//-------------------------------------------------------------------------
public virtual void test_marketDataView()
{
IborFutureOptionMarketDataLookup test = IborFutureOptionMarketDataLookup.of(USD_LIBOR_3M, VOL_ID1);
LocalDate valDate = date(2015, 6, 30);
ScenarioMarketData md = new TestMarketDataMap(valDate, ImmutableMap.of(), ImmutableMap.of());
IborFutureOptionScenarioMarketData multiScenario = test.marketDataView(md);
assertEquals(multiScenario.Lookup, test);
assertEquals(multiScenario.MarketData, md);
assertEquals(multiScenario.ScenarioCount, 1);
IborFutureOptionMarketData scenario = multiScenario.scenario(0);
assertEquals(scenario.Lookup, test);
assertEquals(scenario.MarketData, md.scenario(0));
assertEquals(scenario.ValuationDate, valDate);
}
//-------------------------------------------------------------------------
//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
ResolvedIborFutureOptionTrade resolved = target.resolve(refData);
// use lookup to query market data
RatesMarketDataLookup ratesLookup = parameters.getParameter(typeof(RatesMarketDataLookup));
RatesScenarioMarketData ratesMarketData = ratesLookup.marketDataView(scenarioMarketData);
IborFutureOptionMarketDataLookup optionLookup = parameters.getParameter(typeof(IborFutureOptionMarketDataLookup));
IborFutureOptionScenarioMarketData 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, ratesMarketData, optionMarketData);
}
return(results);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates present value across one or more scenarios.
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesLookup"> the lookup used to query the rates market data </param>
/// <param name="optionLookup"> the lookup used to query the option market data </param>
/// <param name="marketData"> the market data </param>
/// <returns> the present value, one entry per scenario </returns>
public virtual CurrencyScenarioArray presentValue(ResolvedIborFutureOptionTrade trade, RatesMarketDataLookup ratesLookup, IborFutureOptionMarketDataLookup optionLookup, ScenarioMarketData marketData)
{
return(calc.presentValue(trade, ratesLookup.marketDataView(marketData), optionLookup.marketDataView(marketData)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates unit price across one or more scenarios.
/// <para>
/// This is the price of a single unit of the security.
/// </para>
/// <para>
/// Strata uses <i>decimal prices</i> for Ibor futures in the trade model, pricers and market data.
/// The decimal price is based on the decimal rate equivalent to the percentage.
/// For example, a price of 99.32 implies an interest rate of 0.68% which is represented in Strata by 0.9932.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesLookup"> the lookup used to query the rates market data </param>
/// <param name="optionLookup"> the lookup used to query the option market data </param>
/// <param name="marketData"> the market data </param>
/// <returns> the present value, one entry per scenario </returns>
public virtual DoubleScenarioArray unitPrice(ResolvedIborFutureOptionTrade trade, RatesMarketDataLookup ratesLookup, IborFutureOptionMarketDataLookup optionLookup, ScenarioMarketData marketData)
{
return(calc.unitPrice(trade, ratesLookup.marketDataView(marketData), optionLookup.marketDataView(marketData)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates present value sensitivity across one or more scenarios.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedIborFutureOptionTrade, RatesMarketDataLookup, IborFutureOptionMarketDataLookup, ScenarioMarketData) present value"/>
/// to a one basis point shift in the market quotes used to calibrate the 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="ratesLookup"> the lookup used to query the rates market data </param>
/// <param name="optionLookup"> the lookup used to query the option market data </param>
/// <param name="marketData"> the market data </param>
/// <returns> the present value sensitivity, one entry per scenario </returns>
public virtual ScenarioArray <CurrencyParameterSensitivities> pv01MarketQuoteBucketed(ResolvedIborFutureOptionTrade trade, RatesMarketDataLookup ratesLookup, IborFutureOptionMarketDataLookup optionLookup, ScenarioMarketData marketData)
{
return(calc.pv01MarketQuoteBucketed(trade, ratesLookup.marketDataView(marketData), optionLookup.marketDataView(marketData)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates present value sensitivity across one or more scenarios.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedIborFutureOptionTrade, RatesMarketDataLookup, IborFutureOptionMarketDataLookup, ScenarioMarketData) present value"/>
/// to a one basis point shift in the market quotes used to calibrate the curves.
/// The result is the sum of the sensitivities of all affected curves.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesLookup"> the lookup used to query the rates market data </param>
/// <param name="optionLookup"> the lookup used to query the option market data </param>
/// <param name="marketData"> the market data </param>
/// <returns> the present value sensitivity, one entry per scenario </returns>
public virtual MultiCurrencyScenarioArray pv01MarketQuoteSum(ResolvedIborFutureOptionTrade trade, RatesMarketDataLookup ratesLookup, IborFutureOptionMarketDataLookup optionLookup, ScenarioMarketData marketData)
{
return(calc.pv01MarketQuoteSum(trade, ratesLookup.marketDataView(marketData), optionLookup.marketDataView(marketData)));
}
public IborFutureOptionMarketData scenario(int scenarioIndex)
{
return(lookup.marketDataView(marketData.scenario(scenarioIndex)));
}