public virtual void test_of()
{
CmsSabrExtrapolationParams test = CmsSabrExtrapolationParams.of(1d, 2d);
assertEquals(test.CutOffStrike, 1d);
assertEquals(test.Mu, 2d);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
CmsSabrExtrapolationParams test = CmsSabrExtrapolationParams.of(1d, 2d);
coverImmutableBean(test);
CmsSabrExtrapolationParams test2 = CmsSabrExtrapolationParams.of(3d, 4d);
coverBeanEquals(test, test2);
}
/// <summary>
/// Creates an instance.
/// </summary>
/// <param name="cmsParams"> the CMS parameters </param>
internal CmsMeasureCalculations(CmsSabrExtrapolationParams cmsParams)
{
SabrExtrapolationReplicationCmsPeriodPricer periodPricer = SabrExtrapolationReplicationCmsPeriodPricer.of(cmsParams.CutOffStrike, cmsParams.Mu);
SabrExtrapolationReplicationCmsLegPricer legPricer = new SabrExtrapolationReplicationCmsLegPricer(periodPricer);
SabrExtrapolationReplicationCmsProductPricer productPricer = new SabrExtrapolationReplicationCmsProductPricer(legPricer);
SabrExtrapolationReplicationCmsTradePricer tradePricer = new SabrExtrapolationReplicationCmsTradePricer(productPricer);
this.tradePricer = ArgChecker.notNull(tradePricer, "tradePricer");
}
//-----------------------------------------------------------------------
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
CmsSabrExtrapolationParams other = (CmsSabrExtrapolationParams)obj;
return(JodaBeanUtils.equal(cutOffStrike, other.cutOffStrike) && JodaBeanUtils.equal(mu, other.mu));
}
return(false);
}
//-------------------------------------------------------------------------
//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.cms.CmsTrade 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(CmsTrade trade, ISet <Measure> measures, CalculationParameters parameters, ScenarioMarketData scenarioMarketData, ReferenceData refData)
{
// expand the trade once for all measures and all scenarios
ResolvedCmsTrade 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);
CmsSabrExtrapolationParams cmsParams = parameters.getParameter(typeof(CmsSabrExtrapolationParams));
CmsMeasureCalculations calculations = new CmsMeasureCalculations(cmsParams);
// 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, calculations, ratesMarketData, swaptionMarketData);
}
return(results);
}
//-------------------------------------------------------------------------
/// <summary>
/// Creates an instance specifying the SABR extrapolation parameters.
/// </summary>
/// <param name="cmsParams"> the parameters for SABR pricing of CMS </param>
private CmsTradeCalculations(CmsSabrExtrapolationParams cmsParams)
{
this.calc = new CmsMeasureCalculations(cmsParams);
}
/// <summary>
/// Obtains an instance specifying the SABR extrapolation parameters.
/// </summary>
/// <param name="cmsParams"> the parameters for SABR pricing of CMS </param>
/// <returns> the trade calculations </returns>
public static CmsTradeCalculations of(CmsSabrExtrapolationParams cmsParams)
{
return(new CmsTradeCalculations(cmsParams));
}
public virtual void test_serialization()
{
CmsSabrExtrapolationParams test = CmsSabrExtrapolationParams.of(1d, 2d);
assertSerialization(test);
}
