public virtual void test_parameter_secenarioDefinition()
{
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.List<com.opengamma.strata.calc.marketdata.PerturbationMapping<?>> perturbationMapping = new java.util.ArrayList<>();
IList <PerturbationMapping <object> > perturbationMapping = new List <PerturbationMapping <object> >();
int nVolParams = EXP_VOLS.ParameterCount;
int nScenarios = 3;
PointShiftsBuilder builder = PointShifts.builder(ShiftType.SCALED);
for (int i = 0; i < nVolParams; ++i)
{
object id = EXP_VOLS.getParameterMetadata(i).Identifier;
for (int j = 0; j < nScenarios; ++j)
{
builder.addShift(j, id, Math.Pow(0.9, j));
}
}
ScenarioPerturbation <ParameterizedData> perturb = builder.build();
perturbationMapping.Add(PerturbationMapping.of(MarketDataFilter.ofId(VOL_ID), perturb));
ScenarioDefinition scenarioDefinition = ScenarioDefinition.ofMappings(perturbationMapping);
ScenarioMarketData marketDataCalibrated = StandardComponents.marketDataFactory().createMultiScenario(REQUIREMENTS, SCENARIO_CONFIG, MARKET_DATA, REF_DATA, scenarioDefinition);
Results results = CALC_RUNNER.calculateMultiScenario(RULES, TARGETS, COLUMN, marketDataCalibrated, REF_DATA);
CurrencyScenarioArray pvs = results.get(0, 0, typeof(CurrencyScenarioArray)).Value;
for (int i = 0; i < nScenarios; ++i)
{
int index = i;
BlackFxOptionSmileVolatilities shiftedSmile = EXP_VOLS.withPerturbation((j, v, m) => Math.Pow(0.9, index) * v);
CurrencyAmount pv = PRICER.presentValue(OPTION_TRADE.resolve(REF_DATA), EXP_RATES, shiftedSmile).convertedTo(USD, EXP_RATES);
assertEquals(pvs.get(i), pv);
}
}
public virtual void test_quote_secenarioDefinition()
{
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.List<com.opengamma.strata.calc.marketdata.PerturbationMapping<?>> perturbationMapping = new java.util.ArrayList<>();
IList <PerturbationMapping <object> > perturbationMapping = new List <PerturbationMapping <object> >();
int nScenarios = 3;
foreach (KeyValuePair <QuoteId, double> entry in MARKET_QUOTES.entrySet())
{
DoubleArray shifts = DoubleArray.of(nScenarios, n => Math.Pow(0.9, n));
ScenarioPerturbation <double> perturb = GenericDoubleShifts.of(ShiftType.SCALED, shifts);
perturbationMapping.Add(PerturbationMapping.of(MarketDataFilter.ofId(entry.Key), perturb));
}
ScenarioDefinition scenarioDefinition = ScenarioDefinition.ofMappings(perturbationMapping);
ScenarioMarketData marketDataCalibrated = StandardComponents.marketDataFactory().createMultiScenario(REQUIREMENTS, SCENARIO_CONFIG, MARKET_DATA, REF_DATA, scenarioDefinition);
Results results = CALC_RUNNER.calculateMultiScenario(RULES, TARGETS, COLUMN, marketDataCalibrated, REF_DATA);
CurrencyScenarioArray pvs = results.get(0, 0, typeof(CurrencyScenarioArray)).Value;
for (int i = 0; i < nScenarios; ++i)
{
ImmutableMap.Builder <QuoteId, double> builder = ImmutableMap.builder();
foreach (KeyValuePair <QuoteId, double> entry in MARKET_QUOTES.entrySet())
{
builder.put(entry.Key, entry.Value * Math.Pow(0.9, i));
}
ImmutableMarketData shiftedMarketData = ImmutableMarketData.builder(VALUATION_DATE).addValueMap(builder.build()).addValueMap(MARKET_FX_QUOTES).build();
MarketData shiftedMarketDataCalibrated = StandardComponents.marketDataFactory().create(REQUIREMENTS, CONFIG, shiftedMarketData, REF_DATA);
Results shiftedResults = CALC_RUNNER.calculate(RULES, TARGETS, COLUMN, shiftedMarketDataCalibrated, REF_DATA);
CurrencyAmount pv = shiftedResults.get(0, 0, typeof(CurrencyAmount)).Value;
assertEquals(pvs.get(i), pv);
}
}
/// <summary>
/// Returns a collector that builds a single-currency scenerio result.
