/// <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_combinedWithIncompatibleScenarioCount()
{
ImmutableScenarioMarketData marketData1 = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)).addBox(TEST_ID1, MarketDataBox.ofScenarioValues(1.0, 1.1, 1.2)).build();
ImmutableScenarioMarketData marketData2 = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)).addBox(TEST_ID2, MarketDataBox.ofScenarioValues(1.0, 1.1)).build();
assertThrowsIllegalArg(() => marketData1.combinedWith(marketData2), ".* same number of scenarios .* 3 and 2");
}
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();
assertThat(marketData1.combinedWith(marketData2)).isEqualTo(expected);
}
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_addBadScenarioCount()
{
FxRateId eurGbpId = FxRateId.of(Currency.EUR, Currency.GBP);
FxRateId eurUsdId = FxRateId.of(Currency.EUR, Currency.USD);
FxRate eurGbpRate1 = FxRate.of(Currency.EUR, Currency.GBP, 0.8);
FxRate eurGbpRate2 = FxRate.of(Currency.EUR, Currency.GBP, 0.9);
FxRate eurGbpRate3 = FxRate.of(Currency.EUR, Currency.GBP, 0.95);
FxRate eurUsdRate1 = FxRate.of(Currency.EUR, Currency.USD, 1.1);
FxRate eurUsdRate2 = FxRate.of(Currency.EUR, Currency.USD, 1.2);
ImmutableScenarioMarketDataBuilder builder = ImmutableScenarioMarketData.builder(VAL_DATE).addBox(eurGbpId, MarketDataBox.ofScenarioValues(eurGbpRate1, eurGbpRate2, eurGbpRate3));
assertThrowsIllegalArg(() => builder.addBox(eurUsdId, MarketDataBox.ofScenarioValues(eurUsdRate1, eurUsdRate2)));
}
public virtual void test_addSingleAndBox()
{
FxRateId eurGbpId = FxRateId.of(Currency.EUR, Currency.GBP);
FxRateId eurUsdId = FxRateId.of(Currency.EUR, Currency.USD);
FxRate eurGbpRate = FxRate.of(Currency.EUR, Currency.GBP, 0.8);
FxRate eurUsdRate1 = FxRate.of(Currency.EUR, Currency.USD, 1.1);
FxRate eurUsdRate2 = FxRate.of(Currency.EUR, Currency.USD, 1.2);
ImmutableScenarioMarketData marketData = ImmutableScenarioMarketData.builder(VAL_DATE).addValue(eurGbpId, eurGbpRate).addBox(eurUsdId, MarketDataBox.ofScenarioValues(eurUsdRate1, eurUsdRate2)).build();
assertEquals(marketData.ScenarioCount, 2);
assertEquals(marketData.Ids, ImmutableSet.of(eurGbpId, eurUsdId));
assertEquals(marketData.getValue(eurGbpId), MarketDataBox.ofSingleValue(eurGbpRate));
assertEquals(marketData.getValue(eurUsdId), MarketDataBox.ofScenarioValues(eurUsdRate1, eurUsdRate2));
}
//-------------------------------------------------------------------------
public virtual void test_addScenarioValueMap()
{
FxRateId eurGbpId = FxRateId.of(Currency.EUR, Currency.GBP);
FxRateId eurUsdId = FxRateId.of(Currency.EUR, Currency.USD);
FxRateScenarioArray eurGbpRates = FxRateScenarioArray.of(Currency.EUR, Currency.GBP, DoubleArray.of(0.79, 0.8, 0.81));
FxRateScenarioArray eurUsdRates = FxRateScenarioArray.of(Currency.EUR, Currency.USD, DoubleArray.of(1.09, 1.1, 1.11));
IDictionary <FxRateId, FxRateScenarioArray> values = ImmutableMap.of(eurGbpId, eurGbpRates, eurUsdId, eurUsdRates);
ImmutableScenarioMarketData marketData = ImmutableScenarioMarketData.builder(VAL_DATE).addScenarioValueMap(values).build();
assertEquals(marketData.ScenarioCount, 3);
assertEquals(marketData.Ids, ImmutableSet.of(eurGbpId, eurUsdId));
assertEquals(marketData.getValue(eurGbpId), MarketDataBox.ofScenarioValue(eurGbpRates));
