/// <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_combinedWithIncompatibleScenarioCount()
{
ImmutableScenarioMarketData marketData1 = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)).addBox(TEST_ID1, MarketDataBox.ofScenarioValues(1.0, 1.1, 1.2)).build();
ImmutableScenarioMarketData marketData2 = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)).addBox(TEST_ID2, MarketDataBox.ofScenarioValues(1.0, 1.1)).build();
assertThrowsIllegalArg(() => marketData1.combinedWith(marketData2), ".* same number of scenarios .* 3 and 2");
}
public virtual void test_combinedWithOtherHasOneScenario()
{
ImmutableScenarioMarketData marketData1 = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)).addBox(TEST_ID2, MarketDataBox.ofScenarioValues(1.0, 1.1)).build();
ImmutableScenarioMarketData marketData2 = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)).addBox(TEST_ID1, MarketDataBox.ofSingleValue(1.0)).build();
ImmutableScenarioMarketData expected = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)).addBox(TEST_ID1, MarketDataBox.ofSingleValue(1.0)).addBox(TEST_ID2, MarketDataBox.ofScenarioValues(1.0, 1.1)).build();
assertThat(marketData1.combinedWith(marketData2)).isEqualTo(expected);
}
public virtual void specifySource()
{
ObservableSource testSource = ObservableSource.of("test");
ScenarioMarketData marketData = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)).addValue(FxRateId.of(Currency.GBP, Currency.USD), FxRate.of(Currency.GBP, Currency.USD, 1.4d)).addValue(FxRateId.of(Currency.GBP, Currency.USD, testSource), FxRate.of(Currency.GBP, Currency.USD, 1.41d)).build();
ScenarioFxRateProvider defaultRateProvider = ScenarioFxRateProvider.of(marketData);
ScenarioFxRateProvider sourceRateProvider = ScenarioFxRateProvider.of(marketData, testSource);
assertThat(defaultRateProvider.fxRate(Currency.GBP, Currency.USD, 0)).isEqualTo(1.4d);
assertThat(sourceRateProvider.fxRate(Currency.GBP, Currency.USD, 0)).isEqualTo(1.41d);
}
public virtual void test_addBadScenarioCount()
{
FxRateId eurGbpId = FxRateId.of(Currency.EUR, Currency.GBP);
FxRateId eurUsdId = FxRateId.of(Currency.EUR, Currency.USD);
FxRate eurGbpRate1 = FxRate.of(Currency.EUR, Currency.GBP, 0.8);
FxRate eurGbpRate2 = FxRate.of(Currency.EUR, Currency.GBP, 0.9);
FxRate eurGbpRate3 = FxRate.of(Currency.EUR, Currency.GBP, 0.95);
FxRate eurUsdRate1 = FxRate.of(Currency.EUR, Currency.USD, 1.1);
FxRate eurUsdRate2 = FxRate.of(Currency.EUR, Currency.USD, 1.2);
ImmutableScenarioMarketDataBuilder builder = ImmutableScenarioMarketData.builder(VAL_DATE).addBox(eurGbpId, MarketDataBox.ofScenarioValues(eurGbpRate1, eurGbpRate2, eurGbpRate3));
assertThrowsIllegalArg(() => builder.addBox(eurUsdId, MarketDataBox.ofScenarioValues(eurUsdRate1, eurUsdRate2)));
}
public virtual void test_addSingleAndBox()
{
FxRateId eurGbpId = FxRateId.of(Currency.EUR, Currency.GBP);
FxRateId eurUsdId = FxRateId.of(Currency.EUR, Currency.USD);
FxRate eurGbpRate = FxRate.of(Currency.EUR, Currency.GBP, 0.8);
FxRate eurUsdRate1 = FxRate.of(Currency.EUR, Currency.USD, 1.1);
FxRate eurUsdRate2 = FxRate.of(Currency.EUR, Currency.USD, 1.2);
ImmutableScenarioMarketData marketData = ImmutableScenarioMarketData.builder(VAL_DATE).addValue(eurGbpId, eurGbpRate).addBox(eurUsdId, MarketDataBox.ofScenarioValues(eurUsdRate1, eurUsdRate2)).build();
assertEquals(marketData.ScenarioCount, 2);
assertEquals(marketData.Ids, ImmutableSet.of(eurGbpId, eurUsdId));
