//-------------------------------------------------------------------------
public virtual void test_of_map()
{
ImmutableMap <SecurityId, RepoGroup> repoSecurityGroups = ImmutableMap.of(SEC_A1, GROUP_REPO_X);
ImmutableMap <LegalEntityId, RepoGroup> repoGroups = ImmutableMap.of(ISSUER_A, GROUP_REPO_Y, ISSUER_B, GROUP_REPO_Y, ISSUER_C, GROUP_REPO_Y, ISSUER_D, GROUP_REPO_Y);
ImmutableMap <Pair <RepoGroup, Currency>, CurveId> repoCurves = ImmutableMap.of(Pair.of(GROUP_REPO_X, USD), CURVE_ID_USD1, Pair.of(GROUP_REPO_Y, USD), CURVE_ID_USD2, Pair.of(GROUP_REPO_Y, GBP), CURVE_ID_GBP1);
ImmutableMap <LegalEntityId, LegalEntityGroup> issuerGroups = ImmutableMap.of(ISSUER_A, GROUP_ISSUER_M, ISSUER_B, GROUP_ISSUER_N, ISSUER_C, GROUP_ISSUER_M);
ImmutableMap <Pair <LegalEntityGroup, Currency>, CurveId> issuerCurves = ImmutableMap.of(Pair.of(GROUP_ISSUER_M, USD), CURVE_ID_USD3, Pair.of(GROUP_ISSUER_N, USD), CURVE_ID_USD4, Pair.of(GROUP_ISSUER_N, GBP), CURVE_ID_GBP2);
LegalEntityDiscountingMarketDataLookup test = LegalEntityDiscountingMarketDataLookup.of(repoSecurityGroups, repoGroups, repoCurves, issuerGroups, issuerCurves);
assertEquals(test.queryType(), typeof(LegalEntityDiscountingMarketDataLookup));
assertEquals(test.requirements(SEC_A1, ISSUER_A, USD), FunctionRequirements.builder().valueRequirements(CURVE_ID_USD1, CURVE_ID_USD3).outputCurrencies(USD).build());
assertEquals(test.requirements(SEC_A2, ISSUER_A, USD), FunctionRequirements.builder().valueRequirements(CURVE_ID_USD2, CURVE_ID_USD3).outputCurrencies(USD).build());
assertEquals(test.requirements(SEC_B1, ISSUER_B, USD), FunctionRequirements.builder().valueRequirements(CURVE_ID_USD2, CURVE_ID_USD4).outputCurrencies(USD).build());
assertEquals(test.requirements(SEC_B1, ISSUER_B, GBP), FunctionRequirements.builder().valueRequirements(CURVE_ID_GBP1, CURVE_ID_GBP2).outputCurrencies(GBP).build());
assertThrowsIllegalArg(() => test.requirements(SEC_B1, LegalEntityId.of("XXX", "XXX"), GBP));
assertThrowsIllegalArg(() => test.requirements(SecurityId.of("XXX", "XXX"), LegalEntityId.of("XXX", "XXX"), GBP));
assertThrowsIllegalArg(() => test.requirements(SEC_A1, ISSUER_A, GBP));
assertThrowsIllegalArg(() => test.requirements(SEC_C1, ISSUER_C, GBP));
assertThrowsIllegalArg(() => test.requirements(SEC_D1, ISSUER_D, GBP));
assertEquals(test.discountingProvider(MOCK_MARKET_DATA), DefaultLookupLegalEntityDiscountingProvider.of((DefaultLegalEntityDiscountingMarketDataLookup)test, MOCK_MARKET_DATA));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
ImmutableMap <SecurityId, RepoGroup> repoSecurityGroups = ImmutableMap.of(SEC_A1, GROUP_REPO_X);
ImmutableMap <LegalEntityId, RepoGroup> repoGroups = ImmutableMap.of(ISSUER_A, GROUP_REPO_Y, ISSUER_B, GROUP_REPO_Y);
ImmutableMap <Pair <RepoGroup, Currency>, CurveId> repoCurves = ImmutableMap.of(Pair.of(GROUP_REPO_X, USD), CURVE_ID_USD1, Pair.of(GROUP_REPO_Y, USD), CURVE_ID_USD2, Pair.of(GROUP_REPO_Y, GBP), CURVE_ID_GBP1);
ImmutableMap <LegalEntityId, LegalEntityGroup> issuerGroups = ImmutableMap.of(ISSUER_A, GROUP_ISSUER_M, ISSUER_B, GROUP_ISSUER_N);
ImmutableMap <Pair <LegalEntityGroup, Currency>, CurveId> issuerCurves = ImmutableMap.of(Pair.of(GROUP_ISSUER_M, USD), CURVE_ID_USD3, Pair.of(GROUP_ISSUER_N, USD), CURVE_ID_USD4, Pair.of(GROUP_ISSUER_N, GBP), CURVE_ID_GBP2);
LegalEntityDiscountingMarketDataLookup test = LegalEntityDiscountingMarketDataLookup.of(repoSecurityGroups, repoGroups, repoCurves, issuerGroups, issuerCurves);
