//-------------------------------------------------------------------------
public FunctionRequirements requirements(SecurityId securityId, LegalEntityId issuerId, Currency currency)
{
// repo
RepoGroup repoKey = repoCurveSecurityGroups.get(securityId);
if (repoKey == null)
{
repoKey = repoCurveGroups.get(issuerId);
}
if (repoKey == null)
{
throw new System.ArgumentException(Messages.format("Legal entity discounting lookup has no repo curve defined for '{}' and '{}'", securityId, issuerId));
}
CurveId repoCurveId = repoCurves.get(Pair.of(repoKey, currency));
if (repoCurveId == null)
{
throw new System.ArgumentException(Messages.format("Legal entity discounting lookup has no repo curve defined for '{}' and '{}'", securityId, issuerId));
}
// issuer
LegalEntityGroup issuerKey = issuerCurveGroups.get(issuerId);
if (issuerKey == null)
{
throw new System.ArgumentException(Messages.format("Legal entity discounting lookup has no issuer curve defined for '{}'", issuerId));
}
CurveId issuerCurveId = issuerCurves.get(Pair.of(issuerKey, currency));
if (issuerCurveId == null)
{
throw new System.ArgumentException(Messages.format("Legal entity discounting lookup has no issuer curve defined for '{}'", issuerId));
}
// result
return(FunctionRequirements.builder().valueRequirements(ImmutableSet.of(repoCurveId, issuerCurveId)).outputCurrencies(currency).observableSource(observableSource).build());
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 1303639584: // curveCurrency
this.curveCurrency = (Currency)newValue;
break;
case -1731780257: // yearFraction
this.yearFraction = (double?)newValue.Value;
break;
case 575402001: // currency
this.currency = (Currency)newValue;
break;
case -899047453: // legalEntityGroup
this.legalEntityGroup = (LegalEntityGroup)newValue;
break;
case 564403871: // sensitivity
this.sensitivity = (double?)newValue.Value;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
private IssuerCurveDiscountFactors(DiscountFactors discountFactors, LegalEntityGroup legalEntityGroup)
{
JodaBeanUtils.notNull(discountFactors, "discountFactors");
JodaBeanUtils.notNull(legalEntityGroup, "legalEntityGroup");
this.discountFactors = discountFactors;
this.legalEntityGroup = legalEntityGroup;
}
//-------------------------------------------------------------------------
public IssuerCurveDiscountFactors issuerCurveDiscountFactors(LegalEntityId issuerId, Currency currency)
{
LegalEntityGroup legalEntityGroup = lookup.IssuerCurveGroups.get(issuerId);
if (legalEntityGroup == null)
{
throw new MarketDataNotFoundException("Unable to find issuer curve mapping for ID: " + issuerId);
}
return(issuerCurveDiscountFactors(legalEntityGroup, currency));
}
// lookup the discount factors for the legal entity group
private IssuerCurveDiscountFactors issuerCurveDiscountFactors(LegalEntityGroup legalEntityGroup, Currency currency)
{
DiscountFactors discountFactors = issuerCurves.get(Pair.of(legalEntityGroup, currency));
if (discountFactors == null)
{
throw new System.ArgumentException("Unable to find issuer curve: " + legalEntityGroup + ", " + currency);
}
return(IssuerCurveDiscountFactors.of(discountFactors, legalEntityGroup));
}
//-------------------------------------------------------------------------
public IssuerCurveDiscountFactors issuerCurveDiscountFactors(LegalEntityId issuerId, Currency currency)
{
LegalEntityGroup legalEntityGroup = issuerCurveGroups.get(issuerId);
if (legalEntityGroup == null)
{
throw new System.ArgumentException("Unable to find map for ID: " + issuerId);
}
return(issuerCurveDiscountFactors(legalEntityGroup, currency));
}
public virtual void test_loadAllDates()
{
LocalDate sampleDate = ALL_DATES[3]; // 2017-04-21
ImmutableList <LocalDate> expDates = ImmutableList.of(LocalDate.of(2017, 0x7, 21), LocalDate.of(2017, 10, 0x7), LocalDate.of(2018, 4, 13), LocalDate.of(2019, 4, 12), LocalDate.of(2020, 3, 20), LocalDate.of(2021, 3, 19), LocalDate.of(2022, 3, 19), LocalDate.of(2023, 3, 17), LocalDate.of(2024, 6, 17), LocalDate.of(2025, 3, 18), LocalDate.of(2026, 3, 20), LocalDate.of(2027, 3, 20), LocalDate.of(2031, 12, 19), LocalDate.of(2037, 3, 17), LocalDate.of(2047, 3, 17), LocalDate.of(2056, 3, 17));
ImmutableList <string> expTenors = ImmutableList.of("3M", "6M", "1Y", "2Y", "3Y", "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "15Y", "20Y", "30Y", "40Y");
