//-------------------------------------------------------------------------
public virtual void test_empty()
{
CurveSensitivities test = CurveSensitivities.empty();
assertEquals(test.Info, PortfolioItemInfo.empty());
assertEquals(test.TypedSensitivities, ImmutableMap.of());
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(ResolvedCapitalIndexedBondTrade beanToCopy)
{
this.info_Renamed = beanToCopy.Info;
this.product_Renamed = beanToCopy.Product;
this.quantity_Renamed = beanToCopy.Quantity;
this.settlement_Renamed = beanToCopy.settlement;
}
private CurveSensitivities(PortfolioItemInfo info, IDictionary <CurveSensitivitiesType, CurrencyParameterSensitivities> typedSensitivities)
{
JodaBeanUtils.notNull(info, "info");
JodaBeanUtils.notNull(typedSensitivities, "typedSensitivities");
this.info = info;
this.typedSensitivities = ImmutableMap.copyOf(typedSensitivities);
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 3237038: // info
this.info_Renamed = (PortfolioItemInfo)newValue;
break;
case -309474065: // product
this.product_Renamed = (ResolvedCapitalIndexedBond)newValue;
break;
case -1285004149: // quantity
this.quantity_Renamed = (double?)newValue.Value;
break;
case 73828649: // settlement
this.settlement_Renamed = (ResolvedCapitalIndexedBondSettlement)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 3237038: // info
this.info_Renamed = (PortfolioItemInfo)newValue;
break;
case -309474065: // product
this.product_Renamed = (ResolvedBondFutureOption)newValue;
break;
case -1285004149: // quantity
this.quantity_Renamed = (double?)newValue.Value;
break;
case -1873824343: // tradedPrice
this.tradedPrice_Renamed = (TradedPrice)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(ResolvedBondFutureOptionTrade beanToCopy)
{
this.info_Renamed = beanToCopy.Info;
this.product_Renamed = beanToCopy.Product;
this.quantity_Renamed = beanToCopy.Quantity;
this.tradedPrice_Renamed = beanToCopy.tradedPrice;
}
//-------------------------------------------------------------------------
// parses the file in grid format
private void parseGridFormat(CsvIterator csv, ListMultimap <string, CurveSensitivities> parsed, IList <FailureItem> failures)
{
// find the applicable reference columns
IDictionary <string, CurveName> references = new LinkedHashMap <string, CurveName>();
foreach (string header in csv.headers())
{
string headerLowerCase = header.ToLower(Locale.ENGLISH);
if (!REF_HEADERS.contains(headerLowerCase) && !resolver.isInfoColumn(headerLowerCase))
{
references[header] = CurveName.of(header);
}
}
// loop around all rows, peeking to match batches with the same identifier
// no exception catch at this level to avoid infinite loops
while (csv.hasNext())
{
CsvRow peekedRow = csv.peek();
PortfolioItemInfo info = parseInfo(peekedRow);
//JAVA TO C# CONVERTER TODO TASK: Method reference arbitrary object instance method syntax is not converted by Java to C# Converter:
string id = info.Id.map(StandardId::toString).orElse("");
// process in batches, where the ID is the same
CurveSensitivitiesBuilder builder = CurveSensitivities.builder(info);
IList <CsvRow> batchRows = csv.nextBatch(r => matchId(r, id));
foreach (CsvRow batchRow in batchRows)
{
try
{
ParameterMetadata metadata = parseMetadata(batchRow, true);
CurveSensitivitiesType type = batchRow.findValue(TYPE_HEADER).map(str => CurveSensitivitiesType.of(str)).orElse(CurveSensitivitiesType.ZERO_RATE_DELTA);
foreach (KeyValuePair <string, CurveName> entry in references.SetOfKeyValuePairs())
{
CurveName reference = entry.Value;
CurveName resolvedCurveName = resolver.checkCurveName(reference);
string valueStr = batchRow.getField(entry.Key);
Currency currency = parseCurrency(batchRow, reference);
if (valueStr.Length > 0)
{
double value = LoaderUtils.parseDouble(valueStr);
builder.add(type, resolvedCurveName, currency, metadata, value);
}
}
}
catch (System.ArgumentException ex)
{
failures.Add(FailureItem.of(PARSING, "CSV file could not be parsed at line {}: {}", batchRow.lineNumber(), ex.Message));
