//-------------------------------------------------------------------------
public virtual void test_parse_future()
{
EtdContractSpecId specId = EtdContractSpecId.of("OG-ETD", "F-ECAG-FGBL");
EtdContractSpec contract = EtdContractSpec.builder().id(specId).type(EtdType.FUTURE).exchangeId(ExchangeIds.ECAG).contractCode(FGBL).description("Dummy").priceInfo(SecurityPriceInfo.of(Currency.GBP, 100)).build();
ReferenceData refData = ImmutableReferenceData.of(specId, contract);
PositionCsvLoader test = PositionCsvLoader.of(refData);
ValueWithFailures <IList <EtdFuturePosition> > trades = test.parse(ImmutableList.of(FILE.CharSource), typeof(EtdFuturePosition));
IList <EtdFuturePosition> filtered = trades.Value;
assertEquals(filtered.Count, 4);
EtdFuturePosition expected1 = EtdFuturePosition.builder().info(PositionInfo.builder().id(StandardId.of("OG", "123421")).build()).security(EtdFutureSecurity.of(contract, YearMonth.of(2017, 6), EtdVariant.ofMonthly())).longQuantity(15d).shortQuantity(2d).build();
assertBeanEquals(expected1, filtered[0]);
EtdFuturePosition expected2 = EtdFuturePosition.builder().info(PositionInfo.builder().id(StandardId.of("OG", "123422")).build()).security(EtdFutureSecurity.of(contract, YearMonth.of(2017, 6), EtdVariant.ofFlexFuture(13, EtdSettlementType.CASH))).longQuantity(0d).shortQuantity(13d).build();
assertBeanEquals(expected2, filtered[1]);
EtdFuturePosition expected3 = EtdFuturePosition.builder().info(PositionInfo.builder().id(StandardId.of("OG", "123423")).build()).security(EtdFutureSecurity.of(contract, YearMonth.of(2017, 6), EtdVariant.ofWeekly(2))).longQuantity(0d).shortQuantity(20d).build();
assertBeanEquals(expected3, filtered[2]);
EtdFuturePosition expected4 = EtdFuturePosition.builder().info(PositionInfo.builder().id(StandardId.of("OG", "123424")).build()).security(EtdFutureSecurity.of(contract, YearMonth.of(2017, 6), EtdVariant.ofDaily(3))).longQuantity(30d).shortQuantity(0d).build();
assertBeanEquals(expected4, filtered[3]);
}
// obtains the data and calculates the grid of results
private static void calculate(CalculationRunner runner)
{
// the trades that will have measures calculated
IList <Trade> trades = ImmutableList.of(createFutureTrade1(), createFutureTrade2(), createOptionTrade1(), createOptionTrade2());
// the columns, specifying the measures to be calculated
IList <Column> columns = ImmutableList.of(Column.of(Measures.PRESENT_VALUE));
// use the built-in example market data
LocalDate valuationDate = LocalDate.of(2014, 1, 22);
ExampleMarketDataBuilder marketDataBuilder = ExampleMarketData.builder();
MarketData marketData = marketDataBuilder.buildSnapshot(valuationDate);
// the complete set of rules for calculating measures
CalculationFunctions functions = StandardComponents.calculationFunctions();
CalculationRules rules = CalculationRules.of(functions);
// the reference data, such as holidays and securities
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: com.opengamma.strata.basics.ReferenceData refData = com.opengamma.strata.basics.ImmutableReferenceData.of(com.google.common.collect.ImmutableMap.of<com.opengamma.strata.basics.ReferenceDataId<?>, Object>(FGBL_MAR14_ID, FGBL_MAR14, OGBL_MAR14_C150_ID, OGBL_MAR14_C150, ED_MAR14_ID, ED_MAR14));
ReferenceData refData = ImmutableReferenceData.of(ImmutableMap.of <ReferenceDataId <object>, object>(FGBL_MAR14_ID, FGBL_MAR14, OGBL_MAR14_C150_ID, OGBL_MAR14_C150, ED_MAR14_ID, ED_MAR14));
// calculate the results
Results results = runner.calculate(rules, trades, columns, marketData, refData);
// use the report runner to transform the engine results into a trade report
ReportCalculationResults calculationResults = ReportCalculationResults.of(valuationDate, trades, columns, results, functions, refData);
