internal static InterpolatedNodalCurveDefinition fraSwapCurveDefinition()
{
string fra3x6 = "fra3x6";
string fra6x9 = "fra6x9";
string swap1y = "swap1y";
string swap2y = "swap2y";
string swap3y = "swap3y";
FraCurveNode fra3x6Node = CurveTestUtils.fraNode(3, fra3x6);
FraCurveNode fra6x9Node = CurveTestUtils.fraNode(6, fra6x9);
FixedIborSwapCurveNode swap1yNode = fixedIborSwapNode(Tenor.TENOR_1Y, swap1y);
FixedIborSwapCurveNode swap2yNode = fixedIborSwapNode(Tenor.TENOR_2Y, swap2y);
FixedIborSwapCurveNode swap3yNode = fixedIborSwapNode(Tenor.TENOR_3Y, swap3y);
CurveName curveName = CurveName.of("FRA and Fixed-Float Swap Curve");
IList <CurveNode> nodes = ImmutableList.of(fra3x6Node, fra6x9Node, swap1yNode, swap2yNode, swap3yNode);
return(InterpolatedNodalCurveDefinition.builder().name(curveName).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(DayCounts.ACT_ACT_ISDA).nodes(nodes).interpolator(CurveInterpolators.DOUBLE_QUADRATIC).extrapolatorLeft(CurveExtrapolators.FLAT).extrapolatorRight(CurveExtrapolators.FLAT).build());
}
/// <summary>
/// Tests that par rates and ibor index are required for curves.
/// </summary>
public virtual void requirements()
{
FraCurveNode node1x4 = CurveTestUtils.fraNode(1, "foo");
FraCurveNode node2x5 = CurveTestUtils.fraNode(2, "foo");
IList <CurveNode> nodes = ImmutableList.of(node1x4, node2x5);
CurveGroupName groupName = CurveGroupName.of("Curve Group");
CurveName curveName = CurveName.of("FRA Curve");
ObservableSource obsSource = ObservableSource.of("Vendor");
InterpolatedNodalCurveDefinition curveDefn = InterpolatedNodalCurveDefinition.builder().name(curveName).nodes(nodes).interpolator(CurveInterpolators.DOUBLE_QUADRATIC).extrapolatorLeft(CurveExtrapolators.FLAT).extrapolatorRight(CurveExtrapolators.FLAT).build();
RateIndex ibor = IborIndices.USD_LIBOR_3M;
RatesCurveGroupDefinition groupDefn = RatesCurveGroupDefinition.builder().name(groupName).addCurve(curveDefn, Currency.USD, ibor).build();
MarketDataConfig marketDataConfig = MarketDataConfig.builder().add(groupName, groupDefn).build();
RatesCurveGroupMarketDataFunction function = new RatesCurveGroupMarketDataFunction();
RatesCurveGroupId curveGroupId = RatesCurveGroupId.of(groupName, obsSource);
MarketDataRequirements requirements = function.requirements(curveGroupId, marketDataConfig);
assertThat(requirements.NonObservables).contains(RatesCurveInputsId.of(groupName, curveName, obsSource));
assertThat(requirements.TimeSeries.contains(IndexQuoteId.of(ibor)));
}