/// <summary>
/// Test that inputs are correctly built from market data.
/// </summary>
public virtual void build()
{
FraCurveNode node1x4 = fraNode(1, "a");
FraCurveNode node2x5 = fraNode(2, "b");
FraCurveNode node3x6 = fraNode(3, "c");
InterpolatedNodalCurveDefinition curveDefn = InterpolatedNodalCurveDefinition.builder().name(CurveName.of("curve")).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(DayCounts.ACT_ACT_ISDA).interpolator(CurveInterpolators.DOUBLE_QUADRATIC).extrapolatorLeft(CurveExtrapolators.FLAT).extrapolatorRight(CurveExtrapolators.FLAT).nodes(node1x4, node2x5, node3x6).build();
RatesCurveGroupDefinition groupDefn = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("curve group")).addDiscountCurve(curveDefn, Currency.USD).build();
MarketDataConfig marketDataConfig = MarketDataConfig.builder().add(groupDefn.Name, groupDefn).build();
QuoteId idA = QuoteId.of(StandardId.of("test", "a"));
QuoteId idB = QuoteId.of(StandardId.of("test", "b"));
QuoteId idC = QuoteId.of(StandardId.of("test", "c"));
ScenarioMarketData marketData = ImmutableScenarioMarketData.builder(VAL_DATE).addValue(idA, 1d).addValue(idB, 2d).addValue(idC, 3d).build();
RatesCurveInputsMarketDataFunction marketDataFunction = new RatesCurveInputsMarketDataFunction();
RatesCurveInputsId curveInputsId = RatesCurveInputsId.of(groupDefn.Name, curveDefn.Name, ObservableSource.NONE);
MarketDataBox <RatesCurveInputs> result = marketDataFunction.build(curveInputsId, marketDataConfig, marketData, REF_DATA);
RatesCurveInputs curveInputs = result.SingleValue;
assertThat(curveInputs.MarketData.get(idA)).isEqualTo(1d);
assertThat(curveInputs.MarketData.get(idB)).isEqualTo(2d);
assertThat(curveInputs.MarketData.get(idC)).isEqualTo(3d);
IList <ParameterMetadata> expectedMetadata = ImmutableList.of(node1x4.metadata(VAL_DATE, REF_DATA), node2x5.metadata(VAL_DATE, REF_DATA), node3x6.metadata(VAL_DATE, REF_DATA));
assertThat(curveInputs.CurveMetadata.ParameterMetadata).hasValue(expectedMetadata);
}
/// <summary>
/// Test that an exception is thrown if there is no curve group configuration corresponding to the ID
/// </summary>
public virtual void requirementsMissingGroupConfig()
{
RatesCurveInputsMarketDataFunction marketDataFunction = new RatesCurveInputsMarketDataFunction();
RatesCurveInputsId curveInputsId = RatesCurveInputsId.of(CurveGroupName.of("curve group"), CurveName.of("curve"), ObservableSource.NONE);
assertThrowsIllegalArg(() => marketDataFunction.requirements(curveInputsId, MarketDataConfig.empty()));
}
/// <summary>
/// Test that a failure is returned if there is no config for the curve group.
/// </summary>
public virtual void buildMissingGroupConfig()
{
RatesCurveInputsMarketDataFunction marketDataFunction = new RatesCurveInputsMarketDataFunction();
RatesCurveInputsId curveInputsId = RatesCurveInputsId.of(CurveGroupName.of("curve group"), CurveName.of("curve"), ObservableSource.NONE);
ScenarioMarketData emptyData = ScenarioMarketData.empty();
assertThrows(() => marketDataFunction.build(curveInputsId, MarketDataConfig.empty(), emptyData, REF_DATA), typeof(System.ArgumentException), "No configuration found for type .*");
}
/// <summary>
/// Test that requirements are empty if the curve group config exists but not the curve
/// </summary>
public virtual void requirementsMissingCurveDefinition()
{
RatesCurveInputsMarketDataFunction marketDataFunction = new RatesCurveInputsMarketDataFunction();
RatesCurveInputsId curveInputsId = RatesCurveInputsId.of(CurveGroupName.of("curve group"), CurveName.of("curve"), ObservableSource.NONE);
RatesCurveGroupDefinition groupDefn = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("curve group")).build();
MarketDataConfig marketDataConfig = MarketDataConfig.builder().add(groupDefn.Name, groupDefn).build();
MarketDataRequirements requirements = marketDataFunction.requirements(curveInputsId, marketDataConfig);
assertThat(requirements.Observables).Empty;
}
/// <summary>
/// Test that a failure is returned if there is config for the curve group but it doesn't contain the named curve.
