//-------------------------------------------------------------------------
public virtual void test_of_2arg()
{
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<MarketDataId<?>, Object> dataMap = com.google.common.collect.ImmutableMap.of(ID1, VAL1, ID2, VAL2);
IDictionary <MarketDataId <object>, object> dataMap = ImmutableMap.of(ID1, VAL1, ID2, VAL2);
MarketData test = MarketData.of(VAL_DATE, dataMap);
assertEquals(test.containsValue(ID1), true);
assertEquals(test.getValue(ID1), VAL1);
assertEquals(test.findValue(ID1), VAL1);
assertEquals(test.containsValue(ID2), true);
assertEquals(test.getValue(ID2), VAL2);
assertEquals(test.findValue(ID2), VAL2);
assertEquals(test.containsValue(ID3), false);
assertThrows(() => test.getValue(ID3), typeof(MarketDataNotFoundException));
assertEquals(test.findValue(ID3), null);
assertEquals(test.Ids, ImmutableSet.of(ID1, ID2));
assertEquals(test.findIds(ID1.MarketDataName), ImmutableSet.of(ID1));
assertEquals(test.findIds(new TestingName("Foo")), ImmutableSet.of());
assertEquals(test.getTimeSeries(ID4), LocalDateDoubleTimeSeries.empty());
assertEquals(test.getTimeSeries(ID5), LocalDateDoubleTimeSeries.empty());
}
/// <summary>
/// Test two derived function composed together
/// </summary>
public virtual void calculateMeasuresNestedDerivedClasses()
{
TestTarget target = new TestTarget(10);
//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<?>> delegateResults = com.google.common.collect.ImmutableMap.of(CASH_FLOWS, com.opengamma.strata.collect.result.Result.success(3), PAR_RATE, com.opengamma.strata.collect.result.Result.success(5), PRESENT_VALUE, com.opengamma.strata.collect.result.Result.success(7));
IDictionary <Measure, Result <object> > delegateResults = ImmutableMap.of(CASH_FLOWS, Result.success(3), PAR_RATE, Result.success(5), PRESENT_VALUE, Result.success(7));
DerivedFn derivedFn1 = new DerivedFn(BUCKETED_PV01);
DerivedFn derivedFn2 = new DerivedFn(PRESENT_VALUE_MULTI_CCY);
DerivedCalculationFunctionWrapper <TestTarget, int> wrapper = new DerivedCalculationFunctionWrapper <TestTarget, int>(derivedFn1, new DelegateFn(delegateResults));
wrapper = new DerivedCalculationFunctionWrapper <>(derivedFn2, wrapper);
ISet <Measure> measures = ImmutableSet.of(BUCKETED_PV01, PRESENT_VALUE_MULTI_CCY, CASH_FLOWS, PAR_RATE, PRESENT_VALUE);
//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 = wrapper.calculate(target, measures, CalculationParameters.empty(), com.opengamma.strata.data.scenario.ScenarioMarketData.empty(), com.opengamma.strata.basics.ReferenceData.standard());
IDictionary <Measure, Result <object> > results = wrapper.calculate(target, measures, CalculationParameters.empty(), ScenarioMarketData.empty(), ReferenceData.standard());
assertThat(wrapper.supportedMeasures()).isEqualTo(measures);
assertThat(wrapper.targetType()).isEqualTo(typeof(TestTarget));
assertThat(results.Keys).isEqualTo(measures);
assertThat(results[BUCKETED_PV01]).hasValue(35);
assertThat(results[PRESENT_VALUE_MULTI_CCY]).hasValue(35);
assertThat(results[CASH_FLOWS]).hasValue(3);
assertThat(results[PAR_RATE]).hasValue(5);
assertThat(results[PRESENT_VALUE]).hasValue(7);
}
//-------------------------------------------------------------------------
// Check market data computation
public virtual void market_data()
{
RatesCurveGroupDefinition group = GROUPS_SYN_EUR;
