/// <summary>
/// Test that inputs are correctly built from market data.
/// </summary>
public virtual void build()
{
FraCurveNode node1x4 = fraNode(1, "a");
FraCurveNode node2x5 = fraNode(2, "b");
FraCurveNode node3x6 = fraNode(3, "c");
InterpolatedNodalCurveDefinition curveDefn = InterpolatedNodalCurveDefinition.builder().name(CurveName.of("curve")).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(DayCounts.ACT_ACT_ISDA).interpolator(CurveInterpolators.DOUBLE_QUADRATIC).extrapolatorLeft(CurveExtrapolators.FLAT).extrapolatorRight(CurveExtrapolators.FLAT).nodes(node1x4, node2x5, node3x6).build();
RatesCurveGroupDefinition groupDefn = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("curve group")).addDiscountCurve(curveDefn, Currency.USD).build();
MarketDataConfig marketDataConfig = MarketDataConfig.builder().add(groupDefn.Name, groupDefn).build();
QuoteId idA = QuoteId.of(StandardId.of("test", "a"));
QuoteId idB = QuoteId.of(StandardId.of("test", "b"));
QuoteId idC = QuoteId.of(StandardId.of("test", "c"));
ScenarioMarketData marketData = ImmutableScenarioMarketData.builder(VAL_DATE).addValue(idA, 1d).addValue(idB, 2d).addValue(idC, 3d).build();
RatesCurveInputsMarketDataFunction marketDataFunction = new RatesCurveInputsMarketDataFunction();
RatesCurveInputsId curveInputsId = RatesCurveInputsId.of(groupDefn.Name, curveDefn.Name, ObservableSource.NONE);
MarketDataBox <RatesCurveInputs> result = marketDataFunction.build(curveInputsId, marketDataConfig, marketData, REF_DATA);
RatesCurveInputs curveInputs = result.SingleValue;
assertThat(curveInputs.MarketData.get(idA)).isEqualTo(1d);
assertThat(curveInputs.MarketData.get(idB)).isEqualTo(2d);
assertThat(curveInputs.MarketData.get(idC)).isEqualTo(3d);
IList <ParameterMetadata> expectedMetadata = ImmutableList.of(node1x4.metadata(VAL_DATE, REF_DATA), node2x5.metadata(VAL_DATE, REF_DATA), node3x6.metadata(VAL_DATE, REF_DATA));
assertThat(curveInputs.CurveMetadata.ParameterMetadata).hasValue(expectedMetadata);
}
public static RatesCurveGroupDefinition config(Period[] dscOisTenors, string[] dscIdValues, Period[] fwd3FraTenors, Period[] fwd3IrsTenors, string[] fwd3IdValues, Period[] fwd6FraTenors, Period[] fwd6IrsTenors, string[] fwd6IdValues)
{
CurveNode[] dscNodes = new CurveNode[dscOisTenors.Length];
for (int i = 0; i < dscOisTenors.Length; i++)
{
dscNodes[i] = FixedOvernightSwapCurveNode.of(FixedOvernightSwapTemplate.of(Period.ZERO, Tenor.of(dscOisTenors[i]), EUR_FIXED_1Y_EONIA_OIS), QuoteId.of(StandardId.of(SCHEME, dscIdValues[i])));
}
CurveNode[] fwd3Nodes = new CurveNode[fwd3IdValues.Length];
