private SingleScenarioMarketData(ScenarioMarketData marketData, int scenarioIndex)
{
JodaBeanUtils.notNull(marketData, "marketData");
this.marketData = marketData;
this.scenarioIndex = scenarioIndex;
validate();
}
// submits a task to the executor to be run
private void runTask(CalculationTask task, ScenarioMarketData marketData, ReferenceData refData, System.Action <CalculationResults> consumer)
{
// the task is executed, with the result passed to the consumer
// the consumer wraps the listener to ensure thread-safety
System.Func <CalculationResults> taskExecutor = () => task.execute(marketData, refData);
CompletableFuture.supplyAsync(taskExecutor, executor).thenAccept(consumer);
}
//-------------------------------------------------------------------------
public Results calculateMultiScenario(CalculationTasks tasks, ScenarioMarketData marketData, ReferenceData refData)
{
ResultsListener listener = new ResultsListener();
calculateMultiScenarioAsync(tasks, marketData, refData, listener);
return(listener.result());
}
/// <summary>
/// Test that inputs are correctly built from market data.
/// </summary>
public virtual void build()
{
FraCurveNode node1x4 = fraNode(1, "a");
FraCurveNode node2x5 = fraNode(2, "b");
FraCurveNode node3x6 = fraNode(3, "c");
InterpolatedNodalCurveDefinition curveDefn = InterpolatedNodalCurveDefinition.builder().name(CurveName.of("curve")).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(DayCounts.ACT_ACT_ISDA).interpolator(CurveInterpolators.DOUBLE_QUADRATIC).extrapolatorLeft(CurveExtrapolators.FLAT).extrapolatorRight(CurveExtrapolators.FLAT).nodes(node1x4, node2x5, node3x6).build();
RatesCurveGroupDefinition groupDefn = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("curve group")).addDiscountCurve(curveDefn, Currency.USD).build();
MarketDataConfig marketDataConfig = MarketDataConfig.builder().add(groupDefn.Name, groupDefn).build();
QuoteId idA = QuoteId.of(StandardId.of("test", "a"));
QuoteId idB = QuoteId.of(StandardId.of("test", "b"));
QuoteId idC = QuoteId.of(StandardId.of("test", "c"));
ScenarioMarketData marketData = ImmutableScenarioMarketData.builder(VAL_DATE).addValue(idA, 1d).addValue(idB, 2d).addValue(idC, 3d).build();
RatesCurveInputsMarketDataFunction marketDataFunction = new RatesCurveInputsMarketDataFunction();
RatesCurveInputsId curveInputsId = RatesCurveInputsId.of(groupDefn.Name, curveDefn.Name, ObservableSource.NONE);
MarketDataBox <RatesCurveInputs> result = marketDataFunction.build(curveInputsId, marketDataConfig, marketData, REF_DATA);
RatesCurveInputs curveInputs = result.SingleValue;
assertThat(curveInputs.MarketData.get(idA)).isEqualTo(1d);
assertThat(curveInputs.MarketData.get(idB)).isEqualTo(2d);
assertThat(curveInputs.MarketData.get(idC)).isEqualTo(3d);
IList <ParameterMetadata> expectedMetadata = ImmutableList.of(node1x4.metadata(VAL_DATE, REF_DATA), node2x5.metadata(VAL_DATE, REF_DATA), node3x6.metadata(VAL_DATE, REF_DATA));
assertThat(curveInputs.CurveMetadata.ParameterMetadata).hasValue(expectedMetadata);
}
public virtual void test_parameter_secenarioDefinition()
{
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.List<com.opengamma.strata.calc.marketdata.PerturbationMapping<?>> perturbationMapping = new java.util.ArrayList<>();
IList <PerturbationMapping <object> > perturbationMapping = new List <PerturbationMapping <object> >();
int nVolParams = EXP_VOLS.ParameterCount;
int nScenarios = 3;
PointShiftsBuilder builder = PointShifts.builder(ShiftType.SCALED);
for (int i = 0; i < nVolParams; ++i)
{
object id = EXP_VOLS.getParameterMetadata(i).Identifier;
for (int j = 0; j < nScenarios; ++j)
{
builder.addShift(j, id, Math.Pow(0.9, j));
}
}
ScenarioPerturbation <ParameterizedData> perturb = builder.build();
perturbationMapping.Add(PerturbationMapping.of(MarketDataFilter.ofId(VOL_ID), perturb));
ScenarioDefinition scenarioDefinition = ScenarioDefinition.ofMappings(perturbationMapping);
