public virtual void test_load()
{
ImmutableListMultimap <LocalDate, LegalEntityCurveGroup> allCurves = LegalEntityRatesCurvesCsvLoader.loadAllDates(ResourceLocator.of(GROUPS), ResourceLocator.of(SETTINGS), ImmutableList.of(ResourceLocator.of(CURVES_1), ResourceLocator.of(CURVES_2)));
foreach (LocalDate date in ALL_DATES)
{
ImmutableList <LegalEntityCurveGroup> oneDayCurves = LegalEntityRatesCurvesCsvLoader.load(date, ResourceLocator.of(GROUPS), ResourceLocator.of(SETTINGS), ImmutableList.of(ResourceLocator.of(CURVES_1), ResourceLocator.of(CURVES_2)));
assertEquals(oneDayCurves, allCurves.get(date));
}
}
public virtual void test_loadAllDates()
{
LocalDate sampleDate = ALL_DATES[3]; // 2017-04-21
ImmutableList <LocalDate> expDates = ImmutableList.of(LocalDate.of(2017, 0x7, 21), LocalDate.of(2017, 10, 0x7), LocalDate.of(2018, 4, 13), LocalDate.of(2019, 4, 12), LocalDate.of(2020, 3, 20), LocalDate.of(2021, 3, 19), LocalDate.of(2022, 3, 19), LocalDate.of(2023, 3, 17), LocalDate.of(2024, 6, 17), LocalDate.of(2025, 3, 18), LocalDate.of(2026, 3, 20), LocalDate.of(2027, 3, 20), LocalDate.of(2031, 12, 19), LocalDate.of(2037, 3, 17), LocalDate.of(2047, 3, 17), LocalDate.of(2056, 3, 17));
ImmutableList <string> expTenors = ImmutableList.of("3M", "6M", "1Y", "2Y", "3Y", "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "15Y", "20Y", "30Y", "40Y");
RepoGroup repoGroup = RepoGroup.of("JP-REPO");
DoubleArray expRepoXValues = DoubleArray.of(3, n => ACT_365F.relativeYearFraction(sampleDate, expDates.get(n)));
DoubleArray expRepoYValues = DoubleArray.of(-0.0019521, -0.0016021, -0.0022521);
ImmutableList <LabelDateParameterMetadata> expRepoMetadata = IntStream.range(0, 3).mapToObj(n => LabelDateParameterMetadata.of(expDates.get(n), expTenors.get(n))).collect(Guavate.toImmutableList());
LegalEntityGroup legalEntityGroup = LegalEntityGroup.of("JP-GOVT");
DoubleArray expIssuerXValues = DoubleArray.of(expDates.size(), n => ACT_365F.relativeYearFraction(sampleDate, expDates.get(n)));
DoubleArray expIssuerYValues = DoubleArray.of(-0.0019511690511744527, -0.001497422302092893, -0.0021798583657932176, -0.002215700360912938, -0.0021722324679574866, -0.001922059591219172, -0.0015461646763548528, -0.0014835851245462084, -0.001118669580570464, -5.476767138782941E-4, -2.2155596172855965E-4, 2.0333291172821893E-5, 0.00284500423293463, 0.005876533417933958, 0.007957581583531789, 0.009134630405512047);
ImmutableList <LabelDateParameterMetadata> expIssuerMetadata = IntStream.range(0, expDates.size()).mapToObj(n => LabelDateParameterMetadata.of(expDates.get(n), expTenors.get(n))).collect(Guavate.toImmutableList());
ImmutableListMultimap <LocalDate, LegalEntityCurveGroup> allCurves = LegalEntityRatesCurvesCsvLoader.loadAllDates(ResourceLocator.of(GROUPS), ResourceLocator.of(SETTINGS), ImmutableList.of(ResourceLocator.of(CURVES_1), ResourceLocator.of(CURVES_2)));
//JAVA TO C# CONVERTER TODO TASK: There is no .NET equivalent to the java.util.Collection 'containsAll' method:
assertTrue(allCurves.Keys.containsAll(ALL_DATES));
ImmutableList <LegalEntityCurveGroup> groups = allCurves.get(sampleDate);
assertEquals(groups.size(), 2);
// group 0
LegalEntityCurveGroup group0 = groups.get(0);
assertEquals(group0.Name, CurveGroupName.of("Default1"));
// repo
assertEquals(group0.RepoCurves.size(), 1);
Curve repoCurve = group0.RepoCurves.get(Pair.of(repoGroup, JPY));
