/// <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_empty() { ScenarioMarketData test = ScenarioMarketData.empty(); assertThat(test.ValuationDate).isEqualTo(MarketDataBox.empty()); assertThat(test.containsValue(ID1)).False; assertThat(test.containsValue(ID2)).False; assertThrows(() => test.getValue(ID1), typeof(MarketDataNotFoundException)); assertThrows(() => test.getValue(ID2), typeof(MarketDataNotFoundException)); assertThat(test.findValue(ID1)).Empty; assertThat(test.findValue(ID2)).Empty; assertThat(test.Ids).isEqualTo(ImmutableSet.of()); assertThat(test.getTimeSeries(ID1)).isEqualTo(LocalDateDoubleTimeSeries.empty()); assertThat(test.getTimeSeries(ID2)).isEqualTo(LocalDateDoubleTimeSeries.empty()); }
public virtual void test_of_repeated() { ScenarioMarketData test = ScenarioMarketData.of(1, MarketData.of(VAL_DATE, ImmutableMap.of(ID1, VAL1))); assertThat(test.ValuationDate).isEqualTo(MarketDataBox.ofSingleValue(VAL_DATE)); assertThat(test.getValue(ID1)).isEqualTo(MarketDataBox.ofSingleValue(VAL1)); }
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes: //ORIGINAL LINE: @Override @SuppressWarnings("unchecked") public <R> MarketDataBox<R> getValue(com.opengamma.strata.data.MarketDataId<R> id) public override MarketDataBox <R> getValue <R>(MarketDataId <R> id) { if (this.id.Equals(id)) { return((MarketDataBox <R>)value); } return(underlying.getValue(id)); }
public virtual void test_of_noScenarios() { //JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET: //ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, MarketDataBox<?>> dataMap = com.google.common.collect.ImmutableMap.of(ID1, MarketDataBox.empty()); IDictionary <MarketDataId <object>, MarketDataBox <object> > dataMap = ImmutableMap.of(ID1, MarketDataBox.empty()); ScenarioMarketData test = ScenarioMarketData.of(0, VAL_DATE, dataMap, ImmutableMap.of()); assertThat(test.ValuationDate).isEqualTo(MarketDataBox.ofSingleValue(VAL_DATE)); assertThat(test.containsValue(ID1)).True; assertThat(test.containsValue(ID2)).False; assertThat(test.getValue(ID1)).isEqualTo(MarketDataBox.empty()); assertThrows(() => test.getValue(ID2), typeof(MarketDataNotFoundException)); assertThat(test.findValue(ID1)).hasValue(MarketDataBox.empty()); assertThat(test.findValue(ID2)).Empty; assertThat(test.Ids).isEqualTo(ImmutableSet.of(ID1)); assertThat(test.getTimeSeries(ID1)).isEqualTo(LocalDateDoubleTimeSeries.empty()); assertThat(test.getTimeSeries(ID2)).isEqualTo(LocalDateDoubleTimeSeries.empty()); }
/// <summary> /// Returns the inputs required for the curve if available. /// <para> /// If no market data is required to build the curve an empty set of inputs is returned. /// If the curve requires inputs which are available in {@code marketData} they are returned. /// If the curve requires inputs which are not available in {@code marketData} an exception is thrown /// /// </para> /// </summary> /// <param name="curveDefn"> the curve definition </param> /// <param name="marketData"> the market data </param> /// <param name="groupName"> the name of the curve group being built </param> /// <param name="obsSource"> the source of the observable market data </param> /// <returns> the input data required for the curve if available </returns> private MarketDataBox <RatesCurveInputs> curveInputs(CurveDefinition curveDefn, ScenarioMarketData marketData, CurveGroupName groupName, ObservableSource obsSource) { // only try to get inputs from the market data if the curve needs market data if (requiresMarketData(curveDefn)) { RatesCurveInputsId curveInputsId = RatesCurveInputsId.of(groupName, curveDefn.Name, obsSource); return(marketData.getValue(curveInputsId)); } else { return(MarketDataBox.ofSingleValue(RatesCurveInputs.builder().build())); } }
public virtual MarketDataBox <Curve> build(CurveId id, MarketDataConfig config, ScenarioMarketData marketData, ReferenceData refData) { // find curve CurveGroupDefinition groupDefn = config.get(typeof(CurveGroupDefinition), id.CurveGroupName); //JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET: //ORIGINAL LINE: com.opengamma.strata.data.MarketDataId<? extends com.opengamma.strata.market.curve.CurveGroup> groupId = groupDefn.createGroupId(id.getObservableSource()); MarketDataId <CurveGroup> groupId = groupDefn.createGroupId(id.ObservableSource); //JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET: //ORIGINAL LINE: com.opengamma.strata.data.scenario.MarketDataBox<? extends com.opengamma.strata.market.curve.CurveGroup> curveGroupBox = marketData.getValue(groupId); MarketDataBox <CurveGroup> curveGroupBox = marketData.getValue(groupId); return(curveGroupBox.map(curveGroup => findCurve(id, curveGroup))); }