RatesProvider multicurveTsLarge = MULTICURVE_INPUT_EUR_TSEMPTY.toBuilder().timeSeries(TS_LARGE).build();
MarketData madTsEmpty = CALIBRATOR_SYNTHETIC.marketData(group, MULTICURVE_INPUT_EUR_TSEMPTY, REF_DATA);
MarketData madTsLarge = CALIBRATOR_SYNTHETIC.marketData(group, multicurveTsLarge, REF_DATA);
assertEquals(madTsEmpty.ValuationDate, VALUATION_DATE);
foreach (CurveDefinition entry in group.CurveDefinitions)
{
ImmutableList <CurveNode> nodes = entry.Nodes;
foreach (CurveNode node in nodes)
{
ResolvedTrade tradeTsEmpty = node.resolvedTrade(1d, madTsEmpty, REF_DATA);
double mqTsEmpty = MQ_MEASURES.value(tradeTsEmpty, MULTICURVE_INPUT_EUR_TSEMPTY);
assertEquals(mqTsEmpty, (double?)madTsEmpty.getValue(node.requirements().GetEnumerator().next()), TOLERANCE_MQ);
ResolvedTrade tradeTsLarge = node.resolvedTrade(1d, madTsLarge, REF_DATA);
double mqTsLarge = MQ_MEASURES.value(tradeTsLarge, multicurveTsLarge);
assertEquals(mqTsLarge, (double?)madTsLarge.getValue(node.requirements().GetEnumerator().next()), TOLERANCE_MQ);
// Market Quote for Fixed v ibor swaps should have changed with the fixing
if ((tradeTsLarge is ResolvedSwapTrade) && (((ResolvedSwapTrade)tradeTsLarge)).Product.getLegs(SwapLegType.IBOR).size() == 1)
{
assertTrue(Math.Abs(mqTsEmpty - mqTsLarge) > TOLERANCE_MQ);
}
}
}
assertEquals(madTsEmpty.TimeSeriesIds, ImmutableSet.of());
assertEquals(madTsLarge.TimeSeriesIds, ImmutableSet.of(IndexQuoteId.of(EUR_EURIBOR_3M), IndexQuoteId.of(EUR_EURIBOR_6M)));
}
//-------------------------------------------------------------------------
public virtual FunctionRequirements requirements(SecurityTrade trade, ISet <Measure> measures, CalculationParameters parameters, ReferenceData refData)
{
Security security = refData.getValue(trade.SecurityId);
QuoteId id = QuoteId.of(trade.SecurityId.StandardId);
return(FunctionRequirements.builder().valueRequirements(ImmutableSet.of(id)).outputCurrencies(security.Currency).build());
}
//-------------------------------------------------------------------------
public FunctionRequirements requirements(SecurityId securityId, LegalEntityId issuerId, Currency currency)
{
// repo
RepoGroup repoKey = repoCurveSecurityGroups.get(securityId);
if (repoKey == null)
{
repoKey = repoCurveGroups.get(issuerId);
}
if (repoKey == null)
{
throw new System.ArgumentException(Messages.format("Legal entity discounting lookup has no repo curve defined for '{}' and '{}'", securityId, issuerId));
}
CurveId repoCurveId = repoCurves.get(Pair.of(repoKey, currency));
if (repoCurveId == null)
{
throw new System.ArgumentException(Messages.format("Legal entity discounting lookup has no repo curve defined for '{}' and '{}'", securityId, issuerId));
}
// issuer
LegalEntityGroup issuerKey = issuerCurveGroups.get(issuerId);
if (issuerKey == null)
{
throw new System.ArgumentException(Messages.format("Legal entity discounting lookup has no issuer curve defined for '{}'", issuerId));
}
CurveId issuerCurveId = issuerCurves.get(Pair.of(issuerKey, currency));
if (issuerCurveId == null)
{
throw new System.ArgumentException(Messages.format("Legal entity discounting lookup has no issuer curve defined for '{}'", issuerId));
}
// result
return(FunctionRequirements.builder().valueRequirements(ImmutableSet.of(repoCurveId, issuerCurveId)).outputCurrencies(currency).observableSource(observableSource).build());
