//------------------------------------------------------------------------- public virtual void test_ofIdType() { MarketDataFilter <string, MarketDataId <string> > test = MarketDataFilter.ofIdType(typeof(TestId)); assertEquals(test.MarketDataIdType, typeof(TestId)); assertTrue(test.matches(new TestId("a"), null, REF_DATA)); }
// obtains the data and calculates the grid of results private static void calculate(CalculationRunner runner) { // the trade that will have measures calculated IList <Trade> trades = ImmutableList.of(createVanillaFixedVsLibor3mSwap()); // the columns, specifying the measures to be calculated IList <Column> columns = ImmutableList.of(Column.of(Measures.PRESENT_VALUE), Column.of(Measures.PV01_CALIBRATED_SUM)); // use the built-in example market data ExampleMarketDataBuilder marketDataBuilder = ExampleMarketData.builder(); // the complete set of rules for calculating measures LocalDate valuationDate = LocalDate.of(2014, 1, 22); CalculationFunctions functions = StandardComponents.calculationFunctions(); CalculationRules rules = CalculationRules.of(functions, Currency.USD, marketDataBuilder.ratesLookup(valuationDate)); // mappings that select which market data to apply perturbations to // this applies the perturbations above to all curves PerturbationMapping <Curve> mapping = PerturbationMapping.of(MarketDataFilter.ofIdType(typeof(CurveId)), CurveParallelShifts.absolute(0, ONE_BP)); // create a scenario definition containing the single mapping above // this creates two scenarios - one for each perturbation in the mapping ScenarioDefinition scenarioDefinition = ScenarioDefinition.ofMappings(mapping); // build a market data snapshot for the valuation date MarketData marketData = marketDataBuilder.buildSnapshot(valuationDate); // the reference data, such as holidays and securities ReferenceData refData = ReferenceData.standard(); // calculate the results MarketDataRequirements reqs = MarketDataRequirements.of(rules, trades, columns, refData); ScenarioMarketData scenarioMarketData = marketDataFactory().createMultiScenario(reqs, MarketDataConfig.empty(), marketData, refData, scenarioDefinition); Results results = runner.calculateMultiScenario(rules, trades, columns, scenarioMarketData, refData); // TODO Replace the results processing below with a report once the reporting framework supports scenarios // The results are lists of currency amounts containing one value for each scenario //JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET: //ORIGINAL LINE: com.opengamma.strata.data.scenario.ScenarioArray<?> pvList = (com.opengamma.strata.data.scenario.ScenarioArray<?>) results.get(0, 0).getValue(); ScenarioArray <object> pvList = (ScenarioArray <object>)results.get(0, 0).Value; //JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET: //ORIGINAL LINE: com.opengamma.strata.data.scenario.ScenarioArray<?> pv01List = (com.opengamma.strata.data.scenario.ScenarioArray<?>) results.get(0, 1).getValue(); ScenarioArray <object> pv01List = (ScenarioArray <object>)results.get(0, 1).Value; double pvBase = ((CurrencyAmount)pvList.get(0)).Amount; double pvShifted = ((CurrencyAmount)pvList.get(1)).Amount; double pv01Base = ((CurrencyAmount)pv01List.get(0)).Amount; NumberFormat numberFormat = new DecimalFormat("###,##0.00", new DecimalFormatSymbols(Locale.ENGLISH)); Console.WriteLine(" PV (base) = " + numberFormat.format(pvBase)); Console.WriteLine(" PV (1 bp curve shift) = " + numberFormat.format(pvShifted)); Console.WriteLine("PV01 (algorithmic differentiation) = " + numberFormat.format(pv01Base)); Console.WriteLine(" PV01 (finite difference) = " + numberFormat.format(pvShifted - pvBase)); }
//------------------------------------------------------------------------- public virtual void coverage() { MarketDataFilter <string, MarketDataId <string> > test1 = MarketDataFilter.ofIdType(typeof(TestId)); coverImmutableBean((ImmutableBean)test1); MarketDataFilter <string, MarketDataId <string> > test2 = MarketDataFilter.ofId(new TestId("a")); coverImmutableBean((ImmutableBean)test2); MarketDataFilter <string, NamedMarketDataId <string> > test3 = MarketDataFilter.ofName(new TestingName("a")); coverImmutableBean((ImmutableBean)test3); }