/// </summary>
public virtual void buildMissingCurveDefinition()
{
RatesCurveInputsMarketDataFunction marketDataFunction = new RatesCurveInputsMarketDataFunction();
RatesCurveInputsId curveInputsId = RatesCurveInputsId.of(CurveGroupName.of("curve group"), CurveName.of("curve"), ObservableSource.NONE);
RatesCurveGroupDefinition groupDefn = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("curve group")).build();
MarketDataConfig marketDataConfig = MarketDataConfig.builder().add(groupDefn.Name, groupDefn).build();
ScenarioMarketData emptyData = ScenarioMarketData.empty();
assertThrows(() => marketDataFunction.build(curveInputsId, marketDataConfig, emptyData, REF_DATA), typeof(System.ArgumentException), "No curve named .*");
}
/// <summary>
/// Returns the inputs required for the curve if available.
/// <para>
/// If no market data is required to build the curve an empty set of inputs is returned.
/// If the curve requires inputs which are available in {@code marketData} they are returned.
/// If the curve requires inputs which are not available in {@code marketData} an exception is thrown
///
/// </para>
/// </summary>
/// <param name="curveDefn"> the curve definition </param>
/// <param name="marketData"> the market data </param>
/// <param name="groupName"> the name of the curve group being built </param>
/// <param name="obsSource"> the source of the observable market data </param>
/// <returns> the input data required for the curve if available </returns>
private MarketDataBox <RatesCurveInputs> curveInputs(CurveDefinition curveDefn, ScenarioMarketData marketData, CurveGroupName groupName, ObservableSource obsSource)
{
// only try to get inputs from the market data if the curve needs market data
if (requiresMarketData(curveDefn))
{
RatesCurveInputsId curveInputsId = RatesCurveInputsId.of(groupName, curveDefn.Name, obsSource);
return(marketData.getValue(curveInputsId));
}
else
{
return(MarketDataBox.ofSingleValue(RatesCurveInputs.builder().build()));
}
}
/// <summary>
/// Test that the curve node requirements are extracted and returned.
/// </summary>
public virtual void requirements()
{
FraCurveNode node1x4 = fraNode(1, "a");
FraCurveNode node2x5 = fraNode(2, "b");
FraCurveNode node3x6 = fraNode(3, "c");
InterpolatedNodalCurveDefinition curve = InterpolatedNodalCurveDefinition.builder().name(CurveName.of("curve")).interpolator(CurveInterpolators.DOUBLE_QUADRATIC).extrapolatorLeft(CurveExtrapolators.FLAT).extrapolatorRight(CurveExtrapolators.FLAT).nodes(node1x4, node2x5, node3x6).build();
RatesCurveGroupDefinition groupDefn = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("curve group")).addDiscountCurve(curve, Currency.USD).build();
MarketDataConfig marketDataConfig = MarketDataConfig.builder().add(groupDefn.Name, groupDefn).build();
RatesCurveInputsMarketDataFunction marketDataFunction = new RatesCurveInputsMarketDataFunction();
RatesCurveInputsId curveInputsId = RatesCurveInputsId.of(groupDefn.Name, curve.Name, ObservableSource.NONE);
MarketDataRequirements requirements = marketDataFunction.requirements(curveInputsId, marketDataConfig);
assertThat(requirements.Observables).contains(QuoteId.of(StandardId.of("test", "a"))).contains(QuoteId.of(StandardId.of("test", "b"))).contains(QuoteId.of(StandardId.of("test", "c")));
}
/// <summary>
/// Test that a failure is returned if the observable data isn't available.
