Exemplo n.º 1
0
        static CreditRatesMarketDataLookupTest()
        {
            ImmutableMap <Pair <StandardId, Currency>, CurveId> creditCurve = ImmutableMap.of(Pair.of(ISSUER_A, USD), CC_A_USD, Pair.of(ISSUER_B, GBP), CC_B_GBP, Pair.of(ISSUER_A, GBP), CC_A_GBP);
            ImmutableMap <Currency, CurveId>   discoutCurve  = ImmutableMap.of(USD, DC_USD, GBP, DC_GBP);
            ImmutableMap <StandardId, CurveId> recoveryCurve = ImmutableMap.of(ISSUER_A, RC_A, ISSUER_B, RC_B);

            LOOKUP_WITH_SOURCE = CreditRatesMarketDataLookup.of(creditCurve, discoutCurve, recoveryCurve, OBS_SOURCE);
            LOOKUP             = CreditRatesMarketDataLookup.of(creditCurve, discoutCurve, recoveryCurve);
        }
Exemplo n.º 2
0
        //-------------------------------------------------------------------------
        public virtual void coverage()
        {
            coverImmutableBean((ImmutableBean)LOOKUP_WITH_SOURCE);
            ImmutableMap <Pair <StandardId, Currency>, CurveId> ccMap = ImmutableMap.of(Pair.of(ISSUER_A, USD), CC_A_USD);
            ImmutableMap <Currency, CurveId>   dcMap = ImmutableMap.of(USD, DC_USD);
            ImmutableMap <StandardId, CurveId> rcMap = ImmutableMap.of(ISSUER_A, RC_A);
            CreditRatesMarketDataLookup        test2 = CreditRatesMarketDataLookup.of(ccMap, dcMap, rcMap);

            coverBeanEquals((ImmutableBean)LOOKUP_WITH_SOURCE, (ImmutableBean)test2);

            // related coverage
            coverImmutableBean((ImmutableBean)LOOKUP_WITH_SOURCE.marketDataView(MOCK_CALC_MARKET_DATA));
            DefaultCreditRatesScenarioMarketData.meta();
            coverImmutableBean((ImmutableBean)LOOKUP_WITH_SOURCE.marketDataView(MOCK_MARKET_DATA));
            DefaultCreditRatesMarketData.meta();
            coverImmutableBean((ImmutableBean)LOOKUP_WITH_SOURCE.marketDataView(MOCK_MARKET_DATA).creditRatesProvider());
            DefaultLookupCreditRatesProvider.meta();
        }