fwd3Nodes[0] = IborFixingDepositCurveNode.of(IborFixingDepositTemplate.of(EUR_EURIBOR_3M), QuoteId.of(StandardId.of(SCHEME, fwd3IdValues[0])));
for (int i = 0; i < fwd3FraTenors.Length; i++)
{
fwd3Nodes[i + 1] = FraCurveNode.of(FraTemplate.of(fwd3FraTenors[i], EUR_EURIBOR_3M), QuoteId.of(StandardId.of(SCHEME, fwd3IdValues[i + 1])));
}
for (int i = 0; i < fwd3IrsTenors.Length; i++)
{
fwd3Nodes[i + 1 + fwd3FraTenors.Length] = FixedIborSwapCurveNode.of(FixedIborSwapTemplate.of(Period.ZERO, Tenor.of(fwd3IrsTenors[i]), EUR_FIXED_1Y_EURIBOR_3M), QuoteId.of(StandardId.of(SCHEME, fwd3IdValues[i + 1 + fwd3FraTenors.Length])));
}
CurveNode[] fwd6Nodes = new CurveNode[fwd6IdValues.Length];
fwd6Nodes[0] = IborFixingDepositCurveNode.of(IborFixingDepositTemplate.of(EUR_EURIBOR_6M), QuoteId.of(StandardId.of(SCHEME, fwd6IdValues[0])));
for (int i = 0; i < fwd6FraTenors.Length; i++)
{
fwd6Nodes[i + 1] = FraCurveNode.of(FraTemplate.of(fwd6FraTenors[i], EUR_EURIBOR_6M), QuoteId.of(StandardId.of(SCHEME, fwd6IdValues[i + 1])));
}
for (int i = 0; i < fwd6IrsTenors.Length; i++)
{
fwd6Nodes[i + 1 + fwd6FraTenors.Length] = FixedIborSwapCurveNode.of(FixedIborSwapTemplate.of(Period.ZERO, Tenor.of(fwd6IrsTenors[i]), EUR_FIXED_1Y_EURIBOR_6M), QuoteId.of(StandardId.of(SCHEME, fwd6IdValues[i + 1 + fwd6FraTenors.Length])));
}
InterpolatedNodalCurveDefinition DSC_CURVE_DEFN = InterpolatedNodalCurveDefinition.builder().name(DSCON_CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(CURVE_DC).interpolator(INTERPOLATOR_LINEAR).extrapolatorLeft(EXTRAPOLATOR_FLAT).extrapolatorRight(EXTRAPOLATOR_FLAT).nodes(dscNodes).build();
InterpolatedNodalCurveDefinition FWD3_CURVE_DEFN = InterpolatedNodalCurveDefinition.builder().name(FWD3_CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(CURVE_DC).interpolator(INTERPOLATOR_LINEAR).extrapolatorLeft(EXTRAPOLATOR_FLAT).extrapolatorRight(EXTRAPOLATOR_FLAT).nodes(fwd3Nodes).build();
InterpolatedNodalCurveDefinition FWD6_CURVE_DEFN = InterpolatedNodalCurveDefinition.builder().name(FWD6_CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(CURVE_DC).interpolator(INTERPOLATOR_LINEAR).extrapolatorLeft(EXTRAPOLATOR_FLAT).extrapolatorRight(EXTRAPOLATOR_FLAT).nodes(fwd6Nodes).build();
return(RatesCurveGroupDefinition.builder().name(CURVE_GROUP_NAME).addCurve(DSC_CURVE_DEFN, EUR, EUR_EONIA).addForwardCurve(FWD3_CURVE_DEFN, EUR_EURIBOR_3M).addForwardCurve(FWD6_CURVE_DEFN, EUR_EURIBOR_6M).build());
}
/// <summary>
/// End-to-end test for curve calibration and round-tripping that uses the <seealso cref="MarketDataFactory"/>
/// to calibrate a curve and calculate PVs for the instruments at the curve nodes.