/// </summary>
public virtual void buildMissingMarketData()
{
FraCurveNode node1x4 = fraNode(1, "a");
FraCurveNode node2x5 = fraNode(2, "b");
FraCurveNode node3x6 = fraNode(3, "c");
InterpolatedNodalCurveDefinition curve = InterpolatedNodalCurveDefinition.builder().name(CurveName.of("curve")).interpolator(CurveInterpolators.DOUBLE_QUADRATIC).extrapolatorLeft(CurveExtrapolators.FLAT).extrapolatorRight(CurveExtrapolators.FLAT).nodes(node1x4, node2x5, node3x6).build();
RatesCurveGroupDefinition groupDefn = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("curve group")).addDiscountCurve(curve, Currency.USD).build();
MarketDataConfig marketDataConfig = MarketDataConfig.builder().add(groupDefn.Name, groupDefn).build();
ScenarioMarketData emptyData = ScenarioMarketData.of(1, date(2016, 6, 30), ImmutableMap.of(), ImmutableMap.of());
RatesCurveInputsMarketDataFunction marketDataFunction = new RatesCurveInputsMarketDataFunction();
RatesCurveInputsId curveInputsId = RatesCurveInputsId.of(groupDefn.Name, curve.Name, ObservableSource.NONE);
assertThrows(() => marketDataFunction.build(curveInputsId, marketDataConfig, emptyData, REF_DATA), typeof(MarketDataNotFoundException));
}
/// <summary>
/// Tests that par rates and ibor index are required for curves.
/// </summary>
public virtual void requirements()
{
FraCurveNode node1x4 = CurveTestUtils.fraNode(1, "foo");
FraCurveNode node2x5 = CurveTestUtils.fraNode(2, "foo");
IList <CurveNode> nodes = ImmutableList.of(node1x4, node2x5);
CurveGroupName groupName = CurveGroupName.of("Curve Group");
CurveName curveName = CurveName.of("FRA Curve");
ObservableSource obsSource = ObservableSource.of("Vendor");
InterpolatedNodalCurveDefinition curveDefn = InterpolatedNodalCurveDefinition.builder().name(curveName).nodes(nodes).interpolator(CurveInterpolators.DOUBLE_QUADRATIC).extrapolatorLeft(CurveExtrapolators.FLAT).extrapolatorRight(CurveExtrapolators.FLAT).build();
RateIndex ibor = IborIndices.USD_LIBOR_3M;
RatesCurveGroupDefinition groupDefn = RatesCurveGroupDefinition.builder().name(groupName).addCurve(curveDefn, Currency.USD, ibor).build();
MarketDataConfig marketDataConfig = MarketDataConfig.builder().add(groupName, groupDefn).build();
RatesCurveGroupMarketDataFunction function = new RatesCurveGroupMarketDataFunction();
RatesCurveGroupId curveGroupId = RatesCurveGroupId.of(groupName, obsSource);
MarketDataRequirements requirements = function.requirements(curveGroupId, marketDataConfig);
assertThat(requirements.NonObservables).contains(RatesCurveInputsId.of(groupName, curveName, obsSource));
assertThat(requirements.TimeSeries.contains(IndexQuoteId.of(ibor)));
}
/// <summary>
/// Tests calibration a curve containing FRAs and pricing the curve instruments using the curve.
