//------------------------------------------------------------------------- public virtual void test_of_single() { BondFutureOptionMarketDataLookup test = BondFutureOptionMarketDataLookup.of(SEC_OG1, VOL_ID1); assertEquals(test.queryType(), typeof(BondFutureOptionMarketDataLookup)); assertEquals(test.VolatilitySecurityIds, ImmutableSet.of(SEC_OG1)); assertEquals(test.getVolatilityIds(SEC_OG1), ImmutableSet.of(VOL_ID1)); assertThrowsIllegalArg(() => test.getVolatilityIds(SEC_OG2)); assertEquals(test.requirements(SEC_OG1), FunctionRequirements.builder().valueRequirements(VOL_ID1).build()); assertEquals(test.requirements(ImmutableSet.of(SEC_OG1)), FunctionRequirements.builder().valueRequirements(VOL_ID1).build()); assertThrowsIllegalArg(() => test.requirements(ImmutableSet.of(SEC_OG3))); }
//------------------------------------------------------------------------- public virtual void test_marketDataView() { BondFutureOptionMarketDataLookup test = BondFutureOptionMarketDataLookup.of(SEC_OG1, VOL_ID1); LocalDate valDate = date(2015, 6, 30); ScenarioMarketData md = new TestMarketDataMap(valDate, ImmutableMap.of(), ImmutableMap.of()); BondFutureOptionScenarioMarketData multiScenario = test.marketDataView(md); assertEquals(multiScenario.Lookup, test); assertEquals(multiScenario.MarketData, md); assertEquals(multiScenario.ScenarioCount, 1); BondFutureOptionMarketData scenario = multiScenario.scenario(0); assertEquals(scenario.Lookup, test); assertEquals(scenario.MarketData, md.scenario(0)); assertEquals(scenario.ValuationDate, valDate); }
public virtual void test_of_map() { ImmutableMap <SecurityId, BondFutureVolatilitiesId> ids = ImmutableMap.of(SEC_OG1, VOL_ID1, SEC_OG2, VOL_ID1); BondFutureOptionMarketDataLookup test = BondFutureOptionMarketDataLookup.of(ids); assertEquals(test.queryType(), typeof(BondFutureOptionMarketDataLookup)); assertEquals(test.VolatilitySecurityIds, ImmutableSet.of(SEC_OG1, SEC_OG2)); assertEquals(test.getVolatilityIds(SEC_OG1), ImmutableSet.of(VOL_ID1)); assertThrowsIllegalArg(() => test.getVolatilityIds(SEC_OG3)); assertEquals(test.requirements(SEC_OG1), FunctionRequirements.builder().valueRequirements(VOL_ID1).build()); assertEquals(test.requirements(ImmutableSet.of(SEC_OG1)), FunctionRequirements.builder().valueRequirements(VOL_ID1).build()); assertThrowsIllegalArg(() => test.requirements(ImmutableSet.of(SEC_OG3))); assertEquals(test.volatilities(SEC_OG1, MOCK_MARKET_DATA), MOCK_VOLS); assertThrowsIllegalArg(() => test.volatilities(SEC_OG3, MOCK_MARKET_DATA)); }
//------------------------------------------------------------------------- public virtual FunctionRequirements requirements(T target, ISet <Measure> measures, CalculationParameters parameters, ReferenceData refData) { // extract data from product BondFutureOption option = target.Product; BondFuture future = option.UnderlyingFuture; // use lookup to build requirements QuoteId optionQuoteId = QuoteId.of(option.SecurityId.StandardId, FieldName.SETTLEMENT_PRICE); FunctionRequirements freqs = FunctionRequirements.builder().valueRequirements(optionQuoteId).outputCurrencies(future.Currency, option.Currency).build(); LegalEntityDiscountingMarketDataLookup ledLookup = parameters.getParameter(typeof(LegalEntityDiscountingMarketDataLookup)); foreach (FixedCouponBond bond in future.DeliveryBasket) { freqs = freqs.combinedWith(ledLookup.requirements(bond.SecurityId, bond.LegalEntityId, bond.Currency)); } BondFutureOptionMarketDataLookup optionLookup = parameters.getParameter(typeof(BondFutureOptionMarketDataLookup)); FunctionRequirements optionReqs = optionLookup.requirements(future.SecurityId); return(freqs.combinedWith(optionReqs)); }