}
//-------------------------------------------------------------------------
private void assertDefinition(RatesCurveGroupDefinition defn)
{
assertEquals(defn.Name, CurveGroupName.of("Default"));
assertEquals(defn.Entries.size(), 3);
assertEquals(defn.SeasonalityDefinitions.size(), 1);
assertEquals(defn.SeasonalityDefinitions.get(CurveName.of("USD-CPI")).AdjustmentType, ShiftType.SCALED);
RatesCurveGroupEntry entry0 = findEntry(defn, "USD-Disc");
RatesCurveGroupEntry entry1 = findEntry(defn, "USD-3ML");
RatesCurveGroupEntry entry2 = findEntry(defn, "USD-CPI");
CurveDefinition defn0 = defn.findCurveDefinition(entry0.CurveName).get();
CurveDefinition defn1 = defn.findCurveDefinition(entry1.CurveName).get();
CurveDefinition defn2 = defn.findCurveDefinition(entry2.CurveName).get();
assertEquals(entry0.DiscountCurrencies, ImmutableSet.of(Currency.USD));
assertEquals(entry0.Indices, ImmutableSet.of());
assertEquals(defn0.Name, CurveName.of("USD-Disc"));
assertEquals(defn0.YValueType, ValueType.ZERO_RATE);
assertEquals(defn0.ParameterCount, 17);
assertEquals(entry1.DiscountCurrencies, ImmutableSet.of());
assertEquals(entry1.Indices, ImmutableSet.of(IborIndices.USD_LIBOR_3M));
assertEquals(defn1.Name, CurveName.of("USD-3ML"));
assertEquals(defn1.YValueType, ValueType.ZERO_RATE);
assertEquals(defn1.ParameterCount, 27);
assertEquals(entry2.DiscountCurrencies, ImmutableSet.of());
assertEquals(entry2.Indices, ImmutableSet.of(PriceIndices.US_CPI_U));
assertEquals(defn2.Name, CurveName.of("USD-CPI"));
assertEquals(defn2.YValueType, ValueType.PRICE_INDEX);
assertEquals(defn2.ParameterCount, 2);
}
public virtual void test_toImmutableSet()
{
IList <string> list = Arrays.asList("a", "ab", "b", "bb", "c", "a");
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
ImmutableSet <string> test = list.Where(s => s.length() == 1).collect(Guavate.toImmutableSet());
assertEquals(test, ImmutableSet.of("a", "b", "c"));
}
public virtual void tokens()
{
SecurityTokenEvaluator evaluator = new SecurityTokenEvaluator();
ISet <string> tokens = evaluator.tokens(security());
ISet <string> expected = ImmutableSet.of("id", "info", "currency", "priceInfo", "contractSize", "tickSize", "tickValue", "attributes");
assertThat(tokens).isEqualTo(expected);
}
public virtual void test_calculate_failure()
{
BillTradeCalculationFunction <BillTrade> function = BillTradeCalculationFunction.TRADE;
ScenarioMarketData md = marketData();
ISet <Measure> measures = ImmutableSet.of(Measures.FORWARD_FX_RATE);
assertTrue(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)[Measures.FORWARD_FX_RATE].Failure);
}
public virtual void tokens()
{
PositionTokenEvaluator evaluator = new PositionTokenEvaluator();
ISet <string> tokens = evaluator.tokens(trade());
ISet <string> expected = ImmutableSet.of("longQuantity", "shortQuantity", "quantity", "security", "info", "id", "attributes");
assertThat(tokens).isEqualTo(expected);
}
public virtual void empty()
{
MarketData test = MarketData.empty(VAL_DATE);
assertEquals(test.containsValue(ID1), false);
assertEquals(test.Ids, ImmutableSet.of());
assertEquals(test.getTimeSeries(ID4), LocalDateDoubleTimeSeries.empty());
}
//-------------------------------------------------------------------------
/// <summary>
/// Returns the set of currencies referred to by the CMS.
