//-------------------------------------------------------------------------
public virtual void coverage()
{
FxOptionVolatilitiesDefinition test1 = FxOptionVolatilitiesDefinition.of(SPEC);
coverImmutableBean(test1);
BlackFxOptionSmileVolatilitiesSpecification spec2 = BlackFxOptionSmileVolatilitiesSpecification.builder().name(VOL_NAME).currencyPair(EUR_GBP).dayCount(ACT_360).nodes(NODES).timeInterpolator(LINEAR).strikeInterpolator(LINEAR).build();
FxOptionVolatilitiesDefinition test2 = FxOptionVolatilitiesDefinition.of(spec2);
coverBeanEquals(test1, test2);
}
public virtual void test_of()
{
FxOptionVolatilitiesDefinition test = FxOptionVolatilitiesDefinition.of(SPEC);
assertEquals(test.Specification, SPEC);
assertEquals(test.ParameterCount, SPEC.ParameterCount);
assertEquals(test.volatilitiesInputs(), SPEC.volatilitiesInputs());
ZonedDateTime dateTime = LocalDate.of(2017, 9, 25).atStartOfDay().atZone(ZoneId.of("Europe/London"));
DoubleArray parameters = DoubleArray.of(0.05, -0.05, 0.15, 0.25, 0.1, -0.1);
assertEquals(test.volatilities(dateTime, parameters, REF_DATA), SPEC.volatilities(dateTime, parameters, REF_DATA));
}
//-----------------------------------------------------------------------
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
FxOptionVolatilitiesDefinition other = (FxOptionVolatilitiesDefinition)obj;
return(JodaBeanUtils.equal(specification, other.specification));
}
return(false);
}
public virtual MarketDataBox <FxOptionVolatilities> build(FxOptionVolatilitiesId id, MarketDataConfig marketDataConfig, ScenarioMarketData marketData, ReferenceData refData)
{
FxOptionVolatilitiesDefinition volatilitiesDefinition = marketDataConfig.get(typeof(FxOptionVolatilitiesDefinition), id.Name.Name);
ValuationZoneTimeDefinition zoneTimeDefinition = marketDataConfig.get(typeof(ValuationZoneTimeDefinition));
int nScenarios = marketData.ScenarioCount;
MarketDataBox <LocalDate> valuationDates = marketData.ValuationDate;
MarketDataBox <ZonedDateTime> valuationDateTimes = zoneTimeDefinition.toZonedDateTime(valuationDates);
int nParameters = volatilitiesDefinition.ParameterCount;
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
ImmutableList <MarketDataBox <double> > inputs = volatilitiesDefinition.volatilitiesInputs().Select(q => marketData.getValue(q)).collect(toImmutableList());
ImmutableList <FxOptionVolatilities> vols = IntStream.range(0, nScenarios).mapToObj(scenarioIndex => volatilitiesDefinition.volatilities(valuationDateTimes.getValue(scenarioIndex), DoubleArray.of(nParameters, paramIndex => inputs.get(paramIndex).getValue(scenarioIndex)), refData)).collect(toImmutableList());
return(nScenarios > 1 ? MarketDataBox.ofScenarioValues(vols) : MarketDataBox.ofSingleValue(vols.get(0)));
}
public virtual MarketDataRequirements requirements(FxOptionVolatilitiesId id, MarketDataConfig marketDataConfig)
{
FxOptionVolatilitiesDefinition volatilitiesDefinition = marketDataConfig.get(typeof(FxOptionVolatilitiesDefinition), id.Name.Name);
return(MarketDataRequirements.builder().addValues(volatilitiesDefinition.volatilitiesInputs()).build());
}
public virtual void serialization()
{
FxOptionVolatilitiesDefinition test = FxOptionVolatilitiesDefinition.of(SPEC);
assertSerialization(test);
}