//------------------------------------------------------------------------- //JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET: //ORIGINAL LINE: @Override public java.util.Map<com.opengamma.strata.calc.Measure, com.opengamma.strata.collect.result.Result<?>> calculate(T target, java.util.Set<com.opengamma.strata.calc.Measure> measures, com.opengamma.strata.calc.runner.CalculationParameters parameters, com.opengamma.strata.data.scenario.ScenarioMarketData scenarioMarketData, com.opengamma.strata.basics.ReferenceData refData) public virtual IDictionary <Measure, Result <object> > calculate(T target, ISet <Measure> measures, CalculationParameters parameters, ScenarioMarketData scenarioMarketData, ReferenceData refData) { // resolve the trade once for all measures and all scenarios ResolvedBondFutureOptionTrade resolved = target.resolve(refData); // use lookup to query market data LegalEntityDiscountingMarketDataLookup ledLookup = parameters.getParameter(typeof(LegalEntityDiscountingMarketDataLookup)); LegalEntityDiscountingScenarioMarketData ledMarketData = ledLookup.marketDataView(scenarioMarketData); BondFutureOptionMarketDataLookup optionLookup = parameters.getParameter(typeof(BondFutureOptionMarketDataLookup)); BondFutureOptionScenarioMarketData optionMarketData = optionLookup.marketDataView(scenarioMarketData); // loop around measures, calculating all scenarios for one measure //JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET: //ORIGINAL LINE: java.util.Map<com.opengamma.strata.calc.Measure, com.opengamma.strata.collect.result.Result<?>> results = new java.util.HashMap<>(); IDictionary <Measure, Result <object> > results = new Dictionary <Measure, Result <object> >(); foreach (Measure measure in measures) { results[measure] = calculate(measure, resolved, ledMarketData, optionMarketData); } return(results); }
//------------------------------------------------------------------------- /// <summary> /// Calculates present value across one or more scenarios. /// </summary> /// <param name="trade"> the trade </param> /// <param name="legalEntityLookup"> the lookup used to query the rates market data </param> /// <param name="volsLookup"> the lookup used to query the volatility market data </param> /// <param name="marketData"> the market data </param> /// <returns> the present value, one entry per scenario </returns> public virtual CurrencyScenarioArray presentValue(ResolvedBondFutureOptionTrade trade, LegalEntityDiscountingMarketDataLookup legalEntityLookup, BondFutureOptionMarketDataLookup volsLookup, ScenarioMarketData marketData) { return(calc.presentValue(trade, legalEntityLookup.marketDataView(marketData), volsLookup.marketDataView(marketData))); }
//------------------------------------------------------------------------- /// <summary> /// Calculates unit price across one or more scenarios. /// <para> /// This is the price of a single unit of the security. /// /// <h4>Price</h4> /// Strata uses <i>decimal prices</i> for bond futures options in the trade model, pricers and market data. /// This is coherent with the pricing of <seealso cref="BondFuture"/>. /// /// </para> /// </summary> /// <param name="trade"> the trade </param> /// <param name="legalEntityLookup"> the lookup used to query the rates market data </param> /// <param name="volsLookup"> the lookup used to query the volatility market data </param> /// <param name="marketData"> the market data </param> /// <returns> the present value, one entry per scenario </returns> public virtual DoubleScenarioArray unitPrice(ResolvedBondFutureOptionTrade trade, LegalEntityDiscountingMarketDataLookup legalEntityLookup, BondFutureOptionMarketDataLookup volsLookup, ScenarioMarketData marketData) { return(calc.unitPrice(trade, legalEntityLookup.marketDataView(marketData), volsLookup.marketDataView(marketData))); }