InterpolatedNodalCurve expectedRepoCurve = InterpolatedNodalCurve.of(Curves.zeroRates(CurveName.of("JP-REPO-1"), ACT_365F, expRepoMetadata), expRepoXValues, expRepoYValues, CurveInterpolators.LINEAR, CurveExtrapolators.FLAT, CurveExtrapolators.FLAT);
assertEquals(repoCurve, expectedRepoCurve);
// issuer
assertEquals(group0.IssuerCurves.size(), 2);
Curve issuerCurve = group0.IssuerCurves.get(Pair.of(legalEntityGroup, JPY));
InterpolatedNodalCurve expectedIssuerCurve = InterpolatedNodalCurve.of(Curves.zeroRates(CurveName.of("JP-GOVT-1"), ACT_365F, expIssuerMetadata), expIssuerXValues, expIssuerYValues, CurveInterpolators.LINEAR, CurveExtrapolators.FLAT, CurveExtrapolators.FLAT);
assertEquals(issuerCurve, expectedIssuerCurve);
Curve usIssuerCurve = group0.IssuerCurves.get(Pair.of(LegalEntityGroup.of("US-GOVT"), USD));
expectedIssuerCurve = InterpolatedNodalCurve.of(Curves.zeroRates(CurveName.of("US-GOVT"), ACT_360, expIssuerMetadata), DoubleArray.of(expDates.size(), n => ACT_360.relativeYearFraction(sampleDate, expDates.get(n))), expIssuerYValues, CurveInterpolators.NATURAL_SPLINE, CurveExtrapolators.FLAT, CurveExtrapolators.FLAT);
assertEquals(usIssuerCurve, expectedIssuerCurve);
// group 1
LegalEntityCurveGroup group1 = groups.get(1);
assertEquals(group1.Name, CurveGroupName.of("Default2"));
// repo
repoCurve = group1.RepoCurves.get(Pair.of(repoGroup, JPY));
expectedRepoCurve = InterpolatedNodalCurve.of(Curves.zeroRates(CurveName.of("JP-REPO-2"), ACT_365F, expRepoMetadata), expRepoXValues, expRepoYValues, CurveInterpolators.DOUBLE_QUADRATIC, CurveExtrapolators.LINEAR, CurveExtrapolators.LINEAR);
assertEquals(repoCurve, expectedRepoCurve);
// issuer
assertEquals(group1.IssuerCurves.size(), 1);
issuerCurve = group1.IssuerCurves.get(Pair.of(legalEntityGroup, JPY));
expectedIssuerCurve = InterpolatedNodalCurve.of(Curves.zeroRates(CurveName.of("JP-GOVT-2"), ACT_365F, expIssuerMetadata), expIssuerXValues, expIssuerYValues, CurveInterpolators.DOUBLE_QUADRATIC, CurveExtrapolators.LINEAR, CurveExtrapolators.LINEAR);
assertEquals(issuerCurve, expectedIssuerCurve);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(expectedExceptions = IllegalArgumentException.class) public void test_invalid_curve_duplicate_points()
public virtual void test_invalid_curve_duplicate_points()
{
LegalEntityRatesCurvesCsvLoader.loadAllDates(ResourceLocator.of(GROUPS), ResourceLocator.of(SETTINGS), ImmutableList.of(ResourceLocator.of(CURVES_1_DEUPLICATE_POINTS), ResourceLocator.of(CURVES_2)));
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(expectedExceptions = IllegalArgumentException.class, expectedExceptionsMessageRegExp = "Rates curve loader found multiple curves with the same name: .*") public void test_multiple_curves()
public virtual void test_multiple_curves()
{
LegalEntityRatesCurvesCsvLoader.load(ALL_DATES[6], ResourceLocator.of(GROUPS), ResourceLocator.of(SETTINGS), ImmutableList.of(ResourceLocator.of(CURVES_1), ResourceLocator.of(CURVES_1), ResourceLocator.of(CURVES_2)));
}
public virtual void test_date_outside_range()
{
ImmutableList <LegalEntityCurveGroup> result = LegalEntityRatesCurvesCsvLoader.load(LocalDate.of(2017, 1, 24), ResourceLocator.of(GROUPS), ResourceLocator.of(SETTINGS), ImmutableList.of(ResourceLocator.of(CURVES_1), ResourceLocator.of(CURVES_2)));