assertEquals(marketData.getValue(eurGbpId), MarketDataBox.ofSingleValue(eurGbpRate));
assertEquals(marketData.getValue(eurUsdId), MarketDataBox.ofScenarioValues(eurUsdRate1, eurUsdRate2));
}
//-------------------------------------------------------------------------
public virtual void test_addScenarioValueMap()
{
FxRateId eurGbpId = FxRateId.of(Currency.EUR, Currency.GBP);
FxRateId eurUsdId = FxRateId.of(Currency.EUR, Currency.USD);
FxRateScenarioArray eurGbpRates = FxRateScenarioArray.of(Currency.EUR, Currency.GBP, DoubleArray.of(0.79, 0.8, 0.81));
FxRateScenarioArray eurUsdRates = FxRateScenarioArray.of(Currency.EUR, Currency.USD, DoubleArray.of(1.09, 1.1, 1.11));
IDictionary <FxRateId, FxRateScenarioArray> values = ImmutableMap.of(eurGbpId, eurGbpRates, eurUsdId, eurUsdRates);
ImmutableScenarioMarketData marketData = ImmutableScenarioMarketData.builder(VAL_DATE).addScenarioValueMap(values).build();
assertEquals(marketData.ScenarioCount, 3);
assertEquals(marketData.Ids, ImmutableSet.of(eurGbpId, eurUsdId));
assertEquals(marketData.getValue(eurGbpId), MarketDataBox.ofScenarioValue(eurGbpRates));
assertEquals(marketData.getValue(eurUsdId), MarketDataBox.ofScenarioValue(eurUsdRates));
}
//-------------------------------------------------------------------------
public virtual void test_addValueMap()
{
FxRateId eurGbpId = FxRateId.of(Currency.EUR, Currency.GBP);
FxRateId eurUsdId = FxRateId.of(Currency.EUR, Currency.USD);
FxRate eurGbpRate = FxRate.of(Currency.EUR, Currency.GBP, 0.8);
FxRate eurUsdRate = FxRate.of(Currency.EUR, Currency.USD, 1.1);
IDictionary <FxRateId, FxRate> values = ImmutableMap.of(eurGbpId, eurGbpRate, eurUsdId, eurUsdRate);
ImmutableScenarioMarketData marketData = ImmutableScenarioMarketData.builder(VAL_DATE).addValueMap(values).build();
assertEquals(marketData.ScenarioCount, 1);
assertEquals(marketData.Ids, ImmutableSet.of(eurGbpId, eurUsdId));
assertEquals(marketData.getValue(eurGbpId), MarketDataBox.ofSingleValue(eurGbpRate));
assertEquals(marketData.getValue(eurUsdId), MarketDataBox.ofSingleValue(eurUsdRate));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
//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, BOX1);
IDictionary <MarketDataId <object>, MarketDataBox <object> > dataMap = ImmutableMap.of(ID1, BOX1);
IDictionary <ObservableId, LocalDateDoubleTimeSeries> tsMap = ImmutableMap.of(ID1, TIME_SERIES);
ImmutableScenarioMarketData test = ImmutableScenarioMarketData.of(2, VAL_DATE, dataMap, tsMap);
coverImmutableBean(test);
//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<?>> dataMap2 = com.google.common.collect.ImmutableMap.of(ID2, BOX2);
IDictionary <MarketDataId <object>, MarketDataBox <object> > dataMap2 = ImmutableMap.of(ID2, BOX2);
IDictionary <ObservableId, LocalDateDoubleTimeSeries> tsMap2 = ImmutableMap.of(ID2, TIME_SERIES);
ImmutableScenarioMarketData test2 = ImmutableScenarioMarketData.of(1, VAL_DATE.plusDays(1), dataMap2, tsMap2);
coverBeanEquals(test, test2);
}
/// <summary>
/// Returns set of market data which combines the data from this set of data with another set.
/// <para>
/// If the same item of data is available in both sets, it will be taken from this set.
/// </para>
/// <para>
/// Both sets of data must contain the same number of scenarios, or one of them must have one scenario.
/// If one of the sets of data has one scenario, the combined set will have the scenario count
/// of the other set.
/// </para>
/// <para>
/// The valuation dates are taken from this set of data.