///
/// This tests the full pipeline of market data functions:
/// - Par rates
/// - Curve group (including calibration)
/// - Individual curves
/// - Discount factors
/// </summary>
public virtual void roundTripFraAndFixedFloatSwap()
{
// Configuration and market data for the curve ---------------------------------
string fra3x6 = "fra3x6";
string fra6x9 = "fra6x9";
string swap1y = "swap1y";
string swap2y = "swap2y";
string swap3y = "swap3y";
FraCurveNode fra3x6Node = fraNode(3, fra3x6);
FraCurveNode fra6x9Node = fraNode(6, fra6x9);
FixedIborSwapCurveNode swap1yNode = fixedIborSwapNode(Tenor.TENOR_1Y, swap1y);
FixedIborSwapCurveNode swap2yNode = fixedIborSwapNode(Tenor.TENOR_2Y, swap2y);
FixedIborSwapCurveNode swap3yNode = fixedIborSwapNode(Tenor.TENOR_3Y, swap3y);
IDictionary <ObservableId, double> parRateData = ImmutableMap.builder <ObservableId, double>().put(id(fra3x6), 0.0037).put(id(fra6x9), 0.0054).put(id(swap1y), 0.005).put(id(swap2y), 0.0087).put(id(swap3y), 0.012).build();
LocalDate valuationDate = date(2011, 3, 8);
// Build the trades from the node instruments
MarketData quotes = ImmutableMarketData.of(valuationDate, parRateData);
Trade fra3x6Trade = fra3x6Node.trade(1d, quotes, REF_DATA);
Trade fra6x9Trade = fra6x9Node.trade(1d, quotes, REF_DATA);
Trade swap1yTrade = swap1yNode.trade(1d, quotes, REF_DATA);
Trade swap2yTrade = swap2yNode.trade(1d, quotes, REF_DATA);
Trade swap3yTrade = swap3yNode.trade(1d, quotes, REF_DATA);
IList <Trade> trades = ImmutableList.of(fra3x6Trade, fra6x9Trade, swap1yTrade, swap2yTrade, swap3yTrade);
IList <CurveNode> nodes = ImmutableList.of(fra3x6Node, fra6x9Node, swap1yNode, swap2yNode, swap3yNode);
CurveGroupName groupName = CurveGroupName.of("Curve Group");
CurveName curveName = CurveName.of("FRA and Fixed-Float Swap Curve");
InterpolatedNodalCurveDefinition curveDefn = InterpolatedNodalCurveDefinition.builder().name(curveName).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(DayCounts.ACT_ACT_ISDA).nodes(nodes).interpolator(CurveInterpolators.DOUBLE_QUADRATIC).extrapolatorLeft(CurveExtrapolators.FLAT).extrapolatorRight(CurveExtrapolators.FLAT).build();
RatesCurveGroupDefinition groupDefn = RatesCurveGroupDefinition.builder().name(groupName).addCurve(curveDefn, Currency.USD, IborIndices.USD_LIBOR_3M).build();
MarketDataConfig marketDataConfig = MarketDataConfig.builder().add(groupName, groupDefn).build();
// Rules for market data and calculations ---------------------------------
RatesMarketDataLookup ratesLookup = RatesMarketDataLookup.of(groupDefn);
CalculationRules calculationRules = CalculationRules.of(functions(), Currency.USD, ratesLookup);
// Calculate the results and check the PVs for the node instruments are zero ----------------------
IList <Column> columns = ImmutableList.of(Column.of(Measures.PRESENT_VALUE));
MarketData knownMarketData = MarketData.of(date(2011, 3, 8), parRateData);
// using the direct executor means there is no need to close/shutdown the runner
CalculationTasks tasks = CalculationTasks.of(calculationRules, trades, columns, REF_DATA);
MarketDataRequirements reqs = tasks.requirements(REF_DATA);
MarketData enhancedMarketData = marketDataFactory().create(reqs, marketDataConfig, knownMarketData, REF_DATA);
CalculationTaskRunner runner = CalculationTaskRunner.of(MoreExecutors.newDirectExecutorService());
Results results = runner.calculate(tasks, enhancedMarketData, REF_DATA);
results.Cells.ForEach(this.checkPvIsZero);
}
/* Check calibration for forward curve directly interpolated on forward rates. */
public virtual void calibration_present_value_simple_forward()
{
InterpolatedNodalCurveDefinition dsc = InterpolatedNodalCurveDefinition.builder().name(DSCON_CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(CURVE_DC).interpolator(INTERPOLATOR_LINEAR).extrapolatorLeft(EXTRAPOLATOR_FLAT).extrapolatorRight(EXTRAPOLATOR_FLAT).nodes(DSC_NODES).build();
