public virtual void test_ofRates_currency_source()
{
FxRateLookup test = FxRateLookup.ofRates(EUR, OBS_SOURCE);
MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(FxRateId.of(GBP, USD, OBS_SOURCE), FxRate.of(GBP, USD, 1.5d)).build();
assertEquals(test.fxRateProvider(marketData).fxRate(GBP, USD), 1.5d);
}
public virtual void test_ofMatrix_source()
{
FxRateLookup test = FxRateLookup.ofMatrix(FxMatrixId.of(OBS_SOURCE));
MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(FxMatrixId.of(OBS_SOURCE), FxMatrix.of(GBP, USD, 1.5d)).build();
assertEquals(test.fxRateProvider(marketData).fxRate(GBP, USD), 1.5d);
}
//-------------------------------------------------------------------------
public virtual void coverage_rates()
{
FxRateLookup test = FxRateLookup.ofRates();
coverImmutableBean((ImmutableBean)test);
FxRateLookup test2 = FxRateLookup.ofRates(EUR);
coverBeanEquals((ImmutableBean)test, (ImmutableBean)test2);
}
public virtual void coverage_matrix()
{
FxRateLookup test = FxRateLookup.ofMatrix();
coverImmutableBean((ImmutableBean)test);
FxRateLookup test2 = FxRateLookup.ofMatrix(FxMatrixId.of(OBS_SOURCE));
coverBeanEquals((ImmutableBean)test, (ImmutableBean)test2);
}
public virtual void test_serialization()
{
FxRateLookup test1 = FxRateLookup.ofRates();
assertSerialization((ImmutableBean)test1);
FxRateLookup test2 = FxRateLookup.ofMatrix();
assertSerialization((ImmutableBean)test2);
}
//-------------------------------------------------------------------------
public virtual void test_of_map()
{
ImmutableMap <Currency, CurveId> discounts = ImmutableMap.of(USD, CURVE_ID_DSC);
ImmutableMap <Index, CurveId> forwards = ImmutableMap.of(USD_LIBOR_3M, CURVE_ID_FWD);
RatesMarketDataLookup test = RatesMarketDataLookup.of(discounts, forwards);
assertEquals(test.queryType(), typeof(RatesMarketDataLookup));
assertEquals(test.DiscountCurrencies, ImmutableSet.of(USD));
assertEquals(test.getDiscountMarketDataIds(USD), ImmutableSet.of(CURVE_ID_DSC));
assertEquals(test.ForwardIndices, ImmutableSet.of(USD_LIBOR_3M));
assertEquals(test.getForwardMarketDataIds(USD_LIBOR_3M), ImmutableSet.of(CURVE_ID_FWD));
assertThrowsIllegalArg(() => test.getDiscountMarketDataIds(GBP));
assertThrowsIllegalArg(() => test.getForwardMarketDataIds(GBP_LIBOR_3M));
assertEquals(test.ObservableSource, ObservableSource.NONE);
assertEquals(test.FxRateLookup, FxRateLookup.ofRates());
assertEquals(test.requirements(USD), FunctionRequirements.builder().valueRequirements(CURVE_ID_DSC).outputCurrencies(USD).build());
assertEquals(test.requirements(USD, USD_LIBOR_3M), FunctionRequirements.builder().valueRequirements(CURVE_ID_DSC, CURVE_ID_FWD).timeSeriesRequirements(IndexQuoteId.of(USD_LIBOR_3M)).outputCurrencies(USD).build());
assertEquals(test.requirements(ImmutableSet.of(USD), ImmutableSet.of(USD_LIBOR_3M)), FunctionRequirements.builder().valueRequirements(CURVE_ID_DSC, CURVE_ID_FWD).timeSeriesRequirements(IndexQuoteId.of(USD_LIBOR_3M)).outputCurrencies(USD).build());
assertThrowsIllegalArg(() => test.requirements(ImmutableSet.of(USD), ImmutableSet.of(GBP_LIBOR_3M)));
assertEquals(test.ratesProvider(MOCK_MARKET_DATA), DefaultLookupRatesProvider.of((DefaultRatesMarketDataLookup)test, MOCK_MARKET_DATA));
}
public virtual void test_jodaSerialization()
{
ImmutableMap <Currency, CurveId> discounts = ImmutableMap.of(USD, CURVE_ID_DSC);
ImmutableMap <Index, CurveId> forwards = ImmutableMap.of(USD_LIBOR_3M, CURVE_ID_FWD);
DefaultRatesMarketDataLookup test = DefaultRatesMarketDataLookup.of(discounts, forwards, ObservableSource.NONE, FxRateLookup.ofRates());
string xml = JodaBeanSer.PRETTY.xmlWriter().write(test);
assertEquals(xml.Contains("<entry key=\"USD-LIBOR-3M\">"), true);