/// <para>
/// This is used at the end of a stream to collect per-scenario instances of <seealso cref="CurrencyAmount"/>
/// into a single instance of <seealso cref="CurrencyScenarioArray"/>, which is designed to be space-efficient.
///
/// </para>
/// </summary>
/// <returns> a collector used at the end of a stream of <seealso cref="CurrencyAmount"/> to build a <seealso cref="CurrencyScenarioArray"/> </returns>
public static Collector <CurrencyAmount, IList <CurrencyAmount>, CurrencyScenarioArray> toCurrencyValuesArray()
{
//JAVA TO C# CONVERTER TODO TASK: Method reference constructor syntax is not converted by Java to C# Converter:
return(Collector.of(List <CurrencyAmount>::new, (a, b) => a.add(b), (l, r) =>
{
l.addAll(r);
return l;
}, list => CurrencyScenarioArray.of(list)));
}
public virtual void test_scenarioMarketData()
{
ScenarioMarketData marketDataCalibrated = StandardComponents.marketDataFactory().createMultiScenario(REQUIREMENTS, SCENARIO_CONFIG, SCENARIO_MARKET_DATA, REF_DATA, ScenarioDefinition.empty());
Results results = CALC_RUNNER.calculateMultiScenario(RULES, TARGETS, COLUMN, marketDataCalibrated, REF_DATA);
CurrencyScenarioArray pvs = results.get(0, 0, typeof(CurrencyScenarioArray)).Value;
CurrencyAmount pv0 = PRICER.presentValue(OPTION_TRADE.resolve(REF_DATA), EXP_RATES, EXP_VOLS).convertedTo(USD, EXP_RATES);
CurrencyAmount pv1 = PRICER.presentValue(OPTION_TRADE.resolve(REF_DATA), EXP_RATES_1, EXP_VOLS_1).convertedTo(USD, EXP_RATES_1);
assertEquals(pvs.get(0), pv0);
assertEquals(pvs.get(1), pv1);
}
/// <summary>
/// Test that a failure is returned if currency conversion fails.
/// </summary>
public virtual void convertResultCurrencyConversionFails()
{
DoubleArray values = DoubleArray.of(1, 2, 3);
CurrencyScenarioArray list = CurrencyScenarioArray.of(GBP, values);
// Market data doesn't include FX rates, conversion to USD will fail
ScenarioMarketData marketData = ScenarioMarketData.empty();
ConvertibleFunction fn = ConvertibleFunction.of(() => list, GBP);
CalculationTaskCell cell = CalculationTaskCell.of(0, 0, TestingMeasures.PRESENT_VALUE, REPORTING_CURRENCY_USD);
CalculationTask task = CalculationTask.of(TARGET, fn, cell);
CalculationResults calculationResults = task.execute(marketData, REF_DATA);
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: com.opengamma.strata.collect.result.Result<?> result = calculationResults.getCells().get(0).getResult();
Result <object> result = calculationResults.Cells.get(0).Result;
assertThat(result).isFailure(FailureReason.CURRENCY_CONVERSION).hasFailureMessageMatching("Failed to convert value '.*' to currency 'USD'");
}
/// <summary>
/// Test that the result is not converted if the isCurrencyConvertible flag on the measure is false.
