//-------------------------------------------------------------------------
public virtual FunctionRequirements requirements(FxVanillaOptionTrade trade, ISet <Measure> measures, CalculationParameters parameters, ReferenceData refData)
{
// extract data from product
FxVanillaOption product = trade.Product;
CurrencyPair currencyPair = product.CurrencyPair;
// use lookup to build requirements
RatesMarketDataLookup ratesLookup = parameters.getParameter(typeof(RatesMarketDataLookup));
FunctionRequirements ratesReqs = ratesLookup.requirements(ImmutableSet.of(currencyPair.Base, currencyPair.Counter));
FxOptionMarketDataLookup optionLookup = parameters.getParameter(typeof(FxOptionMarketDataLookup));
FunctionRequirements optionReqs = optionLookup.requirements(currencyPair);
return(ratesReqs.combinedWith(optionReqs));
}
//-------------------------------------------------------------------------
public virtual void test_marketDataView()
{
FxOptionMarketDataLookup test = FxOptionMarketDataLookup.of(EUR_USD, VOL_ID1);
LocalDate valDate = date(2015, 6, 30);
ScenarioMarketData md = new TestMarketDataMap(valDate, ImmutableMap.of(), ImmutableMap.of());
FxOptionScenarioMarketData multiScenario = test.marketDataView(md);
assertEquals(multiScenario.Lookup, test);
assertEquals(multiScenario.MarketData, md);
assertEquals(multiScenario.ScenarioCount, 1);
FxOptionMarketData scenario = multiScenario.scenario(0);
assertEquals(scenario.Lookup, test);
assertEquals(scenario.MarketData, md.scenario(0));
assertEquals(scenario.ValuationDate, valDate);
}
public virtual void test_of_map()
{
ImmutableMap <CurrencyPair, FxOptionVolatilitiesId> ids = ImmutableMap.of(EUR_USD, VOL_ID1, GBP_USD, VOL_ID1);
FxOptionMarketDataLookup test = FxOptionMarketDataLookup.of(ids);
assertEquals(test.queryType(), typeof(FxOptionMarketDataLookup));
assertEquals(test.VolatilityCurrencyPairs, ImmutableSet.of(EUR_USD, GBP_USD));
assertEquals(test.getVolatilityIds(EUR_USD), ImmutableSet.of(VOL_ID1));
assertThrowsIllegalArg(() => test.getVolatilityIds(EUR_GBP));
assertEquals(test.requirements(EUR_USD), FunctionRequirements.builder().valueRequirements(VOL_ID1).build());
assertEquals(test.requirements(ImmutableSet.of(EUR_USD)), FunctionRequirements.builder().valueRequirements(VOL_ID1).build());
assertThrowsIllegalArg(() => test.requirements(ImmutableSet.of(EUR_GBP)));
assertEquals(test.volatilities(EUR_USD, MOCK_MARKET_DATA), MOCK_VOLS);
assertThrowsIllegalArg(() => test.volatilities(EUR_GBP, MOCK_MARKET_DATA));
}
//-------------------------------------------------------------------------
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: @Override public java.util.Map<com.opengamma.strata.calc.Measure, com.opengamma.strata.collect.result.Result<?>> calculate(com.opengamma.strata.product.fxopt.FxSingleBarrierOptionTrade trade, java.util.Set<com.opengamma.strata.calc.Measure> measures, com.opengamma.strata.calc.runner.CalculationParameters parameters, com.opengamma.strata.data.scenario.ScenarioMarketData scenarioMarketData, com.opengamma.strata.basics.ReferenceData refData)
public virtual IDictionary <Measure, Result <object> > calculate(FxSingleBarrierOptionTrade trade, ISet <Measure> measures, CalculationParameters parameters, ScenarioMarketData scenarioMarketData, ReferenceData refData)
{
// expand the trade once for all measures and all scenarios
ResolvedFxSingleBarrierOptionTrade resolved = trade.resolve(refData);
RatesMarketDataLookup ratesLookup = parameters.getParameter(typeof(RatesMarketDataLookup));
RatesScenarioMarketData ratesMarketData = ratesLookup.marketDataView(scenarioMarketData);
FxOptionMarketDataLookup optionLookup = parameters.getParameter(typeof(FxOptionMarketDataLookup));
FxOptionScenarioMarketData optionMarketData = optionLookup.marketDataView(scenarioMarketData);
FxSingleBarrierOptionMethod method = parameters.findParameter(typeof(FxSingleBarrierOptionMethod)).orElse(FxSingleBarrierOptionMethod.BLACK);
// loop around measures, calculating all scenarios for one measure
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.calc.Measure, com.opengamma.strata.collect.result.Result<?>> results = new java.util.HashMap<>();
IDictionary <Measure, Result <object> > results = new Dictionary <Measure, Result <object> >();
foreach (Measure measure in measures)
{
results[measure] = calculate(measure, resolved, ratesMarketData, optionMarketData, method);
}
return(results);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @ImmutableConstructor private DefaultFxOptionScenarioMarketData(FxOptionMarketDataLookup lookup, com.opengamma.strata.data.scenario.ScenarioMarketData marketData)
private DefaultFxOptionScenarioMarketData(FxOptionMarketDataLookup lookup, ScenarioMarketData marketData)
{
this.lookup = ArgChecker.notNull(lookup, "lookup");
this.marketData = ArgChecker.notNull(marketData, "marketData");
this.cache = new AtomicReferenceArray <FxOptionMarketData>(marketData.ScenarioCount);
}
private readonly AtomicReferenceArray <FxOptionMarketData> cache; // derived
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an instance based on a lookup and market data.
