public virtual void test_loadAllDates()
{
LocalDate sampleDate = ALL_DATES[3]; // 2017-04-21
ImmutableList <LocalDate> expDates = ImmutableList.of(LocalDate.of(2017, 0x7, 21), LocalDate.of(2017, 10, 0x7), LocalDate.of(2018, 4, 13), LocalDate.of(2019, 4, 12), LocalDate.of(2020, 3, 20), LocalDate.of(2021, 3, 19), LocalDate.of(2022, 3, 19), LocalDate.of(2023, 3, 17), LocalDate.of(2024, 6, 17), LocalDate.of(2025, 3, 18), LocalDate.of(2026, 3, 20), LocalDate.of(2027, 3, 20), LocalDate.of(2031, 12, 19), LocalDate.of(2037, 3, 17), LocalDate.of(2047, 3, 17), LocalDate.of(2056, 3, 17));
ImmutableList <string> expTenors = ImmutableList.of("3M", "6M", "1Y", "2Y", "3Y", "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "15Y", "20Y", "30Y", "40Y");
RepoGroup repoGroup = RepoGroup.of("JP-REPO");
DoubleArray expRepoXValues = DoubleArray.of(3, n => ACT_365F.relativeYearFraction(sampleDate, expDates.get(n)));
DoubleArray expRepoYValues = DoubleArray.of(-0.0019521, -0.0016021, -0.0022521);
ImmutableList <LabelDateParameterMetadata> expRepoMetadata = IntStream.range(0, 3).mapToObj(n => LabelDateParameterMetadata.of(expDates.get(n), expTenors.get(n))).collect(Guavate.toImmutableList());
LegalEntityGroup legalEntityGroup = LegalEntityGroup.of("JP-GOVT");
DoubleArray expIssuerXValues = DoubleArray.of(expDates.size(), n => ACT_365F.relativeYearFraction(sampleDate, expDates.get(n)));
DoubleArray expIssuerYValues = DoubleArray.of(-0.0019511690511744527, -0.001497422302092893, -0.0021798583657932176, -0.002215700360912938, -0.0021722324679574866, -0.001922059591219172, -0.0015461646763548528, -0.0014835851245462084, -0.001118669580570464, -5.476767138782941E-4, -2.2155596172855965E-4, 2.0333291172821893E-5, 0.00284500423293463, 0.005876533417933958, 0.007957581583531789, 0.009134630405512047);
ImmutableList <LabelDateParameterMetadata> expIssuerMetadata = IntStream.range(0, expDates.size()).mapToObj(n => LabelDateParameterMetadata.of(expDates.get(n), expTenors.get(n))).collect(Guavate.toImmutableList());
ImmutableListMultimap <LocalDate, LegalEntityCurveGroup> allCurves = LegalEntityRatesCurvesCsvLoader.loadAllDates(ResourceLocator.of(GROUPS), ResourceLocator.of(SETTINGS), ImmutableList.of(ResourceLocator.of(CURVES_1), ResourceLocator.of(CURVES_2)));
//JAVA TO C# CONVERTER TODO TASK: There is no .NET equivalent to the java.util.Collection 'containsAll' method:
assertTrue(allCurves.Keys.containsAll(ALL_DATES));
ImmutableList <LegalEntityCurveGroup> groups = allCurves.get(sampleDate);
assertEquals(groups.size(), 2);
// group 0
LegalEntityCurveGroup group0 = groups.get(0);
assertEquals(group0.Name, CurveGroupName.of("Default1"));
// repo
assertEquals(group0.RepoCurves.size(), 1);
Curve repoCurve = group0.RepoCurves.get(Pair.of(repoGroup, JPY));
InterpolatedNodalCurve expectedRepoCurve = InterpolatedNodalCurve.of(Curves.zeroRates(CurveName.of("JP-REPO-1"), ACT_365F, expRepoMetadata), expRepoXValues, expRepoYValues, CurveInterpolators.LINEAR, CurveExtrapolators.FLAT, CurveExtrapolators.FLAT);
assertEquals(repoCurve, expectedRepoCurve);
// issuer
assertEquals(group0.IssuerCurves.size(), 2);
Curve issuerCurve = group0.IssuerCurves.get(Pair.of(legalEntityGroup, JPY));
InterpolatedNodalCurve expectedIssuerCurve = InterpolatedNodalCurve.of(Curves.zeroRates(CurveName.of("JP-GOVT-1"), ACT_365F, expIssuerMetadata), expIssuerXValues, expIssuerYValues, CurveInterpolators.LINEAR, CurveExtrapolators.FLAT, CurveExtrapolators.FLAT);
assertEquals(issuerCurve, expectedIssuerCurve);
Curve usIssuerCurve = group0.IssuerCurves.get(Pair.of(LegalEntityGroup.of("US-GOVT"), USD));
expectedIssuerCurve = InterpolatedNodalCurve.of(Curves.zeroRates(CurveName.of("US-GOVT"), ACT_360, expIssuerMetadata), DoubleArray.of(expDates.size(), n => ACT_360.relativeYearFraction(sampleDate, expDates.get(n))), expIssuerYValues, CurveInterpolators.NATURAL_SPLINE, CurveExtrapolators.FLAT, CurveExtrapolators.FLAT);
