public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 1411950943: // xInterpolator
this.xInterpolator = (CurveInterpolator)newValue;
break;
case -382665134: // xExtrapolatorLeft
this.xExtrapolatorLeft = (CurveExtrapolator)newValue;
break;
case 1027943729: // xExtrapolatorRight
this.xExtrapolatorRight = (CurveExtrapolator)newValue;
break;
case 1118547936: // yInterpolator
this.yInterpolator = (CurveInterpolator)newValue;
break;
case 970644563: // yExtrapolatorLeft
this.yExtrapolatorLeft = (CurveExtrapolator)newValue;
break;
case 30871376: // yExtrapolatorRight
this.yExtrapolatorRight = (CurveExtrapolator)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
private static IDictionary <CurveName, LoadedCurveSettings> parseCurveSettings(CharSource settingsResource)
{
ImmutableMap.Builder <CurveName, LoadedCurveSettings> builder = ImmutableMap.builder();
CsvFile csv = CsvFile.of(settingsResource, true);
foreach (CsvRow row in csv.rows())
{
string curveNameStr = row.getField(SETTINGS_CURVE_NAME);
string valueTypeStr = row.getField(SETTINGS_VALUE_TYPE);
string dayCountStr = row.getField(SETTINGS_DAY_COUNT);
string interpolatorStr = row.getField(SETTINGS_INTERPOLATOR);
string leftExtrapolatorStr = row.getField(SETTINGS_LEFT_EXTRAPOLATOR);
string rightExtrapolatorStr = row.getField(SETTINGS_RIGHT_EXTRAPOLATOR);
if (!VALUE_TYPE_MAP.containsKey(valueTypeStr.ToLower(Locale.ENGLISH)))
{
throw new System.ArgumentException(Messages.format("Unsupported {} in curve settings: {}", SETTINGS_VALUE_TYPE, valueTypeStr));
}
CurveName curveName = CurveName.of(curveNameStr);
ValueType valueType = VALUE_TYPE_MAP.get(valueTypeStr.ToLower(Locale.ENGLISH));
CurveInterpolator interpolator = CurveInterpolator.of(interpolatorStr);
CurveExtrapolator leftExtrap = CurveExtrapolator.of(leftExtrapolatorStr);
CurveExtrapolator rightExtrap = CurveExtrapolator.of(rightExtrapolatorStr);
// ONE_ONE day count is not used
DayCount dayCount = LoaderUtils.parseDayCount(dayCountStr);
LoadedCurveSettings settings = LoadedCurveSettings.of(curveName, ValueType.YEAR_FRACTION, valueType, dayCount, interpolator, leftExtrap, rightExtrap);
builder.put(curveName, settings);
}
return(builder.build());
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case -450004177: // metadata
this.metadata_Renamed = (CurveMetadata)newValue;
break;
case 1681280954: // xValues
this.xValues_Renamed = (DoubleArray)newValue;
break;
case -1726182661: // yValues
this.yValues_Renamed = (DoubleArray)newValue;
break;
case 2096253127: // interpolator
this.interpolator_Renamed = (CurveInterpolator)newValue;
break;
case 1271703994: // extrapolatorLeft
this.extrapolatorLeft_Renamed = (CurveExtrapolator)newValue;
break;
case 773779145: // extrapolatorRight
this.extrapolatorRight_Renamed = (CurveExtrapolator)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(InterpolatedNodalCurve beanToCopy)
{
this.metadata_Renamed = beanToCopy.Metadata;
this.xValues_Renamed = beanToCopy.XValues;
this.yValues_Renamed = beanToCopy.YValues;
this.interpolator_Renamed = beanToCopy.Interpolator;
this.extrapolatorLeft_Renamed = beanToCopy.ExtrapolatorLeft;
this.extrapolatorRight_Renamed = beanToCopy.ExtrapolatorRight;
}
private GridSurfaceInterpolator(CurveInterpolator xInterpolator, CurveExtrapolator xExtrapolatorLeft, CurveExtrapolator xExtrapolatorRight, CurveInterpolator yInterpolator, CurveExtrapolator yExtrapolatorLeft, CurveExtrapolator yExtrapolatorRight)
{
this.xInterpolator = xInterpolator;
this.xExtrapolatorLeft = xExtrapolatorLeft;
this.xExtrapolatorRight = xExtrapolatorRight;
this.yInterpolator = yInterpolator;
this.yExtrapolatorLeft = yExtrapolatorLeft;
this.yExtrapolatorRight = yExtrapolatorRight;
}
internal Bound(CurveInterpolator xInterpolator, CurveExtrapolator xExtrapolatorLeft, CurveExtrapolator xExtrapolatorRight, int paramSize, DoubleArray xValuesUnique, BoundCurveInterpolator[] yInterpolators)
{
this.xInterpolator = xInterpolator;
this.xExtrapolatorLeft = xExtrapolatorLeft;
this.xExtrapolatorRight = xExtrapolatorRight;
this.xValuesUnique = xValuesUnique;
this.paramSize = paramSize;
this.yInterpolators = yInterpolators;
}
static DiscountingFraProductPricerTest()
{
CurveInterpolator interp = CurveInterpolators.DOUBLE_QUADRATIC;
DoubleArray time_gbp = DoubleArray.of(0.0, 0.1, 0.25, 0.5, 0.75, 1.0, 2.0);