coverImmutableBean((ImmutableBean)test);
ImmutableMap <LegalEntityId, RepoGroup> repoGroups2 = ImmutableMap.of();
ImmutableMap <Pair <RepoGroup, Currency>, CurveId> repoCurves2 = ImmutableMap.of();
ImmutableMap <LegalEntityId, LegalEntityGroup> issuerGroups2 = ImmutableMap.of();
ImmutableMap <Pair <LegalEntityGroup, Currency>, CurveId> issuerCurves2 = ImmutableMap.of();
LegalEntityDiscountingMarketDataLookup test2 = LegalEntityDiscountingMarketDataLookup.of(repoGroups2, repoCurves2, issuerGroups2, issuerCurves2, OBS_SOURCE);
coverBeanEquals((ImmutableBean)test, (ImmutableBean)test2);
// related coverage
coverImmutableBean((ImmutableBean)test.marketDataView(MOCK_CALC_MARKET_DATA));
DefaultLegalEntityDiscountingScenarioMarketData.meta();
coverImmutableBean((ImmutableBean)test.marketDataView(MOCK_MARKET_DATA));
DefaultLegalEntityDiscountingMarketData.meta();
coverImmutableBean((ImmutableBean)test.marketDataView(MOCK_MARKET_DATA).discountingProvider());
DefaultLookupLegalEntityDiscountingProvider.meta();
}
//-------------------------------------------------------------------------
public virtual FunctionRequirements requirements(T target, ISet <Measure> measures, CalculationParameters parameters, ReferenceData refData)
{
// extract data from product
Bill product = target.Product;
// use lookup to build requirements
LegalEntityDiscountingMarketDataLookup lookup = parameters.getParameter(typeof(LegalEntityDiscountingMarketDataLookup));
return(lookup.requirements(product.SecurityId, product.LegalEntityId, product.Currency));
}
//-------------------------------------------------------------------------
public virtual void test_of_map_invalid()
{
ImmutableMap <SecurityId, RepoGroup> repoSecurityGroups = ImmutableMap.of(SEC_A1, GROUP_REPO_X);
ImmutableMap <Pair <RepoGroup, Currency>, CurveId> repoCurves = ImmutableMap.of(Pair.of(GROUP_REPO_X, USD), CURVE_ID_USD1);
ImmutableMap <LegalEntityId, LegalEntityGroup> issuerGroups = ImmutableMap.of(ISSUER_A, GROUP_ISSUER_M);
ImmutableMap <Pair <LegalEntityGroup, Currency>, CurveId> issuerCurves = ImmutableMap.of(Pair.of(GROUP_ISSUER_M, USD), CURVE_ID_USD3);
assertThrowsIllegalArg(() => LegalEntityDiscountingMarketDataLookup.of(repoSecurityGroups, ImmutableMap.of(), ImmutableMap.of(), issuerGroups, issuerCurves));
assertThrowsIllegalArg(() => LegalEntityDiscountingMarketDataLookup.of(repoSecurityGroups, ImmutableMap.of(), repoCurves, issuerGroups, ImmutableMap.of()));
}
public virtual void test_serialization()
{
ImmutableMap <SecurityId, RepoGroup> repoSecurityGroups = ImmutableMap.of(SEC_A1, GROUP_REPO_X);
ImmutableMap <LegalEntityId, RepoGroup> repoGroups = ImmutableMap.of(ISSUER_A, GROUP_REPO_Y, ISSUER_B, GROUP_REPO_Y);
ImmutableMap <Pair <RepoGroup, Currency>, CurveId> repoCurves = ImmutableMap.of(Pair.of(GROUP_REPO_X, USD), CURVE_ID_USD1, Pair.of(GROUP_REPO_Y, USD), CURVE_ID_USD2, Pair.of(GROUP_REPO_Y, GBP), CURVE_ID_GBP1);
ImmutableMap <LegalEntityId, LegalEntityGroup> issuerGroups = ImmutableMap.of(ISSUER_A, GROUP_ISSUER_M, ISSUER_B, GROUP_ISSUER_N);
ImmutableMap <Pair <LegalEntityGroup, Currency>, CurveId> issuerCurves = ImmutableMap.of(Pair.of(GROUP_ISSUER_M, USD), CURVE_ID_USD3, Pair.of(GROUP_ISSUER_N, USD), CURVE_ID_USD4, Pair.of(GROUP_ISSUER_N, GBP), CURVE_ID_GBP2);
LegalEntityDiscountingMarketDataLookup test = LegalEntityDiscountingMarketDataLookup.of(repoSecurityGroups, repoGroups, repoCurves, issuerGroups, issuerCurves);
