public virtual MarketDataBox <FxOptionVolatilities> build(FxOptionVolatilitiesId id, MarketDataConfig marketDataConfig, ScenarioMarketData marketData, ReferenceData refData)
{
FxOptionVolatilitiesDefinition volatilitiesDefinition = marketDataConfig.get(typeof(FxOptionVolatilitiesDefinition), id.Name.Name);
ValuationZoneTimeDefinition zoneTimeDefinition = marketDataConfig.get(typeof(ValuationZoneTimeDefinition));
int nScenarios = marketData.ScenarioCount;
MarketDataBox <LocalDate> valuationDates = marketData.ValuationDate;
MarketDataBox <ZonedDateTime> valuationDateTimes = zoneTimeDefinition.toZonedDateTime(valuationDates);
int nParameters = volatilitiesDefinition.ParameterCount;
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
ImmutableList <MarketDataBox <double> > inputs = volatilitiesDefinition.volatilitiesInputs().Select(q => marketData.getValue(q)).collect(toImmutableList());
ImmutableList <FxOptionVolatilities> vols = IntStream.range(0, nScenarios).mapToObj(scenarioIndex => volatilitiesDefinition.volatilities(valuationDateTimes.getValue(scenarioIndex), DoubleArray.of(nParameters, paramIndex => inputs.get(paramIndex).getValue(scenarioIndex)), refData)).collect(toImmutableList());
return(nScenarios > 1 ? MarketDataBox.ofScenarioValues(vols) : MarketDataBox.ofSingleValue(vols.get(0)));
}
public virtual MarketDataBox <FxRate> build(FxRateId id, MarketDataConfig marketDataConfig, ScenarioMarketData marketData, ReferenceData refData)
{
FxRateConfig fxRateConfig = marketDataConfig.get(typeof(FxRateConfig), id.ObservableSource);
Optional <QuoteId> optional = fxRateConfig.getObservableRateKey(id.Pair);
return(optional.map(key => buildFxRate(id, key, marketData)).orElseThrow(() => new System.ArgumentException("No FX rate configuration available for " + id.Pair)));
}
public virtual MarketDataRequirements requirements(FxRateId id, MarketDataConfig marketDataConfig)
{
FxRateConfig fxRateConfig = marketDataConfig.get(typeof(FxRateConfig), id.ObservableSource);
Optional <QuoteId> optional = fxRateConfig.getObservableRateKey(id.Pair);
return(optional.map(key => MarketDataRequirements.of(key)).orElse(MarketDataRequirements.empty()));
}
public virtual MarketDataRequirements requirements(CurveId id, MarketDataConfig config)
{
CurveGroupDefinition groupDefn = config.get(typeof(CurveGroupDefinition), id.CurveGroupName);
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: com.opengamma.strata.data.MarketDataId<? extends com.opengamma.strata.market.curve.CurveGroup> groupId = groupDefn.createGroupId(id.getObservableSource());
MarketDataId <CurveGroup> groupId = groupDefn.createGroupId(id.ObservableSource);
return(MarketDataRequirements.of(groupId));
}
public virtual MarketDataBox <RatesCurveGroup> build(RatesCurveGroupId id, MarketDataConfig marketDataConfig, ScenarioMarketData marketData, ReferenceData refData)
{
// create the calibrator, using the configured RootFinderConfig if found
RootFinderConfig rfc = marketDataConfig.find(typeof(RootFinderConfig)).orElse(RootFinderConfig.standard());
RatesCurveCalibrator calibrator = RatesCurveCalibrator.of(rfc.AbsoluteTolerance, rfc.RelativeTolerance, rfc.MaximumSteps, calibrationMeasures);
// calibrate
CurveGroupName groupName = id.CurveGroupName;
RatesCurveGroupDefinition configuredDefn = marketDataConfig.get(typeof(RatesCurveGroupDefinition), groupName);
return(buildCurveGroup(configuredDefn, calibrator, marketData, refData, id.ObservableSource));
}
//-------------------------------------------------------------------------
public virtual MarketDataRequirements requirements(RatesCurveGroupId id, MarketDataConfig marketDataConfig)
{
RatesCurveGroupDefinition groupDefn = marketDataConfig.get(typeof(RatesCurveGroupDefinition), id.CurveGroupName);
// request input data for any curves that need market data
// no input data is requested if the curve definition contains all the market data needed to build the curve
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IList <RatesCurveInputsId> curveInputsIds = groupDefn.CurveDefinitions.Where(defn => requiresMarketData(defn)).Select(defn => defn.Name).Select(curveName => RatesCurveInputsId.of(groupDefn.Name, curveName, id.ObservableSource)).collect(toImmutableList());
IList <ObservableId> timeSeriesIds = groupDefn.Entries.stream().flatMap(entry => entry.Indices.stream()).distinct().map(index => IndexQuoteId.of(index)).collect(toImmutableList());
return(MarketDataRequirements.builder().addValues(curveInputsIds).addTimeSeries(timeSeriesIds).build());
}
public MarketDataRequirements requirements(RatesCurveInputsId id, MarketDataConfig marketDataConfig)
{
RatesCurveGroupDefinition groupConfig = marketDataConfig.get(typeof(RatesCurveGroupDefinition), id.CurveGroupName);