ScenarioMarketData marketDataCalibrated = StandardComponents.marketDataFactory().createMultiScenario(REQUIREMENTS, SCENARIO_CONFIG, MARKET_DATA, REF_DATA, scenarioDefinition);
Results results = CALC_RUNNER.calculateMultiScenario(RULES, TARGETS, COLUMN, marketDataCalibrated, REF_DATA);
CurrencyScenarioArray pvs = results.get(0, 0, typeof(CurrencyScenarioArray)).Value;
for (int i = 0; i < nScenarios; ++i)
{
int index = i;
BlackFxOptionSmileVolatilities shiftedSmile = EXP_VOLS.withPerturbation((j, v, m) => Math.Pow(0.9, index) * v);
CurrencyAmount pv = PRICER.presentValue(OPTION_TRADE.resolve(REF_DATA), EXP_RATES, shiftedSmile).convertedTo(USD, EXP_RATES);
assertEquals(pvs.get(i), pv);
}
}
/// <summary>
/// Tests the combinedWith method when the other set of market data is not an instance of ImmutableScenarioMarketData
/// </summary>
public virtual void test_combinedWithDifferentImpl()
{
LocalDateDoubleTimeSeries timeSeries1 = LocalDateDoubleTimeSeries.builder().put(date(2011, 3, 8), 1).put(date(2011, 3, 9), 2).put(date(2011, 3, 10), 3).build();
LocalDateDoubleTimeSeries timeSeries2 = LocalDateDoubleTimeSeries.builder().put(date(2011, 3, 8), 10).put(date(2011, 3, 9), 20).put(date(2011, 3, 10), 30).build();
LocalDateDoubleTimeSeries timeSeries2a = LocalDateDoubleTimeSeries.builder().put(date(2011, 3, 8), 1000).put(date(2011, 3, 9), 2000).put(date(2011, 3, 10), 3000).build();
LocalDateDoubleTimeSeries timeSeries3 = LocalDateDoubleTimeSeries.builder().put(date(2011, 3, 8), 100).put(date(2011, 3, 9), 200).put(date(2011, 3, 10), 300).build();
MarketData marketData = ImmutableMarketData.builder(LocalDate.of(2011, 3, 8)).addTimeSeries(TEST_ID1, timeSeries1).addTimeSeries(TEST_ID2, timeSeries2).addValue(TEST_ID1, 1.1).addValue(TEST_ID2, 1.2).build();
RepeatedScenarioMarketData repeatedScenarioMarketData = RepeatedScenarioMarketData.of(3, marketData);
ImmutableScenarioMarketData immutableScenarioMarketData = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)).addTimeSeries(TEST_ID2, timeSeries2a).addTimeSeries(TEST_ID3, timeSeries3).addBox(TEST_ID2, MarketDataBox.ofScenarioValues(2.0, 2.1, 2.2)).addBox(TEST_ID3, MarketDataBox.ofScenarioValues(3.0, 3.1, 3.2)).build();
ScenarioMarketData combinedData = immutableScenarioMarketData.combinedWith(repeatedScenarioMarketData);
assertThat(combinedData.ScenarioCount).isEqualTo(3);
assertThat(combinedData.getValue(TEST_ID1).getValue(0)).isEqualTo(1.1);
assertThat(combinedData.getValue(TEST_ID1).getValue(2)).isEqualTo(1.1);
assertThat(combinedData.getValue(TEST_ID1).getValue(3)).isEqualTo(1.1);
assertThat(combinedData.getValue(TEST_ID2)).isEqualTo(MarketDataBox.ofScenarioValues(2.0, 2.1, 2.2));
assertThat(combinedData.getValue(TEST_ID3)).isEqualTo(MarketDataBox.ofScenarioValues(3.0, 3.1, 3.2));
assertThat(combinedData.getTimeSeries(TEST_ID1)).isEqualTo(timeSeries1);
assertThat(combinedData.getTimeSeries(TEST_ID2)).isEqualTo(timeSeries2a);
assertThat(combinedData.getTimeSeries(TEST_ID3)).isEqualTo(timeSeries3);
}
public virtual void test_quote_secenarioDefinition()
{
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.List<com.opengamma.strata.calc.marketdata.PerturbationMapping<?>> perturbationMapping = new java.util.ArrayList<>();
IList <PerturbationMapping <object> > perturbationMapping = new List <PerturbationMapping <object> >();
int nScenarios = 3;
foreach (KeyValuePair <QuoteId, double> entry in MARKET_QUOTES.entrySet())
{
DoubleArray shifts = DoubleArray.of(nScenarios, n => Math.Pow(0.9, n));
ScenarioPerturbation <double> perturb = GenericDoubleShifts.of(ShiftType.SCALED, shifts);
perturbationMapping.Add(PerturbationMapping.of(MarketDataFilter.ofId(entry.Key), perturb));
}
ScenarioDefinition scenarioDefinition = ScenarioDefinition.ofMappings(perturbationMapping);
ScenarioMarketData marketDataCalibrated = StandardComponents.marketDataFactory().createMultiScenario(REQUIREMENTS, SCENARIO_CONFIG, MARKET_DATA, REF_DATA, scenarioDefinition);