///
/// </para>
/// </summary>
/// <param name="other"> another set of market data </param>
/// <returns> a set of market data combining the data in this set with the data in the other </returns>
public ImmutableScenarioMarketData combinedWith(ImmutableScenarioMarketData other)
{
if (scenarioCount != 1 && other.scenarioCount != 1 && scenarioCount != other.scenarioCount)
{
throw new System.ArgumentException(Messages.format("When merging scenario market data, both sets of data must have the same number of scenarios or " + "at least one of them must have one scenario. Number of scenarios: {} and {}", scenarioCount, other.scenarioCount));
}
int mergedCount = Math.Max(scenarioCount, other.scenarioCount);
// Use HashMap because it allows values to be overwritten. ImmutableMap builders throw an exception if a value
// is added using a key which is already present
//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<?>> values = new java.util.HashMap<>(other.values);
IDictionary <MarketDataId <object>, MarketDataBox <object> > values = new Dictionary <MarketDataId <object>, MarketDataBox <object> >(other.values);
//JAVA TO C# CONVERTER TODO TASK: There is no .NET Dictionary equivalent to the Java 'putAll' method:
values.putAll(this.values);
IDictionary <ObservableId, LocalDateDoubleTimeSeries> timeSeries = new Dictionary <ObservableId, LocalDateDoubleTimeSeries>(other.timeSeries);
//JAVA TO C# CONVERTER TODO TASK: There is no .NET Dictionary equivalent to the Java 'putAll' method:
timeSeries.putAll(this.timeSeries);
return(new ImmutableScenarioMarketData(mergedCount, valuationDate, values, timeSeries));
}
public virtual void test_combinedWith()
{
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();
ImmutableScenarioMarketData marketData1 = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)).addTimeSeries(TEST_ID1, timeSeries1).addTimeSeries(TEST_ID2, timeSeries2).addBox(TEST_ID1, MarketDataBox.ofScenarioValues(1.0, 1.1, 1.2)).addBox(TEST_ID2, MarketDataBox.ofScenarioValues(2.0, 2.1, 2.2)).build();
ImmutableScenarioMarketData marketData2 = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 10)).addTimeSeries(TEST_ID2, timeSeries2a).addTimeSeries(TEST_ID3, timeSeries3).addBox(TEST_ID2, MarketDataBox.ofScenarioValues(21.0, 21.1, 21.2)).addBox(TEST_ID3, MarketDataBox.ofScenarioValues(3.0, 3.1, 3.2)).build();
// marketData1 values should be in the combined data when the same ID is present in both
ImmutableScenarioMarketData expected = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)).addTimeSeries(TEST_ID1, timeSeries1).addTimeSeries(TEST_ID2, timeSeries2).addTimeSeries(TEST_ID3, timeSeries3).addBox(TEST_ID1, MarketDataBox.ofScenarioValues(1.0, 1.1, 1.2)).addBox(TEST_ID2, MarketDataBox.ofScenarioValues(2.0, 2.1, 2.2)).addBox(TEST_ID3, MarketDataBox.ofScenarioValues(3.0, 3.1, 3.2)).build();
ScenarioMarketData combined = marketData1.combinedWith(marketData2);
assertThat(combined).isEqualTo(expected);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
ExtendedScenarioMarketData <string> test = ExtendedScenarioMarketData.of(ID1, VAL1, BASE_DATA);
coverImmutableBean(test);
ExtendedScenarioMarketData <string> test2 = ExtendedScenarioMarketData.of(ID2, VAL2, ImmutableScenarioMarketData.of(3, VAL_DATE, ImmutableMap.of(), ImmutableMap.of()));
coverBeanEquals(test, test2);
}
private static ImmutableScenarioMarketData baseData()
{
IDictionary <ObservableId, LocalDateDoubleTimeSeries> timeSeriesMap = ImmutableMap.of(ID4, TIME_SERIES);
return(ImmutableScenarioMarketData.builder(VAL_DATE).addBox(ID1, VAL1).addBox(ID2, VAL2).addTimeSeriesMap(timeSeriesMap).build());
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @BeforeClass public void setUp() throws Exception
//JAVA TO C# CONVERTER WARNING: Method 'throws' clauses are not available in .NET:
public virtual void setUp()
{
ScenarioMarketData marketData = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)).addValue(FxRateId.of(Currency.GBP, Currency.USD), FxRate.of(Currency.GBP, Currency.USD, 1.4d)).build();
fxRateProvider = ScenarioFxRateProvider.of(marketData);
}
//-------------------------------------------------------------------------
public virtual void addNothing()
{
ImmutableScenarioMarketData marketData = ImmutableScenarioMarketData.builder(VAL_DATE).build();
assertEquals(marketData.ScenarioCount, 1);
}
