//-------------------------------------------------------------------------
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: @Override public java.util.Map<com.opengamma.strata.calc.Measure, com.opengamma.strata.collect.result.Result<?>> calculate(T target, java.util.Set<com.opengamma.strata.calc.Measure> measures, com.opengamma.strata.calc.runner.CalculationParameters parameters, com.opengamma.strata.data.scenario.ScenarioMarketData scenarioMarketData, com.opengamma.strata.basics.ReferenceData refData)
public virtual IDictionary <Measure, Result <object> > calculate(T target, ISet <Measure> measures, CalculationParameters parameters, ScenarioMarketData scenarioMarketData, ReferenceData refData)
{
// resolve the trade once for all measures and all scenarios
ResolvedBillTrade resolved = target.resolve(refData);
// use lookup to query market data
LegalEntityDiscountingMarketDataLookup lookup = parameters.getParameter(typeof(LegalEntityDiscountingMarketDataLookup));
LegalEntityDiscountingScenarioMarketData marketData = lookup.marketDataView(scenarioMarketData);
// loop around measures, calculating all scenarios for one measure
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.calc.Measure, com.opengamma.strata.collect.result.Result<?>> results = new java.util.HashMap<>();
IDictionary <Measure, Result <object> > results = new Dictionary <Measure, Result <object> >();
foreach (Measure measure in measures)
{
results[measure] = calculate(measure, resolved, marketData);
}
return(results);
}
//-------------------------------------------------------------------------
public virtual void test_marketDataView()
{
ImmutableMap <SecurityId, RepoGroup> repoSecurityGroups = ImmutableMap.of(SEC_A1, GROUP_REPO_X);
ImmutableMap <Pair <RepoGroup, Currency>, CurveId> repoCurves = ImmutableMap.of(Pair.of(GROUP_REPO_X, USD), CURVE_ID_USD1);
ImmutableMap <LegalEntityId, LegalEntityGroup> issuerGroups = ImmutableMap.of(ISSUER_A, GROUP_ISSUER_M);
ImmutableMap <Pair <LegalEntityGroup, Currency>, CurveId> issuerCurves = ImmutableMap.of(Pair.of(GROUP_ISSUER_M, USD), CURVE_ID_USD3);
LegalEntityDiscountingMarketDataLookup test = LegalEntityDiscountingMarketDataLookup.of(repoSecurityGroups, ImmutableMap.of(), repoCurves, issuerGroups, issuerCurves);
LocalDate valDate = date(2015, 6, 30);
ScenarioMarketData md = new TestMarketDataMap(valDate, ImmutableMap.of(), ImmutableMap.of());
LegalEntityDiscountingScenarioMarketData multiScenario = test.marketDataView(md);
assertEquals(multiScenario.Lookup, test);
assertEquals(multiScenario.MarketData, md);
assertEquals(multiScenario.ScenarioCount, 1);
LegalEntityDiscountingMarketData scenario = multiScenario.scenario(0);
assertEquals(scenario.Lookup, test);
assertEquals(scenario.MarketData, md.scenario(0));
assertEquals(scenario.ValuationDate, valDate);
}
// calculate one measure
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: private com.opengamma.strata.collect.result.Result<?> calculate(com.opengamma.strata.calc.Measure measure, com.opengamma.strata.product.bond.ResolvedBillTrade resolved, LegalEntityDiscountingScenarioMarketData marketData)
private Result <object> calculate(Measure measure, ResolvedBillTrade resolved, LegalEntityDiscountingScenarioMarketData marketData)
{
SingleMeasureCalculation calculator = CALCULATORS.get(measure);
if (calculator == null)
{
return(Result.failure(FailureReason.UNSUPPORTED, "Unsupported measure for Bill: {}", measure));
}
return(Result.of(() => calculator(resolved, marketData)));
}
// calculate one measure
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: private com.opengamma.strata.collect.result.Result<?> calculate(com.opengamma.strata.calc.Measure measure, com.opengamma.strata.product.bond.ResolvedCapitalIndexedBondTrade resolved, com.opengamma.strata.measure.rate.RatesScenarioMarketData ratesMarketData, LegalEntityDiscountingScenarioMarketData legalEntityMarketData)
private Result <object> calculate(Measure measure, ResolvedCapitalIndexedBondTrade resolved, RatesScenarioMarketData ratesMarketData, LegalEntityDiscountingScenarioMarketData legalEntityMarketData)
{
SingleMeasureCalculation calculator = CALCULATORS.get(measure);
if (calculator == null)
{
return(Result.failure(FailureReason.UNSUPPORTED, "Unsupported measure for CapitalIndexedBond: {}", measure));
}
return(Result.of(() => calculator(resolved, ratesMarketData, legalEntityMarketData)));
}
//-------------------------------------------------------------------------