Results results = CALC_RUNNER.calculateMultiScenario(RULES, TARGETS, COLUMN, marketDataCalibrated, REF_DATA);
CurrencyScenarioArray pvs = results.get(0, 0, typeof(CurrencyScenarioArray)).Value;
for (int i = 0; i < nScenarios; ++i)
{
ImmutableMap.Builder <QuoteId, double> builder = ImmutableMap.builder();
foreach (KeyValuePair <QuoteId, double> entry in MARKET_QUOTES.entrySet())
{
builder.put(entry.Key, entry.Value * Math.Pow(0.9, i));
}
ImmutableMarketData shiftedMarketData = ImmutableMarketData.builder(VALUATION_DATE).addValueMap(builder.build()).addValueMap(MARKET_FX_QUOTES).build();
MarketData shiftedMarketDataCalibrated = StandardComponents.marketDataFactory().create(REQUIREMENTS, CONFIG, shiftedMarketData, REF_DATA);
Results shiftedResults = CALC_RUNNER.calculate(RULES, TARGETS, COLUMN, shiftedMarketDataCalibrated, REF_DATA);
CurrencyAmount pv = shiftedResults.get(0, 0, typeof(CurrencyAmount)).Value;
assertEquals(pvs.get(i), pv);
}
}
/// <summary>
/// Test that ScenarioArrays containing a single value are unwrapped when calling calculateAsync().
/// </summary>
public virtual void unwrapScenarioResultsAsync()
{
ScenarioArray <string> scenarioResult = ScenarioArray.of("foo");
ScenarioResultFunction fn = new ScenarioResultFunction(TestingMeasures.PRESENT_VALUE, scenarioResult);
CalculationTaskCell cell = CalculationTaskCell.of(0, 0, TestingMeasures.PRESENT_VALUE, NATURAL);
CalculationTask task = CalculationTask.of(TARGET, fn, cell);
Column column = Column.of(TestingMeasures.PRESENT_VALUE);
CalculationTasks tasks = CalculationTasks.of(ImmutableList.of(task), ImmutableList.of(column));
// using the direct executor means there is no need to close/shutdown the runner
CalculationTaskRunner test = CalculationTaskRunner.of(MoreExecutors.newDirectExecutorService());
Listener listener = new Listener();
MarketData marketData = MarketData.empty(VAL_DATE);
test.calculateAsync(tasks, marketData, REF_DATA, listener);
CalculationResult calculationResult1 = listener.result;
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: com.opengamma.strata.collect.result.Result<?> result1 = calculationResult1.getResult();
Result <object> result1 = calculationResult1.Result;
// Check the result contains the string directly, not the result wrapping the string
assertThat(result1).hasValue("foo");
test.calculateMultiScenarioAsync(tasks, ScenarioMarketData.of(1, marketData), REF_DATA, listener);
CalculationResult calculationResult2 = listener.result;
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: com.opengamma.strata.collect.result.Result<?> result2 = calculationResult2.getResult();
Result <object> result2 = calculationResult2.Result;
// Check the result contains the scenario result wrapping the string
assertThat(result2).hasValue(scenarioResult);
}
// calculates the result
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: private java.util.Map<com.opengamma.strata.calc.Measure, com.opengamma.strata.collect.result.Result<?>> calculate(com.opengamma.strata.data.scenario.ScenarioMarketData marketData, com.opengamma.strata.basics.ReferenceData refData)
private IDictionary <Measure, Result <object> > calculate(ScenarioMarketData marketData, ReferenceData refData)
{
try
{
ISet <Measure> requestedMeasures = Measures;
ISet <Measure> supportedMeasures = function.supportedMeasures();
ISet <Measure> measures = Sets.intersection(requestedMeasures, supportedMeasures);
//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<?>> map = com.google.common.collect.ImmutableMap.of();
IDictionary <Measure, Result <object> > map = ImmutableMap.of();
if (measures.Count > 0)
{
map = function.calculate(target, measures, parameters, marketData, refData);
}
// check if result does not contain all requested measures
//JAVA TO C# CONVERTER TODO TASK: There is no .NET equivalent to the java.util.Collection 'containsAll' method:
if (!map.Keys.containsAll(requestedMeasures))
{
return(handleMissing(requestedMeasures, supportedMeasures, map));
}
return(map);
}
catch (Exception ex)
{
return(handleFailure(ex));
}
}
public virtual void test_of_repeated()
{
ScenarioMarketData test = ScenarioMarketData.of(1, MarketData.of(VAL_DATE, ImmutableMap.of(ID1, VAL1)));
assertThat(test.ValuationDate).isEqualTo(MarketDataBox.ofSingleValue(VAL_DATE));
assertThat(test.getValue(ID1)).isEqualTo(MarketDataBox.ofSingleValue(VAL1));
}
public virtual void test_calculate_failure()
{
BillTradeCalculationFunction <BillTrade> function = BillTradeCalculationFunction.TRADE;
ScenarioMarketData md = marketData();
ISet <Measure> measures = ImmutableSet.of(Measures.FORWARD_FX_RATE);
assertTrue(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)[Measures.FORWARD_FX_RATE].Failure);
}
public void calculateAsync(CalculationTasks tasks, MarketData marketData, ReferenceData refData, CalculationListener listener)
{
// the listener is decorated to unwrap ScenarioArrays containing a single result
ScenarioMarketData md = ScenarioMarketData.of(1, marketData);
UnwrappingListener unwrappingListener = new UnwrappingListener(listener);
calculateMultiScenarioAsync(tasks, md, refData, unwrappingListener);
}
/// <summary>
/// Test that a failure is returned if there is no config for the curve group.
/// </summary>
public virtual void buildMissingGroupConfig()
{
RatesCurveInputsMarketDataFunction marketDataFunction = new RatesCurveInputsMarketDataFunction();
RatesCurveInputsId curveInputsId = RatesCurveInputsId.of(CurveGroupName.of("curve group"), CurveName.of("curve"), ObservableSource.NONE);
ScenarioMarketData emptyData = ScenarioMarketData.empty();
assertThrows(() => marketDataFunction.build(curveInputsId, MarketDataConfig.empty(), emptyData, REF_DATA), typeof(System.ArgumentException), "No configuration found for type .*");
}
/// <summary>
/// Creates an instance. </summary>
/// <param name="underlying1"> the value of the property, not null </param>
/// <param name="underlying2"> the value of the property, not null </param>
/// <param name="scenarioCount"> the value of the property </param>
internal CombinedScenarioMarketData(ScenarioMarketData underlying1, ScenarioMarketData underlying2, int scenarioCount)
{
JodaBeanUtils.notNull(underlying1, "underlying1");
JodaBeanUtils.notNull(underlying2, "underlying2");
this.underlying1 = underlying1;
this.underlying2 = underlying2;
this.scenarioCount = scenarioCount;
}
public virtual void of_badScenarios()
{
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, MarketDataBox<?>> dataMap = com.google.common.collect.ImmutableMap.of(ID1, MarketDataBox.ofScenarioValues(VAL1));
IDictionary <MarketDataId <object>, MarketDataBox <object> > dataMap = ImmutableMap.of(ID1, MarketDataBox.ofScenarioValues(VAL1));
IDictionary <ObservableId, LocalDateDoubleTimeSeries> tsMap = ImmutableMap.of(ID1, TIME_SERIES);
assertThrows(() => ScenarioMarketData.of(2, VAL_DATE, dataMap, tsMap), typeof(System.ArgumentException));
}
// extract the fixings from the input data
private IDictionary <ObservableId, LocalDateDoubleTimeSeries> extractFixings(ScenarioMarketData marketData)
{
IDictionary <ObservableId, LocalDateDoubleTimeSeries> fixings = new Dictionary <ObservableId, LocalDateDoubleTimeSeries>();
foreach (ObservableId id in marketData.TimeSeriesIds)
{
fixings[id] = marketData.getTimeSeries(id);
}
return(fixings);
}
private ExtendedScenarioMarketData(MarketDataId <T> id, MarketDataBox <T> value, ScenarioMarketData underlying)
{
JodaBeanUtils.notNull(id, "id");
JodaBeanUtils.notNull(value, "value");
JodaBeanUtils.notNull(underlying, "underlying");
this.id = id;
this.value = value;
this.underlying = underlying;
validate();
}
/// <summary>
/// Test that a failure is returned if there is config for the curve group but it doesn't contain the named curve.
