public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 3373707: // name
this.name = (CurveName)newValue;
break;
case 1107332838: // parameterCount
this.parameterCount = (int?)newValue.Value;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
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 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 test_of()
{
LegalEntityCurveGroup test = LegalEntityCurveGroup.of(NAME1, REPO_CURVES, ISSUER_CURVES);
assertEquals(test.Name, NAME1);
assertEquals(test.RepoCurves, REPO_CURVES);
assertEquals(test.IssuerCurves, ISSUER_CURVES);
assertEquals(test.findCurve(REPO_NAME).get(), REPO_CURVE);
assertEquals(test.findCurve(ISSUER_NAME1).get(), ISSUER_CURVE1);
assertEquals(test.findCurve(ISSUER_NAME2).get(), ISSUER_CURVE2);
assertEquals(test.findCurve(ISSUER_NAME3).get(), ISSUER_CURVE3);
assertFalse(test.findCurve(CurveName.of("foo")).Present);
assertEquals(test.findRepoCurve(REPO_GROUP, GBP).get(), REPO_CURVE);
assertEquals(test.findRepoCurve(REPO_GROUP, USD).get(), REPO_CURVE);
assertFalse(test.findRepoCurve(REPO_GROUP, JPY).Present);
assertEquals(test.findIssuerCurve(LEGAL_ENTITY_GROUP1, GBP).get(), ISSUER_CURVE1);
assertEquals(test.findIssuerCurve(LEGAL_ENTITY_GROUP1, USD).get(), ISSUER_CURVE2);
assertEquals(test.findIssuerCurve(LEGAL_ENTITY_GROUP2, GBP).get(), ISSUER_CURVE3);
assertFalse(test.findIssuerCurve(LEGAL_ENTITY_GROUP2, USD).Present);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @SuppressWarnings("unchecked") @Override public Builder set(String propertyName, Object newValue)
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 771153946: // curveName
this.curveName_Renamed = (CurveName)newValue;
break;
case -538086256: // discountCurrencies
this.discountCurrencies_Renamed = (ISet <Currency>)newValue;
break;
case 1943391143: // indices
this.indices_Renamed = (ISet <Index>)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
//-------------------------------------------------------------------------
/// <summary>
/// Creates a constant curve with a specific value.
/// </summary>
/// <param name="name"> the curve name </param>
/// <param name="yValue"> the constant y-value </param>
/// <returns> the curve </returns>
public static ConstantCurve of(string name, double yValue)
{
return(of(CurveName.of(name), yValue));
}
/// <summary>
/// Creates curve metadata for a curve providing zero rates.
/// <para>
/// The x-values represent year fractions relative to an unspecified base date
/// as defined by the specified day count.
///
/// </para>
/// </summary>
/// <param name="name"> the curve name </param>
/// <param name="dayCount"> the day count </param>
/// <param name="parameterMetadata"> the parameter metadata </param>
/// <returns> the curve metadata </returns>
public static CurveMetadata zeroRates <T1>(CurveName name, DayCount dayCount, IList <T1> parameterMetadata) where T1 : com.opengamma.strata.market.param.ParameterMetadata
{
ArgChecker.notNull(name, "name");
ArgChecker.notNull(dayCount, "dayCount");
return(DefaultCurveMetadata.builder().curveName(name).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(dayCount).parameterMetadata(parameterMetadata).build());
}
//-------------------------------------------------------------------------
/// <summary>
/// Creates metadata for a curve providing a SABR parameter.
/// <para>
/// The x-values represent time to expiry year fractions as defined by the specified day count.
///
/// </para>
/// </summary>
/// <param name="name"> the curve name </param>
/// <param name="dayCount"> the day count </param>
/// <param name="yType"> the y-value type, which must be one of the four SABR values </param>
/// <returns> the curve metadata </returns>
public static CurveMetadata sabrParameterByExpiry(string name, DayCount dayCount, ValueType yType)
{
return(sabrParameterByExpiry(CurveName.of(name), dayCount, yType));
}
/// <summary>
/// Creates curve metadata for a curve providing Black volatility by expiry.
/// <para>
/// The x-values represent year fractions relative to an unspecified base date
/// as defined by the specified day count.
