//------------------------------------------------------------------------- public virtual void test_of_single() { IborCapFloorMarketDataLookup test = IborCapFloorMarketDataLookup.of(USD_LIBOR_3M, VOL_ID1); assertEquals(test.queryType(), typeof(IborCapFloorMarketDataLookup)); assertEquals(test.VolatilityIndices, ImmutableSet.of(USD_LIBOR_3M)); assertEquals(test.getVolatilityIds(USD_LIBOR_3M), ImmutableSet.of(VOL_ID1)); assertThrowsIllegalArg(() => test.getVolatilityIds(GBP_LIBOR_3M)); assertEquals(test.requirements(USD_LIBOR_3M), FunctionRequirements.builder().valueRequirements(VOL_ID1).build()); assertEquals(test.requirements(ImmutableSet.of(USD_LIBOR_3M)), FunctionRequirements.builder().valueRequirements(VOL_ID1).build()); assertThrowsIllegalArg(() => test.requirements(ImmutableSet.of(GBP_LIBOR_3M))); }
//------------------------------------------------------------------------- public virtual FunctionRequirements requirements(IborCapFloorTrade trade, ISet <Measure> measures, CalculationParameters parameters, ReferenceData refData) { // extract data from product IborCapFloor product = trade.Product; ISet <Currency> currencies = product.allPaymentCurrencies(); ISet <Index> indices = product.allIndices(); // use lookup to build requirements RatesMarketDataLookup ratesLookup = parameters.getParameter(typeof(RatesMarketDataLookup)); FunctionRequirements ratesReqs = ratesLookup.requirements(currencies, indices); IborCapFloorMarketDataLookup capFloorLookup = parameters.getParameter(typeof(IborCapFloorMarketDataLookup)); FunctionRequirements capFloorReqs = capFloorLookup.requirements(product.CapFloorLeg.Index); return(ratesReqs.combinedWith(capFloorReqs)); }
//------------------------------------------------------------------------- public virtual void test_marketDataView() { IborCapFloorMarketDataLookup test = IborCapFloorMarketDataLookup.of(USD_LIBOR_3M, VOL_ID1); LocalDate valDate = date(2015, 6, 30); ScenarioMarketData md = new TestMarketDataMap(valDate, ImmutableMap.of(), ImmutableMap.of()); IborCapFloorScenarioMarketData multiScenario = test.marketDataView(md); assertEquals(multiScenario.Lookup, test); assertEquals(multiScenario.MarketData, md); assertEquals(multiScenario.ScenarioCount, 1); IborCapFloorMarketData 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 <IborIndex, IborCapletFloorletVolatilitiesId> ids = ImmutableMap.of(USD_LIBOR_3M, VOL_ID1, USD_LIBOR_6M, VOL_ID1); IborCapFloorMarketDataLookup test = IborCapFloorMarketDataLookup.of(ids); assertEquals(test.queryType(), typeof(IborCapFloorMarketDataLookup)); assertEquals(test.VolatilityIndices, ImmutableSet.of(USD_LIBOR_3M, USD_LIBOR_6M)); assertEquals(test.getVolatilityIds(USD_LIBOR_3M), ImmutableSet.of(VOL_ID1)); assertThrowsIllegalArg(() => test.getVolatilityIds(GBP_LIBOR_3M)); assertEquals(test.requirements(USD_LIBOR_3M), FunctionRequirements.builder().valueRequirements(VOL_ID1).build()); assertEquals(test.requirements(ImmutableSet.of(USD_LIBOR_3M)), FunctionRequirements.builder().valueRequirements(VOL_ID1).build()); assertThrowsIllegalArg(() => test.requirements(ImmutableSet.of(GBP_LIBOR_3M))); assertEquals(test.volatilities(USD_LIBOR_3M, MOCK_MARKET_DATA), MOCK_VOLS); assertThrowsIllegalArg(() => test.volatilities(GBP_LIBOR_3M, MOCK_MARKET_DATA)); }
//------------------------------------------------------------------------- //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(com.opengamma.strata.product.capfloor.IborCapFloorTrade trade, 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(IborCapFloorTrade trade, ISet <Measure> measures, CalculationParameters parameters, ScenarioMarketData scenarioMarketData, ReferenceData refData) { // expand the trade once for all measures and all scenarios ResolvedIborCapFloorTrade resolved = trade.resolve(refData); RatesMarketDataLookup ratesLookup = parameters.getParameter(typeof(RatesMarketDataLookup)); RatesScenarioMarketData ratesMarketData = ratesLookup.marketDataView(scenarioMarketData); IborCapFloorMarketDataLookup capFloorLookup = parameters.getParameter(typeof(IborCapFloorMarketDataLookup)); IborCapFloorScenarioMarketData capFloorMarketData = capFloorLookup.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, ratesMarketData, capFloorMarketData); } return(results); }