TradeReportTemplate reportTemplate = ExampleData.loadTradeReportTemplate("security-report-template");
TradeReport tradeReport = TradeReport.of(calculationResults, reportTemplate);
tradeReport.writeAsciiTable(System.out);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void testImmutableReferenceDataWithMergedHolidays()
public virtual void testImmutableReferenceDataWithMergedHolidays()
{
HolidayCalendar hc = HolidayCalendars.FRI_SAT.combinedWith(HolidayCalendars.SAT_SUN);
ImmutableReferenceData referenceData = ImmutableReferenceData.of(hc.Id, hc);
LocalDate date = BusinessDayAdjustment.of(BusinessDayConventions.PRECEDING, hc.Id).adjust(LocalDate.of(2016, 8, 20), referenceData);
assertEquals(LocalDate.of(2016, 8, 18), date);
}
public virtual void test_ofBusinessDays3_adjust()
{
ImmutableHolidayCalendar cal = ImmutableHolidayCalendar.of(WED_THU, ImmutableList.of(), WEDNESDAY, THURSDAY);
ReferenceData refData = ImmutableReferenceData.of(ImmutableMap.of(WED_THU, cal)).combinedWith(REF_DATA);
DaysAdjustment test = DaysAdjustment.ofBusinessDays(3, SAT_SUN, BDA_FOLLOW_WED_THU);
LocalDate @base = date(2014, 8, 15); // Fri
assertEquals(test.adjust(@base, refData), date(2014, 8, 22)); // Fri (3 days gives Wed, following moves to Fri)
assertEquals(test.resolve(refData).adjust(@base), date(2014, 8, 22)); // Fri (3 days gives Wed, following moves to Fri)
}
//-------------------------------------------------------------------------
public virtual void test_resolve_single()
{
HolidayCalendarId gb = HolidayCalendarId.of("GB");
HolidayCalendarId eu = HolidayCalendarId.of("EU");
HolidayCalendar gbCal = HolidayCalendars.SAT_SUN;
ReferenceData refData = ImmutableReferenceData.of(gb, gbCal);
assertEquals(gb.resolve(refData), gbCal);
assertThrows(() => eu.resolve(refData), typeof(ReferenceDataNotFoundException));
assertEquals(refData.getValue(gb), gbCal);
}
//-------------------------------------------------------------------------
public virtual void test_defaulting()
{
ReferenceData @base = ImmutableReferenceData.of(ImmutableMap.of(HolidayCalendarIds.FRI_SAT, HolidayCalendars.FRI_SAT));
ReferenceData test = HolidayCalendars.defaultingReferenceData(@base);
assertEquals(test.getValue(HolidayCalendarIds.FRI_SAT), HolidayCalendars.FRI_SAT);
assertEquals(test.getValue(HolidayCalendarIds.GBLO), DEFAULTED_GBLO);
assertEquals(test.containsValue(HolidayCalendarIds.FRI_SAT), true);
assertEquals(test.containsValue(HolidayCalendarIds.GBLO), true);
assertEquals(test.containsValue(new TestingReferenceDataId("1")), false);
}
public virtual void test_resolve_combined_direct()
{
HolidayCalendarId gb = HolidayCalendarId.of("GB");
HolidayCalendar gbCal = HolidayCalendars.SAT_SUN;
HolidayCalendarId eu = HolidayCalendarId.of("EU");
HolidayCalendar euCal = HolidayCalendars.FRI_SAT;
HolidayCalendarId combined = gb.combinedWith(eu);
HolidayCalendar combinedCal = euCal.combinedWith(gbCal);
ReferenceData refData = ImmutableReferenceData.of(ImmutableMap.of(combined, combinedCal));
assertEquals(combined.resolve(refData), combinedCal);
assertEquals(refData.getValue(combined), combinedCal);
}
public virtual void test_load_invalidNoQuantity()
{
EtdContractSpecId specId = EtdContractSpecId.of("OG-ETD", "F-ECAG-FGBL");
EtdContractSpec contract = EtdContractSpec.builder().id(specId).type(EtdType.FUTURE).exchangeId(ExchangeIds.ECAG).contractCode(FGBL).description("Dummy").priceInfo(SecurityPriceInfo.of(Currency.GBP, 100)).build();
ReferenceData refData = ImmutableReferenceData.of(specId, contract);
PositionCsvLoader test = PositionCsvLoader.of(refData);