DoubleArray rate_gbp = DoubleArray.of(0.0160, 0.0165, 0.0155, 0.0155, 0.0155, 0.0150, 0.014);
InterpolatedNodalCurve dscCurve = InterpolatedNodalCurve.of(Curves.zeroRates("GBP-Discount", DAY_COUNT), time_gbp, rate_gbp, interp);
DoubleArray time_index = DoubleArray.of(0.0, 0.25, 0.5, 1.0);
DoubleArray rate_index = DoubleArray.of(0.0180, 0.0180, 0.0175, 0.0165);
InterpolatedNodalCurve indexCurve = InterpolatedNodalCurve.of(Curves.zeroRates("GBP-GBPIBOR3M", DAY_COUNT), time_index, rate_index, interp);
IMM_PROV = ImmutableRatesProvider.builder(VAL_DATE).discountCurve(GBP, dscCurve).iborIndexCurve(GBP_LIBOR_3M, indexCurve).build();
}
private LoadedCurveSettings(CurveName curveName, ValueType xValueType, ValueType yValueType, DayCount dayCount, CurveInterpolator interpolator, CurveExtrapolator extrapolatorLeft, CurveExtrapolator extrapolatorRight)
{
JodaBeanUtils.notNull(curveName, "curveName");
JodaBeanUtils.notNull(xValueType, "xValueType");
JodaBeanUtils.notNull(yValueType, "yValueType");
JodaBeanUtils.notNull(dayCount, "dayCount");
JodaBeanUtils.notNull(interpolator, "interpolator");
JodaBeanUtils.notNull(extrapolatorLeft, "extrapolatorLeft");
JodaBeanUtils.notNull(extrapolatorRight, "extrapolatorRight");
this.curveName = curveName;
this.xValueType = xValueType;
this.yValueType = yValueType;
this.dayCount = dayCount;
this.interpolator = interpolator;
this.extrapolatorLeft = extrapolatorLeft;
this.extrapolatorRight = extrapolatorRight;
}
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);
}
//-------------------------------------------------------------------------
// restricted constructor
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @ImmutableConstructor private InterpolatedNodalCurve(CurveMetadata metadata, com.opengamma.strata.collect.array.DoubleArray xValues, com.opengamma.strata.collect.array.DoubleArray yValues, com.opengamma.strata.market.curve.interpolator.CurveInterpolator interpolator, com.opengamma.strata.market.curve.interpolator.CurveExtrapolator extrapolatorLeft, com.opengamma.strata.market.curve.interpolator.CurveExtrapolator extrapolatorRight)
private InterpolatedNodalCurve(CurveMetadata metadata, DoubleArray xValues, DoubleArray yValues, CurveInterpolator interpolator, CurveExtrapolator extrapolatorLeft, CurveExtrapolator extrapolatorRight)
{
JodaBeanUtils.notNull(metadata, "metadata");
JodaBeanUtils.notNull(xValues, "times");
JodaBeanUtils.notNull(yValues, "values");
JodaBeanUtils.notNull(interpolator, "interpolator");
JodaBeanUtils.notNull(extrapolatorLeft, "extrapolatorLeft");
JodaBeanUtils.notNull(extrapolatorRight, "extrapolatorRight");
if (xValues.size() < 2)
{
throw new System.ArgumentException("Length of x-values must be at least 2");
}
if (xValues.size() != yValues.size())
{
throw new System.ArgumentException("Length of x-values and y-values must match");
}
metadata.ParameterMetadata.ifPresent(@params =>
{
if (xValues.size() != @params.size())
{
throw new System.ArgumentException("Length of x-values and parameter metadata must match when metadata present");
}
});
for (int i = 1; i < xValues.size(); i++)
{
if (xValues.get(i) <= xValues.get(i - 1))
{
throw new System.ArgumentException("Array of x-values must be sorted and unique");
}
}
this.metadata = metadata;
this.xValues = xValues;
this.yValues = yValues;
this.extrapolatorLeft = extrapolatorLeft;
this.interpolator = interpolator;
this.extrapolatorRight = extrapolatorRight;
this.boundInterpolator = interpolator.bind(xValues, yValues, extrapolatorLeft, extrapolatorRight);
this.parameterMetadata = IntStream.range(0, ParameterCount).mapToObj(i => getParameterMetadata(i)).collect(toImmutableList());
}
public virtual void pointAndParameterPriceIndex()
{
double eps = 1.0e-13;
LocalDate valuationDate = LocalDate.of(2014, 1, 22);
DoubleArray x = DoubleArray.of(0.5, 1.0, 2.0);
DoubleArray y = DoubleArray.of(224.2, 262.6, 277.5);
CurveInterpolator interp = CurveInterpolators.NATURAL_CUBIC_SPLINE;
string curveName = "GB_RPI_CURVE";
InterpolatedNodalCurve interpCurve = InterpolatedNodalCurve.of(Curves.prices(curveName), x, y, interp);
ImmutableRatesProvider provider = ImmutableRatesProvider.builder(VAL_DATE).priceIndexCurve(GB_RPI, interpCurve).timeSeries(GB_RPI, LocalDateDoubleTimeSeries.of(date(2013, 11, 30), 200)).build();