assertEquals(xml.Contains("<fixingDateOffset>"), false);
assertEquals(xml.Contains("<effectiveDateOffset>"), false);
}
public virtual void test_serialization()
{
ImmutableMap <Currency, CurveId> discounts = ImmutableMap.of(USD, CURVE_ID_DSC);
ImmutableMap <Index, CurveId> forwards = ImmutableMap.of(USD_LIBOR_3M, CURVE_ID_FWD);
DefaultRatesMarketDataLookup test = DefaultRatesMarketDataLookup.of(discounts, forwards, ObservableSource.NONE, FxRateLookup.ofRates());
assertSerialization(test);
Curve curve = ConstantCurve.of(Curves.discountFactors("DSC", ACT_360), 0.99);
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<? extends com.opengamma.strata.data.MarketDataId<?>, ?> valuesMap = com.google.common.collect.ImmutableMap.of(CURVE_ID_DSC, curve, CURVE_ID_FWD, curve);
IDictionary <MarketDataId <object>, ?> valuesMap = ImmutableMap.of(CURVE_ID_DSC, curve, CURVE_ID_FWD, curve);
MarketData md = MarketData.of(date(2016, 6, 30), valuesMap);
assertSerialization(test.marketDataView(md));
assertSerialization(test.ratesProvider(md));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
ImmutableMap <Currency, CurveId> discounts = ImmutableMap.of(USD, CURVE_ID_DSC);
ImmutableMap <Index, CurveId> forwards = ImmutableMap.of(USD_LIBOR_3M, CURVE_ID_FWD);
DefaultRatesMarketDataLookup test = DefaultRatesMarketDataLookup.of(discounts, forwards, ObservableSource.NONE, FxRateLookup.ofRates());
coverImmutableBean(test);
ImmutableMap <Currency, CurveId> discounts2 = ImmutableMap.of(GBP, CURVE_ID_DSC);
ImmutableMap <Index, CurveId> forwards2 = ImmutableMap.of(GBP_LIBOR_3M, CURVE_ID_FWD);
DefaultRatesMarketDataLookup test2 = DefaultRatesMarketDataLookup.of(discounts2, forwards2, OBS_SOURCE, FxRateLookup.ofRates(EUR));
coverBeanEquals(test, test2);
// related coverage
coverImmutableBean((ImmutableBean)test.marketDataView(MOCK_CALC_MARKET_DATA));
DefaultRatesScenarioMarketData.meta();
coverImmutableBean((ImmutableBean)test.marketDataView(MOCK_MARKET_DATA));
DefaultRatesMarketData.meta();
coverImmutableBean((ImmutableBean)test.marketDataView(MOCK_MARKET_DATA).ratesProvider());
DefaultLookupRatesProvider.meta();
}
private LookupScenarioFxRateProvider(ScenarioMarketData marketData, FxRateLookup lookup)
{
this.marketData = ArgChecker.notNull(marketData, "marketData");
this.lookup = ArgChecker.notNull(lookup, "lookup");
}
// obtains an instance, returning the interface type to make type system happy at call site
internal static ScenarioFxRateProvider of(ScenarioMarketData marketData, FxRateLookup lookup)
{
return(new LookupScenarioFxRateProvider(marketData, lookup));
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an instance based on a map of discount and forward curve identifiers.
/// <para>
/// The discount and forward curves refer to the curve identifier.
/// The curves themselves are provided in <seealso cref="ScenarioMarketData"/>
/// using <seealso cref="CurveId"/> as the identifier.
///
/// </para>
/// </summary>
/// <param name="discountCurveIds"> the discount curve identifiers, keyed by currency </param>
/// <param name="forwardCurveIds"> the forward curves identifiers, keyed by index </param>
/// <param name="obsSource"> the source of market data for FX, quotes and other observable market data </param>
/// <param name="fxLookup"> the lookup used to obtain FX rates </param>
/// <returns> the rates lookup containing the specified curves </returns>
public static DefaultRatesMarketDataLookup of <T1>(IDictionary <Currency, CurveId> discountCurveIds, IDictionary <T1> forwardCurveIds, ObservableSource obsSource, FxRateLookup fxLookup) where T1 : com.opengamma.strata.basics.index.Index
{
return(new DefaultRatesMarketDataLookup(discountCurveIds, forwardCurveIds, obsSource, fxLookup));
}