assertSerialization(test);
}
//-------------------------------------------------------------------------
public virtual FunctionRequirements requirements(T target, ISet <Measure> measures, CalculationParameters parameters, ReferenceData refData)
{
// extract data from product
CapitalIndexedBond product = target.Product;
Currency currency = product.Currency;
SecurityId securityId = product.SecurityId;
LegalEntityId legalEntityId = product.LegalEntityId;
// use lookup to build requirements
RatesMarketDataLookup ratesLookup = parameters.getParameter(typeof(RatesMarketDataLookup));
FunctionRequirements ratesReqs = ratesLookup.requirements(ImmutableSet.of(), ImmutableSet.of(product.RateCalculation.Index));
LegalEntityDiscountingMarketDataLookup ledLookup = parameters.getParameter(typeof(LegalEntityDiscountingMarketDataLookup));
FunctionRequirements ledReqs = ledLookup.requirements(securityId, legalEntityId, currency);
return(ratesReqs.combinedWith(ledReqs));
}
//-------------------------------------------------------------------------
public virtual FunctionRequirements requirements(T target, ISet <Measure> measures, CalculationParameters parameters, ReferenceData refData)
{
// extract data from product
BondFuture product = target.Product;
QuoteId quoteId = QuoteId.of(product.SecurityId.StandardId, FieldName.SETTLEMENT_PRICE);
Currency currency = product.Currency;
// use lookup to build requirements
FunctionRequirements freqs = FunctionRequirements.builder().valueRequirements(quoteId).outputCurrencies(currency).build();
LegalEntityDiscountingMarketDataLookup ledLookup = parameters.getParameter(typeof(LegalEntityDiscountingMarketDataLookup));
foreach (FixedCouponBond bond in product.DeliveryBasket)
{
freqs = freqs.combinedWith(ledLookup.requirements(bond.SecurityId, bond.LegalEntityId, bond.Currency));
}
return(freqs);
}
//-------------------------------------------------------------------------
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
ResolvedBillTrade resolved = target.resolve(refData);
// use lookup to query market data
LegalEntityDiscountingMarketDataLookup lookup = parameters.getParameter(typeof(LegalEntityDiscountingMarketDataLookup));
LegalEntityDiscountingScenarioMarketData marketData = lookup.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, marketData);
}
return(results);
}
//-------------------------------------------------------------------------
public virtual void test_marketDataView()
{
ImmutableMap <SecurityId, RepoGroup> repoSecurityGroups = ImmutableMap.of(SEC_A1, GROUP_REPO_X);
ImmutableMap <Pair <RepoGroup, Currency>, CurveId> repoCurves = ImmutableMap.of(Pair.of(GROUP_REPO_X, USD), CURVE_ID_USD1);
ImmutableMap <LegalEntityId, LegalEntityGroup> issuerGroups = ImmutableMap.of(ISSUER_A, GROUP_ISSUER_M);
ImmutableMap <Pair <LegalEntityGroup, Currency>, CurveId> issuerCurves = ImmutableMap.of(Pair.of(GROUP_ISSUER_M, USD), CURVE_ID_USD3);
LegalEntityDiscountingMarketDataLookup test = LegalEntityDiscountingMarketDataLookup.of(repoSecurityGroups, ImmutableMap.of(), repoCurves, issuerGroups, issuerCurves);
LocalDate valDate = date(2015, 6, 30);
ScenarioMarketData md = new TestMarketDataMap(valDate, ImmutableMap.of(), ImmutableMap.of());
LegalEntityDiscountingScenarioMarketData multiScenario = test.marketDataView(md);
assertEquals(multiScenario.Lookup, test);
assertEquals(multiScenario.MarketData, md);
assertEquals(multiScenario.ScenarioCount, 1);
