public virtual void test_getCurves_withGroup()
{
ImmutableRatesProvider test = ImmutableRatesProvider.builder(VAL_DATE).discountCurve(GBP, DISCOUNT_CURVE_GBP).discountCurve(USD, DISCOUNT_CURVE_USD).build();
CurveGroupName group = CurveGroupName.of("GRP");
assertEquals(test.getCurves(group).Count, 2);
assertEquals(test.getCurves(group)[CurveId.of(group, DISCOUNT_CURVE_GBP.Name)], DISCOUNT_CURVE_GBP);
assertEquals(test.getCurves(group)[CurveId.of(group, DISCOUNT_CURVE_USD.Name)], DISCOUNT_CURVE_USD);
}
public virtual void test_multipleCurves()
{
Curve curve1 = ConstantCurve.of(CURVE_NAME1, (double)1);
Curve curve2 = ConstantCurve.of(CURVE_NAME2, (double)2);
CurveId curveId1 = CurveId.of(GROUP_NAME, CURVE_NAME1);
CurveId curveId2 = CurveId.of(GROUP_NAME, CURVE_NAME2);
RatesCurveGroupId groupId = RatesCurveGroupId.of(GROUP_NAME);
RatesCurveGroup curveGroup = RatesCurveGroup.of(GROUP_NAME, ImmutableMap.of(Currency.AUD, curve1, Currency.GBP, curve2), ImmutableMap.of());
ScenarioMarketData marketData = ImmutableScenarioMarketData.builder(VAL_DATE).addValue(groupId, curveGroup).build();
MarketDataConfig config = MarketDataConfig.builder().add(GROUP_NAME, RatesCurveGroupDefinition.builder().name(GROUP_NAME).build()).build();
CurveMarketDataFunction test = new CurveMarketDataFunction();
MarketDataBox <Curve> result1 = test.build(curveId1, config, marketData, REF_DATA);
assertEquals(result1, MarketDataBox.ofSingleValue(curve1));
MarketDataBox <Curve> result2 = test.build(curveId2, config, marketData, REF_DATA);
assertEquals(result2, MarketDataBox.ofSingleValue(curve2));
}
public virtual void absoluteScenarios()
{
CurveName curveName = CurveName.of("curveName");
CurveGroupName curveGroupName = CurveGroupName.of("curveGroupName");
Curve curve = ConstantCurve.of(curveName, 2);
PerturbationMapping <Curve> mapping = PerturbationMapping.of(MarketDataFilter.ofName(curveName), CurveParallelShifts.absolute(0.1, 0.2, 0.3));
CurveId curveId = CurveId.of(curveGroupName, curveName);
ScenarioMarketData marketData = ImmutableScenarioMarketData.builder(TestHelper.date(2011, 3, 8)).addValue(curveId, curve).build();
ScenarioDefinition scenarioDefinition = ScenarioDefinition.ofMappings(mapping);
MarketDataFactory marketDataFactory = MarketDataFactory.of(mock(typeof(ObservableDataProvider)), mock(typeof(TimeSeriesProvider)));
MarketDataRequirements requirements = MarketDataRequirements.builder().addValues(curveId).build();
ScenarioMarketData scenarioData = marketDataFactory.createMultiScenario(requirements, MarketDataConfig.empty(), marketData, REF_DATA, scenarioDefinition);
MarketDataBox <Curve> curves = scenarioData.getValue(curveId);
assertThat(curves.ScenarioCount).isEqualTo(3);
checkCurveValues(curves.getValue(0), 2.1);
checkCurveValues(curves.getValue(1), 2.2);
checkCurveValues(curves.getValue(2), 2.3);
}
//-------------------------------------------------------------------------
public virtual void test_singleCurve()
{
Curve curve = ConstantCurve.of(CURVE_NAME1, (double)1);
CurveId curveId1 = CurveId.of(GROUP_NAME, CURVE_NAME1, OBS_SOURCE);
CurveId curveId2 = CurveId.of(GROUP_NAME, CURVE_NAME2, OBS_SOURCE);
CurveId curveId3 = CurveId.of(GROUP_NAME2, CURVE_NAME1, OBS_SOURCE);
RatesCurveGroupId groupId = RatesCurveGroupId.of(GROUP_NAME, OBS_SOURCE);
RatesCurveGroup curveGroup = RatesCurveGroup.of(GROUP_NAME, ImmutableMap.of(Currency.AUD, curve), ImmutableMap.of());
ScenarioMarketData marketData = ImmutableScenarioMarketData.builder(VAL_DATE).addValue(groupId, curveGroup).build();
MarketDataConfig config = MarketDataConfig.builder().add(GROUP_NAME, RatesCurveGroupDefinition.builder().name(GROUP_NAME).build()).build();
CurveMarketDataFunction test = new CurveMarketDataFunction();
MarketDataRequirements reqs = test.requirements(curveId1, config);
assertEquals(reqs.NonObservables, ImmutableSet.of(groupId));
MarketDataBox <Curve> result = test.build(curveId1, config, marketData, REF_DATA);
assertEquals(result, MarketDataBox.ofSingleValue(curve));
assertThrowsIllegalArg(() => test.build(curveId2, config, marketData, REF_DATA));
assertThrowsIllegalArg(() => test.build(curveId3, config, marketData, REF_DATA));
}