/// </summary>
public virtual void roundTripFra()
{
InterpolatedNodalCurveDefinition curveDefn = CurveTestUtils.fraCurveDefinition();
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IList <FraCurveNode> nodes = curveDefn.Nodes.Select(typeof(FraCurveNode).cast).collect(toImmutableList());
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.List<com.opengamma.strata.data.MarketDataId<?>> keys = nodes.stream().map(CurveTestUtils::key).collect(toImmutableList());
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IList <MarketDataId <object> > keys = nodes.Select(CurveTestUtils.key).collect(toImmutableList());
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, double> inputData = com.google.common.collect.ImmutableMap.builder<com.opengamma.strata.data.MarketDataId<?>, double>().put(keys.get(0), 0.003).put(keys.get(1), 0.0033).put(keys.get(2), 0.0037).put(keys.get(3), 0.0054).put(keys.get(4), 0.007).put(keys.get(5), 0.0091).put(keys.get(6), 0.0134).build();
IDictionary <MarketDataId <object>, double> inputData = ImmutableMap.builder <MarketDataId <object>, double>().put(keys[0], 0.003).put(keys[1], 0.0033).put(keys[2], 0.0037).put(keys[3], 0.0054).put(keys[4], 0.007).put(keys[5], 0.0091).put(keys[6], 0.0134).build();
CurveGroupName groupName = CurveGroupName.of("Curve Group");
CurveName curveName = CurveName.of("FRA Curve");
RatesCurveInputs curveInputs = RatesCurveInputs.of(inputData, DefaultCurveMetadata.of(curveName));
RatesCurveGroupDefinition groupDefn = RatesCurveGroupDefinition.builder().name(groupName).addCurve(curveDefn, Currency.USD, IborIndices.USD_LIBOR_3M).build();
RatesCurveGroupMarketDataFunction function = new RatesCurveGroupMarketDataFunction();
LocalDate valuationDate = date(2011, 3, 8);
ScenarioMarketData inputMarketData = ImmutableScenarioMarketData.builder(valuationDate).addValue(RatesCurveInputsId.of(groupName, curveName, ObservableSource.NONE), curveInputs).build();
MarketDataBox <RatesCurveGroup> curveGroup = function.buildCurveGroup(groupDefn, CALIBRATOR, inputMarketData, REF_DATA, ObservableSource.NONE);
Curve curve = curveGroup.SingleValue.findDiscountCurve(Currency.USD).get();
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, Object> marketDataMap = com.google.common.collect.ImmutableMap.builder<com.opengamma.strata.data.MarketDataId<?>, Object>().putAll(inputData).put(com.opengamma.strata.market.curve.CurveId.of(groupName, curveName), curve).build();
IDictionary <MarketDataId <object>, object> marketDataMap = ImmutableMap.builder <MarketDataId <object>, object>().putAll(inputData).put(CurveId.of(groupName, curveName), curve).build();
MarketData marketData = ImmutableMarketData.of(valuationDate, marketDataMap);
TestMarketDataMap scenarioMarketData = new TestMarketDataMap(valuationDate, marketDataMap, ImmutableMap.of());
RatesMarketDataLookup lookup = RatesMarketDataLookup.of(groupDefn);
RatesProvider ratesProvider = lookup.ratesProvider(scenarioMarketData.scenario(0));
// The PV should be zero for an instrument used to build the curve
nodes.ForEach(node => checkFraPvIsZero(node, ratesProvider, marketData));
}
//-------------------------------------------------------------------------
public virtual void duplicateInputDataKeys()
{
FxSwapTemplate template1 = FxSwapTemplate.of(Period.ofMonths(1), FxSwapConventions.EUR_USD);
FxSwapTemplate template2 = FxSwapTemplate.of(Period.ofMonths(2), FxSwapConventions.EUR_USD);
QuoteId pointsKey1a = QuoteId.of(StandardId.of("test", "1a"));
QuoteId pointsKey1b = QuoteId.of(StandardId.of("test", "1b"));
QuoteId pointsKey2a = QuoteId.of(StandardId.of("test", "2a"));
QuoteId pointsKey2b = QuoteId.of(StandardId.of("test", "2b"));
FxSwapCurveNode node1a = FxSwapCurveNode.of(template1, pointsKey1a);
FxSwapCurveNode node1b = FxSwapCurveNode.of(template2, pointsKey1b);
FxSwapCurveNode node2 = FxSwapCurveNode.of(template1, pointsKey2a);