/// </summary>
public virtual void buildMissingCurveDefinition()
{
RatesCurveInputsMarketDataFunction marketDataFunction = new RatesCurveInputsMarketDataFunction();
RatesCurveInputsId curveInputsId = RatesCurveInputsId.of(CurveGroupName.of("curve group"), CurveName.of("curve"), ObservableSource.NONE);
RatesCurveGroupDefinition groupDefn = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("curve group")).build();
MarketDataConfig marketDataConfig = MarketDataConfig.builder().add(groupDefn.Name, groupDefn).build();
ScenarioMarketData emptyData = ScenarioMarketData.empty();
assertThrows(() => marketDataFunction.build(curveInputsId, marketDataConfig, emptyData, REF_DATA), typeof(System.ArgumentException), "No curve named .*");
}
public virtual void buildInverse()
{
FxRateMarketDataFunction function = new FxRateMarketDataFunction();
MarketDataBox <double> quoteBox = MarketDataBox.ofSingleValue(1.1d);
ScenarioMarketData marketData = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)).addBox(QUOTE_ID, quoteBox).build();
MarketDataBox <FxRate> rateBox = function.build(FxRateId.of(CURRENCY_PAIR.inverse()), config(), marketData, REF_DATA);
assertThat(rateBox.SingleValue).True;
assertThat(rateBox.SingleValue).isEqualTo(FxRate.of(CURRENCY_PAIR, 1.1d));
}
// obtains the data and calculates the grid of results
private static void calculate(CalculationRunner runner)
{
// the trade that will have measures calculated
IList <Trade> trades = ImmutableList.of(createVanillaFixedVsLibor3mSwap());
// the columns, specifying the measures to be calculated
IList <Column> columns = ImmutableList.of(Column.of(Measures.PRESENT_VALUE), Column.of(Measures.PV01_CALIBRATED_SUM));
// use the built-in example market data
ExampleMarketDataBuilder marketDataBuilder = ExampleMarketData.builder();
// the complete set of rules for calculating measures
LocalDate valuationDate = LocalDate.of(2014, 1, 22);
CalculationFunctions functions = StandardComponents.calculationFunctions();
CalculationRules rules = CalculationRules.of(functions, Currency.USD, marketDataBuilder.ratesLookup(valuationDate));
// mappings that select which market data to apply perturbations to
// this applies the perturbations above to all curves
PerturbationMapping <Curve> mapping = PerturbationMapping.of(MarketDataFilter.ofIdType(typeof(CurveId)), CurveParallelShifts.absolute(0, ONE_BP));
// create a scenario definition containing the single mapping above
// this creates two scenarios - one for each perturbation in the mapping
ScenarioDefinition scenarioDefinition = ScenarioDefinition.ofMappings(mapping);
// build a market data snapshot for the valuation date
MarketData marketData = marketDataBuilder.buildSnapshot(valuationDate);
// the reference data, such as holidays and securities
ReferenceData refData = ReferenceData.standard();
// calculate the results
MarketDataRequirements reqs = MarketDataRequirements.of(rules, trades, columns, refData);
ScenarioMarketData scenarioMarketData = marketDataFactory().createMultiScenario(reqs, MarketDataConfig.empty(), marketData, refData, scenarioDefinition);
Results results = runner.calculateMultiScenario(rules, trades, columns, scenarioMarketData, refData);
// TODO Replace the results processing below with a report once the reporting framework supports scenarios
// The results are lists of currency amounts containing one value for each scenario
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: com.opengamma.strata.data.scenario.ScenarioArray<?> pvList = (com.opengamma.strata.data.scenario.ScenarioArray<?>) results.get(0, 0).getValue();