/// </summary>
public virtual void currencyConversionHonoursConvertibleFlagOnMeasure()
{
DoubleArray values = DoubleArray.of(1, 2, 3);
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IList <FxRate> rates = ImmutableList.of(1.61, 1.62, 1.63).Select(rate => FxRate.of(GBP, USD, rate)).collect(toImmutableList());
CurrencyScenarioArray list = CurrencyScenarioArray.of(GBP, values);
ScenarioMarketData marketData = ImmutableScenarioMarketData.builder(date(2011, 3, 8)).addScenarioValue(FxRateId.of(GBP, USD), rates).build();
ConvertibleFunction fn = ConvertibleFunction.of(() => list, GBP);
CalculationTaskCell cell = CalculationTaskCell.of(0, 0, TestingMeasures.PRESENT_VALUE_MULTI_CCY, REPORTING_CURRENCY_USD);
CalculationTask task = CalculationTask.of(TARGET, fn, cell);
CurrencyScenarioArray expectedArray = CurrencyScenarioArray.of(GBP, values);
CalculationResults calculationResults = task.execute(marketData, REF_DATA);
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: com.opengamma.strata.collect.result.Result<?> result = calculationResults.getCells().get(0).getResult();
Result <object> result = calculationResults.Cells.get(0).Result;
assertThat(result).hasValue(expectedArray);
}
public virtual void test_builtData()
{
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.List<com.opengamma.strata.calc.marketdata.PerturbationMapping<?>> perturbationMapping = new java.util.ArrayList<>();
IList <PerturbationMapping <object> > perturbationMapping = new List <PerturbationMapping <object> >();
int nScenarios = 3;
foreach (KeyValuePair <QuoteId, double> entry in MARKET_QUOTES.entrySet())
{
DoubleArray shifts = DoubleArray.of(nScenarios, n => Math.Pow(0.9, n));
ScenarioPerturbation <double> perturb = GenericDoubleShifts.of(ShiftType.SCALED, shifts);
perturbationMapping.Add(PerturbationMapping.of(MarketDataFilter.ofId(entry.Key), perturb));
}
ScenarioDefinition scenarioDefinition = ScenarioDefinition.ofMappings(perturbationMapping);
ImmutableMarketData dataWithSurface = ImmutableMarketData.builder(VALUATION_DATE).addValueMap(MARKET_QUOTES).addValueMap(MARKET_FX_QUOTES).addValue(VOL_ID, EXP_VOLS).addValue(RatesCurveGroupId.of(CURVE_GROUP_NAME), RatesCurveGroup.ofCurves(CURVE_GROUP_DEFINITION, EXP_RATES.toImmutableRatesProvider().DiscountCurves.values())).build();
ScenarioMarketData marketDataCalibrated = StandardComponents.marketDataFactory().createMultiScenario(REQUIREMENTS, SCENARIO_CONFIG, dataWithSurface, REF_DATA, scenarioDefinition);
Results results = CALC_RUNNER.calculateMultiScenario(RULES, TARGETS, COLUMN, marketDataCalibrated, REF_DATA);
CurrencyScenarioArray computed = results.get(0, 0, typeof(CurrencyScenarioArray)).Value;
CurrencyAmount expected = PRICER.presentValue(OPTION_TRADE.resolve(REF_DATA), EXP_RATES, EXP_VOLS).convertedTo(USD, EXP_RATES);
// dependency graph is absent, thus scenarios are not created
assertTrue(computed.ScenarioCount == 1);
assertEquals(computed.get(0), expected);
}
public virtual void test_simpleMeasures()
{
TermDepositTradeCalculationFunction function = new TermDepositTradeCalculationFunction();
ScenarioMarketData md = marketData();
RatesProvider provider = RATES_LOOKUP.ratesProvider(md.scenario(0));
DiscountingTermDepositTradePricer pricer = DiscountingTermDepositTradePricer.DEFAULT;
CurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider);
double expectedParRate = pricer.parRate(RTRADE, provider);
double expectedParSpread = pricer.parSpread(RTRADE, provider);
MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(RTRADE, provider);
CurrencyAmount expectedCurrentCash = pricer.currentCash(RTRADE, provider);
ISet <Measure> measures = ImmutableSet.of(Measures.PRESENT_VALUE, Measures.PAR_RATE, Measures.PAR_SPREAD, Measures.CURRENCY_EXPOSURE, Measures.CURRENT_CASH, Measures.RESOLVED_TARGET);
assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.PRESENT_VALUE, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedPv)))).containsEntry(Measures.PAR_RATE, Result.success(DoubleScenarioArray.of(ImmutableList.of(expectedParRate)))).containsEntry(Measures.PAR_SPREAD, Result.success(DoubleScenarioArray.of(ImmutableList.of(expectedParSpread)))).containsEntry(Measures.CURRENCY_EXPOSURE, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure)))).containsEntry(Measures.CURRENT_CASH, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedCurrentCash)))).containsEntry(Measures.RESOLVED_TARGET, Result.success(RTRADE));
}
public virtual void test_curveSensitivityMeasures()
{
double oneBp = 1e-4;
PointSensitivities pvPointSens = PRICER.presentValueSensitivity(RTRADE, RATES_PROVIDER, CreditDataSet.REF_DATA);
CurrencyParameterSensitivities pvParamSens = RATES_PROVIDER.parameterSensitivity(pvPointSens);
MultiCurrencyAmount expectedPv01Cal = pvParamSens.total().multipliedBy(oneBp);
CurrencyParameterSensitivities expectedPv01CalBucketed = pvParamSens.multipliedBy(oneBp);
CurrencyParameterSensitivity expectedCs01Bucketed = CS01_CALC.bucketedCs01(RTRADE, RATES_PROVIDER, CreditDataSet.REF_DATA);
CurrencyAmount expectedCs01Parallel = CS01_CALC.parallelCs01(RTRADE, RATES_PROVIDER, CreditDataSet.REF_DATA);
PointSensitivities pvPointSensOnSettle = PRICER.presentValueOnSettleSensitivity(RTRADE, RATES_PROVIDER, CreditDataSet.REF_DATA);
CurrencyParameterSensitivity ir01 = RATES_PROVIDER.singleDiscountCurveParameterSensitivity(pvPointSensOnSettle, USD);
CurrencyAmount expectedIr01Cal = ir01.total().multipliedBy(oneBp);
CurrencyParameterSensitivity expectedIr01CalBucketed = ir01.multipliedBy(oneBp);
ISet <Measure> measures = ImmutableSet.of(Measures.PV01_CALIBRATED_SUM, Measures.PV01_CALIBRATED_BUCKETED, CreditMeasures.CS01_PARALLEL, CreditMeasures.CS01_BUCKETED, CreditMeasures.IR01_CALIBRATED_PARALLEL, CreditMeasures.IR01_CALIBRATED_BUCKETED);
assertThat(FUNCTION.calculate(TRADE, measures, CreditDataSet.CDS_PARAMS, CreditDataSet.MARKET_DATA, CreditDataSet.REF_DATA)).containsEntry(Measures.PV01_CALIBRATED_SUM, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Cal)))).containsEntry(Measures.PV01_CALIBRATED_BUCKETED, Result.success(ScenarioArray.of(ImmutableList.of(expectedPv01CalBucketed)))).containsEntry(CreditMeasures.CS01_PARALLEL, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedCs01Parallel)))).containsEntry(CreditMeasures.CS01_BUCKETED, Result.success(ScenarioArray.of(ImmutableList.of(expectedCs01Bucketed)))).containsEntry(CreditMeasures.IR01_CALIBRATED_PARALLEL, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedIr01Cal)))).containsEntry(CreditMeasures.IR01_CALIBRATED_BUCKETED, Result.success(ScenarioArray.of(ImmutableList.of(expectedIr01CalBucketed))));
}
public virtual void test_simpleMeasures()
{
CurrencyAmount expectedPv = PRICER.presentValue(RTRADE, RATES_PROVIDER, PriceType.DIRTY, CreditDataSet.REF_DATA);
CurrencyAmount expectedPr = PRICER.presentValueOnSettle(RTRADE, RATES_PROVIDER, PriceType.CLEAN, CreditDataSet.REF_DATA);