// calculates currency exposure for all scenarios
internal MultiCurrencyScenarioArray currencyExposure(ResolvedCapitalIndexedBondTrade trade, RatesScenarioMarketData ratesMarketData, LegalEntityDiscountingScenarioMarketData legalEntityMarketData)
{
return(MultiCurrencyScenarioArray.of(legalEntityMarketData.ScenarioCount, i => currencyExposure(trade, ratesMarketData.scenario(i).ratesProvider(), legalEntityMarketData.scenario(i).discountingProvider())));
}
//-------------------------------------------------------------------------
// calculates calibrated bucketed PV01 for all scenarios
internal ScenarioArray <CurrencyParameterSensitivities> pv01CalibratedBucketed(ResolvedCapitalIndexedBondTrade trade, RatesScenarioMarketData ratesMarketData, LegalEntityDiscountingScenarioMarketData legalEntityMarketData)
{
return(ScenarioArray.of(legalEntityMarketData.ScenarioCount, i => pv01CalibratedBucketed(trade, ratesMarketData.scenario(i).ratesProvider(), legalEntityMarketData.scenario(i).discountingProvider())));
}
//-------------------------------------------------------------------------
// calculates calibrated bucketed PV01 for all scenarios
internal ScenarioArray <CurrencyParameterSensitivities> pv01CalibratedBucketed(ResolvedBondFutureTrade trade, LegalEntityDiscountingScenarioMarketData marketData)
{
return(ScenarioArray.of(marketData.ScenarioCount, i => pv01CalibratedBucketed(trade, marketData.scenario(i).discountingProvider())));
}
//-------------------------------------------------------------------------
// calculates calibrated sum PV01 for all scenarios
internal MultiCurrencyScenarioArray pv01CalibratedSum(ResolvedBondFutureTrade trade, LegalEntityDiscountingScenarioMarketData marketData)
{
return(MultiCurrencyScenarioArray.of(marketData.ScenarioCount, i => pv01CalibratedSum(trade, marketData.scenario(i).discountingProvider())));
}
//-------------------------------------------------------------------------
// calculates present value for all scenarios
internal CurrencyScenarioArray presentValue(ResolvedBondFutureTrade trade, LegalEntityDiscountingScenarioMarketData marketData)
{
return(CurrencyScenarioArray.of(marketData.ScenarioCount, i => presentValue(trade, marketData.scenario(i).discountingProvider())));
}
//-------------------------------------------------------------------------
// calculates currency exposure for all scenarios
internal MultiCurrencyScenarioArray currencyExposure(ResolvedBondFutureTrade trade, LegalEntityDiscountingScenarioMarketData marketData)
{
return(MultiCurrencyScenarioArray.of(marketData.ScenarioCount, i => currencyExposure(trade, marketData.scenario(i).discountingProvider())));
}
//-------------------------------------------------------------------------
// calculates unit price for all scenarios
internal DoubleScenarioArray unitPrice(ResolvedBondFutureTrade trade, LegalEntityDiscountingScenarioMarketData marketData)
{
return(DoubleScenarioArray.of(marketData.ScenarioCount, i => unitPrice(trade, marketData.scenario(i).discountingProvider())));
}
//-------------------------------------------------------------------------
// calculates current cash for all scenarios
internal virtual CurrencyScenarioArray currentCash(ResolvedBillTrade trade, LegalEntityDiscountingScenarioMarketData marketData)
{
return(CurrencyScenarioArray.of(marketData.ScenarioCount, i => currentCash(trade, marketData.scenario(i).discountingProvider())));
}
//-------------------------------------------------------------------------
// calculates market quote sum PV01 for all scenarios
internal virtual MultiCurrencyScenarioArray pv01MarketQuoteSum(ResolvedBillTrade trade, LegalEntityDiscountingScenarioMarketData marketData)
{
return(MultiCurrencyScenarioArray.of(marketData.ScenarioCount, i => pv01MarketQuoteSum(trade, marketData.scenario(i).discountingProvider())));
}
//-------------------------------------------------------------------------
// calculates market quote bucketed PV01 for all scenarios
internal ScenarioArray <CurrencyParameterSensitivities> pv01MarketQuoteBucketed(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingScenarioMarketData marketData)
{
return(ScenarioArray.of(marketData.ScenarioCount, i => pv01MarketQuoteBucketed(trade, marketData.scenario(i).discountingProvider())));
}
//-------------------------------------------------------------------------
// 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))));
}
