static IsdaCompliantIndexCurveCalibratorTest()
{
ImmutableList.Builder <StandardId> legalEntityIdsbuilder = ImmutableList.builder();
ImmutableMarketDataBuilder marketDataBuilder = ImmutableMarketData.builder(VALUATION_DATE);
ImmutableMarketDataBuilder marketDataPsBuilder = ImmutableMarketData.builder(VALUATION_DATE);
for (int?i = 0; i.Value < INDEX_SIZE; ++i)
{
StandardId legalEntityId = StandardId.of("OG", "ABC" + i.ToString());
LegalEntityInformation information = DEFAULTED_NAMES.contains(i) ? LegalEntityInformation.isDefaulted(legalEntityId) : LegalEntityInformation.isNotDefaulted(legalEntityId);
legalEntityIdsbuilder.add(legalEntityId);
marketDataBuilder.addValue(LegalEntityInformationId.of(legalEntityId), information);
marketDataPsBuilder.addValue(LegalEntityInformationId.of(legalEntityId), information);
}
LEGAL_ENTITIES = legalEntityIdsbuilder.build();
ImmutableList.Builder <CdsIndexIsdaCreditCurveNode> curveNodesBuilder = ImmutableList.builder();
ImmutableList.Builder <CdsIndexIsdaCreditCurveNode> curveNodesPsBuilder = ImmutableList.builder();
for (int i = 0; i < NUM_PILLARS; ++i)
{
QuoteId id = QuoteId.of(StandardId.of("OG", INDEX_TENORS[i].ToString()));
CdsTemplate temp = TenorCdsTemplate.of(INDEX_TENORS[i], CONVENTION);
curveNodesBuilder.add(CdsIndexIsdaCreditCurveNode.ofPointsUpfront(temp, id, INDEX_ID, LEGAL_ENTITIES, COUPON));
curveNodesPsBuilder.add(CdsIndexIsdaCreditCurveNode.ofParSpread(temp, id, INDEX_ID, LEGAL_ENTITIES));
marketDataBuilder.addValue(id, PUF_QUOTES[i]);
marketDataPsBuilder.addValue(id, PS_QUOTES[i]);
}
CURVE_NODES = curveNodesBuilder.build();
MARKET_DATA = marketDataBuilder.build();
CURVE_NODES_PS = curveNodesPsBuilder.build();
MARKET_DATA_PS = marketDataPsBuilder.build();
}
//-------------------------------------------------------------------------
// parses the file in grid format
private void parseGridFormat(CsvIterator csv, ListMultimap <string, CurveSensitivities> parsed, IList <FailureItem> failures)
{
// find the applicable reference columns
IDictionary <string, CurveName> references = new LinkedHashMap <string, CurveName>();
foreach (string header in csv.headers())
{
string headerLowerCase = header.ToLower(Locale.ENGLISH);
if (!REF_HEADERS.contains(headerLowerCase) && !resolver.isInfoColumn(headerLowerCase))
{
references[header] = CurveName.of(header);
}
}
// loop around all rows, peeking to match batches with the same identifier
// no exception catch at this level to avoid infinite loops
while (csv.hasNext())
{
CsvRow peekedRow = csv.peek();
PortfolioItemInfo info = parseInfo(peekedRow);
//JAVA TO C# CONVERTER TODO TASK: Method reference arbitrary object instance method syntax is not converted by Java to C# Converter:
string id = info.Id.map(StandardId::toString).orElse("");
// process in batches, where the ID is the same
CurveSensitivitiesBuilder builder = CurveSensitivities.builder(info);
IList <CsvRow> batchRows = csv.nextBatch(r => matchId(r, id));
foreach (CsvRow batchRow in batchRows)
{
try
{
ParameterMetadata metadata = parseMetadata(batchRow, true);
CurveSensitivitiesType type = batchRow.findValue(TYPE_HEADER).map(str => CurveSensitivitiesType.of(str)).orElse(CurveSensitivitiesType.ZERO_RATE_DELTA);
foreach (KeyValuePair <string, CurveName> entry in references.SetOfKeyValuePairs())
{
CurveName reference = entry.Value;
CurveName resolvedCurveName = resolver.checkCurveName(reference);
string valueStr = batchRow.getField(entry.Key);
Currency currency = parseCurrency(batchRow, reference);
if (valueStr.Length > 0)
{
double value = LoaderUtils.parseDouble(valueStr);
builder.add(type, resolvedCurveName, currency, metadata, value);
}
}
}
catch (System.ArgumentException ex)
{
failures.Add(FailureItem.of(PARSING, "CSV file could not be parsed at line {}: {}", batchRow.lineNumber(), ex.Message));
}
}
CurveSensitivities sens = builder.build();
if (!sens.TypedSensitivities.Empty)
{
parsed.put(sens.Id.map(object.toString).orElse(""), sens);
}
}
}
protected internal override bool subdirectoryExists(string subdirectoryName)
{
// classpath resources are forward-slash separated
string resolvedName = subdirectoryName.StartsWith("/", StringComparison.Ordinal) ? subdirectoryName.Substring(1) : subdirectoryName;
if (!resolvedName.EndsWith("/", StringComparison.Ordinal))
{
resolvedName += "/";
}
return(entries.contains(resolvedName));
}
