// parses the base SecurityPosition
internal static SecurityPosition parseSecurityPosition(CsvRow row, PositionInfo info, PositionCsvInfoResolver resolver)
{
string securityIdScheme = row.findValue(SECURITY_ID_SCHEME_FIELD).orElse(DEFAULT_SECURITY_SCHEME);
string securityIdValue = row.getValue(SECURITY_ID_FIELD);
SecurityId securityId = SecurityId.of(securityIdScheme, securityIdValue);
DoublesPair quantity = CsvLoaderUtils.parseQuantity(row);
SecurityPosition position = SecurityPosition.ofLongShort(info, securityId, quantity.First, quantity.Second);
return(resolver.completePosition(row, position));
}
public virtual void test_lookup_byPair()
{
ConstantSurface test = ConstantSurface.of(SURFACE_NAME, VALUE);
assertThat(test.zValue(DoublesPair.of(0d, 0d))).isEqualTo(VALUE);
assertThat(test.zValue(DoublesPair.of(-10d, 10d))).isEqualTo(VALUE);
assertThat(test.zValue(DoublesPair.of(100d, -100d))).isEqualTo(VALUE);
assertThat(test.zValueParameterSensitivity(DoublesPair.of(0d, 0d)).Sensitivity.get(0)).isEqualTo(1d);
assertThat(test.zValueParameterSensitivity(DoublesPair.of(-10d, 10d)).Sensitivity.get(0)).isEqualTo(1d);
assertThat(test.zValueParameterSensitivity(DoublesPair.of(100d, -100d)).Sensitivity.get(0)).isEqualTo(1d);
}
// computes the weights related to the two indices
private DoublesPair weights(IborIndexObservation obs1, IborIndexObservation obs2, LocalDate endDate)
{
// weights: linear interpolation on the number of days between the fixing date and the maturity dates of the
// actual coupons on one side and the maturity dates of the underlying deposit on the other side.
long fixingEpochDay = obs1.FixingDate.toEpochDay();
double days1 = obs1.MaturityDate.toEpochDay() - fixingEpochDay;
double days2 = obs2.MaturityDate.toEpochDay() - fixingEpochDay;
double daysN = endDate.toEpochDay() - fixingEpochDay;
double weight1 = (days2 - daysN) / (days2 - days1);
double weight2 = (daysN - days1) / (days2 - days1);
return(DoublesPair.of(weight1, weight2));
}
//-------------------------------------------------------------------------
public virtual double rate(IborInterpolatedRateComputation computation, LocalDate startDate, LocalDate endDate, RatesProvider provider)
{
IborIndexObservation obs1 = computation.ShortObservation;
IborIndexObservation obs2 = computation.LongObservation;
IborIndexRates rates1 = provider.iborIndexRates(obs1.Index);
IborIndexRates rates2 = provider.iborIndexRates(obs2.Index);
double rate1 = rates1.rate(obs1);
double rate2 = rates2.rate(obs2);
DoublesPair weights = this.weights(obs1, obs2, endDate);
return(((rate1 * weights.First) + (rate2 * weights.Second)) / (weights.First + weights.Second));
}
public virtual double explainRate(IborInterpolatedRateComputation computation, LocalDate startDate, LocalDate endDate, RatesProvider provider, ExplainMapBuilder builder)
{
IborIndexObservation obs1 = computation.ShortObservation;
IborIndexObservation obs2 = computation.LongObservation;
DoublesPair weights = this.weights(obs1, obs2, endDate);
IborIndexRates rates1 = provider.iborIndexRates(obs1.Index);
IborIndexRates rates2 = provider.iborIndexRates(obs2.Index);
rates1.explainRate(obs1, builder, child => child.put(ExplainKey.WEIGHT, weights.First));
rates2.explainRate(obs2, builder, child => child.put(ExplainKey.WEIGHT, weights.Second));
double rate = this.rate(computation, startDate, endDate, provider);
builder.put(ExplainKey.COMBINED_RATE, rate);
return(rate);
}
public virtual PointSensitivityBuilder rateSensitivity(IborInterpolatedRateComputation computation, LocalDate startDate, LocalDate endDate, RatesProvider provider)
{
// computes the dates related to the underlying deposits associated to the indices
IborIndexObservation obs1 = computation.ShortObservation;
IborIndexObservation obs2 = computation.LongObservation;
DoublesPair weights = this.weights(obs1, obs2, endDate);
double totalWeight = weights.First + weights.Second;
IborIndexRates ratesIndex1 = provider.iborIndexRates(obs1.Index);
PointSensitivityBuilder sens1 = ratesIndex1.ratePointSensitivity(obs1).multipliedBy(weights.First / totalWeight);
IborIndexRates ratesIndex2 = provider.iborIndexRates(obs2.Index);
PointSensitivityBuilder sens2 = ratesIndex2.ratePointSensitivity(obs2).multipliedBy(weights.Second / totalWeight);
return(sens1.combinedWith(sens2));
}
public virtual void test_zValue()
{
double tol = 1.0e-14;
double x = 2.5;
double y = 1.44;
DeformedSurface test = DeformedSurface.of(METADATA, SURFACE_ORG, FUNCTION);
double computedValue1 = test.zValue(x, y);
double computedValue2 = test.zValue(DoublesPair.of(x, y));
UnitParameterSensitivity computedSensi1 = test.zValueParameterSensitivity(x, y);
UnitParameterSensitivity computedSensi2 = test.zValueParameterSensitivity(DoublesPair.of(x, y));
ValueDerivatives expected = FUNCTION.apply(DoublesPair.of(x, y));
assertEquals(computedValue1, expected.Value);
assertEquals(computedValue2, expected.Value);
assertTrue(DoubleArrayMath.fuzzyEquals(computedSensi1.Sensitivity.toArray(), expected.Derivatives.toArray(), tol));
assertTrue(DoubleArrayMath.fuzzyEquals(computedSensi2.Sensitivity.toArray(), expected.Derivatives.toArray(), tol));
}
//-------------------------------------------------------------------------
/// <summary>
/// Parses the quantity.
/// </summary>
/// <param name="row"> the CSV row to parse </param>
/// <returns> the quantity, long first, short second </returns>
/// <exception cref="IllegalArgumentException"> if the row cannot be parsed </exception>
public static DoublesPair parseQuantity(CsvRow row)
{
double?quantityOpt = row.findValue(QUANTITY_FIELD).map(s => LoaderUtils.parseDouble(s));
if (quantityOpt.HasValue)
{
double quantity = quantityOpt.Value;
return(DoublesPair.of(quantity >= 0 ? quantity : 0, quantity >= 0 ? 0 : -quantity));
}
double?longQuantityOpt = row.findValue(LONG_QUANTITY_FIELD).map(s => LoaderUtils.parseDouble(s));
double?shortQuantityOpt = row.findValue(SHORT_QUANTITY_FIELD).map(s => LoaderUtils.parseDouble(s));
if (!longQuantityOpt.HasValue && !shortQuantityOpt.HasValue)
{
throw new System.ArgumentException(Messages.format("Security must contain a quantity column, either '{}' or '{}' and '{}'", QUANTITY_FIELD, LONG_QUANTITY_FIELD, SHORT_QUANTITY_FIELD));
}
double longQuantity = ArgChecker.notNegative(longQuantityOpt.GetValueOrDefault(0d), LONG_QUANTITY_FIELD);
double shortQuantity = ArgChecker.notNegative(shortQuantityOpt.GetValueOrDefault(0d), SHORT_QUANTITY_FIELD);
return(DoublesPair.of(longQuantity, shortQuantity));
}