InterpolatedNodalCurveDefinition fwd = InterpolatedNodalCurveDefinition.builder().name(FWD3_CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.FORWARD_RATE).dayCount(CURVE_DC).interpolator(INTERPOLATOR_LINEAR).extrapolatorLeft(EXTRAPOLATOR_FLAT).extrapolatorRight(EXTRAPOLATOR_FLAT).nodes(FWD3_NODES).build();
RatesCurveGroupDefinition config = RatesCurveGroupDefinition.builder().name(CURVE_GROUP_NAME).addCurve(dsc, USD, USD_FED_FUND).addForwardCurve(fwd, USD_LIBOR_3M).build();
RatesProvider result = CALIBRATOR.calibrate(config, ALL_QUOTES_BD, REF_DATA);
assertResult(result, ALL_QUOTES_BD);
IborIndexRates ibor3M = result.iborIndexRates(USD_LIBOR_3M);
assertTrue(ibor3M is SimpleIborIndexRates, "USD-LIBOR-3M curve should be simple interpolation on forward rates");
double shift = 1.0E-6;
System.Func <MarketData, RatesProvider> f = marketData => CALIBRATOR.calibrate(config, marketData, REF_DATA);
calibration_market_quote_sensitivity_check(f, config, shift, TS_EMPTY);
}
public virtual void calibration_present_value_discountCurve_clamped()
{
CurveInterpolator interp = CurveInterpolators.LOG_NATURAL_SPLINE_DISCOUNT_FACTOR;
CurveExtrapolator extrapRight = CurveExtrapolators.LOG_LINEAR;
CurveExtrapolator extrapLeft = CurveExtrapolators.INTERPOLATOR;
InterpolatedNodalCurveDefinition dsc = InterpolatedNodalCurveDefinition.builder().name(DSCON_CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.DISCOUNT_FACTOR).dayCount(CURVE_DC).interpolator(interp).extrapolatorLeft(extrapLeft).extrapolatorRight(extrapRight).nodes(DSC_NODES).build();
InterpolatedNodalCurveDefinition fwd = InterpolatedNodalCurveDefinition.builder().name(FWD3_CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.DISCOUNT_FACTOR).dayCount(CURVE_DC).interpolator(interp).extrapolatorLeft(extrapLeft).extrapolatorRight(extrapRight).nodes(FWD3_NODES).build();
RatesCurveGroupDefinition config = RatesCurveGroupDefinition.builder().name(CURVE_GROUP_NAME).addCurve(dsc, USD, USD_FED_FUND).addForwardCurve(fwd, USD_LIBOR_3M).build();
RatesProvider result = CALIBRATOR.calibrate(config, ALL_QUOTES_BD, REF_DATA);
assertResult(result, ALL_QUOTES_BD);
double shift = 1.0E-6;
System.Func <MarketData, RatesProvider> f = marketData => CALIBRATOR.calibrate(config, marketData, REF_DATA);
calibration_market_quote_sensitivity_check(f, config, shift, TS_EMPTY);
}
/// <summary>
/// Test that the curve node requirements are extracted and returned.
/// </summary>
public virtual void requirements()
{
FraCurveNode node1x4 = fraNode(1, "a");
FraCurveNode node2x5 = fraNode(2, "b");
FraCurveNode node3x6 = fraNode(3, "c");
InterpolatedNodalCurveDefinition curve = InterpolatedNodalCurveDefinition.builder().name(CurveName.of("curve")).interpolator(CurveInterpolators.DOUBLE_QUADRATIC).extrapolatorLeft(CurveExtrapolators.FLAT).extrapolatorRight(CurveExtrapolators.FLAT).nodes(node1x4, node2x5, node3x6).build();
RatesCurveGroupDefinition groupDefn = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("curve group")).addDiscountCurve(curve, Currency.USD).build();
MarketDataConfig marketDataConfig = MarketDataConfig.builder().add(groupDefn.Name, groupDefn).build();
RatesCurveInputsMarketDataFunction marketDataFunction = new RatesCurveInputsMarketDataFunction();
RatesCurveInputsId curveInputsId = RatesCurveInputsId.of(groupDefn.Name, curve.Name, ObservableSource.NONE);
MarketDataRequirements requirements = marketDataFunction.requirements(curveInputsId, marketDataConfig);
assertThat(requirements.Observables).contains(QuoteId.of(StandardId.of("test", "a"))).contains(QuoteId.of(StandardId.of("test", "b"))).contains(QuoteId.of(StandardId.of("test", "c")));
}
/// <summary>
/// Test that a failure is returned if the observable data isn't available.