double pointSensiValue = 2.5;
YearMonth refMonth = YearMonth.from(valuationDate.plusMonths(9));
InflationRateSensitivity pointSensi = InflationRateSensitivity.of(PriceIndexObservation.of(GB_RPI, refMonth), pointSensiValue);
CurrencyParameterSensitivities computed = provider.parameterSensitivity(pointSensi.build());
DoubleArray sensiComputed = computed.Sensitivities.get(0).Sensitivity;
InflationRateSensitivity pointSensi1 = InflationRateSensitivity.of(PriceIndexObservation.of(GB_RPI, refMonth), 1);
DoubleArray sensiExpectedUnit = provider.priceIndexValues(GB_RPI).parameterSensitivity(pointSensi1).Sensitivities.get(0).Sensitivity;
assertTrue(sensiComputed.equalWithTolerance(sensiExpectedUnit.multipliedBy(pointSensiValue), eps));
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(dataProvider = "name") public void test_of_lookup(CurveInterpolator convention, String name)
public virtual void test_of_lookup(CurveInterpolator convention, string name)
{
assertEquals(CurveInterpolator.of(name), convention);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(dataProvider = "name") public void test_toString(CurveInterpolator convention, String name)
public virtual void test_toString(CurveInterpolator convention, string name)
{
assertEquals(convention.ToString(), name);
}
/// <summary>
/// Obtains an instance with time interpolator, strike interpolator and shift curve.
/// <para>
/// The extrapolation is completed by default extrapolators in {@code GridSurfaceInterpolator}.
///
/// </para>
/// </summary>
/// <param name="name"> the name of the volatilities </param>
/// <param name="index"> the Ibor index </param>
/// <param name="dayCount"> the day count to use </param>
/// <param name="timeInterpolator"> the time interpolator </param>
/// <param name="strikeInterpolator"> the strike interpolator </param>
/// <param name="shiftCurve"> the shift curve </param>
/// <returns> the instance </returns>
public static SurfaceIborCapletFloorletVolatilityBootstrapDefinition of(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, CurveInterpolator timeInterpolator, CurveInterpolator strikeInterpolator, Curve shiftCurve)
{
GridSurfaceInterpolator gridInterpolator = GridSurfaceInterpolator.of(timeInterpolator, strikeInterpolator);
return(of(name, index, dayCount, gridInterpolator, shiftCurve));
}
private readonly IList <ParameterMetadata> parameterMetadata; // derived, not a property
//-------------------------------------------------------------------------
/// <summary>
/// Creates an interpolated curve with metadata.
/// </summary>
/// <param name="metadata"> the curve metadata </param>
/// <param name="xValues"> the x-values </param>
/// <param name="yValues"> the y-values </param>
/// <param name="interpolator"> the interpolator </param>
/// <returns> the curve </returns>
public static InterpolatedNodalCurve of(CurveMetadata metadata, DoubleArray xValues, DoubleArray yValues, CurveInterpolator interpolator)
{
return(InterpolatedNodalCurve.builder().metadata(metadata).xValues(xValues).yValues(yValues).interpolator(interpolator).build());
}
/// <summary>
/// Obtains an instance from the specified interpolators and extrapolators.
/// </summary>
/// <param name="xInterpolator"> the x-value interpolator </param>
/// <param name="xExtrapolatorLeft"> the x-value left extrapolator </param>
/// <param name="xExtrapolatorRight"> the x-value right extrapolator </param>
/// <param name="yInterpolator"> the y-value interpolator </param>
/// <param name="yExtrapolatorLeft"> the y-value left extrapolator </param>
/// <param name="yExtrapolatorRight"> the y-value right extrapolator </param>
/// <returns> the index </returns>
/// <exception cref="IllegalArgumentException"> if the name is not known </exception>
public static GridSurfaceInterpolator of(CurveInterpolator xInterpolator, CurveExtrapolator xExtrapolatorLeft, CurveExtrapolator xExtrapolatorRight, CurveInterpolator yInterpolator, CurveExtrapolator yExtrapolatorLeft, CurveExtrapolator yExtrapolatorRight)
{
return(new GridSurfaceInterpolator(xInterpolator, xExtrapolatorLeft, xExtrapolatorRight, yInterpolator, yExtrapolatorLeft, yExtrapolatorRight));
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an instance from the specified interpolators, using flat extrapolation.
