//-------------------------------------------------------------------------
public virtual void test_load_all_curves()
{
ListMultimap <LocalDate, RatesCurveGroup> allGroups = RatesCurvesCsvLoader.loadAllDates(ResourceLocator.of(GROUPS_1), ResourceLocator.of(SETTINGS_1), ImmutableList.of(ResourceLocator.of(CURVES_1), ResourceLocator.of(CURVES_2), ResourceLocator.of(CURVES_3)));
assertEquals(allGroups.size(), 2);
assertCurves(allGroups.get(CURVE_DATE));
IList <RatesCurveGroup> curves3 = allGroups.get(CURVE_DATE_CURVES_3);
assertEquals(curves3.Count, 1);
RatesCurveGroup group = curves3[0];
// All curve points are set to 0 in test data to ensure these are really different curve instances
Curve usdDisc = group.findDiscountCurve(Currency.USD).get();
InterpolatedNodalCurve usdDiscNodal = (InterpolatedNodalCurve)usdDisc;
assertEquals(usdDiscNodal.Metadata.CurveName, CurveName.of("USD-Disc"));
assertTrue(usdDiscNodal.YValues.equalZeroWithTolerance(0d));
Curve usd3ml = group.findForwardCurve(IborIndices.USD_LIBOR_3M).get();
InterpolatedNodalCurve usd3mlNodal = (InterpolatedNodalCurve)usd3ml;
assertEquals(usd3mlNodal.Metadata.CurveName, CurveName.of("USD-3ML"));
assertTrue(usd3mlNodal.YValues.equalZeroWithTolerance(0d));
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(expectedExceptions = IllegalArgumentException.class, expectedExceptionsMessageRegExp = "Missing settings for curve: .*") public void test_noSettings()
public virtual void test_noSettings()
{
IList <RatesCurveGroup> curveGroups = RatesCurvesCsvLoader.load(CURVE_DATE, ResourceLocator.of(GROUPS_1), ResourceLocator.of(SETTINGS_EMPTY), ImmutableList.of(ResourceLocator.of(CURVES_1)));
assertEquals(curveGroups.Count, 1);
RatesCurveGroup curveGroup = Iterables.getOnlyElement(curveGroups);
assertUsdDisc(curveGroup.findDiscountCurve(Currency.USD).get());
}
//-------------------------------------------------------------------------
public virtual void test_writer_curve_settings()
{
IList <RatesCurveGroup> curveGroups = RatesCurvesCsvLoader.load(CURVE_DATE, ResourceLocator.of(GROUPS_1), ResourceLocator.of(SETTINGS_1), ImmutableList.of(ResourceLocator.of(CURVES_1), ResourceLocator.of(CURVES_2)));
Appendable underlying = new StringBuilder();
RatesCurvesCsvLoader.writeCurveSettings(underlying, curveGroups[0]);
string created = underlying.ToString();
string expected = "Curve Name,Value Type,Day Count,Interpolator,Left Extrapolator,Right Extrapolator" + Environment.NewLine +
"USD-Disc,zero,Act/Act ISDA,Linear,Flat,Flat" + Environment.NewLine +
"USD-3ML,zero,Act/Act ISDA,Linear,Flat,Flat" + Environment.NewLine;
assertEquals(created, expected);
}
// parse based on pre-parsed seasonality
private static ImmutableMap <CurveGroupName, RatesCurveGroupDefinition> parse0(CharSource groupsCharSource, CharSource settingsCharSource, IDictionary <CurveName, SeasonalityDefinition> seasonality, ICollection <CharSource> curveNodeCharSources)
{
// load curve groups and settings
IList <RatesCurveGroupDefinition> curveGroups = RatesCurveGroupDefinitionCsvLoader.parseCurveGroupDefinitions(groupsCharSource);
IDictionary <CurveName, LoadedCurveSettings> settingsMap = RatesCurvesCsvLoader.parseCurveSettings(settingsCharSource);
// load curve definitions
IList <CurveDefinition> curveDefinitions = curveNodeCharSources.stream().flatMap(res => parseSingle(res, settingsMap).stream()).collect(toImmutableList());
// Add the curve definitions to the curve group definitions
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
return(curveGroups.Select(groupDefinition => groupDefinition.withCurveDefinitions(curveDefinitions).withSeasonalityDefinitions(seasonality)).collect(toImmutableMap(groupDefinition => groupDefinition.Name)));
}
public virtual void test_writeCurveGroup()
{
IList <RatesCurveGroup> curveGroups = RatesCurvesCsvLoader.load(CURVE_DATE, ResourceLocator.of(GROUPS_1), ResourceLocator.of(SETTINGS_1), ImmutableList.of(ResourceLocator.of(CURVES_1), ResourceLocator.of(CURVES_2)));
