//-------------------------------------------------------------------------
// 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)));
}
// Check synthetic calibration in the case of existing time-series with fixing on the valuation date
public virtual void calibrate_ts_vd()
{
SyntheticRatesCurveCalibrator calibratorDefault = SyntheticRatesCurveCalibrator.standard();
MarketData mad = calibratorDefault.marketData(GROUPS_SYN_EUR, MULTICURVE_INPUT_EUR_TSLARGE, REF_DATA);
RatesProvider multicurveSyn = CALIBRATOR_SYNTHETIC.calibrate(GROUPS_SYN_EUR, MULTICURVE_INPUT_EUR_TSLARGE, REF_DATA);
foreach (CurveDefinition entry in GROUPS_SYN_EUR.CurveDefinitions)
{
ImmutableList <CurveNode> nodes = entry.Nodes;
foreach (CurveNode node in nodes)
{
ResolvedTrade trade = node.resolvedTrade(1d, mad, REF_DATA);
double mqIn = MQ_MEASURES.value(trade, MULTICURVE_INPUT_EUR_TSLARGE);
double mqSy = MQ_MEASURES.value(trade, multicurveSyn);
assertEquals(mqIn, mqSy, TOLERANCE_MQ);
}
}
}