double expectedCp = 1d - PRICER.price(RTRADE, RATES_PROVIDER, PriceType.CLEAN, CreditDataSet.REF_DATA);
JumpToDefault expectedJtd = PRICER.jumpToDefault(RTRADE, RATES_PROVIDER, CreditDataSet.REF_DATA);
CurrencyAmount expectedEl = PRICER.expectedLoss(RTRADE, RATES_PROVIDER);
CurrencyAmount expectedR01 = PRICER.recovery01OnSettle(RTRADE, RATES_PROVIDER, CreditDataSet.REF_DATA);
ISet <Measure> measures = ImmutableSet.of(Measures.PRESENT_VALUE, CreditMeasures.PRINCIPAL, Measures.UNIT_PRICE, CreditMeasures.JUMP_TO_DEFAULT, CreditMeasures.EXPECTED_LOSS, CreditMeasures.RECOVERY01);
assertThat(FUNCTION.calculate(TRADE, measures, CreditDataSet.CDS_PARAMS, CreditDataSet.MARKET_DATA, CreditDataSet.REF_DATA)).containsEntry(Measures.PRESENT_VALUE, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedPv)))).containsEntry(CreditMeasures.PRINCIPAL, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedPr)))).containsEntry(Measures.UNIT_PRICE, Result.success(DoubleScenarioArray.of(ImmutableList.of(expectedCp)))).containsEntry(CreditMeasures.JUMP_TO_DEFAULT, Result.success(ScenarioArray.of(ImmutableList.of(expectedJtd)))).containsEntry(CreditMeasures.EXPECTED_LOSS, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedEl)))).containsEntry(CreditMeasures.RECOVERY01, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedR01))));
}
public virtual void test_simpleMeasures()
{
FxVanillaOptionTradeCalculationFunction function = new FxVanillaOptionTradeCalculationFunction();
ScenarioMarketData md = marketData();
RatesProvider provider = RATES_LOOKUP.ratesProvider(md.scenario(0));
BlackFxVanillaOptionTradePricer pricer = BlackFxVanillaOptionTradePricer.DEFAULT;
MultiCurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider, VOLS);
MultiCurrencyAmount expectedCurrencyExp = pricer.currencyExposure(RTRADE, provider, VOLS);
CurrencyAmount expectedCash = pricer.currentCash(RTRADE, VAL_DATE);
ISet <Measure> measures = ImmutableSet.of(Measures.PRESENT_VALUE, Measures.PAR_SPREAD, Measures.CURRENCY_EXPOSURE, Measures.CURRENT_CASH, Measures.RESOLVED_TARGET);
assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.PRESENT_VALUE, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv)))).containsEntry(Measures.CURRENCY_EXPOSURE, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExp)))).containsEntry(Measures.CURRENT_CASH, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedCash)))).containsEntry(Measures.RESOLVED_TARGET, Result.success(RTRADE));
}
public virtual void test_simpleMeasures()
{
DsfTradeCalculationFunction <DsfTrade> function = DsfTradeCalculationFunction.TRADE;
ScenarioMarketData md = marketData();
RatesProvider provider = RATES_LOOKUP.ratesProvider(md.scenario(0));
DiscountingDsfTradePricer pricer = DiscountingDsfTradePricer.DEFAULT;
double expectedPrice = pricer.price(RTRADE, provider);
CurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider, REF_PRICE);
MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(RTRADE, provider, REF_PRICE);
ISet <Measure> measures = ImmutableSet.of(Measures.UNIT_PRICE, Measures.PRESENT_VALUE, Measures.CURRENCY_EXPOSURE, Measures.RESOLVED_TARGET);
assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.UNIT_PRICE, Result.success(DoubleScenarioArray.of(ImmutableList.of(expectedPrice)))).containsEntry(Measures.PRESENT_VALUE, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedPv)))).containsEntry(Measures.CURRENCY_EXPOSURE, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure)))).containsEntry(Measures.RESOLVED_TARGET, Result.success(RTRADE));
