public CreditDiscountFactors discountFactors(Currency currency)
{
CurveId curveId = lookup.DiscountCurveIds.get(currency);
if (curveId == null)
{
throw new MarketDataNotFoundException("Unable to find discount curve: " + currency);
}
Curve curve = marketData.getValue(curveId);
return(CreditDiscountFactors.of(currency, ValuationDate, curve));
}
//-------------------------------------------------------------------------
public LegalEntitySurvivalProbabilities survivalProbabilities(StandardId legalEntityId, Currency currency)
{
CurveId curveId = lookup.CreditCurveIds.get(Pair.of(legalEntityId, currency));
if (curveId == null)
{
throw new MarketDataNotFoundException("Unable to find credit curve: " + legalEntityId + ", " + currency);
}
Curve curve = marketData.getValue(curveId);
CreditDiscountFactors survivalProbabilities = CreditDiscountFactors.of(currency, ValuationDate, curve);
return(LegalEntitySurvivalProbabilities.of(legalEntityId, survivalProbabilities));
}
public virtual void test_of_constant_interface()
{
IsdaCreditDiscountFactors test = (IsdaCreditDiscountFactors)CreditDiscountFactors.of(USD, VALUATION, CONST_CURVE);
assertEquals(test.Currency, USD);
assertEquals(test.Curve, CONST_CURVE);
assertEquals(test.DayCount, ACT_365L);
assertEquals(test.ParameterCount, 1);
assertEquals(test.getParameter(0), RATE_SINGLE);
assertEquals(test.ParameterKeys, DoubleArray.of(TIME_SINGLE));
assertEquals(test.getParameterMetadata(0), SimpleCurveParameterMetadata.of(METADATA.XValueType, TIME_SINGLE));
assertEquals(test.ValuationDate, VALUATION);
assertEquals(test.findData(CONST_CURVE.Name), CONST_CURVE);
assertEquals(test.findData(CurveName.of("Rubbish")), null);
assertEquals(test.toDiscountFactors(), ZeroRateDiscountFactors.of(USD, VALUATION, CONST_CURVE));
assertEquals(test.IsdaCompliant, true);
}
//-------------------------------------------------------------------------
public ImmutableCreditRatesProvider toImmutableCreditRatesProvider()
{
LocalDate valuationDate = ValuationDate;
// credit curves
IDictionary <Pair <StandardId, Currency>, LegalEntitySurvivalProbabilities> creditCurves = new Dictionary <Pair <StandardId, Currency>, LegalEntitySurvivalProbabilities>();
foreach (Pair <StandardId, Currency> pair in lookup.CreditCurveIds.Keys)
{
CurveId curveId = lookup.CreditCurveIds.get(pair);
if (marketData.containsValue(curveId))
{
Curve curve = marketData.getValue(curveId);
CreditDiscountFactors survivalProbabilities = CreditDiscountFactors.of(pair.Second, valuationDate, curve);
creditCurves[pair] = LegalEntitySurvivalProbabilities.of(pair.First, survivalProbabilities);
}
}
// discount curves
IDictionary <Currency, CreditDiscountFactors> discountCurves = new Dictionary <Currency, CreditDiscountFactors>();
foreach (Currency currency in lookup.DiscountCurveIds.Keys)
{
CurveId curveId = lookup.DiscountCurveIds.get(currency);
if (marketData.containsValue(curveId))
{
Curve curve = marketData.getValue(curveId);
discountCurves[currency] = CreditDiscountFactors.of(currency, valuationDate, curve);
}
}
// recovery rate curves
IDictionary <StandardId, RecoveryRates> recoveryRateCurves = new Dictionary <StandardId, RecoveryRates>();
foreach (StandardId legalEntityId in lookup.RecoveryRateCurveIds.Keys)
{
CurveId curveId = lookup.RecoveryRateCurveIds.get(legalEntityId);
if (marketData.containsValue(curveId))
{
Curve curve = marketData.getValue(curveId);
RecoveryRates recoveryRate = RecoveryRates.of(legalEntityId, valuationDate, curve);
recoveryRateCurves[legalEntityId] = recoveryRate;
}
}
// build result
return(ImmutableCreditRatesProvider.builder().valuationDate(valuationDate).creditCurves(creditCurves).discountCurves(discountCurves).recoveryRateCurves(recoveryRateCurves).build());
}
public virtual void test_of_interface()
{
IsdaCreditDiscountFactors test = (IsdaCreditDiscountFactors)CreditDiscountFactors.of(USD, VALUATION, CURVE);
assertEquals(test.Currency, USD);
assertEquals(test.Curve, CURVE);
assertEquals(test.DayCount, ACT_365F);
assertEquals(test.ParameterCount, RATE.size());
assertEquals(test.getParameter(3), RATE.get(3));
assertEquals(test.getParameter(1), RATE.get(1));
assertEquals(test.ParameterKeys, TIME);
assertEquals(test.getParameterMetadata(4), SimpleCurveParameterMetadata.of(METADATA.XValueType, TIME.get(4)));
assertEquals(test.getParameterMetadata(6), SimpleCurveParameterMetadata.of(METADATA.XValueType, TIME.get(6)));
assertEquals(test.ValuationDate, VALUATION);
assertEquals(test.findData(CURVE.Name), CURVE);
assertEquals(test.findData(CurveName.of("Rubbish")), null);
assertEquals(test.toDiscountFactors(), ZeroRateDiscountFactors.of(USD, VALUATION, CURVE));
assertEquals(test.IsdaCompliant, true);
}