///
/// </para>
/// </summary>
/// <param name="name"> the curve name </param>
/// <param name="dayCount"> the day count </param>
/// <param name="parameterMetadata"> the parameter metadata </param>
/// <returns> the curve metadata </returns>
public static CurveMetadata blackVolatilityByExpiry <T1>(CurveName name, DayCount dayCount, IList <T1> parameterMetadata) where T1 : com.opengamma.strata.market.param.ParameterMetadata
{
ArgChecker.notNull(name, "name");
ArgChecker.notNull(dayCount, "dayCount");
return(DefaultCurveMetadata.builder().curveName(name).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.BLACK_VOLATILITY).dayCount(dayCount).parameterMetadata(parameterMetadata).build());
}
//-------------------------------------------------------------------------
/// <summary>
/// Creates curve metadata for a curve providing Black volatility by expiry.
/// <para>
/// The x-values represent year fractions relative to an unspecified base date
/// as defined by the specified day count.
///
/// </para>
/// </summary>
/// <param name="name"> the curve name </param>
/// <param name="dayCount"> the day count </param>
/// <returns> the curve metadata </returns>
public static CurveMetadata blackVolatilityByExpiry(string name, DayCount dayCount)
{
return(blackVolatilityByExpiry(CurveName.of(name), dayCount));
}
/// <summary>
/// Creates curve metadata for a curve providing monthly prices, typically used in inflation.
/// <para>
/// The x-values represent months relative to an unspecified base month.
///
/// </para>
/// </summary>
/// <param name="name"> the curve name </param>
/// <returns> the curve metadata </returns>
public static CurveMetadata prices(CurveName name)
{
ArgChecker.notNull(name, "name");
return(DefaultCurveMetadata.builder().curveName(name).xValueType(ValueType.MONTHS).yValueType(ValueType.PRICE_INDEX).build());
}
/// <summary>
/// Adds a seasonality to the curve group definition.
/// </summary>
/// <param name="curveName"> the name of the curve </param>
/// <param name="seasonalityDefinition"> the seasonality associated to the curve </param>
/// <returns> this builder </returns>
public RatesCurveGroupDefinitionBuilder addSeasonality(CurveName curveName, SeasonalityDefinition seasonalityDefinition)
{
seasonalityDefinitions[curveName] = seasonalityDefinition;
return(this);
}
/// <summary>
/// Adds a curve to the curve group definition which is used to provide discount rates and forward rates.
/// <para>
/// A curve added with this method cannot be calibrated by the market data system as it does not include
/// a curve definition. It is intended to be used with curves which are supplied by the user.
///
/// </para>
/// </summary>
/// <param name="curveName"> the name of the curve </param>
/// <param name="currency"> the currency for which the curve provides discount rates </param>
/// <param name="index"> the index for which the curve provides forward rates </param>
/// <param name="otherIndices"> the additional indices for which the curve provides forward rates </param>
/// <returns> this builder </returns>
public RatesCurveGroupDefinitionBuilder addCurve(CurveName curveName, Currency currency, RateIndex index, params RateIndex[] otherIndices)
{
RatesCurveGroupEntry entry = RatesCurveGroupEntry.builder().curveName(curveName).discountCurrencies(ImmutableSet.of(currency)).indices(indices(index, otherIndices)).build();
return(mergeEntry(entry));
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an instance, specifying the name and parameter count.
/// </summary>
/// <param name="name"> the curve name </param>
/// <param name="parameterCount"> the parameter count </param>
/// <returns> the curve data </returns>
public static CurveParameterSize of(CurveName name, int parameterCount)
{
return(new CurveParameterSize(name, parameterCount));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
InterpolatedNodalCurveDefinition test = InterpolatedNodalCurveDefinition.builder().name(CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(ACT_365F).nodes(NODES).interpolator(CurveInterpolators.LINEAR).extrapolatorLeft(CurveExtrapolators.FLAT).extrapolatorRight(CurveExtrapolators.FLAT).build();
coverImmutableBean(test);
InterpolatedNodalCurveDefinition test2 = InterpolatedNodalCurveDefinition.builder().name(CurveName.of("Foo")).nodes(NODES2).interpolator(CurveInterpolators.LOG_LINEAR).extrapolatorLeft(CurveExtrapolators.LOG_LINEAR).extrapolatorRight(CurveExtrapolators.LOG_LINEAR).build();
coverBeanEquals(test, test2);
}
/// <summary>
/// Creates curve metadata for a curve providing discount factors.