}
public virtual void test_simpleMeasures()
{
BondFutureOptionTradeCalculationFunction <BondFutureOptionTrade> function = BondFutureOptionTradeCalculationFunction.TRADE;
ScenarioMarketData md = marketData();
LegalEntityDiscountingProvider provider = LED_LOOKUP.marketDataView(md.scenario(0)).discountingProvider();
BlackBondFutureOptionMarginedTradePricer pricer = BlackBondFutureOptionMarginedTradePricer.DEFAULT;
CurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider, VOLS, SETTLE_PRICE);
MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(RTRADE, provider, VOLS, SETTLE_PRICE);
ISet <Measure> measures = ImmutableSet.of(Measures.PRESENT_VALUE, Measures.CURRENCY_EXPOSURE, Measures.RESOLVED_TARGET);
assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.PRESENT_VALUE, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedPv)))).containsEntry(Measures.CURRENCY_EXPOSURE, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure)))).containsEntry(Measures.RESOLVED_TARGET, Result.success(RTRADE));
}
public virtual void test_simpleMeasures()
{
CapitalIndexedBondTradeCalculationFunction <CapitalIndexedBondTrade> function = CapitalIndexedBondTradeCalculationFunction.TRADE;
ScenarioMarketData md = marketData();
RatesProvider ratesProvider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider();
LegalEntityDiscountingProvider ledProvider = LED_LOOKUP.marketDataView(md.scenario(0)).discountingProvider();
DiscountingCapitalIndexedBondTradePricer pricer = DiscountingCapitalIndexedBondTradePricer.DEFAULT;
CurrencyAmount expectedPv = pricer.presentValue(RTRADE, ratesProvider, ledProvider);
MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(RTRADE, ratesProvider, ledProvider);
CurrencyAmount expectedCurrentCash = pricer.currentCash(RTRADE, ratesProvider);
ISet <Measure> measures = ImmutableSet.of(Measures.PRESENT_VALUE, Measures.CURRENCY_EXPOSURE, Measures.CURRENT_CASH, Measures.RESOLVED_TARGET);
assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.PRESENT_VALUE, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedPv)))).containsEntry(Measures.CURRENCY_EXPOSURE, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure)))).containsEntry(Measures.CURRENT_CASH, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedCurrentCash)))).containsEntry(Measures.RESOLVED_TARGET, Result.success(RTRADE));
}
public virtual void test_simpleMeasures()
{
SwaptionTradeCalculationFunction function = new SwaptionTradeCalculationFunction();
ScenarioMarketData md = marketData();
RatesProvider provider = RATES_LOOKUP.ratesProvider(md.scenario(0));
NormalSwaptionTradePricer pricer = NormalSwaptionTradePricer.DEFAULT;
ResolvedSwaptionTrade resolved = TRADE.resolve(REF_DATA);
CurrencyAmount expectedPv = pricer.presentValue(resolved, provider, NORMAL_VOL_SWAPTION_PROVIDER_USD);
ISet <Measure> measures = ImmutableSet.of(Measures.PRESENT_VALUE, Measures.RESOLVED_TARGET);
assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.PRESENT_VALUE, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedPv)))).containsEntry(Measures.RESOLVED_TARGET, Result.success(RTRADE));
}
public virtual void test_simpleMeasures()
{
BulletPaymentTradeCalculationFunction function = new BulletPaymentTradeCalculationFunction();
ScenarioMarketData md = marketData();
RatesProvider provider = RATES_LOOKUP.ratesProvider(md.scenario(0));
DiscountingPaymentPricer pricer = DiscountingPaymentPricer.DEFAULT;