assertEquals(usIssuerCurve, expectedIssuerCurve);
// group 1
LegalEntityCurveGroup group1 = groups.get(1);
assertEquals(group1.Name, CurveGroupName.of("Default2"));
// repo
repoCurve = group1.RepoCurves.get(Pair.of(repoGroup, JPY));
expectedRepoCurve = InterpolatedNodalCurve.of(Curves.zeroRates(CurveName.of("JP-REPO-2"), ACT_365F, expRepoMetadata), expRepoXValues, expRepoYValues, CurveInterpolators.DOUBLE_QUADRATIC, CurveExtrapolators.LINEAR, CurveExtrapolators.LINEAR);
assertEquals(repoCurve, expectedRepoCurve);
// issuer
assertEquals(group1.IssuerCurves.size(), 1);
issuerCurve = group1.IssuerCurves.get(Pair.of(legalEntityGroup, JPY));
expectedIssuerCurve = InterpolatedNodalCurve.of(Curves.zeroRates(CurveName.of("JP-GOVT-2"), ACT_365F, expIssuerMetadata), expIssuerXValues, expIssuerYValues, CurveInterpolators.DOUBLE_QUADRATIC, CurveExtrapolators.LINEAR, CurveExtrapolators.LINEAR);
assertEquals(issuerCurve, expectedIssuerCurve);
}
/// <summary>
/// Parses one or more CSV format curve files for all available dates.
/// <para>
/// A predicate is specified that is used to filter the dates that are returned.
/// This could match a single date, a set of dates or all dates.
/// </para>
/// <para>
/// If the files contain a duplicate entry an exception will be thrown.
///
/// </para>
/// </summary>
/// <param name="datePredicate"> the predicate used to select the dates </param>
/// <param name="groupsCharSource"> the curve groups CSV character source </param>
/// <param name="settingsCharSource"> the curve settings CSV character source </param>
/// <param name="curveValueCharSources"> the CSV character sources for curves </param>
/// <returns> the loaded curves, mapped by date and identifier </returns>
/// <exception cref="IllegalArgumentException"> if the files contain a duplicate entry </exception>
public static ImmutableListMultimap <LocalDate, LegalEntityCurveGroup> parse(System.Predicate <LocalDate> datePredicate, CharSource groupsCharSource, CharSource settingsCharSource, ICollection <CharSource> curveValueCharSources)
{
IDictionary <CurveGroupName, IDictionary <Pair <RepoGroup, Currency>, CurveName> > repoGroups = new LinkedHashMap <CurveGroupName, IDictionary <Pair <RepoGroup, Currency>, CurveName> >();
IDictionary <CurveGroupName, IDictionary <Pair <LegalEntityGroup, Currency>, CurveName> > legalEntityGroups = new LinkedHashMap <CurveGroupName, IDictionary <Pair <LegalEntityGroup, Currency>, CurveName> >();
parseCurveMaps(groupsCharSource, repoGroups, legalEntityGroups);
IDictionary <LocalDate, IDictionary <CurveName, Curve> > allCurves = parseCurves(datePredicate, settingsCharSource, curveValueCharSources);
ImmutableListMultimap.Builder <LocalDate, LegalEntityCurveGroup> builder = ImmutableListMultimap.builder();
foreach (KeyValuePair <LocalDate, IDictionary <CurveName, Curve> > curveEntry in allCurves.SetOfKeyValuePairs())
{
LocalDate date = curveEntry.Key;
IDictionary <CurveName, Curve> curves = curveEntry.Value;
foreach (KeyValuePair <CurveGroupName, IDictionary <Pair <RepoGroup, Currency>, CurveName> > repoEntry in repoGroups.SetOfKeyValuePairs())
{
CurveGroupName groupName = repoEntry.Key;
IDictionary <Pair <RepoGroup, Currency>, Curve> repoCurves = MapStream.of(repoEntry.Value).mapValues(name => queryCurve(name, curves, date, groupName, "Repo")).toMap();
IDictionary <Pair <LegalEntityGroup, Currency>, Curve> issuerCurves = MapStream.of(legalEntityGroups[groupName]).mapValues(name => queryCurve(name, curves, date, groupName, "Issuer")).toMap();
builder.put(date, LegalEntityCurveGroup.of(groupName, repoCurves, issuerCurves));
}
}
return(builder.build());
}