public void test_write_standard_roundTrip()
{
CharSource source = ResourceLocator.ofClasspath("com/opengamma/strata/loader/csv/sensitivity-standard.csv").CharSource;
ValueWithFailures <ListMultimap <string, CurveSensitivities> > parsed1 = LOADER.parse(ImmutableList.of(source));
assertEquals(parsed1.Failures.size(), 0, parsed1.Failures.ToString());
assertEquals(parsed1.Value.size(), 1);
IList <CurveSensitivities> csensList1 = parsed1.Value.get("");
assertEquals(csensList1.Count, 1);
CurveSensitivities csens1 = csensList1[0];
StringBuilder buf = new StringBuilder();
WRITER.write(csens1, buf);
string content = buf.ToString();
ValueWithFailures <ListMultimap <string, CurveSensitivities> > parsed2 = LOADER.parse(ImmutableList.of(CharSource.wrap(content)));
assertEquals(parsed2.Failures.size(), 0, parsed2.Failures.ToString());
assertEquals(parsed2.Value.size(), 1);
IList <CurveSensitivities> csensList2 = parsed2.Value.get("");
assertEquals(csensList2.Count, 1);
CurveSensitivities csens2 = csensList2[0];
assertEquals(csens2, csens1);
}
//-------------------------------------------------------------------------
public void test_parse_list()
{
CharSource source = ResourceLocator.ofClasspath("com/opengamma/strata/loader/csv/sensitivity-list.csv").CharSource;
assertEquals(LOADER.isKnownFormat(source), true);
ValueWithFailures <ListMultimap <string, CurveSensitivities> > test = LOADER.parse(ImmutableList.of(source));
assertEquals(test.Failures.size(), 0, test.Failures.ToString());
assertEquals(test.Value.size(), 1);
IList <CurveSensitivities> list = test.Value.get("");
assertEquals(list.Count, 1);
CurveSensitivities csens0 = list[0];
assertEquals(csens0.TypedSensitivities.size(), 3);
string tenors = "1D, 1W, 2W, 1M, 3M, 6M, 12M, 2Y, 5Y, 10Y";
assertSens(csens0, ZERO_RATE_DELTA, "GBP", GBP, tenors, 1, 2, 3, 4, 5, 6, 7, 8, 9, 10);
assertSens(csens0, ZERO_RATE_DELTA, "GBP-LIBOR", GBP, tenors, 1, 2, 3, 4, 5, 6, 7, 8, 9, 10);
assertSens(csens0, ZERO_RATE_GAMMA, "GBP", GBP, tenors, 0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9, 1);
assertSens(csens0, ZERO_RATE_GAMMA, "GBP-LIBOR", GBP, tenors, 0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9, 1);
assertSens(csens0, OTHER, "GBP", GBP, tenors, 0, 0, 0, 0, 0, 0, 10, 0, 0, 0);
assertSens(csens0, OTHER, "GBP-LIBOR", GBP, tenors, 0, 0, 0, 0, 0, 0, 10, 0, 0, 0);
}
public void test_parse_grid_full()
{
CharSource source = ResourceLocator.ofClasspath("com/opengamma/strata/loader/csv/sensitivity-grid-full.csv").CharSource;
assertEquals(LOADER_CCP.isKnownFormat(source), true);
ValueWithFailures <ListMultimap <string, CurveSensitivities> > test = LOADER_CCP.parse(ImmutableList.of(source));
assertEquals(test.Failures.size(), 0, test.Failures.ToString());
IList <CurveSensitivities> list0 = test.Value.get("SCHEME~TR1");
assertEquals(list0.Count, 1);
CurveSensitivities csens0 = list0[0];
assertEquals(csens0.Id, StandardId.of("SCHEME", "TR1"));
assertEquals(csens0.Info.getAttribute(CCP_ATTR), "LCH");
assertEquals(csens0.TypedSensitivities.size(), 2);
assertSens(csens0, ZERO_RATE_DELTA, "GBCURVE", GBP, "1M, 3M, 6M", 1, 2, 3);
assertSens(csens0, ZERO_RATE_GAMMA, "GBCURVE", GBP, "1M, 3M, 6M", 4, 5, 6);
IList <CurveSensitivities> list1 = test.Value.get("OG-Sensitivity~TR2");
assertEquals(list1.Count, 1);
CurveSensitivities csens1 = list1[0];
assertEquals(csens1.Id, StandardId.of("OG-Sensitivity", "TR2"));
assertEquals(csens1.Info.getAttribute(CCP_ATTR), "CME");
assertEquals(csens1.TypedSensitivities.size(), 1);
assertSens(csens1, ZERO_RATE_DELTA, "GBCURVE", GBP, "1M, 3M, 6M", 7, 8, 9);
}
static GlobalHolidayCalendarLookup()
{
ImmutableMap.Builder <string, HolidayCalendar> builder = ImmutableMap.builder();
ResourceLocator locator = ResourceLocator.ofClasspath("com/opengamma/strata/basics/date/GlobalHolidayCalendars.bin");
try
{
using (Stream fis = locator.ByteSource.openStream())
{
using (DataInputStream @in = new DataInputStream(fis))
{
if (@in.readByte() != 'H' || @in.readByte() != 'C' || @in.readByte() != 'a' || @in.readByte() != 'l')
{
Console.Error.WriteLine("ERROR: Corrupt holiday calendar data file");
}
else
{
short calSize = @in.readShort();
for (int i = 0; i < calSize; i++)
{
HolidayCalendar cal = ImmutableHolidayCalendar.readExternal(@in);
builder.put(cal.Id.Name, cal);
}
}
}
}
}
catch (IOException ex)
{
Console.Error.WriteLine("ERROR: Unable to parse holiday calendar data file: " + ex.Message);
Console.WriteLine(ex.ToString());
Console.Write(ex.StackTrace);
}
MAP = builder.build();
}
//-------------------------------------------------------------------------
// Gets the resource locator corresponding to a given entry
private ResourceLocator getEntryLocator(string entryName)
{
return(ResourceLocator.ofClasspath(entryName));
}
