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