/// </summary>
/// <param name="xInterpolator"> the x-value interpolator </param>
/// <param name="yInterpolator"> the y-value interpolator </param>
/// <returns> the index </returns>
/// <exception cref="IllegalArgumentException"> if the name is not known </exception>
public static GridSurfaceInterpolator of(CurveInterpolator xInterpolator, CurveInterpolator yInterpolator)
{
return(new GridSurfaceInterpolator(xInterpolator, FLAT, FLAT, yInterpolator, FLAT, FLAT));
}
/// <summary>
/// Creates an interpolated curve with metadata.
/// </summary>
/// <param name="metadata"> the curve metadata </param>
/// <param name="xValues"> the x-values </param>
/// <param name="yValues"> the y-values </param>
/// <param name="interpolator"> the interpolator </param>
/// <param name="extrapolatorLeft"> the extrapolator for extrapolating off the left-hand end of the curve </param>
/// <param name="extrapolatorRight"> the extrapolator for extrapolating off the right-hand end of the curve </param>
/// <returns> the curve </returns>
public static InterpolatedNodalCurve of(CurveMetadata metadata, DoubleArray xValues, DoubleArray yValues, CurveInterpolator interpolator, CurveExtrapolator extrapolatorLeft, CurveExtrapolator extrapolatorRight)
{
return(InterpolatedNodalCurve.builder().metadata(metadata).xValues(xValues).yValues(yValues).interpolator(interpolator).extrapolatorLeft(extrapolatorLeft).extrapolatorRight(extrapolatorRight).build());
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(dataProvider = "name") public void test_extendedEnum(CurveInterpolator convention, String name)
public virtual void test_extendedEnum(CurveInterpolator convention, string name)
{
ImmutableMap <string, CurveInterpolator> map = CurveInterpolator.extendedEnum().lookupAll();
assertEquals(map.get(name), convention);
}
public virtual void test_of_lookup_notFound()
{
assertThrowsIllegalArg(() => CurveInterpolator.of("Rubbish"));
}
public virtual void test_of_lookup_null()
{
assertThrowsIllegalArg(() => CurveInterpolator.of(null));
}
/// <summary>
/// Sets the interpolator.
/// This is used for x-values between the smallest and largest known x-value. </summary>
/// <param name="interpolator"> the new value, not null </param>
/// <returns> this, for chaining, not null </returns>
public Builder interpolator(CurveInterpolator interpolator)
{
JodaBeanUtils.notNull(interpolator, "interpolator");
this.interpolator_Renamed = interpolator;
return(this);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(dataProvider = "name") public void test_name(CurveInterpolator convention, String name)
public virtual void test_name(CurveInterpolator convention, string name)
{
assertEquals(convention.Name, name);
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an instance.
/// </summary>
/// <param name="curveName"> the curve name </param>
/// <param name="yValueType"> the value type </param>
/// <param name="dayCount"> the day count </param>
/// <param name="interpolator"> the interpolator </param>
/// <param name="extrapolatorLeft"> the left extrapolator </param>
/// <param name="extrapolatorRight"> the right extrapolator </param>
/// <returns> the curve settings </returns>
internal static LoadedCurveSettings of(CurveName curveName, ValueType xValueType, ValueType yValueType, DayCount dayCount, CurveInterpolator interpolator, CurveExtrapolator extrapolatorLeft, CurveExtrapolator extrapolatorRight)
{
return(new LoadedCurveSettings(curveName, xValueType, yValueType, dayCount, interpolator, extrapolatorLeft, extrapolatorRight));
}
/// <summary>
/// Obtains an instance with time interpolator and strike interpolator.
/// <para>
/// The extrapolation is completed by default extrapolators in {@code GridSurfaceInterpolator}.
///
/// </para>
/// </summary>
/// <param name="name"> the name of the volatilities </param>
/// <param name="index"> the Ibor index </param>
/// <param name="dayCount"> the day count to use </param>
/// <param name="timeInterpolator"> the time interpolator </param>
/// <param name="strikeInterpolator"> the strike interpolator </param>
/// <returns> the instance </returns>
public static SurfaceIborCapletFloorletVolatilityBootstrapDefinition of(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, CurveInterpolator timeInterpolator, CurveInterpolator strikeInterpolator)
{
return(of(name, index, dayCount, timeInterpolator, strikeInterpolator, null));
}
