/// <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_empty()
{
ScenarioMarketData test = ScenarioMarketData.empty();
assertThat(test.ValuationDate).isEqualTo(MarketDataBox.empty());
assertThat(test.containsValue(ID1)).False;
assertThat(test.containsValue(ID2)).False;
assertThrows(() => test.getValue(ID1), typeof(MarketDataNotFoundException));
assertThrows(() => test.getValue(ID2), typeof(MarketDataNotFoundException));
assertThat(test.findValue(ID1)).Empty;
assertThat(test.findValue(ID2)).Empty;
assertThat(test.Ids).isEqualTo(ImmutableSet.of());
assertThat(test.getTimeSeries(ID1)).isEqualTo(LocalDateDoubleTimeSeries.empty());
assertThat(test.getTimeSeries(ID2)).isEqualTo(LocalDateDoubleTimeSeries.empty());
}
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));
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Override @SuppressWarnings("unchecked") public <R> MarketDataBox<R> getValue(com.opengamma.strata.data.MarketDataId<R> id)
public override MarketDataBox <R> getValue <R>(MarketDataId <R> id)
{
if (this.id.Equals(id))
{
return((MarketDataBox <R>)value);
}
return(underlying.getValue(id));
}
public virtual void test_of_noScenarios()
{
//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.empty());
IDictionary <MarketDataId <object>, MarketDataBox <object> > dataMap = ImmutableMap.of(ID1, MarketDataBox.empty());
ScenarioMarketData test = ScenarioMarketData.of(0, VAL_DATE, dataMap, ImmutableMap.of());
assertThat(test.ValuationDate).isEqualTo(MarketDataBox.ofSingleValue(VAL_DATE));
assertThat(test.containsValue(ID1)).True;
assertThat(test.containsValue(ID2)).False;
assertThat(test.getValue(ID1)).isEqualTo(MarketDataBox.empty());
assertThrows(() => test.getValue(ID2), typeof(MarketDataNotFoundException));
assertThat(test.findValue(ID1)).hasValue(MarketDataBox.empty());
assertThat(test.findValue(ID2)).Empty;
assertThat(test.Ids).isEqualTo(ImmutableSet.of(ID1));
assertThat(test.getTimeSeries(ID1)).isEqualTo(LocalDateDoubleTimeSeries.empty());
assertThat(test.getTimeSeries(ID2)).isEqualTo(LocalDateDoubleTimeSeries.empty());
}
/// <summary>
/// Returns the inputs required for the curve if available.
/// <para>
/// If no market data is required to build the curve an empty set of inputs is returned.
/// If the curve requires inputs which are available in {@code marketData} they are returned.
/// If the curve requires inputs which are not available in {@code marketData} an exception is thrown
///
/// </para>
/// </summary>
/// <param name="curveDefn"> the curve definition </param>
/// <param name="marketData"> the market data </param>
/// <param name="groupName"> the name of the curve group being built </param>
/// <param name="obsSource"> the source of the observable market data </param>
/// <returns> the input data required for the curve if available </returns>
private MarketDataBox <RatesCurveInputs> curveInputs(CurveDefinition curveDefn, ScenarioMarketData marketData, CurveGroupName groupName, ObservableSource obsSource)
{
// only try to get inputs from the market data if the curve needs market data
if (requiresMarketData(curveDefn))
{
RatesCurveInputsId curveInputsId = RatesCurveInputsId.of(groupName, curveDefn.Name, obsSource);
return(marketData.getValue(curveInputsId));
}
else
{
return(MarketDataBox.ofSingleValue(RatesCurveInputs.builder().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 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 override MarketDataBox <T> getValue <T>(MarketDataId <T> id)
{
Optional <MarketDataBox <T> > value1 = underlying1.findValue(id);
return(value1.Present ? value1.get() : underlying2.getValue(id));
}
private MarketDataBox <FxRate> buildFxRate(FxRateId id, QuoteId key, ScenarioMarketData marketData)
{
MarketDataBox <double> quote = marketData.getValue(key);
return(quote.map(rate => FxRate.of(id.Pair, rate)));
}
public override T getValue <T>(MarketDataId <T> id)
{
return(marketData.getValue(id).getValue(scenarioIndex));
}
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));
}