/// <para>
/// The lookup knows how to obtain the volatilities from the market data.
/// This might involve accessing a surface or a cube.
///
/// </para>
/// </summary>
/// <param name="lookup"> the lookup </param>
/// <param name="marketData"> the market data </param>
/// <returns> the rates market view </returns>
public static DefaultFxOptionScenarioMarketData of(FxOptionMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(new DefaultFxOptionScenarioMarketData(lookup, marketData));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates present value across one or more scenarios.
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesLookup"> the lookup used to query the market data </param>
/// <param name="fxLookup"> the lookup used to query the option market data </param>
/// <param name="marketData"> the market data </param>
/// <param name="method"> the pricing method </param>
/// <returns> the present value, one entry per scenario </returns>
public virtual MultiCurrencyScenarioArray presentValue(ResolvedFxVanillaOptionTrade trade, RatesMarketDataLookup ratesLookup, FxOptionMarketDataLookup fxLookup, ScenarioMarketData marketData, FxVanillaOptionMethod method)
{
return(calc.presentValue(trade, ratesLookup.marketDataView(marketData), fxLookup.marketDataView(marketData), method));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates present value sensitivity across one or more scenarios.
/// <para>
/// This is the sensitivity of present value to a one basis point shift in
/// the market quotes used to calibrate the curves.
/// The result is provided for each affected curve and currency, bucketed by curve node.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesLookup"> the lookup used to query the market data </param>
/// <param name="marketData"> the market data </param>
/// <param name="fxLookup"> the lookup used to query the option market data </param>
/// <param name="method"> the pricing method </param>
/// <returns> the present value sensitivity, one entry per scenario </returns>
public virtual ScenarioArray <CurrencyParameterSensitivities> pv01RatesMarketQuoteBucketed(ResolvedFxVanillaOptionTrade trade, RatesMarketDataLookup ratesLookup, FxOptionMarketDataLookup fxLookup, ScenarioMarketData marketData, FxVanillaOptionMethod method)
{
return(calc.pv01RatesMarketQuoteBucketed(trade, ratesLookup.marketDataView(marketData), fxLookup.marketDataView(marketData), method));
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @ImmutableConstructor private DefaultFxOptionMarketData(FxOptionMarketDataLookup lookup, com.opengamma.strata.data.MarketData marketData)
private DefaultFxOptionMarketData(FxOptionMarketDataLookup lookup, MarketData marketData)
{
this.lookup = ArgChecker.notNull(lookup, "lookup");
this.marketData = ArgChecker.notNull(marketData, "marketData");
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates current cash across one or more scenarios.
/// <para>
/// The sum of all cash flows paid on the valuation date.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesLookup"> the lookup used to query the market data </param>
/// <param name="fxLookup"> the lookup used to query the option market data </param>
/// <param name="marketData"> the market data </param>
/// <param name="method"> the pricing method </param>
/// <returns> the current cash, one entry per scenario </returns>
public virtual CurrencyScenarioArray currentCash(ResolvedFxSingleBarrierOptionTrade trade, RatesMarketDataLookup ratesLookup, FxOptionMarketDataLookup fxLookup, ScenarioMarketData marketData, FxSingleBarrierOptionMethod method)
{
return(calc.currentCash(trade, ratesLookup.marketDataView(marketData), fxLookup.marketDataView(marketData), method));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates present value sensitivity across one or more scenarios.
/// <para>
/// This is the sensitivity of present value to a one basis point shift in
/// the market quotes used to calibrate the curves.
/// The result is the sum of the sensitivities of all affected curves.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesLookup"> the lookup used to query the market data </param>
/// <param name="fxLookup"> the lookup used to query the option market data </param>
/// <param name="marketData"> the market data </param>
/// <param name="method"> the pricing method </param>
/// <returns> the present value sensitivity, one entry per scenario </returns>
public virtual MultiCurrencyScenarioArray pv01RatesMarketQuoteSum(ResolvedFxSingleBarrierOptionTrade trade, RatesMarketDataLookup ratesLookup, FxOptionMarketDataLookup fxLookup, ScenarioMarketData marketData, FxSingleBarrierOptionMethod method)
{
return(calc.pv01RatesMarketQuoteSum(trade, ratesLookup.marketDataView(marketData), fxLookup.marketDataView(marketData), method));
}