/// <para>
/// This returns the complete set of payment currencies for the CMS.
/// This will typically return one currency, but could return two.
///
/// </para>
/// </summary>
/// <returns> the set of payment currencies referred to by this swap </returns>
public ImmutableSet <Currency> allPaymentCurrencies()
{
if (payLeg == null)
{
return(ImmutableSet.of(cmsLeg.Currency));
}
return(ImmutableSet.of(cmsLeg.Currency, payLeg.Currency));
}
public virtual void tokens()
{
TradeTokenEvaluator evaluator = new TradeTokenEvaluator();
ISet <string> tokens = evaluator.tokens(trade());
ISet <string> expected = ImmutableSet.of("quantity", "price", "security", "id", "counterparty", "tradeDate", "tradeTime", "zone", "settlementDate", "attributes", "info");
assertThat(tokens).isEqualTo(expected);
}
//-------------------------------------------------------------------------
public virtual void test_builder_list()
{
Swap test = Swap.builder().legs(ImmutableList.of(MOCK_GBP1, MOCK_USD1)).build();
assertEquals(test.Legs, ImmutableList.of(MOCK_GBP1, MOCK_USD1));
assertEquals(test.CrossCurrency, true);
assertEquals(test.allPaymentCurrencies(), ImmutableSet.of(GBP, USD));
assertEquals(test.allCurrencies(), ImmutableSet.of(GBP, EUR, USD));
}
public virtual void tokens()
{
Bean bean = BeanTokenEvaluatorTest.bean();
BeanTokenEvaluator evaluator = new BeanTokenEvaluator();
ISet <string> tokens = evaluator.tokens(bean);
ImmutableSet <string> expectedTokens = ImmutableSet.of("buySell", "currency", "notional", "startDate", "endDate", "businessDayAdjustment", "paymentDate", "fixedRate", "index", "indexInterpolated", "fixingDateOffset", "dayCount", "discounting");
assertThat(tokens).isEqualTo(expectedTokens);
}
//-------------------------------------------------------------------------
public virtual void flatCombine_iterableWithFailures()
{
Result <string> success1 = Result.success("success 1");
Result <string> success2 = Result.success("success 2");
Result <string> failure1 = Result.failure(MISSING_DATA, "failure 1");
Result <string> failure2 = Result.failure(ERROR, "failure 2");
ISet <Result <string> > results = ImmutableSet.of(success1, success2, failure1, failure2);
assertThat(Result.flatCombine(results, Result.success)).isFailure(FailureReason.MULTIPLE);
}
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: @Override public com.google.common.collect.ImmutableSet<com.opengamma.strata.data.MarketDataId<?>> getVolatilityIds(com.opengamma.strata.basics.currency.CurrencyPair currencyPair)
public ImmutableSet <MarketDataId <object> > getVolatilityIds(CurrencyPair currencyPair)
{
FxOptionVolatilitiesId id = volatilityIds.get(currencyPair);
if (id == null)
{
throw new System.ArgumentException(msgPairNotFound(currencyPair));
}
return(ImmutableSet.of(id));
}
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: @Override public com.google.common.collect.ImmutableSet<com.opengamma.strata.data.MarketDataId<?>> getVolatilityIds(com.opengamma.strata.product.SecurityId securityId)
public ImmutableSet <MarketDataId <object> > getVolatilityIds(SecurityId securityId)
{
BondFutureVolatilitiesId id = volatilityIds.get(securityId);
if (id == null)
{
throw new System.ArgumentException(msgSecurityNotFound(securityId));
}
return(ImmutableSet.of(id));
}