}
}
CurveSensitivities sens = builder.build();
if (!sens.TypedSensitivities.Empty)
{
parsed.put(sens.Id.map(object.toString).orElse(""), sens);
}
}
}
/// <summary>
/// Creates an instance. </summary>
/// <param name="info"> the value of the property, not null </param>
/// <param name="product"> the value of the property, not null </param>
/// <param name="quantity"> the value of the property </param>
/// <param name="tradedPrice"> the value of the property </param>
internal ResolvedBondFutureOptionTrade(PortfolioItemInfo info, ResolvedBondFutureOption product, double quantity, TradedPrice tradedPrice)
{
JodaBeanUtils.notNull(info, "info");
JodaBeanUtils.notNull(product, "product");
this.info = info;
this.product = product;
this.quantity = quantity;
this.tradedPrice = tradedPrice;
}
/// <summary>
/// Creates an instance. </summary>
/// <param name="info"> the value of the property, not null </param>
/// <param name="product"> the value of the property, not null </param>
/// <param name="quantity"> the value of the property </param>
/// <param name="settlement"> the value of the property </param>
internal ResolvedCapitalIndexedBondTrade(PortfolioItemInfo info, ResolvedCapitalIndexedBond product, double quantity, ResolvedCapitalIndexedBondSettlement settlement)
{
JodaBeanUtils.notNull(info, "info");
JodaBeanUtils.notNull(product, "product");
this.info = info;
this.product = product;
this.quantity = quantity;
this.settlement = settlement;
}
/// <summary>
/// Creates an instance. </summary>
/// <param name="info"> the value of the property, not null </param>
/// <param name="product"> the value of the property, not null </param>
/// <param name="quantity"> the value of the property </param>
/// <param name="settlement"> the value of the property </param>
internal ResolvedBillTrade(PortfolioItemInfo info, ResolvedBill product, double quantity, Payment settlement)
{
JodaBeanUtils.notNull(info, "info");
JodaBeanUtils.notNull(product, "product");
this.info = info;
this.product = product;
this.quantity = quantity;
this.settlement = settlement;
}
public virtual void test_withers()
{
PortfolioItemInfo test = PortfolioItemInfo.empty().withId(ID).withAttribute(AttributeType.DESCRIPTION, "A");
assertEquals(test.Id, ID);
assertEquals(test.AttributeTypes, ImmutableSet.of(AttributeType.DESCRIPTION));
assertEquals(test.getAttribute(AttributeType.DESCRIPTION), "A");
assertEquals(test.findAttribute(AttributeType.DESCRIPTION), ("A"));
assertThrows(typeof(System.ArgumentException), () => test.getAttribute(AttributeType.NAME));
}
public virtual void test_mergedWith_sens_mergeAndAdd()
{
CurveSensitivities base1 = sut();
CurveSensitivities base2 = sut2();
CurveSensitivities test = base1.mergedWith(base2);
assertEquals(test.Info, PortfolioItemInfo.empty().withId(ID2).withAttribute(NAME, "2").withAttribute(DESCRIPTION, "1"));
assertEquals(test.TypedSensitivities.Keys, ImmutableSet.of(ZERO_RATE_DELTA, ZERO_RATE_GAMMA));
assertEquals(test.TypedSensitivities.get(ZERO_RATE_DELTA), SENSI1.multipliedBy(2));
assertEquals(test.TypedSensitivities.get(ZERO_RATE_GAMMA), SENSI2);
}
//-------------------------------------------------------------------------
// parse the sensitivity info
private PortfolioItemInfo parseInfo(CsvRow row)
{
PortfolioItemInfo info = PortfolioItemInfo.empty();
string scheme = row.findValue(ID_SCHEME_HEADER).orElse(DEFAULT_SCHEME);
StandardId id = row.findValue(ID_HEADER).map(str => StandardId.of(scheme, str)).orElse(null);
if (id != null)
{
info = info.withId(id);
}
return(resolver.parseSensitivityInfo(row, info));
}
/// <summary>
/// Combines this set of sensitivities with another set.
/// <para>
/// This returns a new curve sensitivities with a combined map of typed sensitivities.
/// Any sensitivities of the same type will be combined as though using
/// <seealso cref="CurrencyParameterSensitivities#mergedWith(CurrencyParameterSensitivities)"/>.
/// The identifier and attributes of this instance will take precedence.