RepoGroup repoGroup = RepoGroup.of("JP-REPO");
DoubleArray expRepoXValues = DoubleArray.of(3, n => ACT_365F.relativeYearFraction(sampleDate, expDates.get(n)));
DoubleArray expRepoYValues = DoubleArray.of(-0.0019521, -0.0016021, -0.0022521);
ImmutableList <LabelDateParameterMetadata> expRepoMetadata = IntStream.range(0, 3).mapToObj(n => LabelDateParameterMetadata.of(expDates.get(n), expTenors.get(n))).collect(Guavate.toImmutableList());
LegalEntityGroup legalEntityGroup = LegalEntityGroup.of("JP-GOVT");
DoubleArray expIssuerXValues = DoubleArray.of(expDates.size(), n => ACT_365F.relativeYearFraction(sampleDate, expDates.get(n)));
DoubleArray expIssuerYValues = DoubleArray.of(-0.0019511690511744527, -0.001497422302092893, -0.0021798583657932176, -0.002215700360912938, -0.0021722324679574866, -0.001922059591219172, -0.0015461646763548528, -0.0014835851245462084, -0.001118669580570464, -5.476767138782941E-4, -2.2155596172855965E-4, 2.0333291172821893E-5, 0.00284500423293463, 0.005876533417933958, 0.007957581583531789, 0.009134630405512047);
ImmutableList <LabelDateParameterMetadata> expIssuerMetadata = IntStream.range(0, expDates.size()).mapToObj(n => LabelDateParameterMetadata.of(expDates.get(n), expTenors.get(n))).collect(Guavate.toImmutableList());
ImmutableListMultimap <LocalDate, LegalEntityCurveGroup> allCurves = LegalEntityRatesCurvesCsvLoader.loadAllDates(ResourceLocator.of(GROUPS), ResourceLocator.of(SETTINGS), ImmutableList.of(ResourceLocator.of(CURVES_1), ResourceLocator.of(CURVES_2)));
//JAVA TO C# CONVERTER TODO TASK: There is no .NET equivalent to the java.util.Collection 'containsAll' method:
assertTrue(allCurves.Keys.containsAll(ALL_DATES));
ImmutableList <LegalEntityCurveGroup> groups = allCurves.get(sampleDate);
assertEquals(groups.size(), 2);
// group 0
LegalEntityCurveGroup group0 = groups.get(0);
assertEquals(group0.Name, CurveGroupName.of("Default1"));
// repo
assertEquals(group0.RepoCurves.size(), 1);
Curve repoCurve = group0.RepoCurves.get(Pair.of(repoGroup, JPY));
InterpolatedNodalCurve expectedRepoCurve = InterpolatedNodalCurve.of(Curves.zeroRates(CurveName.of("JP-REPO-1"), ACT_365F, expRepoMetadata), expRepoXValues, expRepoYValues, CurveInterpolators.LINEAR, CurveExtrapolators.FLAT, CurveExtrapolators.FLAT);
assertEquals(repoCurve, expectedRepoCurve);
// issuer
assertEquals(group0.IssuerCurves.size(), 2);
Curve issuerCurve = group0.IssuerCurves.get(Pair.of(legalEntityGroup, JPY));
InterpolatedNodalCurve expectedIssuerCurve = InterpolatedNodalCurve.of(Curves.zeroRates(CurveName.of("JP-GOVT-1"), ACT_365F, expIssuerMetadata), expIssuerXValues, expIssuerYValues, CurveInterpolators.LINEAR, CurveExtrapolators.FLAT, CurveExtrapolators.FLAT);
assertEquals(issuerCurve, expectedIssuerCurve);
Curve usIssuerCurve = group0.IssuerCurves.get(Pair.of(LegalEntityGroup.of("US-GOVT"), USD));
expectedIssuerCurve = InterpolatedNodalCurve.of(Curves.zeroRates(CurveName.of("US-GOVT"), ACT_360, expIssuerMetadata), DoubleArray.of(expDates.size(), n => ACT_360.relativeYearFraction(sampleDate, expDates.get(n))), expIssuerYValues, CurveInterpolators.NATURAL_SPLINE, CurveExtrapolators.FLAT, CurveExtrapolators.FLAT);
assertEquals(usIssuerCurve, expectedIssuerCurve);
// group 1
LegalEntityCurveGroup group1 = groups.get(1);
assertEquals(group1.Name, CurveGroupName.of("Default2"));
// repo
repoCurve = group1.RepoCurves.get(Pair.of(repoGroup, JPY));
expectedRepoCurve = InterpolatedNodalCurve.of(Curves.zeroRates(CurveName.of("JP-REPO-2"), ACT_365F, expRepoMetadata), expRepoXValues, expRepoYValues, CurveInterpolators.DOUBLE_QUADRATIC, CurveExtrapolators.LINEAR, CurveExtrapolators.LINEAR);
assertEquals(repoCurve, expectedRepoCurve);
// issuer
assertEquals(group1.IssuerCurves.size(), 1);
issuerCurve = group1.IssuerCurves.get(Pair.of(legalEntityGroup, JPY));
expectedIssuerCurve = InterpolatedNodalCurve.of(Curves.zeroRates(CurveName.of("JP-GOVT-2"), ACT_365F, expIssuerMetadata), expIssuerXValues, expIssuerYValues, CurveInterpolators.DOUBLE_QUADRATIC, CurveExtrapolators.LINEAR, CurveExtrapolators.LINEAR);
assertEquals(issuerCurve, expectedIssuerCurve);
}