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: @Override public com.google.common.collect.ImmutableSet<com.opengamma.strata.data.MarketDataId<?>> getDiscountMarketDataIds(com.opengamma.strata.basics.currency.Currency currency)
public ImmutableSet <MarketDataId <object> > getDiscountMarketDataIds(Currency currency)
{
CurveId id = discountCurves.get(currency);
if (id == null)
{
throw new System.ArgumentException(msgCurrencyNotFound(currency));
}
return(ImmutableSet.of(id));
}
//-------------------------------------------------------------------------
public virtual void test_requirementsAndCurrency()
{
ISet <Measure> measures = FUNCTION.supportedMeasures();
FunctionRequirements reqs = FUNCTION.requirements(TRADE, measures, CreditDataSet.INDEX_PARAMS, CreditDataSet.REF_DATA);
assertThat(reqs.OutputCurrencies).containsOnly(USD);
assertThat(reqs.ValueRequirements).isEqualTo(ImmutableSet.of(CreditDataSet.INDEX_CREDIT_CURVE_ID, CreditDataSet.USD_DSC_CURVE_ID, CreditDataSet.INDEX_RECOVERY_CURVE_ID));
assertThat(reqs.TimeSeriesRequirements).isEqualTo(ImmutableSet.of());
assertThat(FUNCTION.naturalCurrency(TRADE, CreditDataSet.REF_DATA)).isEqualTo(USD);
}
/// <summary>
/// Tests the tokens() method when the bean has a single property. The tokens should include the single property
/// name plus the tokens of the property value.
/// </summary>
public virtual void tokensSingleProperty()
{
SwapLegAmount amount = SwapLegAmount.builder().amount(CurrencyAmount.of(Currency.AUD, 7)).payReceive(PayReceive.PAY).type(SwapLegType.FIXED).currency(Currency.AUD).build();
LegAmounts amounts = LegAmounts.of(amount);
BeanTokenEvaluator evaluator = new BeanTokenEvaluator();
ISet <string> tokens = evaluator.tokens(amounts);
assertThat(tokens).isEqualTo(ImmutableSet.of("amounts", "0", "aud", "pay", "fixed"));
}
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: @Override public com.google.common.collect.ImmutableSet<com.opengamma.strata.data.MarketDataId<?>> getForwardMarketDataIds(com.opengamma.strata.basics.index.Index index)
public ImmutableSet <MarketDataId <object> > getForwardMarketDataIds(Index index)
{
CurveId id = forwardCurves.get(index);
if (id == null)
{
throw new System.ArgumentException(msgIndexNotFound(index));
}
return(ImmutableSet.of(id));
}
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: @Override public com.google.common.collect.ImmutableSet<com.opengamma.strata.data.MarketDataId<?>> getVolatilityIds(com.opengamma.strata.basics.index.IborIndex index)
public ImmutableSet <MarketDataId <object> > getVolatilityIds(IborIndex index)
{
SwaptionVolatilitiesId id = volatilityIds.get(index);
if (id == null)
{
throw new System.ArgumentException(msgIndexNotFound(index));
}
return(ImmutableSet.of(id));
}
//-------------------------------------------------------------------------
public virtual void test_builder()
{
ImmutableMarketData test = ImmutableMarketData.builder(VAL_DATE.plusDays(1)).valuationDate(VAL_DATE).addValue(ID1, "123").addValueUnsafe(ID2, "124").addValueMap(ImmutableMap.of(ID3, "201")).addTimeSeries(ID4, TIME_SERIES).build();
assertEquals(test.ValuationDate, VAL_DATE);
assertEquals(test.Values.get(ID1), "123");
assertEquals(test.Values.get(ID2), "124");
assertEquals(test.Ids, ImmutableSet.of(ID1, ID2, ID3));
assertEquals(test.TimeSeries.get(ID4), TIME_SERIES);
}
public virtual void test_of_CurrencyCurrency_reverseStandardOrder()
{
CurrencyPair test = CurrencyPair.of(USD, GBP);