///
/// </para>
/// </summary>
/// <param name="other"> the other parameter sensitivities </param>
/// <returns> an instance based on this one, with the other instance added </returns>
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @SuppressWarnings({"rawtypes", "unchecked"}) public CurveSensitivities mergedWith(CurveSensitivities other)
public CurveSensitivities mergedWith(CurveSensitivities other)
{
PortfolioItemInfo combinedInfo = info;
if (!info.Id.Present && other.info.Id.Present)
{
combinedInfo = combinedInfo.withId(other.info.Id.get());
}
foreach (AttributeType attrType in other.info.AttributeTypes)
{
if (!combinedInfo.AttributeTypes.contains(attrType))
{
combinedInfo = combinedInfo.withAttribute(attrType, other.info.getAttribute(attrType));
}
}
return(new CurveSensitivities(combinedInfo, mergedWith(other.typedSensitivities).TypedSensitivities));
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @SuppressWarnings("unchecked") @Override public Builder set(String propertyName, Object newValue)
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 3237038: // info
this.info = (PortfolioItemInfo)newValue;
break;
case 153032499: // typedSensitivities
this.typedSensitivities = (IDictionary <CurveSensitivitiesType, CurrencyParameterSensitivities>)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
public virtual void test_builder_tenors()
{
CurveName curveName = CurveName.of("GBP");
CurrencyParameterSensitivity sens1Y = CurrencyParameterSensitivity.of(curveName, ImmutableList.of(TENOR_MD_1Y), GBP, DoubleArray.of(3));
CurveSensitivities test = CurveSensitivities.builder(PortfolioItemInfo.empty()).add(ZERO_RATE_DELTA, curveName, GBP, TENOR_MD_1M, 4).add(ZERO_RATE_DELTA, curveName, GBP, TENOR_MD_1W, 1).add(ZERO_RATE_DELTA, curveName, GBP, TENOR_MD_1Y, 2).add(ZERO_RATE_DELTA, curveName, GBP, TENOR_MD_1W, 2).add(ZERO_RATE_DELTA, sens1Y).build();
assertEquals(test.Info, PortfolioItemInfo.empty());
assertEquals(test.TypedSensitivities.size(), 1);
CurrencyParameterSensitivities sens = test.getTypedSensitivity(ZERO_RATE_DELTA);
assertEquals(sens.Sensitivities.size(), 1);
CurrencyParameterSensitivity singleSens = sens.getSensitivity(curveName, GBP);
assertEquals(singleSens.Sensitivity, DoubleArray.of(3, 4, 5));
assertEquals(singleSens.getParameterMetadata(0), TENOR_MD_1W);
assertEquals(singleSens.getParameterMetadata(1), TENOR_MD_1M);
assertEquals(singleSens.getParameterMetadata(2), TENOR_MD_1Y);
}
public virtual void test_builder_mixCurrency()
{
CurveName curveName = CurveName.of("WEIRD");
CurveSensitivities test = CurveSensitivities.builder(PortfolioItemInfo.empty()).add(ZERO_RATE_DELTA, curveName, GBP, TENOR_MD_1Y, 1).add(ZERO_RATE_DELTA, curveName, USD, TENOR_MD_1Y, 2).build();
assertEquals(test.Info, PortfolioItemInfo.empty());
assertEquals(test.TypedSensitivities.size(), 1);
CurrencyParameterSensitivities sens = test.getTypedSensitivity(ZERO_RATE_DELTA);
assertEquals(sens.Sensitivities.size(), 2);
CurrencyParameterSensitivity sensGbp = sens.getSensitivity(curveName, GBP);
assertEquals(sensGbp.Sensitivity, DoubleArray.of(1));
assertEquals(sensGbp.getParameterMetadata(0), TENOR_MD_1Y);
CurrencyParameterSensitivity sensUsd = sens.getSensitivity(curveName, USD);
assertEquals(sensUsd.Sensitivity, DoubleArray.of(2));
assertEquals(sensUsd.getParameterMetadata(0), TENOR_MD_1Y);
}
//-------------------------------------------------------------------------
// parses the file in standard format
private void parseStandardFormat(CsvIterator csv, ListMultimap <string, CurveSensitivities> parsed, IList <FailureItem> failures)
{
// loop around all rows, peeking to match batches with the same identifier
// no exception catch at this level to avoid infinite loops
while (csv.hasNext())
{
CsvRow peekedRow = csv.peek();
PortfolioItemInfo info = parseInfo(peekedRow);
//JAVA TO C# CONVERTER TODO TASK: Method reference arbitrary object instance method syntax is not converted by Java to C# Converter:
string id = info.Id.map(StandardId::toString).orElse("");
// process in batches, where the ID is the same
CurveSensitivitiesBuilder builder = CurveSensitivities.builder(info);
IList <CsvRow> batchRows = csv.nextBatch(r => matchId(r, id));
foreach (CsvRow batchRow in batchRows)
{
try
{
CurveName reference = CurveName.of(batchRow.getValue(REFERENCE_HEADER));
CurveName resolvedCurveName = resolver.checkCurveName(reference);
CurveSensitivitiesType type = CurveSensitivitiesType.of(batchRow.getValue(TYPE_HEADER));
ParameterMetadata metadata = parseMetadata(batchRow, false);