FxSwapCurveNode node2b = FxSwapCurveNode.of(template2, pointsKey2b);
CurveName curveName1 = CurveName.of("curve1");
InterpolatedNodalCurveDefinition curve1 = InterpolatedNodalCurveDefinition.builder().name(curveName1).nodes(node1a, node1b).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(ACT_360).interpolator(CurveInterpolators.LINEAR).extrapolatorLeft(CurveExtrapolators.LINEAR).extrapolatorRight(CurveExtrapolators.LINEAR).build();
CurveName curveName2 = CurveName.of("curve2");
InterpolatedNodalCurveDefinition curve2 = InterpolatedNodalCurveDefinition.builder().name(curveName2).nodes(node2, node2b).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(ACT_360).interpolator(CurveInterpolators.LINEAR).extrapolatorLeft(CurveExtrapolators.LINEAR).extrapolatorRight(CurveExtrapolators.LINEAR).build();
CurveGroupName curveGroupName = CurveGroupName.of("group");
RatesCurveGroupDefinition groupDefinition = RatesCurveGroupDefinition.builder().name(curveGroupName).addDiscountCurve(curve1, Currency.EUR).addDiscountCurve(curve2, Currency.USD).build();
RatesCurveGroupMarketDataFunction fn = new RatesCurveGroupMarketDataFunction();
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, Object> marketDataMap1 = com.google.common.collect.ImmutableMap.of(com.opengamma.strata.data.FxRateId.of(com.opengamma.strata.basics.currency.Currency.EUR, com.opengamma.strata.basics.currency.Currency.USD), com.opengamma.strata.basics.currency.FxRate.of(com.opengamma.strata.basics.currency.Currency.EUR, com.opengamma.strata.basics.currency.Currency.USD, 1.01), pointsKey1a, 0.1d, pointsKey1b, 0.2d);
IDictionary <MarketDataId <object>, object> marketDataMap1 = ImmutableMap.of(FxRateId.of(Currency.EUR, Currency.USD), FxRate.of(Currency.EUR, Currency.USD, 1.01), pointsKey1a, 0.1d, pointsKey1b, 0.2d);
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, Object> marketDataMap2 = com.google.common.collect.ImmutableMap.of(com.opengamma.strata.data.FxRateId.of(com.opengamma.strata.basics.currency.Currency.EUR, com.opengamma.strata.basics.currency.Currency.USD), com.opengamma.strata.basics.currency.FxRate.of(com.opengamma.strata.basics.currency.Currency.EUR, com.opengamma.strata.basics.currency.Currency.USD, 1.01), pointsKey2a, 0.1d, pointsKey2b, 0.2d);
IDictionary <MarketDataId <object>, object> marketDataMap2 = ImmutableMap.of(FxRateId.of(Currency.EUR, Currency.USD), FxRate.of(Currency.EUR, Currency.USD, 1.01), pointsKey2a, 0.1d, pointsKey2b, 0.2d);
RatesCurveInputs curveInputs1 = RatesCurveInputs.of(marketDataMap1, DefaultCurveMetadata.of("curve1"));
RatesCurveInputs curveInputs2 = RatesCurveInputs.of(marketDataMap2, DefaultCurveMetadata.of("curve2"));
ImmutableScenarioMarketData marketData = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)).addValue(RatesCurveInputsId.of(curveGroupName, curveName1, ObservableSource.NONE), curveInputs1).addValue(RatesCurveInputsId.of(curveGroupName, curveName2, ObservableSource.NONE), curveInputs2).build();
fn.buildCurveGroup(groupDefinition, CALIBRATOR, marketData, REF_DATA, ObservableSource.NONE);
// This has a duplicate key with a different value which should fail
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, Object> badMarketDataMap = com.google.common.collect.ImmutableMap.of(com.opengamma.strata.data.FxRateId.of(com.opengamma.strata.basics.currency.Currency.EUR, com.opengamma.strata.basics.currency.Currency.USD), com.opengamma.strata.basics.currency.FxRate.of(com.opengamma.strata.basics.currency.Currency.EUR, com.opengamma.strata.basics.currency.Currency.USD, 1.02), pointsKey2a, 0.2d);
IDictionary <MarketDataId <object>, object> badMarketDataMap = ImmutableMap.of(FxRateId.of(Currency.EUR, Currency.USD), FxRate.of(Currency.EUR, Currency.USD, 1.02), pointsKey2a, 0.2d);
RatesCurveInputs badCurveInputs = RatesCurveInputs.of(badMarketDataMap, DefaultCurveMetadata.of("curve2"));