/// </summary>
public virtual void buildMissingMarketData()
{
FraCurveNode node1x4 = fraNode(1, "a");
FraCurveNode node2x5 = fraNode(2, "b");
FraCurveNode node3x6 = fraNode(3, "c");
InterpolatedNodalCurveDefinition curve = InterpolatedNodalCurveDefinition.builder().name(CurveName.of("curve")).interpolator(CurveInterpolators.DOUBLE_QUADRATIC).extrapolatorLeft(CurveExtrapolators.FLAT).extrapolatorRight(CurveExtrapolators.FLAT).nodes(node1x4, node2x5, node3x6).build();
RatesCurveGroupDefinition groupDefn = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("curve group")).addDiscountCurve(curve, Currency.USD).build();
MarketDataConfig marketDataConfig = MarketDataConfig.builder().add(groupDefn.Name, groupDefn).build();
ScenarioMarketData emptyData = ScenarioMarketData.of(1, date(2016, 6, 30), ImmutableMap.of(), ImmutableMap.of());
RatesCurveInputsMarketDataFunction marketDataFunction = new RatesCurveInputsMarketDataFunction();
RatesCurveInputsId curveInputsId = RatesCurveInputsId.of(groupDefn.Name, curve.Name, ObservableSource.NONE);
assertThrows(() => marketDataFunction.build(curveInputsId, marketDataConfig, emptyData, REF_DATA), typeof(MarketDataNotFoundException));
}
internal static InterpolatedNodalCurveDefinition fraSwapCurveDefinition()
{
string fra3x6 = "fra3x6";
string fra6x9 = "fra6x9";
string swap1y = "swap1y";
string swap2y = "swap2y";
string swap3y = "swap3y";
FraCurveNode fra3x6Node = CurveTestUtils.fraNode(3, fra3x6);
FraCurveNode fra6x9Node = CurveTestUtils.fraNode(6, fra6x9);
FixedIborSwapCurveNode swap1yNode = fixedIborSwapNode(Tenor.TENOR_1Y, swap1y);
FixedIborSwapCurveNode swap2yNode = fixedIborSwapNode(Tenor.TENOR_2Y, swap2y);
FixedIborSwapCurveNode swap3yNode = fixedIborSwapNode(Tenor.TENOR_3Y, swap3y);
CurveName curveName = CurveName.of("FRA and Fixed-Float Swap Curve");
IList <CurveNode> nodes = ImmutableList.of(fra3x6Node, fra6x9Node, swap1yNode, swap2yNode, swap3yNode);
return(InterpolatedNodalCurveDefinition.builder().name(curveName).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(DayCounts.ACT_ACT_ISDA).nodes(nodes).interpolator(CurveInterpolators.DOUBLE_QUADRATIC).extrapolatorLeft(CurveExtrapolators.FLAT).extrapolatorRight(CurveExtrapolators.FLAT).build());
}
//-------------------------------------------------------------------------
public virtual void duplicateInputDataKeys()
{
FxSwapTemplate template1 = FxSwapTemplate.of(Period.ofMonths(1), FxSwapConventions.EUR_USD);
FxSwapTemplate template2 = FxSwapTemplate.of(Period.ofMonths(2), FxSwapConventions.EUR_USD);
QuoteId pointsKey1a = QuoteId.of(StandardId.of("test", "1a"));
QuoteId pointsKey1b = QuoteId.of(StandardId.of("test", "1b"));
QuoteId pointsKey2a = QuoteId.of(StandardId.of("test", "2a"));
QuoteId pointsKey2b = QuoteId.of(StandardId.of("test", "2b"));
FxSwapCurveNode node1a = FxSwapCurveNode.of(template1, pointsKey1a);
FxSwapCurveNode node1b = FxSwapCurveNode.of(template2, pointsKey1b);
FxSwapCurveNode node2 = FxSwapCurveNode.of(template1, pointsKey2a);
FxSwapCurveNode node2b = FxSwapCurveNode.of(template2, pointsKey2b);
CurveName curveName1 = CurveName.of("curve1");
InterpolatedNodalCurveDefinition curve1 = InterpolatedNodalCurveDefinition.builder().name(curveName1).nodes(node1a, node1b).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(ACT_360).interpolator(CurveInterpolators.LINEAR).extrapolatorLeft(CurveExtrapolators.LINEAR).extrapolatorRight(CurveExtrapolators.LINEAR).build();
CurveName curveName2 = CurveName.of("curve2");
InterpolatedNodalCurveDefinition curve2 = InterpolatedNodalCurveDefinition.builder().name(curveName2).nodes(node2, node2b).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(ACT_360).interpolator(CurveInterpolators.LINEAR).extrapolatorLeft(CurveExtrapolators.LINEAR).extrapolatorRight(CurveExtrapolators.LINEAR).build();
