// calculate one measure
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: private com.opengamma.strata.collect.result.Result<?> calculate(com.opengamma.strata.calc.Measure measure, com.opengamma.strata.product.credit.ResolvedCdsIndexTrade trade, CreditRatesScenarioMarketData marketData, com.opengamma.strata.basics.ReferenceData refData)
private Result <object> calculate(Measure measure, ResolvedCdsIndexTrade trade, CreditRatesScenarioMarketData marketData, ReferenceData refData)
{
SingleMeasureCalculation calculator = CALCULATORS.get(measure);
if (calculator == null)
{
return(Result.failure(FailureReason.UNSUPPORTED, "Unsupported measure for CdsIndexTrade: {}", measure));
}
return(Result.of(() => calculator(trade, marketData, refData)));
}
/// <summary>
/// Computes parallel CS01 for CDS index using a single credit curve.
/// <para>
/// This is coherent to the pricer <seealso cref="IsdaHomogenousCdsIndexTradePricer"/>.
/// The relevant credit curve must be stored in {@code RatesProvider}.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="bucketCdsIndex"> the CDS index bucket </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="refData"> the reference data </param>
/// <returns> the parallel CS01 </returns>
public virtual CurrencyAmount parallelCs01(ResolvedCdsIndexTrade trade, IList <ResolvedCdsIndexTrade> bucketCdsIndex, CreditRatesProvider ratesProvider, ReferenceData refData)
{
ResolvedCdsTrade cdsTrade = trade.toSingleNameCds();
//JAVA TO C# CONVERTER TODO TASK: Method reference arbitrary object instance method syntax is not converted by Java to C# Converter:
IList <ResolvedCdsTrade> bucketCds = bucketCdsIndex.Select(ResolvedCdsIndexTrade::toSingleNameCds).ToList();
CurrencyAmount cs01Cds = parallelCs01(cdsTrade, bucketCds, ratesProvider, refData);
double indexFactor = getIndexFactor(cdsTrade.Product, ratesProvider);
return(cs01Cds.multipliedBy(indexFactor));
}
/// <summary>
/// Computes bucketed CS01 for CDS index using a single credit curve.
/// <para>
/// This is coherent to the pricer <seealso cref="IsdaHomogenousCdsIndexTradePricer"/>.
/// The relevant credit curve must be stored in {@code RatesProvider}.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="bucketCdsIndex"> the CDS index bucket </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="refData"> the reference data </param>
/// <returns> the bucketed CS01 </returns>
public virtual CurrencyParameterSensitivity bucketedCs01(ResolvedCdsIndexTrade trade, IList <ResolvedCdsIndexTrade> bucketCdsIndex, CreditRatesProvider ratesProvider, ReferenceData refData)
{
ResolvedCdsTrade cdsTrade = trade.toSingleNameCds();
//JAVA TO C# CONVERTER TODO TASK: Method reference arbitrary object instance method syntax is not converted by Java to C# Converter:
IList <ResolvedCdsTrade> bucketCds = bucketCdsIndex.Select(ResolvedCdsIndexTrade::toSingleNameCds).ToList();
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IList <ResolvedTradeParameterMetadata> metadata = bucketCdsIndex.Select(t => ResolvedTradeParameterMetadata.of(t, t.Product.ProtectionEndDate.ToString())).collect(Guavate.toImmutableList());
CurrencyParameterSensitivity bucketedCs01 = this.bucketedCs01(cdsTrade, bucketCds, metadata, ratesProvider, refData);
double indexFactor = getIndexFactor(cdsTrade.Product, ratesProvider);
return(bucketedCs01.multipliedBy(indexFactor));
}
//-------------------------------------------------------------------------
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: @Override public java.util.Map<com.opengamma.strata.calc.Measure, com.opengamma.strata.collect.result.Result<?>> calculate(com.opengamma.strata.product.credit.CdsIndexTrade trade, java.util.Set<com.opengamma.strata.calc.Measure> measures, com.opengamma.strata.calc.runner.CalculationParameters parameters, com.opengamma.strata.data.scenario.ScenarioMarketData scenarioMarketData, com.opengamma.strata.basics.ReferenceData refData)
public virtual IDictionary <Measure, Result <object> > calculate(CdsIndexTrade trade, ISet <Measure> measures, CalculationParameters parameters, ScenarioMarketData scenarioMarketData, ReferenceData refData)
{
// resolve the trade once for all measures and all scenarios
ResolvedCdsIndexTrade resolved = trade.resolve(refData);
// use lookup to query market data
CreditRatesMarketDataLookup ledLookup = parameters.getParameter(typeof(CreditRatesMarketDataLookup));
CreditRatesScenarioMarketData marketData = ledLookup.marketDataView(scenarioMarketData);
// loop around measures, calculating all scenarios for one measure
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.calc.Measure, com.opengamma.strata.collect.result.Result<?>> results = new java.util.HashMap<>();
IDictionary <Measure, Result <object> > results = new Dictionary <Measure, Result <object> >();
foreach (Measure measure in measures)
{
results[measure] = calculate(measure, resolved, marketData, refData);
}
return(results);
}
/// <summary>
/// Computes bucketed CS01 for CDS index using a single credit curve.
/// <para>
/// This is coherent to the pricer <seealso cref="IsdaHomogenousCdsIndexTradePricer"/>.
/// The relevant credit curve must be stored in {@code RatesProvider}.
/// </para>
/// <para>
/// The CDS index trades used in the curve calibration are reused as bucket CDS index by this method.
/// Thus the credit curve must store <seealso cref="ResolvedTradeParameterMetadata"/>.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="refData"> the reference data </param>
/// <returns> the bucketed CS01 </returns>
public virtual CurrencyParameterSensitivity bucketedCs01(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
IList <ResolvedCdsIndexTrade> bucketCdsIndex = getBucketCdsIndex(trade.Product, ratesProvider);
return(bucketedCs01(trade, bucketCdsIndex, ratesProvider, refData));
}
//-------------------------------------------------------------------------
/// <summary>
/// Computes parallel CS01 for CDS index using a single credit curve.
/// <para>
/// This is coherent to the pricer <seealso cref="IsdaHomogenousCdsIndexTradePricer"/>.
/// The relevant credit curve must be stored in {@code RatesProvider}.
/// </para>
/// <para>
/// The CDS index trades used in the curve calibration are reused as bucket CDS index by this method.
/// Thus the credit curve must store <seealso cref="ResolvedTradeParameterMetadata"/>.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="refData"> the reference data </param>
/// <returns> the parallel CS01 </returns>
public virtual CurrencyAmount parallelCs01(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
IList <ResolvedCdsIndexTrade> bucketCdsIndex = getBucketCdsIndex(trade.Product, ratesProvider);
return(parallelCs01(trade, bucketCdsIndex, ratesProvider, refData));
}