ValueWithFailures <IList <Position> > trades = test.parse(ImmutableList.of(CharSource.wrap("Strata Position Type,Exchange,Contract Code,Expiry\nFUT,ECAG,FGBL,2017-06")));
assertEquals(trades.Failures.size(), 1);
FailureItem failure = trades.Failures.get(0);
assertEquals(failure.Reason, FailureReason.PARSING);
assertEquals(failure.Message, "CSV file position could not be parsed at line 2: " + "Security must contain a quantity column, either 'Quantity' or 'Long Quantity' and 'Short Quantity'");
}
public virtual void test_defaulting_combinedWith()
{
ReferenceData base1 = ImmutableReferenceData.of(ImmutableMap.of(HolidayCalendarIds.THU_FRI, HolidayCalendars.THU_FRI));
ReferenceData base2 = ImmutableReferenceData.of(ImmutableMap.of(HolidayCalendarIds.THU_FRI, HolidayCalendars.FRI_SAT, HolidayCalendarIds.FRI_SAT, HolidayCalendars.FRI_SAT));
ReferenceData testDefaulted = HolidayCalendars.defaultingReferenceData(base1);
assertEquals(testDefaulted.getValue(HolidayCalendarIds.THU_FRI), HolidayCalendars.THU_FRI);
assertEquals(testDefaulted.getValue(HolidayCalendarIds.FRI_SAT), DEFAULTED_FRI_SAT);
assertEquals(testDefaulted.getValue(HolidayCalendarIds.GBLO), DEFAULTED_GBLO);
ReferenceData testCombined = testDefaulted.combinedWith(base2);
assertEquals(testCombined.getValue(HolidayCalendarIds.THU_FRI), HolidayCalendars.THU_FRI); // test1 takes precedence
assertEquals(testCombined.getValue(HolidayCalendarIds.FRI_SAT), HolidayCalendars.FRI_SAT); // from test2
assertEquals(testCombined.getValue(HolidayCalendarIds.GBLO), DEFAULTED_GBLO); // from default
ReferenceData testCombinedRevered = base2.combinedWith(testDefaulted);
assertEquals(testCombinedRevered.getValue(HolidayCalendarIds.THU_FRI), HolidayCalendars.FRI_SAT); // test2 takes precedence
assertEquals(testCombinedRevered.getValue(HolidayCalendarIds.FRI_SAT), HolidayCalendars.FRI_SAT); // from test2
assertEquals(testCombinedRevered.getValue(HolidayCalendarIds.GBLO), DEFAULTED_GBLO); // from default
}
//-------------------------------------------------------------------------
public virtual void test_parse_option()
{
EtdContractSpecId specId = EtdContractSpecId.of("OG-ETD", "O-ECAG-OGBL");
EtdContractSpec contract = EtdContractSpec.builder().id(specId).type(EtdType.OPTION).exchangeId(ExchangeIds.ECAG).contractCode(OGBL).description("Dummy").priceInfo(SecurityPriceInfo.of(Currency.GBP, 100)).build();
ReferenceData refData = ImmutableReferenceData.of(specId, contract);
PositionCsvLoader test = PositionCsvLoader.of(refData);
ValueWithFailures <IList <EtdOptionPosition> > trades = test.parse(ImmutableList.of(FILE.CharSource), typeof(EtdOptionPosition));
IList <EtdOptionPosition> filtered = trades.Value;
assertEquals(filtered.Count, 3);
EtdOptionPosition expected1 = EtdOptionPosition.builder().info(PositionInfo.builder().id(StandardId.of("OG", "123431")).build()).security(EtdOptionSecurity.of(contract, YearMonth.of(2017, 6), EtdVariant.ofMonthly(), 0, PutCall.PUT, 3d, YearMonth.of(2017, 9))).longQuantity(15d).shortQuantity(2d).build();
assertBeanEquals(expected1, filtered[0]);
EtdOptionPosition expected2 = EtdOptionPosition.builder().info(PositionInfo.builder().id(StandardId.of("OG", "123432")).build()).security(EtdOptionSecurity.of(contract, YearMonth.of(2017, 6), EtdVariant.ofFlexOption(13, EtdSettlementType.CASH, EtdOptionType.AMERICAN), 0, PutCall.CALL, 4d)).longQuantity(0d).shortQuantity(13d).build();
assertBeanEquals(expected2, filtered[1]);
EtdOptionPosition expected3 = EtdOptionPosition.builder().info(PositionInfo.builder().id(StandardId.of("OG", "123433")).build()).security(EtdOptionSecurity.of(contract, YearMonth.of(2017, 6), EtdVariant.ofWeekly(2), 0, PutCall.PUT, 5.1d)).longQuantity(0d).shortQuantity(20d).build();
assertBeanEquals(expected3, filtered[2]);
}