//-------------------------------------------------------------------------
public virtual void test_of_single()
{
SwaptionMarketDataLookup test = SwaptionMarketDataLookup.of(USD_LIBOR_3M, VOL_ID1);
assertEquals(test.queryType(), typeof(SwaptionMarketDataLookup));
assertEquals(test.VolatilityIndices, ImmutableSet.of(USD_LIBOR_3M));
assertEquals(test.getVolatilityIds(USD_LIBOR_3M), ImmutableSet.of(VOL_ID1));
assertThrowsIllegalArg(() => test.getVolatilityIds(GBP_LIBOR_3M));
assertEquals(test.requirements(USD_LIBOR_3M), FunctionRequirements.builder().valueRequirements(VOL_ID1).build());
assertEquals(test.requirements(ImmutableSet.of(USD_LIBOR_3M)), FunctionRequirements.builder().valueRequirements(VOL_ID1).build());
assertThrowsIllegalArg(() => test.requirements(ImmutableSet.of(GBP_LIBOR_3M)));
}
//-------------------------------------------------------------------------
public virtual FunctionRequirements requirements(SwaptionTrade trade, ISet <Measure> measures, CalculationParameters parameters, ReferenceData refData)
{
// extract data from product
Swaption product = trade.Product;
Currency currency = product.Currency;
IborIndex index = product.Index;
// use lookup to build requirements
RatesMarketDataLookup ratesLookup = parameters.getParameter(typeof(RatesMarketDataLookup));
FunctionRequirements ratesReqs = ratesLookup.requirements(currency, index);
SwaptionMarketDataLookup swaptionLookup = parameters.getParameter(typeof(SwaptionMarketDataLookup));
FunctionRequirements swaptionReqs = swaptionLookup.requirements(index);
return(ratesReqs.combinedWith(swaptionReqs));
}
//-------------------------------------------------------------------------
public virtual void test_marketDataView()
{
SwaptionMarketDataLookup test = SwaptionMarketDataLookup.of(USD_LIBOR_3M, VOL_ID1);
LocalDate valDate = date(2015, 6, 30);
ScenarioMarketData md = new TestMarketDataMap(valDate, ImmutableMap.of(), ImmutableMap.of());
SwaptionScenarioMarketData multiScenario = test.marketDataView(md);
assertEquals(multiScenario.Lookup, test);
assertEquals(multiScenario.MarketData, md);
assertEquals(multiScenario.ScenarioCount, 1);
SwaptionMarketData scenario = multiScenario.scenario(0);
assertEquals(scenario.Lookup, test);
assertEquals(scenario.MarketData, md.scenario(0));
assertEquals(scenario.ValuationDate, valDate);
}
//-------------------------------------------------------------------------
public virtual FunctionRequirements requirements(CmsTrade trade, ISet <Measure> measures, CalculationParameters parameters, ReferenceData refData)
{
// extract data from product
Cms product = trade.Product;
ISet <Currency> currencies = product.allPaymentCurrencies();
IborIndex cmsIndex = trade.Product.CmsLeg.UnderlyingIndex;
ISet <Index> payIndices = trade.Product.allRateIndices();
ISet <Index> indices = ImmutableSet.builder <Index>().add(cmsIndex).addAll(payIndices).build();
// use lookup to build requirements
RatesMarketDataLookup ratesLookup = parameters.getParameter(typeof(RatesMarketDataLookup));
FunctionRequirements ratesReqs = ratesLookup.requirements(currencies, indices);
SwaptionMarketDataLookup swaptionLookup = parameters.getParameter(typeof(SwaptionMarketDataLookup));
FunctionRequirements swaptionReqs = swaptionLookup.requirements(cmsIndex);
return(ratesReqs.combinedWith(swaptionReqs));
}
public virtual void test_of_map()
{
ImmutableMap <IborIndex, SwaptionVolatilitiesId> ids = ImmutableMap.of(USD_LIBOR_3M, VOL_ID1, USD_LIBOR_6M, VOL_ID1);
SwaptionMarketDataLookup test = SwaptionMarketDataLookup.of(ids);
assertEquals(test.queryType(), typeof(SwaptionMarketDataLookup));
assertEquals(test.VolatilityIndices, ImmutableSet.of(USD_LIBOR_3M, USD_LIBOR_6M));
assertEquals(test.getVolatilityIds(USD_LIBOR_3M), ImmutableSet.of(VOL_ID1));
assertThrowsIllegalArg(() => test.getVolatilityIds(GBP_LIBOR_3M));
assertEquals(test.requirements(USD_LIBOR_3M), FunctionRequirements.builder().valueRequirements(VOL_ID1).build());
assertEquals(test.requirements(ImmutableSet.of(USD_LIBOR_3M)), FunctionRequirements.builder().valueRequirements(VOL_ID1).build());
assertThrowsIllegalArg(() => test.requirements(ImmutableSet.of(GBP_LIBOR_3M)));
assertEquals(test.volatilities(USD_LIBOR_3M, MOCK_MARKET_DATA), MOCK_VOLS);
assertThrowsIllegalArg(() => test.volatilities(GBP_LIBOR_3M, MOCK_MARKET_DATA));
}
//-------------------------------------------------------------------------
//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.swaption.SwaptionTrade 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(SwaptionTrade trade, ISet <Measure> measures, CalculationParameters parameters, ScenarioMarketData scenarioMarketData, ReferenceData refData)
{
// expand the trade once for all measures and all scenarios
ResolvedSwaptionTrade 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);
// 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, ratesMarketData, swaptionMarketData);
}
return(results);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @ImmutableConstructor private DefaultSwaptionMarketData(SwaptionMarketDataLookup lookup, com.opengamma.strata.data.MarketData marketData)
private DefaultSwaptionMarketData(SwaptionMarketDataLookup lookup, MarketData marketData)
{
this.lookup = ArgChecker.notNull(lookup, "lookup");
this.marketData = ArgChecker.notNull(marketData, "marketData");
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an instance based on a lookup and market data.
