private static CurveNode curveIborFixingDepositCurveNode(string conventionStr, string label, QuoteId quoteId, double spread, CurveNodeDate date, CurveNodeDateOrder order)
{
IborFixingDepositConvention convention = IborFixingDepositConvention.of(conventionStr);
IborFixingDepositTemplate template = IborFixingDepositTemplate.of(convention.Index.Tenor.Period, convention);
return(IborFixingDepositCurveNode.builder().template(template).rateId(quoteId).additionalSpread(spread).label(label).date(date).dateOrder(order).build());
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(dataProvider = "name") public void test_extendedEnum(IborFixingDepositConvention convention, String name)
public virtual void test_extendedEnum(IborFixingDepositConvention convention, string name)
{
IborFixingDepositConvention.of(name); // ensures map is populated
ImmutableMap <string, IborFixingDepositConvention> map = IborFixingDepositConvention.extendedEnum().lookupAll();
assertEquals(map.get(name), convention);
}
private IborFixingDepositTemplate(Period depositPeriod, IborFixingDepositConvention convention)
{
JodaBeanUtils.notNull(depositPeriod, "depositPeriod");
JodaBeanUtils.notNull(convention, "convention");
this.depositPeriod = depositPeriod;
this.convention = convention;
validate();
}
//-------------------------------------------------------------------------
public virtual void test_toTrade()
{
IborFixingDepositConvention convention = ImmutableIborFixingDepositConvention.builder().businessDayAdjustment(BDA_MOD_FOLLOW).currency(EUR).dayCount(ACT_365F).fixingDateOffset(FIXING_ADJ).index(EUR_LIBOR_3M).spotDateOffset(SPOT_ADJ).build();
LocalDate tradeDate = LocalDate.of(2015, 1, 22);
Period depositPeriod = Period.ofMonths(3);
double notional = 1d;
double fixedRate = 0.045;
IborFixingDepositTrade trade = convention.createTrade(tradeDate, depositPeriod, BUY, notional, fixedRate, REF_DATA);
LocalDate startExpected = SPOT_ADJ.adjust(tradeDate, REF_DATA);
LocalDate endExpected = startExpected.plus(depositPeriod);
IborFixingDeposit productExpected = IborFixingDeposit.builder().businessDayAdjustment(BDA_MOD_FOLLOW).buySell(BUY).currency(EUR).dayCount(ACT_365F).startDate(startExpected).endDate(endExpected).fixedRate(fixedRate).fixingDateOffset(FIXING_ADJ).index(EUR_LIBOR_3M).notional(notional).build();
TradeInfo tradeInfoExpected = TradeInfo.builder().tradeDate(tradeDate).build();
assertEquals(trade.Product, productExpected);
assertEquals(trade.Info, tradeInfoExpected);
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 14649855: // depositPeriod
this.depositPeriod_Renamed = (Period)newValue;
break;
case 2039569265: // convention
this.convention_Renamed = (IborFixingDepositConvention)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
/// <summary>
/// Calibrate a single curve to 4 points. Use the resulting calibrated curves as starting point of the computation
/// of a Jacobian. Compare the direct Jacobian and the one reconstructed from trades.
/// </summary>
public virtual void direct_two_curves()
{
JacobianCalibrationMatrix jiObject = MULTICURVE_EUR_2_CALIBRATED.findData(EUR_DSCON_OIS).get().Metadata.findInfo(CurveInfoType.JACOBIAN).get();
ImmutableList <CurveParameterSize> order = jiObject.Order; // To obtain the order of the curves in the jacobian
/* Create trades */
IList <ResolvedTrade> tradesDsc = new List <ResolvedTrade>();
for (int looptenor = 0; looptenor < TENORS_STD_2_OIS.Length; looptenor++)
{
ResolvedSwapTrade t0 = EUR_FIXED_1Y_EONIA_OIS.createTrade(VALUATION_DATE, TENORS_STD_2_OIS[looptenor], BuySell.BUY, 1.0, 0.0, REF_DATA).resolve(REF_DATA);
double rate = MARKET_QUOTE.value(t0, MULTICURVE_EUR_2_CALIBRATED);
ResolvedSwapTrade t = EUR_FIXED_1Y_EONIA_OIS.createTrade(VALUATION_DATE, TENORS_STD_2_OIS[looptenor], BuySell.BUY, 1.0, rate, REF_DATA).resolve(REF_DATA);
tradesDsc.Add(t);
}
IList <ResolvedTrade> tradesE3 = new List <ResolvedTrade>();
// Fixing
IborFixingDepositConvention c = IborFixingDepositConvention.of(EUR_EURIBOR_6M);
ResolvedIborFixingDepositTrade fix0 = c.createTrade(VALUATION_DATE, EUR_EURIBOR_6M.Tenor.Period, BuySell.BUY, 1.0, 0.0, REF_DATA).resolve(REF_DATA);
double rateFixing = MARKET_QUOTE.value(fix0, MULTICURVE_EUR_2_CALIBRATED);
ResolvedIborFixingDepositTrade fix = c.createTrade(VALUATION_DATE, EUR_EURIBOR_6M.Tenor.Period, BuySell.BUY, 1.0, rateFixing, REF_DATA).resolve(REF_DATA);
tradesE3.Add(fix);
// IRS
for (int looptenor = 0; looptenor < TENORS_STD_2_IRS.Length; looptenor++)
{
ResolvedSwapTrade t0 = EUR_FIXED_1Y_EURIBOR_6M.createTrade(VALUATION_DATE, TENORS_STD_2_IRS[looptenor], BuySell.BUY, 1.0, 0.0, REF_DATA).resolve(REF_DATA);
double rate = MARKET_QUOTE.value(t0, MULTICURVE_EUR_2_CALIBRATED);
ResolvedSwapTrade t = EUR_FIXED_1Y_EURIBOR_6M.createTrade(VALUATION_DATE, TENORS_STD_2_IRS[looptenor], BuySell.BUY, 1.0, rate, REF_DATA).resolve(REF_DATA);
tradesE3.Add(t);
}