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes: //ORIGINAL LINE: @ImmutableConstructor private DefaultIborCapFloorMarketData(IborCapFloorMarketDataLookup lookup, com.opengamma.strata.data.MarketData marketData) private DefaultIborCapFloorMarketData(IborCapFloorMarketDataLookup 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 DefaultIborCapFloorMarketData of(IborCapFloorMarketDataLookup lookup, MarketData marketData) { return(new DefaultIborCapFloorMarketData(lookup, marketData)); }
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes: //ORIGINAL LINE: @ImmutableConstructor private DefaultIborCapFloorScenarioMarketData(IborCapFloorMarketDataLookup lookup, com.opengamma.strata.data.scenario.ScenarioMarketData marketData) private DefaultIborCapFloorScenarioMarketData(IborCapFloorMarketDataLookup lookup, ScenarioMarketData marketData) { this.lookup = ArgChecker.notNull(lookup, "lookup"); this.marketData = ArgChecker.notNull(marketData, "marketData"); this.cache = new AtomicReferenceArray <IborCapFloorMarketData>(marketData.ScenarioCount); }
//------------------------------------------------------------------------- /// <summary> /// Calculates present value sensitivity across one or more scenarios. /// <para> /// This is the sensitivity of 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="capFloorLookup"> the lookup used to query the cap/floor market data </param> /// <param name="marketData"> the market data </param> /// <returns> the present value sensitivity, one entry per scenario </returns> public virtual MultiCurrencyScenarioArray pv01RatesCalibratedSum(ResolvedIborCapFloorTrade trade, RatesMarketDataLookup ratesLookup, IborCapFloorMarketDataLookup capFloorLookup, ScenarioMarketData marketData) { return(calc.pv01RatesCalibratedSum(trade, ratesLookup.marketDataView(marketData), capFloorLookup.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="ratesLookup"> the lookup used to query the market data </param> /// <param name="capFloorLookup"> the lookup used to query the cap/floor market data </param> /// <param name="marketData"> the market data </param> /// <returns> the currency exposure, one entry per scenario </returns> public virtual MultiCurrencyScenarioArray currencyExposure(ResolvedIborCapFloorTrade trade, RatesMarketDataLookup ratesLookup, IborCapFloorMarketDataLookup capFloorLookup, ScenarioMarketData marketData) { return(calc.currencyExposure(trade, ratesLookup.marketDataView(marketData), capFloorLookup.marketDataView(marketData))); }
//------------------------------------------------------------------------- /// <summary> /// Calculates present value sensitivity across one or more scenarios. /// <para> /// This is the sensitivity of 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="ratesLookup"> the lookup used to query the market data </param> /// <param name="marketData"> the market data </param> /// <param name="capFloorLookup"> the lookup used to query the cap/floor market data </param> /// <returns> the present value sensitivity, one entry per scenario </returns> public virtual ScenarioArray <CurrencyParameterSensitivities> pv01RatesMarketQuoteBucketed(ResolvedIborCapFloorTrade trade, RatesMarketDataLookup ratesLookup, IborCapFloorMarketDataLookup capFloorLookup, ScenarioMarketData marketData) { return(calc.pv01RatesMarketQuoteBucketed(trade, ratesLookup.marketDataView(marketData), capFloorLookup.marketDataView(marketData))); }