ScenarioMarketData badMarketData = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)).addValue(RatesCurveInputsId.of(curveGroupName, curveName1, ObservableSource.NONE), curveInputs1).addValue(RatesCurveInputsId.of(curveGroupName, curveName2, ObservableSource.NONE), badCurveInputs).build();
string msg = "Multiple unequal values found for identifier .*\\. Values: .* and .*";
assertThrowsIllegalArg(() => fn.buildCurveGroup(groupDefinition, CALIBRATOR, badMarketData, REF_DATA, ObservableSource.NONE), msg);
}
public virtual void metadata()
{
CurveGroupName groupName = CurveGroupName.of("Curve Group");
InterpolatedNodalCurveDefinition fraCurveDefn = CurveTestUtils.fraCurveDefinition();
IList <CurveNode> fraNodes = fraCurveDefn.Nodes;
RatesCurveGroupDefinition groupDefn = RatesCurveGroupDefinition.builder().name(groupName).addForwardCurve(fraCurveDefn, IborIndices.USD_LIBOR_3M).build();
MarketDataConfig marketDataConfig = MarketDataConfig.builder().add(groupName, groupDefn).build();
RatesCurveGroupId curveGroupId = RatesCurveGroupId.of(groupName);
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, double> fraInputData = com.google.common.collect.ImmutableMap.builder<com.opengamma.strata.data.MarketDataId<?>, double>().put(CurveTestUtils.key(fraNodes.get(0)), 0.003).put(CurveTestUtils.key(fraNodes.get(1)), 0.0033).put(CurveTestUtils.key(fraNodes.get(2)), 0.0037).put(CurveTestUtils.key(fraNodes.get(3)), 0.0054).put(CurveTestUtils.key(fraNodes.get(4)), 0.007).put(CurveTestUtils.key(fraNodes.get(5)), 0.0091).put(CurveTestUtils.key(fraNodes.get(6)), 0.0134).build();
IDictionary <MarketDataId <object>, double> fraInputData = ImmutableMap.builder <MarketDataId <object>, double>().put(CurveTestUtils.key(fraNodes[0]), 0.003).put(CurveTestUtils.key(fraNodes[1]), 0.0033).put(CurveTestUtils.key(fraNodes[2]), 0.0037).put(CurveTestUtils.key(fraNodes[3]), 0.0054).put(CurveTestUtils.key(fraNodes[4]), 0.007).put(CurveTestUtils.key(fraNodes[5]), 0.0091).put(CurveTestUtils.key(fraNodes[6]), 0.0134).build();
LocalDate valuationDate = date(2011, 3, 8);
RatesCurveInputs fraCurveInputs = RatesCurveInputs.of(fraInputData, fraCurveDefn.metadata(valuationDate, REF_DATA));
ScenarioMarketData marketData = ImmutableScenarioMarketData.builder(valuationDate).addValue(RatesCurveInputsId.of(groupName, fraCurveDefn.Name, ObservableSource.NONE), fraCurveInputs).build();
RatesCurveGroupMarketDataFunction function = new RatesCurveGroupMarketDataFunction();
MarketDataBox <RatesCurveGroup> curveGroup = function.build(curveGroupId, marketDataConfig, marketData, REF_DATA);
// Check the FRA curve identifiers are the expected tenors
Curve forwardCurve = curveGroup.SingleValue.findForwardCurve(IborIndices.USD_LIBOR_3M).get();
IList <ParameterMetadata> forwardMetadata = forwardCurve.Metadata.ParameterMetadata.get();
//JAVA TO C# CONVERTER TODO TASK: Method reference arbitrary object instance method syntax is not converted by Java to C# Converter:
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IList <object> forwardTenors = forwardMetadata.Select(ParameterMetadata::getIdentifier).collect(toImmutableList());
IList <Tenor> expectedForwardTenors = ImmutableList.of(Tenor.TENOR_4M, Tenor.TENOR_5M, Tenor.TENOR_6M, Tenor.TENOR_9M, Tenor.TENOR_12M, Tenor.ofMonths(15), Tenor.ofMonths(21));
assertThat(forwardTenors).isEqualTo(expectedForwardTenors);
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IList <ParameterMetadata> expectedForwardMetadata = fraNodes.Select(node => node.metadata(valuationDate, REF_DATA)).collect(toImmutableList());
assertThat(forwardMetadata).isEqualTo(expectedForwardMetadata);
}
public virtual void roundTripFraAndFixedFloatSwap()
{
CurveGroupName groupName = CurveGroupName.of("Curve Group");
InterpolatedNodalCurveDefinition curveDefn = CurveTestUtils.fraSwapCurveDefinition();