//------------------------------------------------------------------------- /// <summary> /// Calculates present value sensitivity across one or more scenarios. /// <para> /// This is the sensitivity of /// <seealso cref="#presentValue(ResolvedBondFutureOptionTrade, LegalEntityDiscountingMarketDataLookup, BondFutureOptionMarketDataLookup, ScenarioMarketData) present value"/> /// to a one basis point shift in the calibrated curves. /// The result is provided for each affected curve and currency, bucketed by curve node. /// /// </para> /// </summary> /// <param name="trade"> the trade </param> /// <param name="legalEntityLookup"> the lookup used to query the rates market data </param> /// <param name="volsLookup"> the lookup used to query the volatility market data </param> /// <param name="marketData"> the market data </param> /// <returns> the present value sensitivity, one entry per scenario </returns> public virtual ScenarioArray <CurrencyParameterSensitivities> pv01CalibratedBucketed(ResolvedBondFutureOptionTrade trade, LegalEntityDiscountingMarketDataLookup legalEntityLookup, BondFutureOptionMarketDataLookup volsLookup, ScenarioMarketData marketData) { return(calc.pv01CalibratedBucketed(trade, legalEntityLookup.marketDataView(marketData), volsLookup.marketDataView(marketData))); }
//------------------------------------------------------------------------- /// <summary> /// Calculates present value sensitivity across one or more scenarios. /// <para> /// This is the sensitivity of /// <seealso cref="#presentValue(ResolvedBondFutureOptionTrade, LegalEntityDiscountingMarketDataLookup, BondFutureOptionMarketDataLookup, ScenarioMarketData) present value"/> /// to a one basis point shift in the calibrated curves. /// The result is the sum of the sensitivities of all affected curves. /// /// </para> /// </summary> /// <param name="trade"> the trade </param> /// <param name="legalEntityLookup"> the lookup used to query the rates market data </param> /// <param name="volsLookup"> the lookup used to query the volatility market data </param> /// <param name="marketData"> the market data </param> /// <returns> the present value sensitivity, one entry per scenario </returns> public virtual MultiCurrencyScenarioArray pv01CalibratedSum(ResolvedBondFutureOptionTrade trade, LegalEntityDiscountingMarketDataLookup legalEntityLookup, BondFutureOptionMarketDataLookup volsLookup, ScenarioMarketData marketData) { return(calc.pv01CalibratedSum(trade, legalEntityLookup.marketDataView(marketData), volsLookup.marketDataView(marketData))); }
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes: //ORIGINAL LINE: @ImmutableConstructor private DefaultBondFutureOptionMarketData(BondFutureOptionMarketDataLookup lookup, com.opengamma.strata.data.MarketData marketData) private DefaultBondFutureOptionMarketData(BondFutureOptionMarketDataLookup lookup, MarketData marketData) { this.lookup = ArgChecker.notNull(lookup, "lookup"); this.marketData = ArgChecker.notNull(marketData, "marketData"); }
//------------------------------------------------------------------------- /// <summary> /// Obtains an instance based on a lookup and market data. /// <para> /// The lookup knows how to obtain the volatilities from the market data. /// This might involve accessing a surface or a cube. /// /// </para> /// </summary> /// <param name="lookup"> the lookup </param> /// <param name="marketData"> the market data </param> /// <returns> the rates market view </returns> public static DefaultBondFutureOptionMarketData of(BondFutureOptionMarketDataLookup lookup, MarketData marketData) { return(new DefaultBondFutureOptionMarketData(lookup, marketData)); }
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes: //ORIGINAL LINE: @ImmutableConstructor private DefaultBondFutureOptionScenarioMarketData(BondFutureOptionMarketDataLookup lookup, com.opengamma.strata.data.scenario.ScenarioMarketData marketData) private DefaultBondFutureOptionScenarioMarketData(BondFutureOptionMarketDataLookup lookup, ScenarioMarketData marketData) { this.lookup = ArgChecker.notNull(lookup, "lookup"); this.marketData = ArgChecker.notNull(marketData, "marketData"); this.cache = new AtomicReferenceArray <BondFutureOptionMarketData>(marketData.ScenarioCount); }