Appendable underlying = new StringBuilder();
RatesCurveGroupDefinitionCsvLoader.writeCurveGroup(underlying, curveGroups[0]);
string created = underlying.ToString();
string expected = "Group Name,Curve Type,Reference,Curve Name" + Environment.NewLine +
"Default,discount,USD,USD-Disc" + Environment.NewLine +
"Default,forward,USD-LIBOR-3M,USD-3ML" + Environment.NewLine;
assertEquals(created, expected);
}
public virtual void test_writer_curve_nodes()
{
IList <RatesCurveGroup> curveGroups = RatesCurvesCsvLoader.load(CURVE_DATE, ResourceLocator.of(GROUPS_1), ResourceLocator.of(SETTINGS_1), ImmutableList.of(ResourceLocator.of(CURVES_1), ResourceLocator.of(CURVES_2)));
Appendable underlying = new StringBuilder();
RatesCurvesCsvLoader.writeCurveNodes(underlying, CURVE_DATE, curveGroups[0]);
string created = underlying.ToString();
string expected = "Valuation Date,Curve Name,Date,Value,Label" + Environment.NewLine +
"2009-07-31,USD-Disc,2009-11-06,0.001763775,3M" + Environment.NewLine +
"2009-07-31,USD-Disc,2010-02-08,0.002187884,6M" + Environment.NewLine +
"2009-07-31,USD-Disc,2010-08-06,0.004437206,1Y" + Environment.NewLine +
"2009-07-31,USD-Disc,2011-08-08,0.011476741,2Y" + Environment.NewLine +
"2009-07-31,USD-Disc,2012-08-08,0.017859057,3Y" + Environment.NewLine +
"2009-07-31,USD-Disc,2014-08-06,0.026257102,5Y" + Environment.NewLine +
"2009-07-31,USD-Disc,2019-08-07,0.035521988,10Y" + Environment.NewLine +
"2009-07-31,USD-3ML,2009-11-04,0.007596889,3M" + Environment.NewLine +
"2009-07-31,USD-3ML,2010-08-04,0.008091541,1Y" + Environment.NewLine +
"2009-07-31,USD-3ML,2011-08-04,0.015244398,2Y" + Environment.NewLine +
"2009-07-31,USD-3ML,2012-08-06,0.021598026,3Y" + Environment.NewLine +
"2009-07-31,USD-3ML,2014-08-05,0.029984216,5Y" + Environment.NewLine +
"2009-07-31,USD-3ML,2019-08-06,0.039245812,10Y" + Environment.NewLine;
assertEquals(created, expected);
}
public virtual void test_load_curves_date_filtering()
{
IList <RatesCurveGroup> curves = RatesCurvesCsvLoader.load(CURVE_DATE, ResourceLocator.of(GROUPS_1), ResourceLocator.of(SETTINGS_1), ImmutableList.of(ResourceLocator.of(CURVES_1), ResourceLocator.of(CURVES_2), ResourceLocator.of(CURVES_3)));
assertCurves(curves);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(expectedExceptions = IllegalArgumentException.class) public void test_invalid_curve_duplicate_points()
public virtual void test_invalid_curve_duplicate_points()
{
RatesCurvesCsvLoader.load(CURVE_DATE, ResourceLocator.of(GROUPS_1), ResourceLocator.of(SETTINGS_1), ImmutableList.of(ResourceLocator.of(CURVES_INVALID_DUPLICATE_POINTS)));
}
public virtual void test_multiple_curves_multiple_files()
{
IList <RatesCurveGroup> curveGroups = RatesCurvesCsvLoader.load(CURVE_DATE, ResourceLocator.of(GROUPS_1), ResourceLocator.of(SETTINGS_1), ImmutableList.of(ResourceLocator.of(CURVES_1), ResourceLocator.of(CURVES_2)));
assertCurves(curveGroups);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(expectedExceptions = IllegalArgumentException.class, expectedExceptionsMessageRegExp = "Rates curve loader found multiple curves with the same name: .*") public void test_single_curve_multiple_Files()
public virtual void test_single_curve_multiple_Files()
{
RatesCurvesCsvLoader.load(CURVE_DATE, ResourceLocator.of(GROUPS_1), ResourceLocator.of(SETTINGS_1), ImmutableList.of(ResourceLocator.of(CURVES_1), ResourceLocator.of(CURVES_1)));
}
private void testGroups(string groupsResource)
{
RatesCurvesCsvLoader.load(CURVE_DATE, ResourceLocator.of(groupsResource), ResourceLocator.of(SETTINGS_1), ImmutableList.of(ResourceLocator.of(CURVES_1)));
}
private void testSettings(string settingsResource)
{
RatesCurvesCsvLoader.load(CURVE_DATE, ResourceLocator.of(GROUPS_1), ResourceLocator.of(settingsResource), ImmutableList.of(ResourceLocator.of(CURVES_1)));
}