LegalEntityDiscountingMarketData scenario = multiScenario.scenario(0);
assertEquals(scenario.Lookup, test);
assertEquals(scenario.MarketData, md.scenario(0));
assertEquals(scenario.ValuationDate, valDate);
}
public virtual void test_bondDiscountingProvider()
{
ImmutableMap <SecurityId, RepoGroup> repoSecurityGroups = ImmutableMap.of(SEC_A1, GROUP_REPO_X);
ImmutableMap <LegalEntityId, RepoGroup> repoGroups = ImmutableMap.of(ISSUER_B, GROUP_REPO_X);
ImmutableMap <Pair <RepoGroup, Currency>, CurveId> repoCurves = ImmutableMap.of(Pair.of(GROUP_REPO_X, USD), CURVE_ID_USD1);
ImmutableMap <LegalEntityId, LegalEntityGroup> issuerGroups = ImmutableMap.of(ISSUER_A, GROUP_ISSUER_M);
ImmutableMap <Pair <LegalEntityGroup, Currency>, CurveId> issuerCurves = ImmutableMap.of(Pair.of(GROUP_ISSUER_M, USD), CURVE_ID_USD3);
LegalEntityDiscountingMarketDataLookup test = LegalEntityDiscountingMarketDataLookup.of(repoSecurityGroups, repoGroups, repoCurves, issuerGroups, issuerCurves);
LocalDate valDate = date(2015, 6, 30);
Curve repoCurve = ConstantCurve.of(Curves.discountFactors(CURVE_ID_USD1.CurveName, ACT_360), 1d);
Curve issuerCurve = ConstantCurve.of(Curves.discountFactors(CURVE_ID_USD3.CurveName, ACT_360), 2d);
MarketData md = ImmutableMarketData.of(valDate, ImmutableMap.of(CURVE_ID_USD1, repoCurve, CURVE_ID_USD3, issuerCurve));
LegalEntityDiscountingProvider provider = test.discountingProvider(md);
assertEquals(provider.ValuationDate, valDate);
assertEquals(provider.findData(CURVE_ID_USD1.CurveName), repoCurve);
assertEquals(provider.findData(CURVE_ID_USD3.CurveName), issuerCurve);
assertEquals(provider.findData(CurveName.of("Rubbish")), null);
// check repo
RepoCurveDiscountFactors rcdf = provider.repoCurveDiscountFactors(SEC_A1, ISSUER_A, USD);
SimpleDiscountFactors rdf = (SimpleDiscountFactors)rcdf.DiscountFactors;
assertEquals(rdf.Curve.Name, repoCurve.Name);
assertEquals(rcdf, provider.repoCurveDiscountFactors(SEC_B1, ISSUER_B, USD));
assertThrowsIllegalArg(() => provider.repoCurveDiscountFactors(SEC_A1, ISSUER_A, GBP));
assertThrowsIllegalArg(() => provider.repoCurveDiscountFactors(SEC_C1, ISSUER_C, USD));
// check issuer
IssuerCurveDiscountFactors icdf = provider.issuerCurveDiscountFactors(ISSUER_A, USD);
SimpleDiscountFactors idf = (SimpleDiscountFactors)icdf.DiscountFactors;
assertEquals(idf.Curve.Name, issuerCurve.Name);
assertThrowsIllegalArg(() => provider.issuerCurveDiscountFactors(ISSUER_A, GBP));
assertThrowsIllegalArg(() => provider.issuerCurveDiscountFactors(ISSUER_C, USD));
}
//-------------------------------------------------------------------------
/// <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)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates present value sensitivity across one or more scenarios.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedFixedCouponBondTrade, LegalEntityDiscountingMarketDataLookup, 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="lookup"> the lookup used to query the 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(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.pv01CalibratedBucketed(trade, lookup.marketDataView(marketData)));
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @ImmutableConstructor private DefaultLegalEntityDiscountingMarketData(LegalEntityDiscountingMarketDataLookup lookup, com.opengamma.strata.data.MarketData marketData)
private DefaultLegalEntityDiscountingMarketData(LegalEntityDiscountingMarketDataLookup lookup, MarketData marketData)