CurveGroupName curveGroupName = CurveGroupName.of("group");
RatesCurveGroupDefinition groupDefinition = RatesCurveGroupDefinition.builder().name(curveGroupName).addDiscountCurve(curve1, Currency.EUR).addDiscountCurve(curve2, Currency.USD).build();
RatesCurveGroupMarketDataFunction fn = new RatesCurveGroupMarketDataFunction();
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, Object> marketDataMap1 = com.google.common.collect.ImmutableMap.of(com.opengamma.strata.data.FxRateId.of(com.opengamma.strata.basics.currency.Currency.EUR, com.opengamma.strata.basics.currency.Currency.USD), com.opengamma.strata.basics.currency.FxRate.of(com.opengamma.strata.basics.currency.Currency.EUR, com.opengamma.strata.basics.currency.Currency.USD, 1.01), pointsKey1a, 0.1d, pointsKey1b, 0.2d);
IDictionary <MarketDataId <object>, object> marketDataMap1 = ImmutableMap.of(FxRateId.of(Currency.EUR, Currency.USD), FxRate.of(Currency.EUR, Currency.USD, 1.01), pointsKey1a, 0.1d, pointsKey1b, 0.2d);
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, Object> marketDataMap2 = com.google.common.collect.ImmutableMap.of(com.opengamma.strata.data.FxRateId.of(com.opengamma.strata.basics.currency.Currency.EUR, com.opengamma.strata.basics.currency.Currency.USD), com.opengamma.strata.basics.currency.FxRate.of(com.opengamma.strata.basics.currency.Currency.EUR, com.opengamma.strata.basics.currency.Currency.USD, 1.01), pointsKey2a, 0.1d, pointsKey2b, 0.2d);
IDictionary <MarketDataId <object>, object> marketDataMap2 = ImmutableMap.of(FxRateId.of(Currency.EUR, Currency.USD), FxRate.of(Currency.EUR, Currency.USD, 1.01), pointsKey2a, 0.1d, pointsKey2b, 0.2d);
RatesCurveInputs curveInputs1 = RatesCurveInputs.of(marketDataMap1, DefaultCurveMetadata.of("curve1"));
RatesCurveInputs curveInputs2 = RatesCurveInputs.of(marketDataMap2, DefaultCurveMetadata.of("curve2"));
ImmutableScenarioMarketData marketData = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)).addValue(RatesCurveInputsId.of(curveGroupName, curveName1, ObservableSource.NONE), curveInputs1).addValue(RatesCurveInputsId.of(curveGroupName, curveName2, ObservableSource.NONE), curveInputs2).build();
fn.buildCurveGroup(groupDefinition, CALIBRATOR, marketData, REF_DATA, ObservableSource.NONE);
// This has a duplicate key with a different value which should fail
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, Object> badMarketDataMap = com.google.common.collect.ImmutableMap.of(com.opengamma.strata.data.FxRateId.of(com.opengamma.strata.basics.currency.Currency.EUR, com.opengamma.strata.basics.currency.Currency.USD), com.opengamma.strata.basics.currency.FxRate.of(com.opengamma.strata.basics.currency.Currency.EUR, com.opengamma.strata.basics.currency.Currency.USD, 1.02), pointsKey2a, 0.2d);
IDictionary <MarketDataId <object>, object> badMarketDataMap = ImmutableMap.of(FxRateId.of(Currency.EUR, Currency.USD), FxRate.of(Currency.EUR, Currency.USD, 1.02), pointsKey2a, 0.2d);
RatesCurveInputs badCurveInputs = RatesCurveInputs.of(badMarketDataMap, DefaultCurveMetadata.of("curve2"));
ScenarioMarketData badMarketData = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)).addValue(RatesCurveInputsId.of(curveGroupName, curveName1, ObservableSource.NONE), curveInputs1).addValue(RatesCurveInputsId.of(curveGroupName, curveName2, ObservableSource.NONE), badCurveInputs).build();
string msg = "Multiple unequal values found for identifier .*\\. Values: .* and .*";
assertThrowsIllegalArg(() => fn.buildCurveGroup(groupDefinition, CALIBRATOR, badMarketData, REF_DATA, ObservableSource.NONE), msg);
}
/// <summary>
/// Tests that par rates and ibor index are required for curves.
