/// <summary>
/// Returns a collector that builds a scenario result based on {@code Double}.
/// <para>
/// This is used at the end of a stream to collect per-scenario instances of {@code Double}
/// into a single instance of <seealso cref="DoubleScenarioArray"/>, which is designed to be space-efficient.
/// </para>
/// <para>
/// Note that <seealso cref="DoubleStream"/> does not support collectors, which makes this less efficient
/// than it should be.
///
/// </para>
/// </summary>
/// <returns> a collector used at the end of a stream of <seealso cref="Double"/> to build a <seealso cref="DoubleScenarioArray"/> </returns>
public static Collector <double, IList <double>, DoubleScenarioArray> toValuesArray()
{
//JAVA TO C# CONVERTER TODO TASK: Method reference constructor syntax is not converted by Java to C# Converter:
return(Collector.of(List <double>::new, (a, b) => a.add(b), (l, r) =>
{
l.addAll(r);
return l;
}, list => DoubleScenarioArray.of(list)));
}
//-------------------------------------------------------------------------
// calculates par spread for all scenarios
internal DoubleScenarioArray parSpread(ResolvedFraTrade trade, RatesScenarioMarketData marketData)
{
return(DoubleScenarioArray.of(marketData.ScenarioCount, i => parSpread(trade, marketData.scenario(i).ratesProvider())));
}
public virtual void test_simpleMeasures()
{
TermDepositTradeCalculationFunction function = new TermDepositTradeCalculationFunction();
ScenarioMarketData md = marketData();
RatesProvider provider = RATES_LOOKUP.ratesProvider(md.scenario(0));
DiscountingTermDepositTradePricer pricer = DiscountingTermDepositTradePricer.DEFAULT;
CurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider);
double expectedParRate = pricer.parRate(RTRADE, provider);
double expectedParSpread = pricer.parSpread(RTRADE, provider);
MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(RTRADE, provider);
CurrencyAmount expectedCurrentCash = pricer.currentCash(RTRADE, provider);
ISet <Measure> measures = ImmutableSet.of(Measures.PRESENT_VALUE, Measures.PAR_RATE, Measures.PAR_SPREAD, Measures.CURRENCY_EXPOSURE, Measures.CURRENT_CASH, Measures.RESOLVED_TARGET);
assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.PRESENT_VALUE, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedPv)))).containsEntry(Measures.PAR_RATE, Result.success(DoubleScenarioArray.of(ImmutableList.of(expectedParRate)))).containsEntry(Measures.PAR_SPREAD, Result.success(DoubleScenarioArray.of(ImmutableList.of(expectedParSpread)))).containsEntry(Measures.CURRENCY_EXPOSURE, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure)))).containsEntry(Measures.CURRENT_CASH, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedCurrentCash)))).containsEntry(Measures.RESOLVED_TARGET, Result.success(RTRADE));
}
public virtual void test_simpleMeasures()
{
CurrencyAmount expectedPv = PRICER.presentValue(RTRADE, RATES_PROVIDER, PriceType.DIRTY, CreditDataSet.REF_DATA);
CurrencyAmount expectedPr = PRICER.presentValueOnSettle(RTRADE, RATES_PROVIDER, PriceType.CLEAN, CreditDataSet.REF_DATA);
double expectedCp = 1d - PRICER.price(RTRADE, RATES_PROVIDER, PriceType.CLEAN, CreditDataSet.REF_DATA);
JumpToDefault expectedJtd = PRICER.jumpToDefault(RTRADE, RATES_PROVIDER, CreditDataSet.REF_DATA);
CurrencyAmount expectedEl = PRICER.expectedLoss(RTRADE, RATES_PROVIDER);
CurrencyAmount expectedR01 = PRICER.recovery01OnSettle(RTRADE, RATES_PROVIDER, CreditDataSet.REF_DATA);
ISet <Measure> measures = ImmutableSet.of(Measures.PRESENT_VALUE, CreditMeasures.PRINCIPAL, Measures.UNIT_PRICE, CreditMeasures.JUMP_TO_DEFAULT, CreditMeasures.EXPECTED_LOSS, CreditMeasures.RECOVERY01);
assertThat(FUNCTION.calculate(TRADE, measures, CreditDataSet.CDS_PARAMS, CreditDataSet.MARKET_DATA, CreditDataSet.REF_DATA)).containsEntry(Measures.PRESENT_VALUE, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedPv)))).containsEntry(CreditMeasures.PRINCIPAL, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedPr)))).containsEntry(Measures.UNIT_PRICE, Result.success(DoubleScenarioArray.of(ImmutableList.of(expectedCp)))).containsEntry(CreditMeasures.JUMP_TO_DEFAULT, Result.success(ScenarioArray.of(ImmutableList.of(expectedJtd)))).containsEntry(CreditMeasures.EXPECTED_LOSS, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedEl)))).containsEntry(CreditMeasures.RECOVERY01, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedR01))));
}
public virtual void test_simpleMeasures()
{
DsfTradeCalculationFunction <DsfTrade> function = DsfTradeCalculationFunction.TRADE;
ScenarioMarketData md = marketData();
RatesProvider provider = RATES_LOOKUP.ratesProvider(md.scenario(0));
DiscountingDsfTradePricer pricer = DiscountingDsfTradePricer.DEFAULT;
double expectedPrice = pricer.price(RTRADE, provider);
CurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider, REF_PRICE);
MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(RTRADE, provider, REF_PRICE);
ISet <Measure> measures = ImmutableSet.of(Measures.UNIT_PRICE, Measures.PRESENT_VALUE, Measures.CURRENCY_EXPOSURE, Measures.RESOLVED_TARGET);
assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.UNIT_PRICE, Result.success(DoubleScenarioArray.of(ImmutableList.of(expectedPrice)))).containsEntry(Measures.PRESENT_VALUE, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedPv)))).containsEntry(Measures.CURRENCY_EXPOSURE, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure)))).containsEntry(Measures.RESOLVED_TARGET, Result.success(RTRADE));
}
public virtual void test_simpleMeasures()
{
OvernightFutureTradeCalculationFunction <OvernightFutureTrade> function = OvernightFutureTradeCalculationFunction.TRADE;
ScenarioMarketData md = marketData(FORWARD_CURVE_ID.CurveName);
RatesProvider provider = RATES_LOOKUP.ratesProvider(md.scenario(0));
double expectedPrice = TRADE_PRICER.price(RESOLVED_TRADE, provider);
CurrencyAmount expectedPv = TRADE_PRICER.presentValue(RESOLVED_TRADE, provider, MARKET_PRICE / 100d);
double expectedParSpread = TRADE_PRICER.parSpread(RESOLVED_TRADE, provider, MARKET_PRICE / 100d);
ISet <Measure> measures = ImmutableSet.of(Measures.UNIT_PRICE, Measures.PRESENT_VALUE, Measures.PAR_SPREAD, Measures.RESOLVED_TARGET);
assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.UNIT_PRICE, Result.success(DoubleScenarioArray.of(ImmutableList.of(expectedPrice)))).containsEntry(Measures.PRESENT_VALUE, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedPv)))).containsEntry(Measures.PAR_SPREAD, Result.success(DoubleScenarioArray.of(ImmutableList.of(expectedParSpread)))).containsEntry(Measures.RESOLVED_TARGET, Result.success(RESOLVED_TRADE));
}
