/// <summary>
/// Re-buckets a <seealso cref="CurrencyParameterSensitivities"/> to a given set of dates.
/// <para>
/// The list of dates must be sorted in chronological order. All sensitivities are re-bucketed to the same date list.
/// The re-bucketing is done by linear weighting on the number of days, i.e. the sensitivities for dates outside the
/// extremes are fully bucketed to the extremes and for date between two re-bucketing dates, the weight on the start
/// date is the number days between end date and the date re-bucketed divided by the number of days between the
/// start and the end.
/// The input sensitivity should have a <seealso cref="DatedParameterMetadata"/> for each sensitivity.
///
/// </para>
/// </summary>
/// <param name="sensitivities"> the input sensitivities </param>
/// <param name="targetDates"> the list of dates for the re-bucketing </param>
/// <returns> the sensitivity after the re-bucketing </returns>
public static CurrencyParameterSensitivities linearRebucketing(CurrencyParameterSensitivities sensitivities, IList <LocalDate> targetDates)
{
checkSortedDates(targetDates);
int nbBuckets = targetDates.Count;
IList <ParameterMetadata> pmdTarget = targetDates.Select(date => LabelDateParameterMetadata.of(date, date.ToString())).ToList();
ImmutableList <CurrencyParameterSensitivity> sensitivitiesList = sensitivities.Sensitivities;
IList <CurrencyParameterSensitivity> sensitivityTarget = new List <CurrencyParameterSensitivity>();
foreach (CurrencyParameterSensitivity sensitivity in sensitivitiesList)
{
double[] rebucketedSensitivityAmounts = new double[nbBuckets];
DoubleArray sensitivityAmounts = sensitivity.Sensitivity;
IList <ParameterMetadata> parameterMetadataList = sensitivity.ParameterMetadata;
for (int loopnode = 0; loopnode < sensitivityAmounts.size(); loopnode++)
{
ParameterMetadata nodeMetadata = parameterMetadataList[loopnode];
//JAVA TO C# CONVERTER WARNING: The .NET Type.FullName property will not always yield results identical to the Java Class.getName method:
ArgChecker.isTrue(nodeMetadata is DatedParameterMetadata, "re-bucketing requires sensitivity date for node {} which is of type {} while 'DatedParameterMetadata' is expected", nodeMetadata.Label, nodeMetadata.GetType().FullName);
DatedParameterMetadata datedParameterMetadata = (DatedParameterMetadata)nodeMetadata;
LocalDate nodeDate = datedParameterMetadata.Date;
rebucketingArray(targetDates, rebucketedSensitivityAmounts, sensitivityAmounts.get(loopnode), nodeDate);
}
CurrencyParameterSensitivity rebucketedSensitivity = CurrencyParameterSensitivity.of(sensitivity.MarketDataName, pmdTarget, sensitivity.Currency, DoubleArray.ofUnsafe(rebucketedSensitivityAmounts));
sensitivityTarget.Add(rebucketedSensitivity);
}
return(CurrencyParameterSensitivities.of(sensitivityTarget));
}
public virtual void test_metadata_fixed()
{
LocalDate nodeDate = VAL_DATE.plusMonths(1);
IborFutureCurveNode node = IborFutureCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD, LABEL).withDate(CurveNodeDate.of(nodeDate));
DatedParameterMetadata metadata = node.metadata(VAL_DATE, REF_DATA);
assertEquals(metadata.Date, nodeDate);
assertEquals(metadata.Label, node.Label);
}
public virtual void test_metadata_fixed()
{
FixedInflationSwapCurveNode node = FixedInflationSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD, LABEL).withDate(CurveNodeDate.of(VAL_DATE));
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
DatedParameterMetadata metadata = node.metadata(valuationDate, REF_DATA);
assertEquals(metadata.Date, VAL_DATE);
assertEquals(metadata.Label, node.Label);
}
public virtual void test_metadata_last_fixing()
{
ThreeLegBasisSwapCurveNode node = ThreeLegBasisSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD, LABEL).withDate(CurveNodeDate.LAST_FIXING);
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
LocalDate fixingExpected = LocalDate.of(2024, 7, 24);
DatedParameterMetadata metadata = node.metadata(valuationDate, REF_DATA);
assertEquals(metadata.Date, fixingExpected);
assertEquals(metadata.Label, node.Label);
}
public virtual void test_metadata_last_fixing()
{
FixedInflationSwapCurveNode node = FixedInflationSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD, LABEL).withDate(CurveNodeDate.LAST_FIXING);
