public IborCapFloorMarketData scenario(int scenarioIndex)
{
IborCapFloorMarketData current = cache.get(scenarioIndex);
if (current != null)
{
return(current);
}
return(cache.updateAndGet(scenarioIndex, v => v != null ? v : lookup.marketDataView(marketData.scenario(scenarioIndex))));
}
//-------------------------------------------------------------------------
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);
}
//-------------------------------------------------------------------------
//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);
}
//-------------------------------------------------------------------------
/// <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)));
}
