//-------------------------------------------------------------------------
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);
}
//-------------------------------------------------------------------------
// 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 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))));
}