//-------------------------------------------------------------------------
private void assertDefinition(RatesCurveGroupDefinition defn)
{
assertEquals(defn.Name, CurveGroupName.of("Default"));
assertEquals(defn.Entries.size(), 3);
assertEquals(defn.SeasonalityDefinitions.size(), 1);
assertEquals(defn.SeasonalityDefinitions.get(CurveName.of("USD-CPI")).AdjustmentType, ShiftType.SCALED);
RatesCurveGroupEntry entry0 = findEntry(defn, "USD-Disc");
RatesCurveGroupEntry entry1 = findEntry(defn, "USD-3ML");
RatesCurveGroupEntry entry2 = findEntry(defn, "USD-CPI");
CurveDefinition defn0 = defn.findCurveDefinition(entry0.CurveName).get();
CurveDefinition defn1 = defn.findCurveDefinition(entry1.CurveName).get();
CurveDefinition defn2 = defn.findCurveDefinition(entry2.CurveName).get();
assertEquals(entry0.DiscountCurrencies, ImmutableSet.of(Currency.USD));
assertEquals(entry0.Indices, ImmutableSet.of());
assertEquals(defn0.Name, CurveName.of("USD-Disc"));
assertEquals(defn0.YValueType, ValueType.ZERO_RATE);
assertEquals(defn0.ParameterCount, 17);
assertEquals(entry1.DiscountCurrencies, ImmutableSet.of());
assertEquals(entry1.Indices, ImmutableSet.of(IborIndices.USD_LIBOR_3M));
assertEquals(defn1.Name, CurveName.of("USD-3ML"));
assertEquals(defn1.YValueType, ValueType.ZERO_RATE);
assertEquals(defn1.ParameterCount, 27);
assertEquals(entry2.DiscountCurrencies, ImmutableSet.of());
assertEquals(entry2.Indices, ImmutableSet.of(PriceIndices.US_CPI_U));
assertEquals(defn2.Name, CurveName.of("USD-CPI"));
assertEquals(defn2.YValueType, ValueType.PRICE_INDEX);
assertEquals(defn2.ParameterCount, 2);
}
//-------------------------------------------------------------------------
public virtual void test_loadCurveGroupDefinition()
{
IList <RatesCurveGroupDefinition> defns = RatesCurveGroupDefinitionCsvLoader.loadCurveGroupDefinitions(ResourceLocator.of(GROUPS_1));
assertEquals(defns.Count, 1);
RatesCurveGroupDefinition defn = defns[0];
assertEquals(defn.Entries.get(0), RatesCurveGroupEntry.builder().curveName(CurveName.of("USD-Disc")).discountCurrencies(USD).build());
assertEquals(defn.Entries.get(1), RatesCurveGroupEntry.builder().curveName(CurveName.of("USD-3ML")).indices(USD_LIBOR_3M).build());
}
/// <summary>
/// Creates a curve group entry for a curve from a list of keys from the same curve group.
/// </summary>
/// <param name="curveName"> the name of the curve </param>
/// <param name="gars"> the group-reference pairs </param>
/// <returns> a curve group entry built from the data in the IDs </returns>
private static RatesCurveGroupEntry curveGroupEntry(CurveName curveName, IList <GroupAndReference> gars)
{
ISet <Currency> currencies = new LinkedHashSet <Currency>();
ISet <Index> indices = new LinkedHashSet <Index>();
foreach (GroupAndReference gar in gars)
{
if (gar.currency != null)
{
currencies.Add(gar.currency);
}
else
{
indices.Add(gar.index);
}
}
return(RatesCurveGroupEntry.builder().curveName(curveName).discountCurrencies(currencies).indices(indices).build());
}
/// <summary>
/// Obtains a generator from an existing provider and definition.
/// </summary>
/// <param name="knownProvider"> the underlying known provider </param>
/// <param name="groupDefn"> the curve group definition </param>
/// <param name="refData"> the reference data to use </param>
/// <returns> the generator </returns>
public static ImmutableRatesProviderGenerator of(ImmutableRatesProvider knownProvider, RatesCurveGroupDefinition groupDefn, ReferenceData refData)
{
IList <CurveDefinition> curveDefns = new List <CurveDefinition>();
IList <CurveMetadata> curveMetadata = new List <CurveMetadata>();
SetMultimap <CurveName, Currency> discountNames = HashMultimap.create();
SetMultimap <CurveName, Index> indexNames = HashMultimap.create();
foreach (CurveDefinition curveDefn in groupDefn.CurveDefinitions)
{
curveDefns.Add(curveDefn);
curveMetadata.Add(curveDefn.metadata(knownProvider.ValuationDate, refData));
CurveName curveName = curveDefn.Name;
// A curve group is guaranteed to include an entry for every definition
RatesCurveGroupEntry entry = groupDefn.findEntry(curveName).get();
ISet <Currency> ccy = entry.DiscountCurrencies;
discountNames.putAll(curveName, ccy);
indexNames.putAll(curveName, entry.Indices);
}
return(new ImmutableRatesProviderGenerator(knownProvider, curveDefns, curveMetadata, discountNames, indexNames));
}
