//-------------------------------------------------------------------------
public virtual void test_marketDataView()
{
BondFutureOptionMarketDataLookup test = BondFutureOptionMarketDataLookup.of(SEC_OG1, VOL_ID1);
LocalDate valDate = date(2015, 6, 30);
ScenarioMarketData md = new TestMarketDataMap(valDate, ImmutableMap.of(), ImmutableMap.of());
BondFutureOptionScenarioMarketData multiScenario = test.marketDataView(md);
assertEquals(multiScenario.Lookup, test);
assertEquals(multiScenario.MarketData, md);
assertEquals(multiScenario.ScenarioCount, 1);
BondFutureOptionMarketData scenario = multiScenario.scenario(0);
assertEquals(scenario.Lookup, test);
assertEquals(scenario.MarketData, md.scenario(0));
assertEquals(scenario.ValuationDate, valDate);
}
//-------------------------------------------------------------------------
// calculates calibrated bucketed PV01 for all scenarios
internal ScenarioArray <CurrencyParameterSensitivities> pv01CalibratedBucketed(ResolvedBondFutureOptionTrade trade, LegalEntityDiscountingScenarioMarketData legalEntityMarketData, BondFutureOptionScenarioMarketData optionMarketData)
{
SecurityId securityId = trade.Product.UnderlyingFuture.SecurityId;
return(ScenarioArray.of(legalEntityMarketData.ScenarioCount, i => pv01CalibratedBucketed(trade, legalEntityMarketData.scenario(i).discountingProvider(), optionMarketData.scenario(i).volatilities(securityId))));
}
//-------------------------------------------------------------------------
// calculates present value for all scenarios
internal CurrencyScenarioArray presentValue(ResolvedBondFutureOptionTrade trade, LegalEntityDiscountingScenarioMarketData legalEntityMarketData, BondFutureOptionScenarioMarketData optionMarketData)
{
SecurityId securityId = trade.Product.UnderlyingFuture.SecurityId;
return(CurrencyScenarioArray.of(legalEntityMarketData.ScenarioCount, i => presentValue(trade, legalEntityMarketData.scenario(i).discountingProvider(), optionMarketData.scenario(i).volatilities(securityId))));
}