Payment payment = RTRADE.Product.Payment;
CurrencyAmount expectedPv = pricer.presentValue(payment, provider);
CashFlows expectedCashFlows = pricer.cashFlows(payment, provider);
ISet <Measure> measures = ImmutableSet.of(Measures.PRESENT_VALUE, Measures.CASH_FLOWS, Measures.RESOLVED_TARGET);
assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.PRESENT_VALUE, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedPv)))).containsEntry(Measures.CASH_FLOWS, Result.success(ScenarioArray.of(ImmutableList.of(expectedCashFlows)))).containsEntry(Measures.RESOLVED_TARGET, Result.success(RTRADE));
}
public virtual void test_presentValue()
{
GenericSecurityPositionCalculationFunction function = new GenericSecurityPositionCalculationFunction();
ScenarioMarketData md = marketData();
double unitPv = (MARKET_PRICE / TICK_SIZE) * TICK_VALUE;
CurrencyAmount expectedPv = CurrencyAmount.of(CURRENCY, unitPv * QUANTITY);
ISet <Measure> measures = ImmutableSet.of(Measures.PRESENT_VALUE);
assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.PRESENT_VALUE, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedPv))));
}
public virtual void test_simpleMeasures()
{
OvernightFutureTradeCalculationFunction <OvernightFutureTrade> function = OvernightFutureTradeCalculationFunction.TRADE;
ScenarioMarketData md = marketData(FORWARD_CURVE_ID.CurveName);
RatesProvider provider = RATES_LOOKUP.ratesProvider(md.scenario(0));
double expectedPrice = TRADE_PRICER.price(RESOLVED_TRADE, provider);
CurrencyAmount expectedPv = TRADE_PRICER.presentValue(RESOLVED_TRADE, provider, MARKET_PRICE / 100d);
double expectedParSpread = TRADE_PRICER.parSpread(RESOLVED_TRADE, provider, MARKET_PRICE / 100d);
ISet <Measure> measures = ImmutableSet.of(Measures.UNIT_PRICE, Measures.PRESENT_VALUE, Measures.PAR_SPREAD, Measures.RESOLVED_TARGET);
assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.UNIT_PRICE, Result.success(DoubleScenarioArray.of(ImmutableList.of(expectedPrice)))).containsEntry(Measures.PRESENT_VALUE, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedPv)))).containsEntry(Measures.PAR_SPREAD, Result.success(DoubleScenarioArray.of(ImmutableList.of(expectedParSpread)))).containsEntry(Measures.RESOLVED_TARGET, Result.success(RESOLVED_TRADE));
}
//-------------------------------------------------------------------------
// calculates present value for all scenarios
internal CurrencyScenarioArray presentValue(ResolvedFraTrade trade, RatesScenarioMarketData marketData)
{
return(CurrencyScenarioArray.of(marketData.ScenarioCount, i => presentValue(trade, marketData.scenario(i).ratesProvider())));
}
public virtual void test_simpleMeasures()
{
IborFutureOptionTradeCalculationFunction <IborFutureOptionTrade> function = IborFutureOptionTradeCalculationFunction.TRADE;
ScenarioMarketData md = marketData();
RatesProvider provider = RATES_LOOKUP.ratesProvider(md.scenario(0));
NormalIborFutureOptionMarginedTradePricer pricer = NormalIborFutureOptionMarginedTradePricer.DEFAULT;
ResolvedIborFutureOptionTrade resolved = TRADE.resolve(REF_DATA);
CurrencyAmount expectedPv = pricer.presentValue(resolved, provider, VOL_SIMPLE_MONEY_PRICE, SETTLEMENT_PRICE);
ISet <Measure> measures = ImmutableSet.of(Measures.PRESENT_VALUE, Measures.RESOLVED_TARGET);
assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.PRESENT_VALUE, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedPv)))).containsEntry(Measures.RESOLVED_TARGET, Result.success(resolved));
}