private IborFutureTrade createTrade(LocalDate tradeDate, SecurityId securityId, double quantity, double notional, double price, YearMonth yearMonth, LocalDate lastTradeDate, LocalDate referenceDate)
{
double accrualFactor = index.Tenor.get(ChronoUnit.MONTHS) / 12.0;
IborFuture product = IborFuture.builder().securityId(securityId).index(index).accrualFactor(accrualFactor).lastTradeDate(lastTradeDate).notional(notional).build();
TradeInfo info = TradeInfo.of(tradeDate);
return(IborFutureTrade.builder().info(info).product(product).quantity(quantity).price(price).build());
}
//-------------------------------------------------------------------------
public virtual FunctionRequirements requirements(T target, ISet <Measure> measures, CalculationParameters parameters, ReferenceData refData)
{
// extract data from product
IborFuture product = target.Product;
QuoteId quoteId = QuoteId.of(product.SecurityId.StandardId, FieldName.SETTLEMENT_PRICE);
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);
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: com.google.common.collect.ImmutableSet<com.opengamma.strata.data.MarketDataId<?>> valueReqs = com.google.common.collect.ImmutableSet.builder<com.opengamma.strata.data.MarketDataId<?>>().add(quoteId).addAll(ratesReqs.getValueRequirements()).build();
ImmutableSet <MarketDataId <object> > valueReqs = ImmutableSet.builder <MarketDataId <object> >().add(quoteId).addAll(ratesReqs.ValueRequirements).build();
return(ratesReqs.toBuilder().valueRequirements(valueReqs).build());
}