assertEquals(test.Base, USD);
assertEquals(test.Counter, GBP);
assertEquals(test.Identity, false);
assertEquals(test.toSet(), ImmutableSet.of(GBP, USD));
assertEquals(test.ToString(), "USD/GBP");
}
//-------------------------------------------------------------------------
public virtual void test_of_CurrencyCurrency()
{
CurrencyPair test = CurrencyPair.of(GBP, USD);
assertEquals(test.Base, GBP);
assertEquals(test.Counter, USD);
assertEquals(test.Identity, false);
assertEquals(test.toSet(), ImmutableSet.of(GBP, USD));
assertEquals(test.ToString(), "GBP/USD");
}
//-------------------------------------------------------------------------
public virtual void test_requirementsAndCurrency()
{
CapitalIndexedBondTradeCalculationFunction <CapitalIndexedBondTrade> function = CapitalIndexedBondTradeCalculationFunction.TRADE;
ISet <Measure> measures = function.supportedMeasures();
FunctionRequirements reqs = function.requirements(TRADE, measures, PARAMS, REF_DATA);
assertThat(reqs.OutputCurrencies).containsOnly(CURRENCY);
assertThat(reqs.ValueRequirements).isEqualTo(ImmutableSet.of(INF_CURVE_ID, REPO_CURVE_ID, ISSUER_CURVE_ID));
assertThat(reqs.TimeSeriesRequirements).isEqualTo(ImmutableSet.of(IndexQuoteId.of(US_CPI_U)));
assertThat(function.naturalCurrency(TRADE, REF_DATA)).isEqualTo(CURRENCY);
}
//-------------------------------------------------------------------------
public virtual void test_requirementsAndCurrency()
{
FxVanillaOptionTradeCalculationFunction function = new FxVanillaOptionTradeCalculationFunction();
ISet <Measure> measures = function.supportedMeasures();
FunctionRequirements reqs = function.requirements(TRADE, measures, PARAMS, REF_DATA);
assertThat(reqs.OutputCurrencies).containsExactly(EUR, USD);
assertThat(reqs.ValueRequirements).isEqualTo(ImmutableSet.of(DISCOUNT_CURVE_EUR_ID, DISCOUNT_CURVE_USD_ID, VOL_ID));
assertThat(reqs.TimeSeriesRequirements).Empty;
assertThat(function.naturalCurrency(TRADE, REF_DATA)).isEqualTo(EUR);
}
//-------------------------------------------------------------------------
public virtual void test_requirementsAndCurrency()
{
CdsTradeCalculationFunction function = new CdsTradeCalculationFunction();
ISet <Measure> measures = function.supportedMeasures();
FunctionRequirements reqs = function.requirements(TRADE, measures, CreditDataSet.CDS_PARAMS, CreditDataSet.REF_DATA);
assertThat(reqs.OutputCurrencies).containsOnly(USD);
assertThat(reqs.ValueRequirements).isEqualTo(ImmutableSet.of(CreditDataSet.CDS_CREDIT_CURVE_ID, CreditDataSet.USD_DSC_CURVE_ID, CreditDataSet.CDS_RECOVERY_CURVE_ID));
assertThat(reqs.TimeSeriesRequirements).isEqualTo(ImmutableSet.of());
assertThat(function.naturalCurrency(TRADE, CreditDataSet.REF_DATA)).isEqualTo(USD);
}
//-------------------------------------------------------------------------
public virtual void test_requirementsAndCurrency()
{
TermDepositTradeCalculationFunction function = new TermDepositTradeCalculationFunction();
ISet <Measure> measures = function.supportedMeasures();
FunctionRequirements reqs = function.requirements(TRADE, measures, PARAMS, REF_DATA);
assertThat(reqs.OutputCurrencies).containsOnly(CURRENCY);
assertThat(reqs.ValueRequirements).isEqualTo(ImmutableSet.of(DISCOUNT_CURVE_ID));
assertThat(reqs.TimeSeriesRequirements).isEqualTo(ImmutableSet.of());
assertThat(function.naturalCurrency(TRADE, REF_DATA)).isEqualTo(CURRENCY);
}