Currency currency = parseCurrency(batchRow, reference);
string valueStr = batchRow.getField(VALUE_HEADER);
if (valueStr.Length > 0)
{
double value = LoaderUtils.parseDouble(valueStr);
builder.add(type, resolvedCurveName, currency, metadata, value);
}
}
catch (System.ArgumentException ex)
{
failures.Add(FailureItem.of(PARSING, "CSV file could not be parsed at line {}: {}", batchRow.lineNumber(), ex.Message));
}
}
CurveSensitivities sens = builder.build();
if (!sens.TypedSensitivities.Empty)
{
parsed.put(sens.Id.map(object.toString).orElse(""), sens);
}
}
}
public void test_write_standard_withDate()
{
CurveName curve1 = CurveName.of("GBDSC");
CurveName curve2 = CurveName.of("GBFWD");
// listed in reverse order to check ordering
CurveSensitivities sens = CurveSensitivities.builder(PortfolioItemInfo.empty().withAttribute(CCP_ATTR, "LCH")).add(ZERO_RATE_GAMMA, curve2, Currency.GBP, TenorParameterMetadata.of(Tenor.TENOR_3M), 1).add(ZERO_RATE_GAMMA, curve2, Currency.GBP, TenorParameterMetadata.of(Tenor.TENOR_6M), 2).add(ZERO_RATE_DELTA, curve2, Currency.GBP, TenorParameterMetadata.of(Tenor.TENOR_3M), 3).add(ZERO_RATE_DELTA, curve2, Currency.GBP, TenorParameterMetadata.of(Tenor.TENOR_6M), 5).add(ZERO_RATE_DELTA, curve1, Currency.GBP, TenorDateParameterMetadata.of(date(2018, 6, 30), Tenor.TENOR_3M), 2).add(ZERO_RATE_DELTA, curve1, Currency.GBP, TenorParameterMetadata.of(Tenor.TENOR_6M), 4).build();
StringBuilder buf = new StringBuilder();
WRITER_CCP.write(sens, buf);
string content = buf.ToString();
string expected = "" +
"Reference,Sensitivity Type,Sensitivity Tenor,Sensitivity Date,Currency,Value,CCP\n" +
"GBDSC,ZeroRateDelta,3M,2018-06-30,GBP,2.0,LCH\n" +
"GBDSC,ZeroRateDelta,6M,,GBP,4.0,LCH\n" +
"GBFWD,ZeroRateDelta,3M,,GBP,3.0,LCH\n" +
"GBFWD,ZeroRateDelta,6M,,GBP,5.0,LCH\n" +
"GBFWD,ZeroRateGamma,3M,,GBP,1.0,LCH\n" +
"GBFWD,ZeroRateGamma,6M,,GBP,2.0,LCH\n";
assertEquals(content, expected);
}
public override PortfolioItemInfo parseSensitivityInfo(CsvRow row, PortfolioItemInfo info)
{
return(info.withAttribute(CCP_ATTR, row.getValue("CCP")));
}
/// <summary>
/// Obtains an instance from a single set of sensitivities.
/// </summary>
/// <param name="info"> the additional information </param>
/// <param name="type"> the type of the sensitivities </param>
/// <param name="sensitivities"> the sensitivities </param>
/// <returns> the sensitivities instance </returns>
public static CurveSensitivities of(PortfolioItemInfo info, CurveSensitivitiesType type, CurrencyParameterSensitivities sensitivities)
{
return(new CurveSensitivities(info, ImmutableMap.of(type, sensitivities)));
}
//-----------------------------------------------------------------------
/// <summary>
/// Sets the additional information, defaulted to an empty instance.
/// <para>
/// This allows additional information to be attached.
/// </para>
/// </summary>
/// <param name="info"> the new value, not null </param>
/// <returns> this, for chaining, not null </returns>
public Builder info(PortfolioItemInfo info)
{
JodaBeanUtils.notNull(info, "info");
this.info_Renamed = info;
return(this);
}
/// <summary>
/// Obtains an instance from a map of sensitivities.
/// </summary>
/// <param name="info"> the additional information </param>
/// <param name="typedSensitivities"> the map of sensitivities by type </param>
/// <returns> the sensitivities instance </returns>
public static CurveSensitivities of(PortfolioItemInfo info, IDictionary <CurveSensitivitiesType, CurrencyParameterSensitivities> typedSensitivities)
{
return(new CurveSensitivities(info, ImmutableMap.copyOf(typedSensitivities)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an empty instance.
/// </summary>
/// <returns> the empty sensitivities instance </returns>
public static CurveSensitivities empty()
{
return(new CurveSensitivities(PortfolioItemInfo.empty(), ImmutableMap.of()));
}
/// <summary>
/// Returns a builder that can be used to create an instance of {@code CurveSensitivities}.
/// <para>
/// The builder takes into account the parameter metadata when creating the sensitivity map.
/// As such, the parameter metadata added to the builder must not be empty.
///
/// </para>
/// </summary>
/// <param name="info"> the additional information </param>
/// <returns> the builder </returns>
public static CurveSensitivitiesBuilder builder(PortfolioItemInfo info)
{
return(new CurveSensitivitiesBuilder(info));
}
//-------------------------------------------------------------------------
// restricted constructor
internal CurveSensitivitiesBuilder(PortfolioItemInfo info)
{
this.info = info;
}
