//-------------------------------------------------------------------------
public virtual void test_marketDataView()
{
IborFutureOptionMarketDataLookup test = IborFutureOptionMarketDataLookup.of(USD_LIBOR_3M, VOL_ID1);
LocalDate valDate = date(2015, 6, 30);
ScenarioMarketData md = new TestMarketDataMap(valDate, ImmutableMap.of(), ImmutableMap.of());
IborFutureOptionScenarioMarketData multiScenario = test.marketDataView(md);
assertEquals(multiScenario.Lookup, test);
assertEquals(multiScenario.MarketData, md);
assertEquals(multiScenario.ScenarioCount, 1);
IborFutureOptionMarketData 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(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
ResolvedIborFutureOptionTrade resolved = target.resolve(refData);
// use lookup to query market data
RatesMarketDataLookup ratesLookup = parameters.getParameter(typeof(RatesMarketDataLookup));
RatesScenarioMarketData ratesMarketData = ratesLookup.marketDataView(scenarioMarketData);
IborFutureOptionMarketDataLookup optionLookup = parameters.getParameter(typeof(IborFutureOptionMarketDataLookup));
IborFutureOptionScenarioMarketData 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, ratesMarketData, optionMarketData);
}
return(results);
}
//-------------------------------------------------------------------------
// calculates calibrated sum PV01 for all scenarios
internal MultiCurrencyScenarioArray pv01CalibratedSum(ResolvedIborFutureOptionTrade trade, RatesScenarioMarketData ratesMarketData, IborFutureOptionScenarioMarketData optionMarketData)
{
IborIndex index = trade.Product.UnderlyingFuture.Index;
return(MultiCurrencyScenarioArray.of(ratesMarketData.ScenarioCount, i => pv01CalibratedSum(trade, ratesMarketData.scenario(i).ratesProvider(), optionMarketData.scenario(i).volatilities(index))));
}
//-------------------------------------------------------------------------
// calculates unit price for all scenarios
internal DoubleScenarioArray unitPrice(ResolvedIborFutureOptionTrade trade, RatesScenarioMarketData ratesMarketData, IborFutureOptionScenarioMarketData optionMarketData)
{
IborIndex index = trade.Product.UnderlyingFuture.Index;
return(DoubleScenarioArray.of(ratesMarketData.ScenarioCount, i => unitPrice(trade, ratesMarketData.scenario(i).ratesProvider(), optionMarketData.scenario(i).volatilities(index))));
}
//-------------------------------------------------------------------------
// calculates market quote bucketed PV01 for all scenarios
internal ScenarioArray <CurrencyParameterSensitivities> pv01MarketQuoteBucketed(ResolvedIborFutureOptionTrade trade, RatesScenarioMarketData ratesMarketData, IborFutureOptionScenarioMarketData optionMarketData)
{
IborIndex index = trade.Product.UnderlyingFuture.Index;
return(ScenarioArray.of(ratesMarketData.ScenarioCount, i => pv01MarketQuoteBucketed(trade, ratesMarketData.scenario(i).ratesProvider(), optionMarketData.scenario(i).volatilities(index))));
}
// calculate one measure
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: private com.opengamma.strata.collect.result.Result<?> calculate(com.opengamma.strata.calc.Measure measure, com.opengamma.strata.product.index.ResolvedIborFutureOptionTrade resolved, com.opengamma.strata.measure.rate.RatesScenarioMarketData ratesMarketData, IborFutureOptionScenarioMarketData optionMarketData)
private Result <object> calculate(Measure measure, ResolvedIborFutureOptionTrade resolved, RatesScenarioMarketData ratesMarketData, IborFutureOptionScenarioMarketData optionMarketData)
{
SingleMeasureCalculation calculator = CALCULATORS.get(measure);
if (calculator == null)
{
return(Result.failure(FailureReason.UNSUPPORTED, "Unsupported measure for IborFutureOption: {}", measure));
}
return(Result.of(() => calculator(resolved, ratesMarketData, optionMarketData)));
}
