public virtual void test_simpleMeasures()
{
FixedCouponBondTradeCalculationFunction <FixedCouponBondTrade> function = FixedCouponBondTradeCalculationFunction.TRADE;
ScenarioMarketData md = marketData();
LegalEntityDiscountingProvider provider = LOOKUP.marketDataView(md.scenario(0)).discountingProvider();
DiscountingFixedCouponBondTradePricer pricer = DiscountingFixedCouponBondTradePricer.DEFAULT;
CurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider);
MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(RTRADE, provider);
CurrencyAmount expectedCurrentCash = pricer.currentCash(RTRADE, VAL_DATE);
ISet <Measure> measures = ImmutableSet.of(Measures.PRESENT_VALUE, Measures.CURRENCY_EXPOSURE, Measures.CURRENT_CASH, 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.CURRENCY_EXPOSURE, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure)))).containsEntry(Measures.CURRENT_CASH, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedCurrentCash)))).containsEntry(Measures.RESOLVED_TARGET, Result.success(RTRADE));
}
public virtual void test_simpleMeasures()
{
FxSingleBarrierOptionTradeCalculationFunction function = new FxSingleBarrierOptionTradeCalculationFunction();
ScenarioMarketData md = marketData();
RatesProvider provider = RATES_LOOKUP.ratesProvider(md.scenario(0));
BlackFxSingleBarrierOptionTradePricer pricer = BlackFxSingleBarrierOptionTradePricer.DEFAULT;
MultiCurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider, VOLS);
MultiCurrencyAmount expectedCurrencyExp = pricer.currencyExposure(RTRADE, provider, VOLS);
CurrencyAmount expectedCash = pricer.currentCash(RTRADE, VAL_DATE);
ISet <Measure> measures = ImmutableSet.of(Measures.PRESENT_VALUE, Measures.PAR_SPREAD, Measures.CURRENCY_EXPOSURE, Measures.CURRENT_CASH, 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.CURRENCY_EXPOSURE, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExp)))).containsEntry(Measures.CURRENT_CASH, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedCash)))).containsEntry(Measures.RESOLVED_TARGET, Result.success(RTRADE));
}
public virtual void test_pv01()
{
FxSwapTradeCalculationFunction function = new FxSwapTradeCalculationFunction();
ScenarioMarketData md = marketData();
RatesProvider provider = RATES_LOOKUP.ratesProvider(md.scenario(0));
DiscountingFxSwapTradePricer pricer = DiscountingFxSwapTradePricer.DEFAULT;
PointSensitivities pvPointSens = pricer.presentValueSensitivity(RTRADE, provider);
CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens);
MultiCurrencyAmount expectedPv01 = pvParamSens.total().multipliedBy(1e-4);
CurrencyParameterSensitivities expectedBucketedPv01 = pvParamSens.multipliedBy(1e-4);
ISet <Measure> measures = ImmutableSet.of(Measures.PV01_CALIBRATED_SUM, Measures.PV01_CALIBRATED_BUCKETED);
assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.PV01_CALIBRATED_SUM, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01)))).containsEntry(Measures.PV01_CALIBRATED_BUCKETED, Result.success(ScenarioArray.of(ImmutableList.of(expectedBucketedPv01))));
}
public virtual void test_simpleMeasures()
{
FxNdfTradeCalculationFunction function = new FxNdfTradeCalculationFunction();
ScenarioMarketData md = marketData();
RatesProvider provider = RATES_LOOKUP.ratesProvider(md.scenario(0));
DiscountingFxNdfTradePricer pricer = DiscountingFxNdfTradePricer.DEFAULT;
CurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider);
MultiCurrencyAmount expectedCurrencyExp = pricer.currencyExposure(RTRADE, provider);
CurrencyAmount expectedCash = pricer.currentCash(RTRADE, provider);
FxRate expectedForwardFx = pricer.forwardFxRate(RTRADE, provider);
