOL_ID, NORMAL_VOL_SWAPTION_PROVIDER_USD), ImmutableMap.of());
return(md);
}
//-------------------------------------------------------------------------
internal static ScenarioMarketData marketData()
{
Curve curve = ConstantCurve.of(Curves.discountFactors("Test", ACT_360), 0.99);
TestMarketDataMap md = new TestMarketDataMap(VAL_DATE, ImmutableMap.of(DISCOUNT_CURVE_ID, curve, FORWARD_CURVE_ID, curve, VOL_ID, VOL_SIMPLE_MONEY_PRICE, QUOTE_ID_OPTION, SETTLEMENT_PRICE), ImmutableMap.of());
return(md);
}
//-------------------------------------------------------------------------
internal static ScenarioMarketData marketData()
{
Curve curve1 = ConstantCurve.of(Curves.discountFactors("Test", ACT_360), 0.992);
Curve curve2 = ConstantCurve.of(Curves.discountFactors("Test", ACT_360), 0.991);
TestMarketDataMap md = new TestMarketDataMap(VAL_DATE, ImmutableMap.of(DISCOUNT_CURVE_EUR_ID, curve1, DISCOUNT_CURVE_USD_ID, curve2, VOL_ID, VOLS, FxRateId.of(EUR, USD), FxRate.of(EUR, USD, 1.62)), ImmutableMap.of());
return(md);
}
//-------------------------------------------------------------------------
public virtual void test_marketDataView()
{
LocalDate valDate = LocalDate.of(2015, 6, 30);
ScenarioMarketData md = new TestMarketDataMap(valDate, ImmutableMap.of(), ImmutableMap.of());
CreditRatesScenarioMarketData multiScenario = LOOKUP_WITH_SOURCE.marketDataView(md);
assertEquals(multiScenario.Lookup, LOOKUP_WITH_SOURCE);
assertEquals(multiScenario.MarketData, md);
assertEquals(multiScenario.ScenarioCount, 1);
CreditRatesMarketData scenario = multiScenario.scenario(0);
assertEquals(scenario.Lookup, LOOKUP_WITH_SOURCE);
assertEquals(scenario.MarketData, md.scenario(0));
assertEquals(scenario.ValuationDate, valDate);
}
//-------------------------------------------------------------------------
internal static ScenarioMarketData marketData(CurveName curveName)
{
DoubleMatrix jacobian = DoubleMatrix.ofUnsafe(new double[][]
{
new double[] { 0.985d, 0.01d, 0d },
new double[] { 0.01d, 0.98d, 0.01d },
new double[] { 0.005d, 0.01d, 0.99d }
});
JacobianCalibrationMatrix jcm = JacobianCalibrationMatrix.of(ImmutableList.of(CurveParameterSize.of(curveName, 3)), jacobian);
DoubleArray time = DoubleArray.of(0.1, 0.25, 0.5d);
DoubleArray rate = DoubleArray.of(0.01, 0.015, 0.008d);
Curve curve = InterpolatedNodalCurve.of(Curves.zeroRates(curveName, ACT_360).withInfo(CurveInfoType.JACOBIAN, jcm), time, rate, NATURAL_SPLINE);
TestMarketDataMap md = new TestMarketDataMap(VAL_DATE, ImmutableMap.of(FORWARD_CURVE_ID, curve, QUOTE_KEY, MARKET_PRICE), ImmutableMap.of());
return(md);
}
//-------------------------------------------------------------------------
public virtual void test_marketDataView()
{
ImmutableMap <Currency, CurveId> discounts = ImmutableMap.of(USD, CURVE_ID_DSC);
ImmutableMap <Index, CurveId> forwards = ImmutableMap.of(USD_LIBOR_3M, CURVE_ID_FWD);
RatesMarketDataLookup test = RatesMarketDataLookup.of(discounts, forwards);
LocalDate valDate = date(2015, 6, 30);
ScenarioMarketData md = new TestMarketDataMap(valDate, ImmutableMap.of(), ImmutableMap.of());
RatesScenarioMarketData multiScenario = test.marketDataView(md);
assertEquals(multiScenario.Lookup, test);
assertEquals(multiScenario.MarketData, md);
assertEquals(multiScenario.ScenarioCount, 1);
RatesMarketData scenario = multiScenario.scenario(0);
assertEquals(scenario.Lookup, test);
assertEquals(scenario.MarketData, md.scenario(0));
assertEquals(scenario.ValuationDate, valDate);
}
/// <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));
}
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);
}
//-------------------------------------------------------------------------
private ScenarioMarketData marketData()
{
TestMarketDataMap md = new TestMarketDataMap(VAL_DATE, ImmutableMap.of(QuoteId.of(SEC_ID.StandardId), MARKET_PRICE), ImmutableMap.of());
return(md);
}
