//------------------------------------------------------------------------- public virtual void test_marketDataView() { SwaptionMarketDataLookup test = SwaptionMarketDataLookup.of(USD_LIBOR_3M, VOL_ID1); LocalDate valDate = date(2015, 6, 30); ScenarioMarketData md = new TestMarketDataMap(valDate, ImmutableMap.of(), ImmutableMap.of()); SwaptionScenarioMarketData multiScenario = test.marketDataView(md); assertEquals(multiScenario.Lookup, test); assertEquals(multiScenario.MarketData, md); assertEquals(multiScenario.ScenarioCount, 1); SwaptionMarketData scenario = multiScenario.scenario(0); assertEquals(scenario.Lookup, test); assertEquals(scenario.MarketData, md.scenario(0)); assertEquals(scenario.ValuationDate, valDate); }
//------------------------------------------------------------------------- //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(com.opengamma.strata.product.swaption.SwaptionTrade trade, 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(SwaptionTrade trade, ISet <Measure> measures, CalculationParameters parameters, ScenarioMarketData scenarioMarketData, ReferenceData refData) { // expand the trade once for all measures and all scenarios ResolvedSwaptionTrade resolved = trade.resolve(refData); RatesMarketDataLookup ratesLookup = parameters.getParameter(typeof(RatesMarketDataLookup)); RatesScenarioMarketData ratesMarketData = ratesLookup.marketDataView(scenarioMarketData); SwaptionMarketDataLookup swaptionLookup = parameters.getParameter(typeof(SwaptionMarketDataLookup)); SwaptionScenarioMarketData swaptionMarketData = swaptionLookup.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, ratesMarketData, swaptionMarketData); } return(results); }
//------------------------------------------------------------------------- // calculates calibrated sum PV01 for all scenarios internal MultiCurrencyScenarioArray pv01RatesCalibratedSum(ResolvedSwaptionTrade trade, RatesScenarioMarketData ratesMarketData, SwaptionScenarioMarketData swaptionMarketData) { IborIndex index = trade.Product.Index; return(MultiCurrencyScenarioArray.of(ratesMarketData.ScenarioCount, i => pv01RatesCalibratedSum(trade, ratesMarketData.scenario(i).ratesProvider(), swaptionMarketData.scenario(i).volatilities(index)))); }
//------------------------------------------------------------------------- // calculates present value for all scenarios internal CurrencyScenarioArray presentValue(ResolvedSwaptionTrade trade, RatesScenarioMarketData ratesMarketData, SwaptionScenarioMarketData swaptionMarketData) { IborIndex index = trade.Product.Index; return(CurrencyScenarioArray.of(ratesMarketData.ScenarioCount, i => presentValue(trade, ratesMarketData.scenario(i).ratesProvider(), swaptionMarketData.scenario(i).volatilities(index)))); }
//------------------------------------------------------------------------- // calculates current cash for all scenarios internal CurrencyScenarioArray currentCash(ResolvedSwaptionTrade trade, RatesScenarioMarketData ratesMarketData, SwaptionScenarioMarketData swaptionMarketData) { return(CurrencyScenarioArray.of(ratesMarketData.ScenarioCount, i => currentCash(trade, ratesMarketData.scenario(i).ValuationDate))); }
//------------------------------------------------------------------------- // calculates market quote bucketed PV01 for all scenarios internal ScenarioArray <CurrencyParameterSensitivities> pv01RatesMarketQuoteBucketed(ResolvedSwaptionTrade trade, RatesScenarioMarketData ratesMarketData, SwaptionScenarioMarketData swaptionMarketData) { IborIndex index = trade.Product.Index; return(ScenarioArray.of(ratesMarketData.ScenarioCount, i => pv01RatesMarketQuoteBucketed(trade, ratesMarketData.scenario(i).ratesProvider(), swaptionMarketData.scenario(i).volatilities(index)))); }
// 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.cms.ResolvedCmsTrade trade, CmsMeasureCalculations calculations, com.opengamma.strata.measure.rate.RatesScenarioMarketData ratesMarketData, com.opengamma.strata.measure.swaption.SwaptionScenarioMarketData swaptionMarketData) private Result <object> calculate(Measure measure, ResolvedCmsTrade trade, CmsMeasureCalculations calculations, RatesScenarioMarketData ratesMarketData, SwaptionScenarioMarketData swaptionMarketData) { SingleMeasureCalculation calculator = CALCULATORS.get(measure); if (calculator == null) { return(Result.failure(FailureReason.UNSUPPORTED, "Unsupported measure for SwaptionTrade: {}", measure)); } return(Result.of(() => calculator(calculations, trade, ratesMarketData, swaptionMarketData))); }