CurveName curveName = curveDefn.Name;
IList <CurveNode> nodes = curveDefn.Nodes;
RatesCurveGroupDefinition groupDefn = RatesCurveGroupDefinition.builder().name(groupName).addCurve(curveDefn, Currency.USD, IborIndices.USD_LIBOR_3M).build();
RatesCurveGroupMarketDataFunction function = new RatesCurveGroupMarketDataFunction();
LocalDate valuationDate = date(2011, 3, 8);
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, double> inputData = com.google.common.collect.ImmutableMap.builder<com.opengamma.strata.data.MarketDataId<?>, double>().put(CurveTestUtils.key(nodes.get(0)), 0.0037).put(CurveTestUtils.key(nodes.get(1)), 0.0054).put(CurveTestUtils.key(nodes.get(2)), 0.005).put(CurveTestUtils.key(nodes.get(3)), 0.0087).put(CurveTestUtils.key(nodes.get(4)), 0.012).build();
IDictionary <MarketDataId <object>, double> inputData = ImmutableMap.builder <MarketDataId <object>, double>().put(CurveTestUtils.key(nodes[0]), 0.0037).put(CurveTestUtils.key(nodes[1]), 0.0054).put(CurveTestUtils.key(nodes[2]), 0.005).put(CurveTestUtils.key(nodes[3]), 0.0087).put(CurveTestUtils.key(nodes[4]), 0.012).build();
RatesCurveInputs curveInputs = RatesCurveInputs.of(inputData, DefaultCurveMetadata.of(curveName));
ScenarioMarketData inputMarketData = ImmutableScenarioMarketData.builder(valuationDate).addValue(RatesCurveInputsId.of(groupName, curveName, ObservableSource.NONE), curveInputs).build();
MarketDataBox <RatesCurveGroup> curveGroup = function.buildCurveGroup(groupDefn, CALIBRATOR, inputMarketData, REF_DATA, ObservableSource.NONE);
Curve curve = curveGroup.SingleValue.findDiscountCurve(Currency.USD).get();
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, Object> marketDataMap = com.google.common.collect.ImmutableMap.builder<com.opengamma.strata.data.MarketDataId<?>, Object>().putAll(inputData).put(com.opengamma.strata.market.curve.CurveId.of(groupName, curveName), curve).build();
IDictionary <MarketDataId <object>, object> marketDataMap = ImmutableMap.builder <MarketDataId <object>, object>().putAll(inputData).put(CurveId.of(groupName, curveName), curve).build();
MarketData marketData = ImmutableMarketData.of(valuationDate, marketDataMap);
TestMarketDataMap scenarioMarketData = new TestMarketDataMap(valuationDate, marketDataMap, ImmutableMap.of());
RatesMarketDataLookup lookup = RatesMarketDataLookup.of(groupDefn);
RatesProvider ratesProvider = lookup.ratesProvider(scenarioMarketData.scenario(0));
checkFraPvIsZero((FraCurveNode)nodes[0], ratesProvider, marketData);
checkFraPvIsZero((FraCurveNode)nodes[1], ratesProvider, marketData);
checkSwapPvIsZero((FixedIborSwapCurveNode)nodes[2], ratesProvider, marketData);
checkSwapPvIsZero((FixedIborSwapCurveNode)nodes[3], ratesProvider, marketData);
checkSwapPvIsZero((FixedIborSwapCurveNode)nodes[4], ratesProvider, marketData);
}
//-------------------------------------------------------------------------
public virtual MarketDataRequirements requirements(RatesCurveGroupId id, MarketDataConfig marketDataConfig)
{
RatesCurveGroupDefinition groupDefn = marketDataConfig.get(typeof(RatesCurveGroupDefinition), id.CurveGroupName);
// request input data for any curves that need market data
// no input data is requested if the curve definition contains all the market data needed to build the curve
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IList <RatesCurveInputsId> curveInputsIds = groupDefn.CurveDefinitions.Where(defn => requiresMarketData(defn)).Select(defn => defn.Name).Select(curveName => RatesCurveInputsId.of(groupDefn.Name, curveName, id.ObservableSource)).collect(toImmutableList());
IList <ObservableId> timeSeriesIds = groupDefn.Entries.stream().flatMap(entry => entry.Indices.stream()).distinct().map(index => IndexQuoteId.of(index)).collect(toImmutableList());
return(MarketDataRequirements.builder().addValues(curveInputsIds).addTimeSeries(timeSeriesIds).build());
}