ScenarioArray <object> pvList = (ScenarioArray <object>)results.get(0, 0).Value;
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: com.opengamma.strata.data.scenario.ScenarioArray<?> pv01List = (com.opengamma.strata.data.scenario.ScenarioArray<?>) results.get(0, 1).getValue();
ScenarioArray <object> pv01List = (ScenarioArray <object>)results.get(0, 1).Value;
double pvBase = ((CurrencyAmount)pvList.get(0)).Amount;
double pvShifted = ((CurrencyAmount)pvList.get(1)).Amount;
double pv01Base = ((CurrencyAmount)pv01List.get(0)).Amount;
NumberFormat numberFormat = new DecimalFormat("###,##0.00", new DecimalFormatSymbols(Locale.ENGLISH));
Console.WriteLine(" PV (base) = " + numberFormat.format(pvBase));
Console.WriteLine(" PV (1 bp curve shift) = " + numberFormat.format(pvShifted));
Console.WriteLine("PV01 (algorithmic differentiation) = " + numberFormat.format(pv01Base));
Console.WriteLine(" PV01 (finite difference) = " + numberFormat.format(pvShifted - pvBase));
}
public virtual void test_scenarioMarketData()
{
ScenarioMarketData marketDataCalibrated = StandardComponents.marketDataFactory().createMultiScenario(REQUIREMENTS, SCENARIO_CONFIG, SCENARIO_MARKET_DATA, REF_DATA, ScenarioDefinition.empty());
Results results = CALC_RUNNER.calculateMultiScenario(RULES, TARGETS, COLUMN, marketDataCalibrated, REF_DATA);
CurrencyScenarioArray pvs = results.get(0, 0, typeof(CurrencyScenarioArray)).Value;
CurrencyAmount pv0 = PRICER.presentValue(OPTION_TRADE.resolve(REF_DATA), EXP_RATES, EXP_VOLS).convertedTo(USD, EXP_RATES);
CurrencyAmount pv1 = PRICER.presentValue(OPTION_TRADE.resolve(REF_DATA), EXP_RATES_1, EXP_VOLS_1).convertedTo(USD, EXP_RATES_1);
assertEquals(pvs.get(0), pv0);
assertEquals(pvs.get(1), pv1);
}
public override ScenarioMarketData combinedWith(ScenarioMarketData other)
{
if (other is ImmutableScenarioMarketData)
{
return(combinedWith((ImmutableScenarioMarketData)other));
}
else
{
return(ScenarioMarketData.this.combinedWith(other));
}
}
public virtual void specifySource()
{
ObservableSource testSource = ObservableSource.of("test");
ScenarioMarketData marketData = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)).addValue(FxRateId.of(Currency.GBP, Currency.USD), FxRate.of(Currency.GBP, Currency.USD, 1.4d)).addValue(FxRateId.of(Currency.GBP, Currency.USD, testSource), FxRate.of(Currency.GBP, Currency.USD, 1.41d)).build();
ScenarioFxRateProvider defaultRateProvider = ScenarioFxRateProvider.of(marketData);
ScenarioFxRateProvider sourceRateProvider = ScenarioFxRateProvider.of(marketData, testSource);
assertThat(defaultRateProvider.fxRate(Currency.GBP, Currency.USD, 0)).isEqualTo(1.4d);
assertThat(sourceRateProvider.fxRate(Currency.GBP, Currency.USD, 0)).isEqualTo(1.41d);
}
public virtual void test_presentValue()
{
GenericSecurityPositionCalculationFunction function = new GenericSecurityPositionCalculationFunction();
ScenarioMarketData md = marketData();
double unitPv = (MARKET_PRICE / TICK_SIZE) * TICK_VALUE;
CurrencyAmount expectedPv = CurrencyAmount.of(CURRENCY, unitPv * QUANTITY);
ISet <Measure> measures = ImmutableSet.of(Measures.PRESENT_VALUE);
assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.PRESENT_VALUE, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedPv))));
}
public void calculateMultiScenarioAsync(CalculationTasks tasks, ScenarioMarketData marketData, ReferenceData refData, CalculationListener listener)
{
IList <CalculationTask> taskList = tasks.Tasks;