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
LocalDate fixingExpected = LocalDate.of(2024, 10, 31); // Last day of the month
DatedParameterMetadata metadata = node.metadata(valuationDate, REF_DATA);
assertEquals(metadata.Date, fixingExpected);
assertEquals(metadata.Label, node.Label);
}
public virtual void test_metadata_fixed()
{
LocalDate nodeDate = VAL_DATE.plusMonths(1);
FixedOvernightSwapCurveNode node = FixedOvernightSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD, LABEL).withDate(CurveNodeDate.of(nodeDate));
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
DatedParameterMetadata metadata = node.metadata(valuationDate, REF_DATA);
assertEquals(metadata.Date, nodeDate);
assertEquals(metadata.Label, node.Label);
}
public virtual void test_metadata_last_fixing()
{
XCcyIborIborSwapCurveNode node = XCcyIborIborSwapCurveNode.of(TEMPLATE, SPREAD_ID, SPREAD_ADJ, LABEL).withDate(CurveNodeDate.LAST_FIXING);
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
DatedParameterMetadata metadata = node.metadata(valuationDate, REF_DATA);
LocalDate fixingExpected = LocalDate.of(2024, 10, 24);
assertEquals(metadata.Date, fixingExpected);
assertEquals(((TenorDateParameterMetadata)metadata).Tenor, TENOR_10Y);
}
public virtual void test_metadata_last_fixing()
{
IborFixingDepositCurveNode node = IborFixingDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD).withDate(CurveNodeDate.LAST_FIXING);
ImmutableMarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, 0.0d).build();
IborFixingDepositTrade trade = node.trade(1d, marketData, REF_DATA);
ResolvedIborFixingDeposit product = trade.Product.resolve(REF_DATA);
LocalDate fixingDate = ((IborRateComputation)product.FloatingRate).FixingDate;
DatedParameterMetadata metadata = node.metadata(VAL_DATE, REF_DATA);
assertEquals(((TenorDateParameterMetadata)metadata).Date, fixingDate);
assertEquals(((TenorDateParameterMetadata)metadata).Tenor.Period, TEMPLATE.DepositPeriod);
}
public virtual void test_metadata_last_fixing()
{
IborFutureCurveNode node = IborFutureCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD, LABEL).withDate(CurveNodeDate.LAST_FIXING);
ImmutableMarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, 0.0d).build();
IborFutureTrade trade = node.trade(1d, marketData, REF_DATA);
LocalDate fixingDate = trade.Product.FixingDate;
DatedParameterMetadata metadata = node.metadata(VAL_DATE, REF_DATA);
assertEquals(metadata.Date, fixingDate);
LocalDate referenceDate = TEMPLATE.calculateReferenceDateFromTradeDate(VAL_DATE, REF_DATA);
assertEquals(((YearMonthDateParameterMetadata)metadata).YearMonth, YearMonth.from(referenceDate));
}
public virtual void test_metadata_last_fixing()
{
FraCurveNode node = FraCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD).withDate(CurveNodeDate.LAST_FIXING);
LocalDate valuationDate = LocalDate.of(2015, 1, 22);
ImmutableMarketData marketData = ImmutableMarketData.builder(valuationDate).addValue(QUOTE_ID, 0.0d).build();
FraTrade trade = node.trade(1d, marketData, REF_DATA);
ResolvedFra resolved = trade.Product.resolve(REF_DATA);
LocalDate fixingDate = ((IborRateComputation)(resolved.FloatingRate)).FixingDate;
DatedParameterMetadata metadata = node.metadata(valuationDate, REF_DATA);
assertEquals(((TenorDateParameterMetadata)metadata).Date, fixingDate);
assertEquals(((TenorDateParameterMetadata)metadata).Tenor, TENOR_5M);
}
// add each node to the csv file
private static void nodeLines(string valuationDateStr, Curve curve, CsvOutput csv)
{
ArgChecker.isTrue(curve is InterpolatedNodalCurve, "interpolated");
InterpolatedNodalCurve interpolatedCurve = (InterpolatedNodalCurve)curve;
int nbPoints = interpolatedCurve.XValues.size();
for (int i = 0; i < nbPoints; i++)
{
ArgChecker.isTrue(interpolatedCurve.getParameterMetadata(i) is DatedParameterMetadata, "Curve metadata must contain a date, but was " + interpolatedCurve.getParameterMetadata(i).GetType().Name);
DatedParameterMetadata metadata = (DatedParameterMetadata)interpolatedCurve.getParameterMetadata(i);
IList <string> line = new List <string>();
line.Add(valuationDateStr);
line.Add(curve.Name.Name.ToString());
line.Add(metadata.Date.ToString());
line.Add(decimal.valueOf(interpolatedCurve.YValues.get(i)).toPlainString());
line.Add(metadata.Label);
csv.writeLine(line);
}
}