ISet <Measure> measures = ImmutableSet.of(Measures.PRESENT_VALUE, Measures.CURRENCY_EXPOSURE, Measures.CURRENT_CASH, Measures.FORWARD_FX_RATE, 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.CURRENCY_EXPOSURE, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExp)))).containsEntry(Measures.CURRENT_CASH, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedCash)))).containsEntry(Measures.FORWARD_FX_RATE, Result.success(ScenarioArray.of(ImmutableList.of(expectedForwardFx)))).containsEntry(Measures.RESOLVED_TARGET, Result.success(RTRADE));
}
public virtual void test_simpleMeasures()
{
TermDepositTradeCalculationFunction function = new TermDepositTradeCalculationFunction();
ScenarioMarketData md = marketData();
RatesProvider provider = RATES_LOOKUP.ratesProvider(md.scenario(0));
DiscountingTermDepositTradePricer pricer = DiscountingTermDepositTradePricer.DEFAULT;
CurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider);
double expectedParRate = pricer.parRate(RTRADE, provider);
double expectedParSpread = pricer.parSpread(RTRADE, provider);
MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(RTRADE, provider);
CurrencyAmount expectedCurrentCash = pricer.currentCash(RTRADE, provider);
ISet <Measure> measures = ImmutableSet.of(Measures.PRESENT_VALUE, Measures.PAR_RATE, Measures.PAR_SPREAD, Measures.CURRENCY_EXPOSURE, Measures.CURRENT_CASH, 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.PAR_RATE, Result.success(DoubleScenarioArray.of(ImmutableList.of(expectedParRate)))).containsEntry(Measures.PAR_SPREAD, Result.success(DoubleScenarioArray.of(ImmutableList.of(expectedParSpread)))).containsEntry(Measures.CURRENCY_EXPOSURE, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure)))).containsEntry(Measures.CURRENT_CASH, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedCurrentCash)))).containsEntry(Measures.RESOLVED_TARGET, Result.success(RTRADE));
}
public FxOptionMarketData scenario(int scenarioIndex)
{
FxOptionMarketData current = cache.get(scenarioIndex);
if (current != null)
{
return(current);
}
return(cache.updateAndGet(scenarioIndex, v => v != null ? v : lookup.marketDataView(marketData.scenario(scenarioIndex))));
}
public virtual void test_pv01()
{
CapitalIndexedBondTradeCalculationFunction <CapitalIndexedBondTrade> function = CapitalIndexedBondTradeCalculationFunction.TRADE;
ScenarioMarketData md = marketData();
RatesProvider ratesProvider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider();
LegalEntityDiscountingProvider ledProvider = LED_LOOKUP.marketDataView(md.scenario(0)).discountingProvider();
DiscountingCapitalIndexedBondTradePricer pricer = DiscountingCapitalIndexedBondTradePricer.DEFAULT;
PointSensitivities pvPointSens = pricer.presentValueSensitivity(RTRADE, ratesProvider, ledProvider);
CurrencyParameterSensitivities pvParamSens = ledProvider.parameterSensitivity(pvPointSens);
MultiCurrencyAmount expectedPv01Cal = pvParamSens.total().multipliedBy(1e-4);
CurrencyParameterSensitivities expectedPv01CalBucketed = pvParamSens.multipliedBy(1e-4);
ISet <Measure> measures = ImmutableSet.of(Measures.PV01_CALIBRATED_SUM, Measures.PV01_CALIBRATED_BUCKETED);
assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.PV01_CALIBRATED_SUM, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Cal)))).containsEntry(Measures.PV01_CALIBRATED_BUCKETED, Result.success(ScenarioArray.of(ImmutableList.of(expectedPv01CalBucketed))));
}
public virtual void test_simpleMeasures()
{
DsfTradeCalculationFunction <DsfTrade> function = DsfTradeCalculationFunction.TRADE;
ScenarioMarketData md = marketData();
RatesProvider provider = RATES_LOOKUP.ratesProvider(md.scenario(0));
DiscountingDsfTradePricer pricer = DiscountingDsfTradePricer.DEFAULT;
double expectedPrice = pricer.price(RTRADE, provider);
CurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider, REF_PRICE);
MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(RTRADE, provider, REF_PRICE);