IList <ResolvedTrade> trades = new List <ResolvedTrade>();
if (order.get(0).Name.Equals(EUR_DSCON_OIS))
{
((IList <ResolvedTrade>)trades).AddRange(tradesDsc);
((IList <ResolvedTrade>)trades).AddRange(tradesE3);
}
else
{
((IList <ResolvedTrade>)trades).AddRange(tradesE3);
((IList <ResolvedTrade>)trades).AddRange(tradesDsc);
}
/* Par rate sensitivity */
System.Func <ResolvedTrade, CurrencyParameterSensitivities> sensitivityFunction = (t) => MULTICURVE_EUR_2_CALIBRATED.parameterSensitivity((t is ResolvedSwapTrade) ? PRICER_SWAP_PRODUCT.parRateSensitivity(((ResolvedSwapTrade)t).Product, MULTICURVE_EUR_2_CALIBRATED).build() : PRICER_IBORFIX_PRODUCT.parRateSensitivity(((ResolvedIborFixingDepositTrade)t).Product, MULTICURVE_EUR_2_CALIBRATED));
DoubleMatrix jiComputed = CurveSensitivityUtils.jacobianFromMarketQuoteSensitivities(order, trades, sensitivityFunction);
DoubleMatrix jiExpectedDsc = MULTICURVE_EUR_2_CALIBRATED.findData(EUR_DSCON_OIS).get().Metadata.getInfo(CurveInfoType.JACOBIAN).JacobianMatrix;
DoubleMatrix jiExpectedE3 = MULTICURVE_EUR_2_CALIBRATED.findData(EUR_EURIBOR6M_IRS).get().Metadata.getInfo(CurveInfoType.JACOBIAN).JacobianMatrix;
/* Comparison */
assertEquals(jiComputed.rowCount(), jiExpectedDsc.rowCount() + jiExpectedE3.rowCount());
assertEquals(jiComputed.columnCount(), jiExpectedDsc.columnCount());
assertEquals(jiComputed.columnCount(), jiExpectedE3.columnCount());
int shiftDsc = order.get(0).Name.Equals(EUR_DSCON_OIS) ? 0 : jiExpectedE3.rowCount();
for (int i = 0; i < jiExpectedDsc.rowCount(); i++)
{
for (int j = 0; j < jiExpectedDsc.columnCount(); j++)
{
assertEquals(jiComputed.get(i + shiftDsc, j), jiExpectedDsc.get(i, j), TOLERANCE_JAC);
}
}
int shiftE3 = order.get(0).Name.Equals(EUR_DSCON_OIS) ? jiExpectedDsc.rowCount() : 0;
for (int i = 0; i < jiExpectedE3.rowCount(); i++)
{
for (int j = 0; j < jiExpectedDsc.columnCount(); j++)
{
assertEquals(jiComputed.get(i + shiftE3, j), jiExpectedE3.get(i, j), TOLERANCE_JAC);
}
}
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains a template based on the specified index.
/// <para>
/// The period from the start date to the end date will be the tenor of the index.
/// The convention will be created based on the index.
///
/// </para>
/// </summary>
/// <param name="index"> the index that defines the market convention </param>
/// <returns> the template </returns>
public static IborFixingDepositTemplate of(IborIndex index)
{
return(of(index.Tenor.Period, IborFixingDepositConvention.of(index)));
}
/// <summary>
/// Sets the underlying Ibor fixing deposit convention.
/// <para>
/// This specifies the standard convention of the Ibor fixing deposit to be created.
/// </para>
/// </summary>
/// <param name="convention"> the new value, not null </param>
/// <returns> this, for chaining, not null </returns>
public Builder convention(IborFixingDepositConvention convention)
{
JodaBeanUtils.notNull(convention, "convention");
this.convention_Renamed = convention;
return(this);
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(IborFixingDepositTemplate beanToCopy)
{
this.depositPeriod_Renamed = beanToCopy.DepositPeriod;
this.convention_Renamed = beanToCopy.Convention;
}
/// <summary>
/// Obtains a template based on the specified periods and convention.
/// </summary>
/// <param name="depositPeriod"> the period between the start date and the end date </param>
/// <param name="convention"> the market convention </param>
/// <returns> the template </returns>
public static IborFixingDepositTemplate of(Period depositPeriod, IborFixingDepositConvention convention)
{
ArgChecker.notNull(depositPeriod, "depositPeriod");
ArgChecker.notNull(convention, "convention");
return(IborFixingDepositTemplate.builder().depositPeriod(depositPeriod).convention(convention).build());
}
public virtual void test_of_lookup_null()
{
assertThrowsIllegalArg(() => IborFixingDepositConvention.of((string)null));
}
public virtual void test_of_lookup_notFound()
{
assertThrowsIllegalArg(() => IborFixingDepositConvention.of("Rubbish"));
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(dataProvider = "name") public void test_of_lookup(IborFixingDepositConvention convention, String name)
public virtual void test_of_lookup(IborFixingDepositConvention convention, string name)
{
assertEquals(IborFixingDepositConvention.of(name), convention);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(dataProvider = "name") public void test_toString(IborFixingDepositConvention convention, String name)
public virtual void test_toString(IborFixingDepositConvention convention, string name)
{
assertEquals(convention.ToString(), name);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(dataProvider = "name") public void test_name(IborFixingDepositConvention convention, String name)
public virtual void test_name(IborFixingDepositConvention convention, string name)
{
assertEquals(convention.Name, name);
}