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 override MarketDataBox <T> getValue <T>(MarketDataId <T> id) { Optional <MarketDataBox <T> > value1 = underlying1.findValue(id); return(value1.Present ? value1.get() : underlying2.getValue(id)); }
private MarketDataBox <FxRate> buildFxRate(FxRateId id, QuoteId key, ScenarioMarketData marketData) { MarketDataBox <double> quote = marketData.getValue(key); return(quote.map(rate => FxRate.of(id.Pair, rate))); }
public override T getValue <T>(MarketDataId <T> id) { return(marketData.getValue(id).getValue(scenarioIndex)); }
public MarketDataBox <RatesCurveInputs> build(RatesCurveInputsId id, MarketDataConfig marketDataConfig, ScenarioMarketData marketData, ReferenceData refData) { CurveGroupName groupName = id.CurveGroupName; CurveName curveName = id.CurveName; RatesCurveGroupDefinition groupDefn = marketDataConfig.get(typeof(RatesCurveGroupDefinition), groupName); Optional <CurveDefinition> optionalDefinition = groupDefn.findCurveDefinition(id.CurveName); if (!optionalDefinition.Present) { throw new System.ArgumentException(Messages.format("No curve named '{}' found in group '{}'", curveName, groupName)); } CurveDefinition configuredDefn = optionalDefinition.get(); // determine market data needs MarketDataBox <LocalDate> valuationDates = marketData.ValuationDate; bool multipleValuationDates = valuationDates.ScenarioValue; // curve definition can vary for each valuation date if (multipleValuationDates) { IList <CurveDefinition> curveDefns = IntStream.range(0, valuationDates.ScenarioCount).mapToObj(valuationDates.getValue).map((LocalDate valDate) => configuredDefn.filtered(valDate, refData)).collect(toImmutableList()); //JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET: //ORIGINAL LINE: java.util.Set<com.opengamma.strata.data.MarketDataId<?>> requirements = nodeRequirements(curveDefns); ISet <MarketDataId <object> > requirements = nodeRequirements(curveDefns); //JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET: //ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, com.opengamma.strata.data.scenario.MarketDataBox<?>> marketDataValues = requirements.stream().collect(toImmutableMap(k -> k, k -> marketData.getValue(k))); //JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter: IDictionary <MarketDataId <object>, MarketDataBox <object> > marketDataValues = requirements.collect(toImmutableMap(k => k, k => marketData.getValue(k))); return(buildMultipleCurveInputs(MarketDataBox.ofScenarioValues(curveDefns), marketDataValues, valuationDates, refData)); } // only one valuation date LocalDate valuationDate = valuationDates.getValue(0); CurveDefinition filteredDefn = configuredDefn.filtered(valuationDate, refData); //JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET: //ORIGINAL LINE: java.util.Set<com.opengamma.strata.data.MarketDataId<?>> requirements = nodeRequirements(com.google.common.collect.ImmutableList.of(filteredDefn)); ISet <MarketDataId <object> > requirements = nodeRequirements(ImmutableList.of(filteredDefn)); //JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET: //ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, com.opengamma.strata.data.scenario.MarketDataBox<?>> marketDataValues = requirements.stream().collect(toImmutableMap(k -> k, k -> marketData.getValue(k))); //JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter: IDictionary <MarketDataId <object>, MarketDataBox <object> > marketDataValues = requirements.collect(toImmutableMap(k => k, k => marketData.getValue(k))); // Do any of the inputs contain values for multiple scenarios, or do they contain 1 value each? bool multipleInputValues = marketDataValues.Values.Any(MarketDataBox.isScenarioValue); return(multipleInputValues || multipleValuationDates?buildMultipleCurveInputs(MarketDataBox.ofSingleValue(filteredDefn), marketDataValues, valuationDates, refData) : buildSingleCurveInputs(filteredDefn, marketDataValues, valuationDate, refData)); }