/// <para>
/// The lookup knows how to obtain the volatilities from the market data.
/// This might involve accessing a surface or a cube.
///
/// </para>
/// </summary>
/// <param name="lookup"> the lookup </param>
/// <param name="marketData"> the market data </param>
/// <returns> the rates market view </returns>
public static DefaultSwaptionMarketData of(SwaptionMarketDataLookup lookup, MarketData marketData)
{
return(new DefaultSwaptionMarketData(lookup, marketData));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates present value across one or more scenarios.
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesLookup"> the lookup used to query the market data </param>
/// <param name="swaptionLookup"> the lookup used to query the swaption market data </param>
/// <param name="marketData"> the market data </param>
/// <returns> the present value, one entry per scenario </returns>
public virtual CurrencyScenarioArray presentValue(ResolvedSwaptionTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData)
{
return(calc.presentValue(trade, ratesLookup.marketDataView(marketData), swaptionLookup.marketDataView(marketData)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates currency exposure across one or more scenarios.
/// <para>
/// The currency risk, expressed as the equivalent amount in each currency.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesLookup"> the lookup used to query the market data </param>
/// <param name="swaptionLookup"> the lookup used to query the swaption market data </param>
/// <param name="marketData"> the market data </param>
/// <returns> the currency exposure, one entry per scenario </returns>
public virtual MultiCurrencyScenarioArray currencyExposure(ResolvedSwaptionTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData)
{
return(calc.currencyExposure(trade, ratesLookup.marketDataView(marketData), swaptionLookup.marketDataView(marketData)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates present value sensitivity across one or more scenarios.
/// <para>
/// This is the sensitivity of present value to a one basis point shift in
/// the market quotes used to calibrate the curves.
/// The result is provided for each affected curve and currency, bucketed by curve node.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesLookup"> the lookup used to query the market data </param>
/// <param name="marketData"> the market data </param>
/// <param name="swaptionLookup"> the lookup used to query the swaption market data </param>
/// <returns> the present value sensitivity, one entry per scenario </returns>
public virtual ScenarioArray <CurrencyParameterSensitivities> pv01RatesMarketQuoteBucketed(ResolvedSwaptionTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData)
{
return(calc.pv01RatesMarketQuoteBucketed(trade, ratesLookup.marketDataView(marketData), swaptionLookup.marketDataView(marketData)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates present value sensitivity across one or more scenarios.
/// <para>
/// This is the sensitivity of present value to a one basis point shift in
/// the market quotes used to calibrate the curves.
/// The result is the sum of the sensitivities of all affected curves.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesLookup"> the lookup used to query the market data </param>
/// <param name="swaptionLookup"> the lookup used to query the swaption market data </param>
/// <param name="marketData"> the market data </param>
/// <returns> the present value sensitivity, one entry per scenario </returns>
public virtual MultiCurrencyScenarioArray pv01RatesMarketQuoteSum(ResolvedSwaptionTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData)
{
return(calc.pv01RatesMarketQuoteSum(trade, ratesLookup.marketDataView(marketData), swaptionLookup.marketDataView(marketData)));
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @ImmutableConstructor private DefaultSwaptionScenarioMarketData(SwaptionMarketDataLookup lookup, com.opengamma.strata.data.scenario.ScenarioMarketData marketData)
private DefaultSwaptionScenarioMarketData(SwaptionMarketDataLookup lookup, ScenarioMarketData marketData)
{
this.lookup = ArgChecker.notNull(lookup, "lookup");
this.marketData = ArgChecker.notNull(marketData, "marketData");
this.cache = new AtomicReferenceArray <SwaptionMarketData>(marketData.ScenarioCount);
}