ISet <Measure> measures = ImmutableSet.of(Measures.UNIT_PRICE, Measures.PRESENT_VALUE, Measures.CURRENCY_EXPOSURE, 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.CURRENCY_EXPOSURE, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure)))).containsEntry(Measures.RESOLVED_TARGET, Result.success(RTRADE));
}
public virtual FxRateProvider fxRateProvider(int scenarioIndex)
{
return(lookup.fxRateProvider(marketData.scenario(scenarioIndex)));
}
public virtual void test_pv01_quote()
{
BillTradeCalculationFunction <BillTrade> function = BillTradeCalculationFunction.TRADE;
ScenarioMarketData md = marketData();
LegalEntityDiscountingProvider provider = LOOKUP.marketDataView(md.scenario(0)).discountingProvider();
DiscountingBillTradePricer pricer = DiscountingBillTradePricer.DEFAULT;
PointSensitivities pvPointSens = pricer.presentValueSensitivity(RTRADE, provider);
CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens);
CurrencyParameterSensitivities expectedPv01CalBucketed = MQ_CALC.sensitivity(pvParamSens, provider).multipliedBy(1e-4);
MultiCurrencyAmount expectedPv01Cal = expectedPv01CalBucketed.total();
ISet <Measure> measures = ImmutableSet.of(Measures.PV01_MARKET_QUOTE_SUM, Measures.PV01_MARKET_QUOTE_BUCKETED);
assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.PV01_MARKET_QUOTE_SUM, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Cal)))).containsEntry(Measures.PV01_MARKET_QUOTE_BUCKETED, Result.success(ScenarioArray.of(ImmutableList.of(expectedPv01CalBucketed))));
}
public LegalEntityDiscountingMarketData scenario(int scenarioIndex)
{
LegalEntityDiscountingMarketData current = cache.get(scenarioIndex);
if (current != null)
{
return(current);
}
return(cache.updateAndGet(scenarioIndex, v => v != null ? v : lookup.marketDataView(marketData.scenario(scenarioIndex))));
}
public virtual void test_pv01_quote()
{
FixedCouponBondTradeCalculationFunction <FixedCouponBondTrade> function = FixedCouponBondTradeCalculationFunction.TRADE;
ScenarioMarketData md = marketData();
LegalEntityDiscountingProvider provider = LOOKUP.marketDataView(md.scenario(0)).discountingProvider();
DiscountingFixedCouponBondTradePricer pricer = DiscountingFixedCouponBondTradePricer.DEFAULT;
PointSensitivities pvPointSens = pricer.presentValueSensitivity(RTRADE, provider);
CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens);
CurrencyParameterSensitivities expectedPv01CalBucketed = MQ_CALC.sensitivity(pvParamSens, provider).multipliedBy(1e-4);
MultiCurrencyAmount expectedPv01Cal = expectedPv01CalBucketed.total();
ISet <Measure> measures = ImmutableSet.of(Measures.PV01_MARKET_QUOTE_SUM, Measures.PV01_MARKET_QUOTE_BUCKETED);
//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<?>> computed = function.calculate(TRADE, measures, PARAMS, md, REF_DATA);
IDictionary <Measure, Result <object> > computed = function.calculate(TRADE, measures, PARAMS, md, REF_DATA);
MultiCurrencyScenarioArray sumComputed = (MultiCurrencyScenarioArray)computed[Measures.PV01_MARKET_QUOTE_SUM].Value;
ScenarioArray <CurrencyParameterSensitivities> bucketedComputed = (ScenarioArray <CurrencyParameterSensitivities>)computed[Measures.PV01_MARKET_QUOTE_BUCKETED].Value;
assertEquals(sumComputed.ScenarioCount, 1);
assertEquals(sumComputed.get(0).Currencies, ImmutableSet.of(GBP));
assertTrue(DoubleMath.fuzzyEquals(sumComputed.get(0).getAmount(GBP).Amount, expectedPv01Cal.getAmount(GBP).Amount, 1.0e-10));
assertEquals(bucketedComputed.ScenarioCount, 1);
assertTrue(bucketedComputed.get(0).equalWithTolerance(expectedPv01CalBucketed, 1.0e-10));
}
public virtual FxRateProvider fxRateProvider(int scenarioIndex)
{
return(MarketDataFxRateProvider.of(marketData.scenario(scenarioIndex), source));
}
public IborFutureOptionMarketData scenario(int scenarioIndex)
{
return(lookup.marketDataView(marketData.scenario(scenarioIndex)));
}