/// <para>
/// The x-values represent year fractions relative to an unspecified base date
/// as defined by the specified day count.
///
/// </para>
/// </summary>
/// <param name="name"> the curve name </param>
/// <param name="dayCount"> the day count </param>
/// <returns> the curve metadata </returns>
public static CurveMetadata discountFactors(CurveName name, DayCount dayCount)
{
ArgChecker.notNull(name, "name");
ArgChecker.notNull(dayCount, "dayCount");
return(DefaultCurveMetadata.builder().curveName(name).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.DISCOUNT_FACTOR).dayCount(dayCount).build());
}
//-------------------------------------------------------------------------
/// <summary>
/// Creates curve metadata for a curve providing monthly prices, typically used in inflation.
/// <para>
/// The x-values represent months relative to an unspecified base month.
///
/// </para>
/// </summary>
/// <param name="name"> the curve name </param>
/// <returns> the curve metadata </returns>
public static CurveMetadata prices(string name)
{
return(prices(CurveName.of(name)));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
InflationNodalCurveDefinition test = new InflationNodalCurveDefinition(UNDERLYING_DEF, LAST_FIX_MONTH, LAST_FIX_VALUE, SEASONALITY_DEF);
coverImmutableBean(test);
InterpolatedNodalCurveDefinition underlyingDef2 = InterpolatedNodalCurveDefinition.builder().name(CurveName.of("foo")).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(ACT_365F).nodes(NODES).interpolator(CurveInterpolators.LINEAR).extrapolatorLeft(CurveExtrapolators.FLAT).extrapolatorRight(CurveExtrapolators.FLAT).build();
SeasonalityDefinition seasonalityDef2 = SeasonalityDefinition.of(SEASONALITY_ADDITIVE, ShiftType.SCALED);
InflationNodalCurveDefinition test2 = new InflationNodalCurveDefinition(underlyingDef2, LAST_FIX_MONTH.plus(Period.ofMonths(1)), LAST_FIX_VALUE + 1.0d, seasonalityDef2);
coverBeanEquals(test, test2);
}
/// <summary>
/// Creates curve metadata for a curve providing monthly prices, typically used in inflation.
/// <para>
/// The x-values represent months relative to an unspecified base month.
///
/// </para>
/// </summary>
/// <param name="name"> the curve name </param>
/// <param name="parameterMetadata"> the parameter metadata </param>
/// <returns> the curve metadata </returns>
public static CurveMetadata prices <T1>(CurveName name, IList <T1> parameterMetadata) where T1 : com.opengamma.strata.market.param.ParameterMetadata
{
ArgChecker.notNull(name, "name");
return(DefaultCurveMetadata.builder().curveName(name).xValueType(ValueType.MONTHS).yValueType(ValueType.PRICE_INDEX).parameterMetadata(parameterMetadata).build());
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an instance.
/// </summary>
/// <param name="name"> the name </param>
/// <param name="currency"> the currency </param>
/// <param name="curveValuationDate"> the curve valuation date </param>
/// <param name="dayCount"> the day count </param>
/// <param name="curveNodes"> the curve nodes </param>
/// <param name="computeJacobian"> the Jacobian flag </param>
/// <param name="storeNodeTrade"> the node trade flag </param>
/// <returns> the instance </returns>
public static IsdaCreditCurveDefinition of <T1>(CurveName name, Currency currency, LocalDate curveValuationDate, DayCount dayCount, IList <T1> curveNodes, bool computeJacobian, bool storeNodeTrade) where T1 : IsdaCreditCurveNode
{
return(new IsdaCreditCurveDefinition(name, currency, curveValuationDate, dayCount, curveNodes, computeJacobian, storeNodeTrade));
}
/// <summary>
/// Creates curve metadata for a curve providing Black volatility by expiry.
/// <para>
/// The x-values represent year fractions relative to an unspecified base date
/// as defined by the specified day count.
///
/// </para>
/// </summary>
/// <param name="name"> the curve name </param>
/// <param name="dayCount"> the day count </param>
/// <returns> the curve metadata </returns>
public static CurveMetadata blackVolatilityByExpiry(CurveName name, DayCount dayCount)
{
ArgChecker.notNull(name, "name");
ArgChecker.notNull(dayCount, "dayCount");
return(DefaultCurveMetadata.builder().curveName(name).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.BLACK_VOLATILITY).dayCount(dayCount).build());
}
//-------------------------------------------------------------------------
/// <summary>
/// Creates the metadata.