{
this.lookup = ArgChecker.notNull(lookup, "lookup");
this.marketData = ArgChecker.notNull(marketData, "marketData");
this.discountingProvider_Renamed = lookup.discountingProvider(marketData);
}
//-------------------------------------------------------------------------
/// <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 market data </param>
/// <param name="legalEntityLookup"> the lookup used to query the market data </param>
/// <param name="marketData"> the market data </param>
/// <returns> the present value, one entry per scenario </returns>
public virtual CurrencyScenarioArray presentValue(ResolvedCapitalIndexedBondTrade trade, RatesMarketDataLookup ratesLookup, LegalEntityDiscountingMarketDataLookup legalEntityLookup, ScenarioMarketData marketData)
{
return(calc.presentValue(trade, ratesLookup.marketDataView(marketData), legalEntityLookup.marketDataView(marketData)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates present value across one or more scenarios.
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="lookup"> the lookup used to query the market data </param>
/// <param name="marketData"> the market data </param>
/// <returns> the present value, one entry per scenario </returns>
public virtual CurrencyScenarioArray presentValue(ResolvedBillTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.presentValue(trade, lookup.marketDataView(marketData)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates currency exposure across one or more scenarios.
/// <para>
/// The currency risk, expressed as the equivalent amount in each currency.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="lookup"> the lookup used to query the market data </param>
/// <param name="marketData"> the market data </param>
/// <returns> the currency exposure, one entry per scenario </returns>
public virtual MultiCurrencyScenarioArray currencyExposure(ResolvedBillTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.currencyExposure(trade, lookup.marketDataView(marketData)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates present value sensitivity across one or more scenarios.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedBillTrade, LegalEntityDiscountingMarketDataLookup, 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="lookup"> the lookup used to query the 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(ResolvedBillTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.pv01MarketQuoteBucketed(trade, lookup.marketDataView(marketData)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates present value sensitivity across one or more scenarios.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedCapitalIndexedBondTrade, RatesMarketDataLookup, LegalEntityDiscountingMarketDataLookup, 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="ratesLookup"> the lookup used to query the market data </param>
/// <param name="legalEntityLookup"> the lookup used to query the 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(ResolvedCapitalIndexedBondTrade trade, RatesMarketDataLookup ratesLookup, LegalEntityDiscountingMarketDataLookup legalEntityLookup, ScenarioMarketData marketData)
{
return(calc.pv01CalibratedBucketed(trade, ratesLookup.marketDataView(marketData), legalEntityLookup.marketDataView(marketData)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates par spread across one or more scenarios.