/// </summary>
public virtual void requirements()
{
FraCurveNode node1x4 = CurveTestUtils.fraNode(1, "foo");
FraCurveNode node2x5 = CurveTestUtils.fraNode(2, "foo");
IList <CurveNode> nodes = ImmutableList.of(node1x4, node2x5);
CurveGroupName groupName = CurveGroupName.of("Curve Group");
CurveName curveName = CurveName.of("FRA Curve");
ObservableSource obsSource = ObservableSource.of("Vendor");
InterpolatedNodalCurveDefinition curveDefn = InterpolatedNodalCurveDefinition.builder().name(curveName).nodes(nodes).interpolator(CurveInterpolators.DOUBLE_QUADRATIC).extrapolatorLeft(CurveExtrapolators.FLAT).extrapolatorRight(CurveExtrapolators.FLAT).build();
RateIndex ibor = IborIndices.USD_LIBOR_3M;
RatesCurveGroupDefinition groupDefn = RatesCurveGroupDefinition.builder().name(groupName).addCurve(curveDefn, Currency.USD, ibor).build();
MarketDataConfig marketDataConfig = MarketDataConfig.builder().add(groupName, groupDefn).build();
RatesCurveGroupMarketDataFunction function = new RatesCurveGroupMarketDataFunction();
RatesCurveGroupId curveGroupId = RatesCurveGroupId.of(groupName, obsSource);
MarketDataRequirements requirements = function.requirements(curveGroupId, marketDataConfig);
assertThat(requirements.NonObservables).contains(RatesCurveInputsId.of(groupName, curveName, obsSource));
assertThat(requirements.TimeSeries.contains(IndexQuoteId.of(ibor)));
}
internal static InterpolatedNodalCurveDefinition fraCurveDefinition()
{
string fra1x4 = "fra1x4";
string fra2x5 = "fra2x5";
string fra3x6 = "fra3x6";
string fra6x9 = "fra6x9";
string fra9x12 = "fra9x12";
string fra12x15 = "fra12x15";
string fra18x21 = "fra18x21";
FraCurveNode fra1x4Node = fraNode(1, fra1x4);
FraCurveNode fra2x5Node = fraNode(2, fra2x5);
FraCurveNode fra3x6Node = fraNode(3, fra3x6);
FraCurveNode fra6x9Node = fraNode(6, fra6x9);
FraCurveNode fra9x12Node = fraNode(9, fra9x12);
FraCurveNode fra12x15Node = fraNode(12, fra12x15);
FraCurveNode fra18x21Node = fraNode(18, fra18x21);
CurveName curveName = CurveName.of("FRA Curve");
IList <CurveNode> nodes = ImmutableList.of(fra1x4Node, fra2x5Node, fra3x6Node, fra6x9Node, fra9x12Node, fra12x15Node, fra18x21Node);
return(InterpolatedNodalCurveDefinition.builder().name(curveName).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(DayCounts.ACT_ACT_ISDA).nodes(nodes).interpolator(CurveInterpolators.DOUBLE_QUADRATIC).extrapolatorLeft(CurveExtrapolators.FLAT).extrapolatorRight(CurveExtrapolators.FLAT).build());
}
// constructs an interpolated nodal curve definition
internal InterpolatedNodalCurveDefinition createCurveDefinition(IList <CurveNode> nodes)
{
return(InterpolatedNodalCurveDefinition.builder().name(curveName).xValueType(xValueType).yValueType(yValueType).dayCount(dayCount).nodes(nodes).interpolator(interpolator).extrapolatorLeft(extrapolatorLeft).extrapolatorRight(extrapolatorRight).build());
}
