public virtual void test_of() { CmsSabrExtrapolationParams test = CmsSabrExtrapolationParams.of(1d, 2d); assertEquals(test.CutOffStrike, 1d); assertEquals(test.Mu, 2d); }
//------------------------------------------------------------------------- public virtual void coverage() { CmsSabrExtrapolationParams test = CmsSabrExtrapolationParams.of(1d, 2d); coverImmutableBean(test); CmsSabrExtrapolationParams test2 = CmsSabrExtrapolationParams.of(3d, 4d); coverBeanEquals(test, test2); }
/// <summary> /// Creates an instance. /// </summary> /// <param name="cmsParams"> the CMS parameters </param> internal CmsMeasureCalculations(CmsSabrExtrapolationParams cmsParams) { SabrExtrapolationReplicationCmsPeriodPricer periodPricer = SabrExtrapolationReplicationCmsPeriodPricer.of(cmsParams.CutOffStrike, cmsParams.Mu); SabrExtrapolationReplicationCmsLegPricer legPricer = new SabrExtrapolationReplicationCmsLegPricer(periodPricer); SabrExtrapolationReplicationCmsProductPricer productPricer = new SabrExtrapolationReplicationCmsProductPricer(legPricer); SabrExtrapolationReplicationCmsTradePricer tradePricer = new SabrExtrapolationReplicationCmsTradePricer(productPricer); this.tradePricer = ArgChecker.notNull(tradePricer, "tradePricer"); }
//----------------------------------------------------------------------- public override bool Equals(object obj) { if (obj == this) { return(true); } if (obj != null && obj.GetType() == this.GetType()) { CmsSabrExtrapolationParams other = (CmsSabrExtrapolationParams)obj; return(JodaBeanUtils.equal(cutOffStrike, other.cutOffStrike) && JodaBeanUtils.equal(mu, other.mu)); } return(false); }
//------------------------------------------------------------------------- //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.cms.CmsTrade 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(CmsTrade trade, ISet <Measure> measures, CalculationParameters parameters, ScenarioMarketData scenarioMarketData, ReferenceData refData) { // expand the trade once for all measures and all scenarios ResolvedCmsTrade 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); CmsSabrExtrapolationParams cmsParams = parameters.getParameter(typeof(CmsSabrExtrapolationParams)); CmsMeasureCalculations calculations = new CmsMeasureCalculations(cmsParams); // 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, calculations, ratesMarketData, swaptionMarketData); } return(results); }
//------------------------------------------------------------------------- /// <summary> /// Creates an instance specifying the SABR extrapolation parameters. /// </summary> /// <param name="cmsParams"> the parameters for SABR pricing of CMS </param> private CmsTradeCalculations(CmsSabrExtrapolationParams cmsParams) { this.calc = new CmsMeasureCalculations(cmsParams); }
/// <summary> /// Obtains an instance specifying the SABR extrapolation parameters. /// </summary> /// <param name="cmsParams"> the parameters for SABR pricing of CMS </param> /// <returns> the trade calculations </returns> public static CmsTradeCalculations of(CmsSabrExtrapolationParams cmsParams) { return(new CmsTradeCalculations(cmsParams)); }
public virtual void test_serialization() { CmsSabrExtrapolationParams test = CmsSabrExtrapolationParams.of(1d, 2d); assertSerialization(test); }