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="lookup"> the lookup used to query the market data </param>
/// <param name="marketData"> the market data </param>
/// <returns> the par spread, one entry per scenario </returns>
public virtual DoubleScenarioArray parSpread(ResolvedBondFutureTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.parSpread(trade, lookup.marketDataView(marketData)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates present value sensitivity across one or more scenarios.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedBondFutureTrade, LegalEntityDiscountingMarketDataLookup, 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="lookup"> the lookup used to query the market data </param>
/// <param name="marketData"> the market data </param>
/// <returns> the present value sensitivity, one entry per scenario </returns>
public virtual MultiCurrencyScenarioArray pv01MarketQuoteSum(ResolvedBondFutureTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.pv01MarketQuoteSum(trade, lookup.marketDataView(marketData)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates current cash across one or more scenarios.
/// <para>
/// The sum of all cash flows paid on the valuation date.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="lookup"> the lookup used to query the market data </param>
/// <param name="marketData"> the market data </param>
/// <returns> the current cash, one entry per scenario </returns>
public virtual CurrencyScenarioArray currentCash(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.currentCash(trade, lookup.marketDataView(marketData)));
}
//-------------------------------------------------------------------------
/// <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)));
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @ImmutableConstructor private DefaultLegalEntityDiscountingScenarioMarketData(LegalEntityDiscountingMarketDataLookup lookup, com.opengamma.strata.data.scenario.ScenarioMarketData marketData)
private DefaultLegalEntityDiscountingScenarioMarketData(LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData)
{
this.lookup = ArgChecker.notNull(lookup, "lookup");
this.marketData = ArgChecker.notNull(marketData, "marketData");
this.cache = new AtomicReferenceArray <LegalEntityDiscountingMarketData>(marketData.ScenarioCount);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates present value sensitivity across one or more scenarios.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedBillTrade, LegalEntityDiscountingMarketDataLookup, 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="lookup"> the lookup used to query the market data </param>
/// <param name="marketData"> the market data </param>
/// <returns> the present value sensitivity, one entry per scenario </returns>
public virtual MultiCurrencyScenarioArray pv01CalibratedSum(ResolvedBillTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.pv01CalibratedSum(trade, lookup.marketDataView(marketData)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates present value sensitivity across one or more scenarios.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedCapitalIndexedBondTrade, RatesMarketDataLookup, LegalEntityDiscountingMarketDataLookup, 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="ratesLookup"> the lookup used to query the market data </param>
/// <param name="legalEntityLookup"> the lookup used to query the market data </param>
/// <param name="marketData"> the market data </param>
/// <returns> the present value sensitivity, one entry per scenario </returns>
public virtual MultiCurrencyScenarioArray pv01CalibratedSum(ResolvedCapitalIndexedBondTrade trade, RatesMarketDataLookup ratesLookup, LegalEntityDiscountingMarketDataLookup legalEntityLookup, ScenarioMarketData marketData)
{
return(calc.pv01CalibratedSum(trade, ratesLookup.marketDataView(marketData), legalEntityLookup.marketDataView(marketData)));
}
private readonly LegalEntityDiscountingProvider discountingProvider_Renamed; // derived
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an instance based on a lookup and market data.
/// <para>
/// The lookup provides the mapping to find the correct repo and issuer curves.
/// The curves are in the market data.
///
/// </para>
/// </summary>
/// <param name="lookup"> the lookup </param>
/// <param name="marketData"> the market data </param>
/// <returns> the rates market view </returns>
internal static DefaultLegalEntityDiscountingMarketData of(LegalEntityDiscountingMarketDataLookup lookup, MarketData marketData)
{
return(new DefaultLegalEntityDiscountingMarketData(lookup, marketData));
}