private IssuerCurveZeroRateSensitivity(Currency curveCurrency, double yearFraction, Currency currency, LegalEntityGroup legalEntityGroup, double sensitivity)
{
JodaBeanUtils.notNull(curveCurrency, "curveCurrency");
JodaBeanUtils.notNull(currency, "currency");
JodaBeanUtils.notNull(legalEntityGroup, "legalEntityGroup");
this.curveCurrency = curveCurrency;
this.yearFraction = yearFraction;
this.currency = currency;
this.legalEntityGroup = legalEntityGroup;
this.sensitivity = sensitivity;
}
// lookup the discount factors for the legal entity group
private IssuerCurveDiscountFactors issuerCurveDiscountFactors(LegalEntityGroup legalEntityGroup, Currency currency)
{
CurveId curveId = lookup.IssuerCurves.get(Pair.of(legalEntityGroup, currency));
if (curveId == null)
{
throw new MarketDataNotFoundException("Unable to find issuer curve: " + legalEntityGroup + ", " + currency);
}
Curve curve = marketData.getValue(curveId);
DiscountFactors df = DiscountFactors.of(currency, ValuationDate, curve);
return(IssuerCurveDiscountFactors.of(df, legalEntityGroup));
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case -91613053: // discountFactors
this.discountFactors = (DiscountFactors)newValue;
break;
case -899047453: // legalEntityGroup
this.legalEntityGroup = (LegalEntityGroup)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
private static void createKey(CurveName curveName, CurveGroupName curveGroup, string curveTypeStr, string referenceStr, string currencyStr, IDictionary <CurveGroupName, IDictionary <Pair <RepoGroup, Currency>, CurveName> > repoGroups, IDictionary <CurveGroupName, IDictionary <Pair <LegalEntityGroup, Currency>, CurveName> > legalEntityGroups)
{
Currency currency = Currency.of(currencyStr);
if (REPO.Equals(curveTypeStr.ToLower(Locale.ENGLISH), StringComparison.OrdinalIgnoreCase))
{
RepoGroup repoGroup = RepoGroup.of(referenceStr);
repoGroups.computeIfAbsent(curveGroup, k => new LinkedHashMap <>()).put(Pair.of(repoGroup, currency), curveName);
}
else if (ISSUER.Equals(curveTypeStr.ToLower(Locale.ENGLISH), StringComparison.OrdinalIgnoreCase))
{
LegalEntityGroup legalEntiryGroup = LegalEntityGroup.of(referenceStr);
legalEntityGroups.computeIfAbsent(curveGroup, k => new LinkedHashMap <>()).put(Pair.of(legalEntiryGroup, currency), curveName);
}
else
{
throw new System.ArgumentException(Messages.format("Unsupported curve type: {}", curveTypeStr));
}
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an instance based on discount factors and legal entity group.
/// </summary>
/// <param name="discountFactors"> the discount factors </param>
/// <param name="legalEntityGroup"> the legal entity group </param>
/// <returns> the issuer curve discount factors </returns>
public static IssuerCurveDiscountFactors of(DiscountFactors discountFactors, LegalEntityGroup legalEntityGroup)
{
return(new IssuerCurveDiscountFactors(discountFactors, legalEntityGroup));
}
/// <summary>
/// Obtains an instance from zero rate sensitivity and legal entity group.
/// </summary>
/// <param name="zeroRateSensitivity"> the zero rate sensitivity </param>
/// <param name="legalEntityGroup"> the legal entity group </param>
/// <returns> the point sensitivity object </returns>
public static IssuerCurveZeroRateSensitivity of(ZeroRateSensitivity zeroRateSensitivity, LegalEntityGroup legalEntityGroup)
{
return(of(zeroRateSensitivity.CurveCurrency, zeroRateSensitivity.YearFraction, zeroRateSensitivity.Currency, legalEntityGroup, zeroRateSensitivity.Sensitivity));
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an instance from the curve currency, date, legal entity group and value.
/// <para>
/// The currency representing the curve is used also for the sensitivity currency.
///
/// </para>
/// </summary>
/// <param name="currency"> the currency of the curve and sensitivity </param>
/// <param name="yearFraction"> the year fraction that was looked up on the curve </param>
/// <param name="legalEntityGroup"> the legal entity group </param>
/// <param name="sensitivity"> the value of the sensitivity </param>
/// <returns> the point sensitivity object </returns>
public static IssuerCurveZeroRateSensitivity of(Currency currency, double yearFraction, LegalEntityGroup legalEntityGroup, double sensitivity)
{
return(of(currency, yearFraction, currency, legalEntityGroup, sensitivity));
}