assertTrue(result.Empty);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(expectedExceptions = IllegalArgumentException.class, expectedExceptionsMessageRegExp = "Repo curve values .*") public void test_missing_repo_curve()
public virtual void test_missing_repo_curve()
{
LegalEntityRatesCurvesCsvLoader.load(ALL_DATES[5], ResourceLocator.of(GROUPS), ResourceLocator.of(SETTINGS), ImmutableList.of(ResourceLocator.of(CURVES_1), ResourceLocator.of(CURVES_2_REPO_MISSING)));
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(expectedExceptions = IllegalArgumentException.class, expectedExceptionsMessageRegExp = "Unsupported curve type: Forward") public void test_invalid_curve_type()
public virtual void test_invalid_curve_type()
{
LegalEntityRatesCurvesCsvLoader.load(ALL_DATES[6], ResourceLocator.of(GROUPS_INVALID_CURVE_TYPE), ResourceLocator.of(SETTINGS), ImmutableList.of(ResourceLocator.of(CURVES_1), ResourceLocator.of(CURVES_2)));
}
//-------------------------------------------------------------------------
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(expectedExceptions = IllegalArgumentException.class) public void test_missing_groups_file()
public virtual void test_missing_groups_file()
{
LegalEntityRatesCurvesCsvLoader.load(ALL_DATES[6], ResourceLocator.of(GROUPS), ResourceLocator.of("classpath:invalid"), ImmutableList.of(ResourceLocator.of(CURVES_1), ResourceLocator.of(CURVES_2)));
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(expectedExceptions = IllegalArgumentException.class, expectedExceptionsMessageRegExp = "Unsupported Value Type in curve settings: Forward") public void test_invalid_settings_value_type_file()
public virtual void test_invalid_settings_value_type_file()
{
LegalEntityRatesCurvesCsvLoader.load(ALL_DATES[0], ResourceLocator.of(GROUPS), ResourceLocator.of(SETTINGS_INVALID_VALUE), ImmutableList.of(ResourceLocator.of(CURVES_1), ResourceLocator.of(CURVES_2)));
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(expectedExceptions = IllegalArgumentException.class, expectedExceptionsMessageRegExp = "CurveExtrapolator name not found: Cubic") public void test_invalid_settings_right_extrapolator_file()
public virtual void test_invalid_settings_right_extrapolator_file()
{
LegalEntityRatesCurvesCsvLoader.load(ALL_DATES[4], ResourceLocator.of(GROUPS), ResourceLocator.of(SETTINGS_INVALID_RIGHT), ImmutableList.of(ResourceLocator.of(CURVES_1), ResourceLocator.of(CURVES_2)));
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(expectedExceptions = IllegalArgumentException.class, expectedExceptionsMessageRegExp = "Header not found: 'Curve Name'") public void test_invalid_settings_missing_column_file()
public virtual void test_invalid_settings_missing_column_file()
{
LegalEntityRatesCurvesCsvLoader.load(ALL_DATES[6], ResourceLocator.of(GROUPS), ResourceLocator.of(SETTINGS_MISSING_CURVE_NAME), ImmutableList.of(ResourceLocator.of(CURVES_1), ResourceLocator.of(CURVES_2)));
}
//-------------------------------------------------------------------------
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(expectedExceptions = IllegalArgumentException.class) public void test_setting_invalid_path()
public virtual void test_setting_invalid_path()
{
LegalEntityRatesCurvesCsvLoader.load(ALL_DATES[4], ResourceLocator.of(GROUPS), ResourceLocator.of("classpath:invalid"), ImmutableList.of(ResourceLocator.of(CURVES_1), ResourceLocator.of(CURVES_2)));
}