static CreditRatesMarketDataLookupTest()
{
ImmutableMap <Pair <StandardId, Currency>, CurveId> creditCurve = ImmutableMap.of(Pair.of(ISSUER_A, USD), CC_A_USD, Pair.of(ISSUER_B, GBP), CC_B_GBP, Pair.of(ISSUER_A, GBP), CC_A_GBP);
ImmutableMap <Currency, CurveId> discoutCurve = ImmutableMap.of(USD, DC_USD, GBP, DC_GBP);
ImmutableMap <StandardId, CurveId> recoveryCurve = ImmutableMap.of(ISSUER_A, RC_A, ISSUER_B, RC_B);
LOOKUP_WITH_SOURCE = CreditRatesMarketDataLookup.of(creditCurve, discoutCurve, recoveryCurve, OBS_SOURCE);
LOOKUP = CreditRatesMarketDataLookup.of(creditCurve, discoutCurve, recoveryCurve);
}
//-------------------------------------------------------------------------
public virtual FunctionRequirements requirements(CdsIndexTrade trade, ISet <Measure> measures, CalculationParameters parameters, ReferenceData refData)
{
// extract data from product
CdsIndex product = trade.Product;
StandardId legalEntityId = product.CdsIndexId;
Currency currency = product.Currency;
// use lookup to build requirements
CreditRatesMarketDataLookup lookup = parameters.getParameter(typeof(CreditRatesMarketDataLookup));
return(lookup.requirements(legalEntityId, currency));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
coverImmutableBean((ImmutableBean)LOOKUP_WITH_SOURCE);
ImmutableMap <Pair <StandardId, Currency>, CurveId> ccMap = ImmutableMap.of(Pair.of(ISSUER_A, USD), CC_A_USD);
ImmutableMap <Currency, CurveId> dcMap = ImmutableMap.of(USD, DC_USD);
ImmutableMap <StandardId, CurveId> rcMap = ImmutableMap.of(ISSUER_A, RC_A);
CreditRatesMarketDataLookup test2 = CreditRatesMarketDataLookup.of(ccMap, dcMap, rcMap);
coverBeanEquals((ImmutableBean)LOOKUP_WITH_SOURCE, (ImmutableBean)test2);
// related coverage
coverImmutableBean((ImmutableBean)LOOKUP_WITH_SOURCE.marketDataView(MOCK_CALC_MARKET_DATA));
DefaultCreditRatesScenarioMarketData.meta();
coverImmutableBean((ImmutableBean)LOOKUP_WITH_SOURCE.marketDataView(MOCK_MARKET_DATA));
DefaultCreditRatesMarketData.meta();
coverImmutableBean((ImmutableBean)LOOKUP_WITH_SOURCE.marketDataView(MOCK_MARKET_DATA).creditRatesProvider());
DefaultLookupCreditRatesProvider.meta();
}
//-------------------------------------------------------------------------
//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.credit.CdsIndexTrade 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(CdsIndexTrade trade, ISet <Measure> measures, CalculationParameters parameters, ScenarioMarketData scenarioMarketData, ReferenceData refData)
{
// resolve the trade once for all measures and all scenarios
ResolvedCdsIndexTrade resolved = trade.resolve(refData);
// use lookup to query market data
CreditRatesMarketDataLookup ledLookup = parameters.getParameter(typeof(CreditRatesMarketDataLookup));
CreditRatesScenarioMarketData marketData = ledLookup.marketDataView(scenarioMarketData);
// 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, marketData, refData);
}
return(results);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @ImmutableConstructor private DefaultCreditRatesScenarioMarketData(CreditRatesMarketDataLookup lookup, com.opengamma.strata.data.scenario.ScenarioMarketData marketData)
private DefaultCreditRatesScenarioMarketData(CreditRatesMarketDataLookup lookup, ScenarioMarketData marketData)
{
this.lookup = ArgChecker.notNull(lookup, "lookup");
this.marketData = ArgChecker.notNull(marketData, "marketData");
this.cache = new AtomicReferenceArray <CreditRatesMarketData>(marketData.ScenarioCount);
}
private readonly AtomicReferenceArray <CreditRatesMarketData> cache; // derived
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an instance based on a lookup and market data.
/// <para>
/// The lookup provides the mapping to find the correct credit, discount and recovery rate curves.
/// The curves are in the market data.
///
/// </para>
/// </summary>
/// <param name="lookup"> the lookup </param>
/// <param name="marketData"> the market data </param>
/// <returns> the rates market view </returns>
internal static DefaultCreditRatesScenarioMarketData of(CreditRatesMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(new DefaultCreditRatesScenarioMarketData(lookup, marketData));
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @ImmutableConstructor private DefaultCreditRatesMarketData(CreditRatesMarketDataLookup lookup, com.opengamma.strata.data.MarketData marketData)
private DefaultCreditRatesMarketData(CreditRatesMarketDataLookup lookup, MarketData marketData)
{
this.lookup = ArgChecker.notNull(lookup, "lookup");
this.marketData = ArgChecker.notNull(marketData, "marketData");
this.creditRatesProvider_Renamed = lookup.creditRatesProvider(marketData);
}