/// <para>
/// No information will be available for the x-values, y-values or parameters.
///
/// </para>
/// </summary>
/// <param name="name"> the curve name </param>
/// <returns> the metadata </returns>
public static DefaultCurveMetadata of(string name)
{
return(of(CurveName.of(name)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Creates curve metadata for a curve providing recovery rates.
/// <para>
/// The x-values represent year fractions relative to an unspecified base date
/// as defined by the specified day count.
///
/// </para>
/// </summary>
/// <param name="name"> the curve name </param>
/// <param name="dayCount"> the day count </param>
/// <returns> the curve metadata </returns>
public static CurveMetadata recoveryRates(string name, DayCount dayCount)
{
return(recoveryRates(CurveName.of(name), dayCount));
}
/// <summary>
/// Creates the metadata.
/// <para>
/// No information will be available for the x-values, y-values or parameters.
///
/// </para>
/// </summary>
/// <param name="name"> the curve name </param>
/// <returns> the metadata </returns>
public static DefaultCurveMetadata of(CurveName name)
{
return(new DefaultCurveMetadata(name, ValueType.UNKNOWN, ValueType.UNKNOWN, ImmutableMap.of(), null));
}
/// <summary>
/// Creates curve metadata for a curve providing zero rates.
/// <para>
/// The x-values represent year fractions relative to an unspecified base date
/// as defined by the specified day count.
///
/// </para>
/// </summary>
/// <param name="name"> the curve name </param>
/// <param name="dayCount"> the day count </param>
/// <returns> the curve metadata </returns>
public static CurveMetadata zeroRates(CurveName name, DayCount dayCount)
{
ArgChecker.notNull(name, "name");
ArgChecker.notNull(dayCount, "dayCount");
return(DefaultCurveMetadata.builder().curveName(name).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(dayCount).build());
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an instance used to obtain a curve by name.
/// </summary>
/// <param name="groupName"> the curve group name </param>
/// <param name="curveName"> the curve name </param>
/// <returns> the identifier </returns>
public static CurveId of(string groupName, string curveName)
{
return(new CurveId(CurveGroupName.of(groupName), CurveName.of(curveName), ObservableSource.NONE));
}
//-------------------------------------------------------------------------
/// <summary>
/// Creates curve metadata for a curve providing forward rates.
/// <para>
/// The x-values represent year fractions relative to an unspecified base date
/// as defined by the specified day count.
///
/// </para>
/// </summary>
/// <param name="name"> the curve name </param>
/// <param name="dayCount"> the day count </param>
/// <returns> the curve metadata </returns>
public static CurveMetadata forwardRates(string name, DayCount dayCount)
{
return(forwardRates(CurveName.of(name), dayCount));
}
/// <summary>
/// Obtains an instance used to obtain a curve by name, specifying the source of observable market data.
/// </summary>
/// <param name="groupName"> the curve group name </param>
/// <param name="curveName"> the curve name </param>
/// <param name="obsSource"> the source of observable market data </param>
/// <returns> the identifier </returns>
public static CurveId of(CurveGroupName groupName, CurveName curveName, ObservableSource obsSource)
{
return(new CurveId(groupName, curveName, obsSource));
}
/// <summary>
/// Creates a constant curve with a specific value.
/// </summary>
/// <param name="name"> the curve name </param>
/// <param name="yValue"> the constant y-value </param>
/// <returns> the curve </returns>
public static ConstantCurve of(CurveName name, double yValue)
{
return(new ConstantCurve(DefaultCurveMetadata.of(name), yValue));
}
//-------------------------------------------------------------------------
/// <summary>
/// Creates curve metadata for a curve providing discount factors.
/// <para>
/// The x-values represent year fractions relative to an unspecified base date
/// as defined by the specified day count.
///
/// </para>
/// </summary>
/// <param name="name"> the curve name </param>
/// <param name="dayCount"> the day count </param>
/// <returns> the curve metadata </returns>
public static CurveMetadata discountFactors(string name, DayCount dayCount)
{
return(discountFactors(CurveName.of(name), dayCount));
}