//-------------------------------------------------------------------------
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_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));
}
