//-------------------------------------------------------------------------
public virtual void test_of_single()
{
IborFutureOptionMarketDataLookup test = IborFutureOptionMarketDataLookup.of(USD_LIBOR_3M, VOL_ID1);
assertEquals(test.queryType(), typeof(IborFutureOptionMarketDataLookup));
assertEquals(test.VolatilityIndices, ImmutableSet.of(USD_LIBOR_3M));
assertEquals(test.getVolatilityIds(USD_LIBOR_3M), ImmutableSet.of(VOL_ID1));
assertThrowsIllegalArg(() => test.getVolatilityIds(GBP_LIBOR_3M));
assertEquals(test.requirements(USD_LIBOR_3M), FunctionRequirements.builder().valueRequirements(VOL_ID1).build());
assertEquals(test.requirements(ImmutableSet.of(USD_LIBOR_3M)), FunctionRequirements.builder().valueRequirements(VOL_ID1).build());
assertThrowsIllegalArg(() => test.requirements(ImmutableSet.of(GBP_LIBOR_3M)));
}
public virtual void test_of_map()
{
ImmutableMap <IborIndex, IborFutureOptionVolatilitiesId> ids = ImmutableMap.of(USD_LIBOR_3M, VOL_ID1, USD_LIBOR_6M, VOL_ID1);
IborFutureOptionMarketDataLookup test = IborFutureOptionMarketDataLookup.of(ids);
assertEquals(test.queryType(), typeof(IborFutureOptionMarketDataLookup));
assertEquals(test.VolatilityIndices, ImmutableSet.of(USD_LIBOR_3M, USD_LIBOR_6M));
assertEquals(test.getVolatilityIds(USD_LIBOR_3M), ImmutableSet.of(VOL_ID1));
assertThrowsIllegalArg(() => test.getVolatilityIds(GBP_LIBOR_3M));
assertEquals(test.requirements(USD_LIBOR_3M), FunctionRequirements.builder().valueRequirements(VOL_ID1).build());
assertEquals(test.requirements(ImmutableSet.of(USD_LIBOR_3M)), FunctionRequirements.builder().valueRequirements(VOL_ID1).build());
assertThrowsIllegalArg(() => test.requirements(ImmutableSet.of(GBP_LIBOR_3M)));
assertEquals(test.volatilities(USD_LIBOR_3M, MOCK_MARKET_DATA), MOCK_VOLS);
assertThrowsIllegalArg(() => test.volatilities(GBP_LIBOR_3M, MOCK_MARKET_DATA));
}
//-------------------------------------------------------------------------
public virtual FunctionRequirements requirements(T target, ISet <Measure> measures, CalculationParameters parameters, ReferenceData refData)
{
// extract data from product
IborFutureOption option = target.Product;
QuoteId optionQuoteId = QuoteId.of(option.SecurityId.StandardId, FieldName.SETTLEMENT_PRICE);
Currency currency = option.Currency;
IborIndex index = option.Index;
// use lookup to build requirements
RatesMarketDataLookup ratesLookup = parameters.getParameter(typeof(RatesMarketDataLookup));
FunctionRequirements ratesReqs = ratesLookup.requirements(currency, index);
IborFutureOptionMarketDataLookup optionLookup = parameters.getParameter(typeof(IborFutureOptionMarketDataLookup));
FunctionRequirements optionReqs = optionLookup.requirements(index);
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: com.google.common.collect.ImmutableSet<com.opengamma.strata.data.MarketDataId<?>> valueReqs = com.google.common.collect.ImmutableSet.builder<com.opengamma.strata.data.MarketDataId<?>>().add(optionQuoteId).addAll(ratesReqs.getValueRequirements()).addAll(optionReqs.getValueRequirements()).build();
ImmutableSet <MarketDataId <object> > valueReqs = ImmutableSet.builder <MarketDataId <object> >().add(optionQuoteId).addAll(ratesReqs.ValueRequirements).addAll(optionReqs.ValueRequirements).build();
return(ratesReqs.toBuilder().valueRequirements(valueReqs).build());
}