// the listener is invoked via this wrapper
// the wrapper ensures thread-safety for the listener
// it also calls the listener with single CalculationResult cells, not CalculationResults
System.Action <CalculationResults> consumer = new ListenerWrapper(listener, taskList.Count, tasks.Targets, tasks.Columns);
// run each task using the executor
taskList.ForEach(task => runTask(task, marketData, refData, consumer));
}
public virtual void test_combinedWithOtherHasOneScenario()
{
ImmutableScenarioMarketData marketData1 = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)).addBox(TEST_ID2, MarketDataBox.ofScenarioValues(1.0, 1.1)).build();
ImmutableScenarioMarketData marketData2 = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)).addBox(TEST_ID1, MarketDataBox.ofSingleValue(1.0)).build();
ImmutableScenarioMarketData expected = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)).addBox(TEST_ID1, MarketDataBox.ofSingleValue(1.0)).addBox(TEST_ID2, MarketDataBox.ofScenarioValues(1.0, 1.1)).build();
ScenarioMarketData combined = marketData1.combinedWith(marketData2);
assertThat(combined).isEqualTo(expected);
assertThat(combined.Ids).isEqualTo(ImmutableSet.of(TEST_ID1, TEST_ID2));
}
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));
}
public virtual void test_simpleMeasures()
{
CmsTradeCalculationFunction function = new CmsTradeCalculationFunction();
ScenarioMarketData md = marketData();
RatesProvider provider = RATES_LOOKUP.ratesProvider(md.scenario(0));
SabrExtrapolationReplicationCmsTradePricer pricer = new SabrExtrapolationReplicationCmsTradePricer(new SabrExtrapolationReplicationCmsProductPricer(new SabrExtrapolationReplicationCmsLegPricer(SabrExtrapolationReplicationCmsPeriodPricer.of(CUT_OFF_STRIKE, MU))));
ResolvedCmsTrade resolved = TRADE.resolve(REF_DATA);
MultiCurrencyAmount expectedPv = pricer.presentValue(resolved, provider, VOLS);
ISet <Measure> measures = ImmutableSet.of(Measures.PRESENT_VALUE, Measures.RESOLVED_TARGET);
assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.PRESENT_VALUE, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv)))).containsEntry(Measures.RESOLVED_TARGET, Result.success(TRADE.resolve(REF_DATA)));
}
public virtual void test_simpleMeasures()
{
SwaptionTradeCalculationFunction function = new SwaptionTradeCalculationFunction();
ScenarioMarketData md = marketData();
RatesProvider provider = RATES_LOOKUP.ratesProvider(md.scenario(0));
NormalSwaptionTradePricer pricer = NormalSwaptionTradePricer.DEFAULT;
ResolvedSwaptionTrade resolved = TRADE.resolve(REF_DATA);
CurrencyAmount expectedPv = pricer.presentValue(resolved, provider, NORMAL_VOL_SWAPTION_PROVIDER_USD);
ISet <Measure> measures = ImmutableSet.of(Measures.PRESENT_VALUE, 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.RESOLVED_TARGET, Result.success(RTRADE));
}
public virtual void buildScenario()
{
FxRateMarketDataFunction function = new FxRateMarketDataFunction();
MarketDataBox <double> quoteBox = MarketDataBox.ofScenarioValues(1.1d, 1.2d, 1.3d);
ScenarioMarketData marketData = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)).addBox(QUOTE_ID, quoteBox).build();
MarketDataBox <FxRate> rateBox = function.build(RATE_ID, config(), marketData, REF_DATA);
assertThat(rateBox.SingleValue).False;
assertThat(rateBox.ScenarioCount).isEqualTo(3);
assertThat(rateBox.getValue(0)).isEqualTo(FxRate.of(CURRENCY_PAIR, 1.1d));
assertThat(rateBox.getValue(1)).isEqualTo(FxRate.of(CURRENCY_PAIR, 1.2d));
assertThat(rateBox.getValue(2)).isEqualTo(FxRate.of(CURRENCY_PAIR, 1.3d));
}
