/// <summary>
/// Returns a collector that can be used to create a multi-currency amount
/// from a stream of amounts where each amount has a different currency.
/// <para>
/// Each amount in the stream must have a different currency.
///
/// </para>
/// </summary>
/// <returns> the collector </returns>
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: private static java.util.stream.Collector<CurrencyAmount, ?, MultiCurrencyAmount> collectorInternal()
private static Collector <CurrencyAmount, ?, MultiCurrencyAmount> collectorInternal()
{
// this method must not be exposed publicly as misuse creates an instance with invalid state
// it exists because when used internally it offers better performance than collector()
//JAVA TO C# CONVERTER TODO TASK: Method reference constructor syntax is not converted by Java to C# Converter:
return(Collectors.collectingAndThen(Guavate.toImmutableSortedSet(), MultiCurrencyAmount::new));
}
/// <summary>
/// The par spread quotes are converted to points upfronts or quoted spreads.
/// <para>
/// The relevant discount curve and recovery rate curve must be stored in {@code ratesProvider}.
/// The credit curve is internally calibrated to par spread values.
/// </para>
/// <para>
/// {@code trades} must be sorted in ascending order in maturity and coherent to {@code quotes}.
/// </para>
/// <para>
/// The resultant quote is specified by {@code targetConvention}.
///
/// </para>
/// </summary>
/// <param name="trades"> the trades </param>
/// <param name="quotes"> the quotes </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="targetConvention"> the target convention </param>
/// <param name="refData"> the reference data </param>
/// <returns> the quotes </returns>
public virtual IList <CdsQuote> quotesFromParSpread(IList <ResolvedCdsTrade> trades, IList <CdsQuote> quotes, CreditRatesProvider ratesProvider, CdsQuoteConvention targetConvention, ReferenceData refData)
{
ArgChecker.noNulls(trades, "trades");
ArgChecker.noNulls(quotes, "quotes");
ArgChecker.notNull(ratesProvider, "ratesProvider");
ArgChecker.notNull(targetConvention, "targetConvention");
ArgChecker.notNull(refData, "refData");
int nNodes = trades.Count;
ArgChecker.isTrue(quotes.Count == nNodes, "trades and quotes must be the same size");
quotes.ForEach(q => ArgChecker.isTrue(q.QuoteConvention.Equals(CdsQuoteConvention.PAR_SPREAD), "quote must be par spread"));
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IEnumerator <StandardId> legalEntities = trades.Select(t => t.Product.LegalEntityId).collect(Collectors.toSet()).GetEnumerator();
//JAVA TO C# CONVERTER TODO TASK: Java iterators are only converted within the context of 'while' and 'for' loops:
StandardId legalEntityId = legalEntities.next();
//JAVA TO C# CONVERTER TODO TASK: Java iterators are only converted within the context of 'while' and 'for' loops:
ArgChecker.isFalse(legalEntities.hasNext(), "legal entity must be common to trades");
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IEnumerator <Currency> currencies = trades.Select(t => t.Product.Currency).collect(Collectors.toSet()).GetEnumerator();
//JAVA TO C# CONVERTER TODO TASK: Java iterators are only converted within the context of 'while' and 'for' loops:
Currency currency = currencies.next();
//JAVA TO C# CONVERTER TODO TASK: Java iterators are only converted within the context of 'while' and 'for' loops:
ArgChecker.isFalse(currencies.hasNext(), "currency must be common to trades");
LocalDate valuationDate = ratesProvider.ValuationDate;
CreditDiscountFactors discountFactors = ratesProvider.discountFactors(currency);
RecoveryRates recoveryRates = ratesProvider.recoveryRates(legalEntityId);
NodalCurve creditCurve = calibrator.calibrate(trades, DoubleArray.of(nNodes, q => quotes[q].QuotedValue), DoubleArray.filled(nNodes), CurveName.of("temp"), valuationDate, discountFactors, recoveryRates, refData);
CreditRatesProvider ratesProviderNew = ratesProvider.toImmutableCreditRatesProvider().toBuilder().creditCurves(ImmutableMap.of(Pair.of(legalEntityId, currency), LegalEntitySurvivalProbabilities.of(legalEntityId, IsdaCreditDiscountFactors.of(currency, valuationDate, creditCurve)))).build();
System.Func <ResolvedCdsTrade, CdsQuote> quoteValueFunction = createQuoteValueFunction(ratesProviderNew, targetConvention, refData);
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
ImmutableList <CdsQuote> result = trades.Select(c => quoteValueFunction(c)).collect(Collectors.collectingAndThen(Collectors.toList(), ImmutableList.copyOf));
return(result);
}
/// <summary>
/// Applies an operation to the sensitivities in this instance.
/// <para>
/// The result will consist of the same entries, but with the operator applied to each sensitivity value.
/// This instance is immutable and unaffected by this method.
/// </para>
/// <para>
/// This is used to apply a mathematical operation to the sensitivity values.
/// For example, the operator could multiply the sensitivities by a constant, or take the inverse.
/// <pre>
/// inverse = base.mapSensitivities(value -> 1 / value);
/// </pre>
///
/// </para>
/// </summary>
/// <param name="operator"> the operator to be applied to the sensitivities </param>
/// <returns> a {@code PointSensitivities} based on this one, with the operator applied to the sensitivity values </returns>
public PointSensitivities mapSensitivities(System.Func <double, double> @operator)
{
//JAVA TO C# CONVERTER TODO TASK: Method reference constructor syntax is not converted by Java to C# Converter:
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
return(sensitivities.Select(s => s.withSensitivity(@operator(s.Sensitivity))).collect(Collectors.collectingAndThen(Guavate.toImmutableList(), PointSensitivities::new)));
}