Optional <CurveDefinition> optionalDefinition = groupConfig.findCurveDefinition(id.CurveName);
if (!optionalDefinition.Present)
{
return(MarketDataRequirements.empty());
}
CurveDefinition definition = optionalDefinition.get();
return(MarketDataRequirements.builder().addValues(nodeRequirements(ImmutableList.of(definition))).build());
}
public virtual MarketDataBox <Curve> build(CurveId id, MarketDataConfig config, ScenarioMarketData marketData, ReferenceData refData)
{
// find curve
CurveGroupDefinition groupDefn = config.get(typeof(CurveGroupDefinition), id.CurveGroupName);
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: com.opengamma.strata.data.MarketDataId<? extends com.opengamma.strata.market.curve.CurveGroup> groupId = groupDefn.createGroupId(id.getObservableSource());
MarketDataId <CurveGroup> groupId = groupDefn.createGroupId(id.ObservableSource);
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: com.opengamma.strata.data.scenario.MarketDataBox<? extends com.opengamma.strata.market.curve.CurveGroup> curveGroupBox = marketData.getValue(groupId);
MarketDataBox <CurveGroup> curveGroupBox = marketData.getValue(groupId);
return(curveGroupBox.map(curveGroup => findCurve(id, curveGroup)));
}
public MarketDataBox <RatesCurveInputs> build(RatesCurveInputsId id, MarketDataConfig marketDataConfig, ScenarioMarketData marketData, ReferenceData refData)
{
CurveGroupName groupName = id.CurveGroupName;
CurveName curveName = id.CurveName;
RatesCurveGroupDefinition groupDefn = marketDataConfig.get(typeof(RatesCurveGroupDefinition), groupName);
Optional <CurveDefinition> optionalDefinition = groupDefn.findCurveDefinition(id.CurveName);
if (!optionalDefinition.Present)
{
throw new System.ArgumentException(Messages.format("No curve named '{}' found in group '{}'", curveName, groupName));
}
CurveDefinition configuredDefn = optionalDefinition.get();
// determine market data needs
MarketDataBox <LocalDate> valuationDates = marketData.ValuationDate;
bool multipleValuationDates = valuationDates.ScenarioValue;
// curve definition can vary for each valuation date
if (multipleValuationDates)
{
IList <CurveDefinition> curveDefns = IntStream.range(0, valuationDates.ScenarioCount).mapToObj(valuationDates.getValue).map((LocalDate valDate) => configuredDefn.filtered(valDate, refData)).collect(toImmutableList());
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Set<com.opengamma.strata.data.MarketDataId<?>> requirements = nodeRequirements(curveDefns);
ISet <MarketDataId <object> > requirements = nodeRequirements(curveDefns);
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, com.opengamma.strata.data.scenario.MarketDataBox<?>> marketDataValues = requirements.stream().collect(toImmutableMap(k -> k, k -> marketData.getValue(k)));
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IDictionary <MarketDataId <object>, MarketDataBox <object> > marketDataValues = requirements.collect(toImmutableMap(k => k, k => marketData.getValue(k)));
return(buildMultipleCurveInputs(MarketDataBox.ofScenarioValues(curveDefns), marketDataValues, valuationDates, refData));
}
// only one valuation date
LocalDate valuationDate = valuationDates.getValue(0);
CurveDefinition filteredDefn = configuredDefn.filtered(valuationDate, refData);
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Set<com.opengamma.strata.data.MarketDataId<?>> requirements = nodeRequirements(com.google.common.collect.ImmutableList.of(filteredDefn));
ISet <MarketDataId <object> > requirements = nodeRequirements(ImmutableList.of(filteredDefn));
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, com.opengamma.strata.data.scenario.MarketDataBox<?>> marketDataValues = requirements.stream().collect(toImmutableMap(k -> k, k -> marketData.getValue(k)));
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IDictionary <MarketDataId <object>, MarketDataBox <object> > marketDataValues = requirements.collect(toImmutableMap(k => k, k => marketData.getValue(k)));
// Do any of the inputs contain values for multiple scenarios, or do they contain 1 value each?
bool multipleInputValues = marketDataValues.Values.Any(MarketDataBox.isScenarioValue);
return(multipleInputValues || multipleValuationDates?buildMultipleCurveInputs(MarketDataBox.ofSingleValue(filteredDefn), marketDataValues, valuationDates, refData) : buildSingleCurveInputs(filteredDefn, marketDataValues, valuationDate, refData));
}
public virtual MarketDataRequirements requirements(FxOptionVolatilitiesId id, MarketDataConfig marketDataConfig)
{
FxOptionVolatilitiesDefinition volatilitiesDefinition = marketDataConfig.get(typeof(FxOptionVolatilitiesDefinition), id.Name.Name);
return(MarketDataRequirements.builder().addValues(volatilitiesDefinition.volatilitiesInputs()).build());
}