assertEquals(marketData.getValue(eurUsdId), MarketDataBox.ofScenarioValue(eurUsdRates));
}
//-------------------------------------------------------------------------
public virtual void test_addValueMap()
{
FxRateId eurGbpId = FxRateId.of(Currency.EUR, Currency.GBP);
FxRateId eurUsdId = FxRateId.of(Currency.EUR, Currency.USD);
FxRate eurGbpRate = FxRate.of(Currency.EUR, Currency.GBP, 0.8);
FxRate eurUsdRate = FxRate.of(Currency.EUR, Currency.USD, 1.1);
IDictionary <FxRateId, FxRate> values = ImmutableMap.of(eurGbpId, eurGbpRate, eurUsdId, eurUsdRate);
ImmutableScenarioMarketData marketData = ImmutableScenarioMarketData.builder(VAL_DATE).addValueMap(values).build();
assertEquals(marketData.ScenarioCount, 1);
assertEquals(marketData.Ids, ImmutableSet.of(eurGbpId, eurUsdId));
assertEquals(marketData.getValue(eurGbpId), MarketDataBox.ofSingleValue(eurGbpRate));
assertEquals(marketData.getValue(eurUsdId), MarketDataBox.ofSingleValue(eurUsdRate));
}
public virtual void test_combinedWith()
{
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();
ImmutableScenarioMarketData marketData1 = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)).addTimeSeries(TEST_ID1, timeSeries1).addTimeSeries(TEST_ID2, timeSeries2).addBox(TEST_ID1, MarketDataBox.ofScenarioValues(1.0, 1.1, 1.2)).addBox(TEST_ID2, MarketDataBox.ofScenarioValues(2.0, 2.1, 2.2)).build();
ImmutableScenarioMarketData marketData2 = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 10)).addTimeSeries(TEST_ID2, timeSeries2a).addTimeSeries(TEST_ID3, timeSeries3).addBox(TEST_ID2, MarketDataBox.ofScenarioValues(21.0, 21.1, 21.2)).addBox(TEST_ID3, MarketDataBox.ofScenarioValues(3.0, 3.1, 3.2)).build();
// marketData1 values should be in the combined data when the same ID is present in both
ImmutableScenarioMarketData expected = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)).addTimeSeries(TEST_ID1, timeSeries1).addTimeSeries(TEST_ID2, timeSeries2).addTimeSeries(TEST_ID3, timeSeries3).addBox(TEST_ID1, MarketDataBox.ofScenarioValues(1.0, 1.1, 1.2)).addBox(TEST_ID2, MarketDataBox.ofScenarioValues(2.0, 2.1, 2.2)).addBox(TEST_ID3, MarketDataBox.ofScenarioValues(3.0, 3.1, 3.2)).build();
ScenarioMarketData combined = marketData1.combinedWith(marketData2);
assertThat(combined).isEqualTo(expected);
}
private static ImmutableScenarioMarketData baseData()
{
IDictionary <ObservableId, LocalDateDoubleTimeSeries> timeSeriesMap = ImmutableMap.of(ID4, TIME_SERIES);
return(ImmutableScenarioMarketData.builder(VAL_DATE).addBox(ID1, VAL1).addBox(ID2, VAL2).addTimeSeriesMap(timeSeriesMap).build());
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @BeforeClass public void setUp() throws Exception
//JAVA TO C# CONVERTER WARNING: Method 'throws' clauses are not available in .NET:
public virtual void setUp()
{
ScenarioMarketData marketData = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)).addValue(FxRateId.of(Currency.GBP, Currency.USD), FxRate.of(Currency.GBP, Currency.USD, 1.4d)).build();
fxRateProvider = ScenarioFxRateProvider.of(marketData);
}
//-------------------------------------------------------------------------
public virtual void addNothing()
{
ImmutableScenarioMarketData marketData = ImmutableScenarioMarketData.builder(VAL_DATE).build();
assertEquals(marketData.ScenarioCount, 1);
}
