//------------------------------------------------------------------------- public virtual void test_of_map() { ImmutableMap <SecurityId, RepoGroup> repoSecurityGroups = ImmutableMap.of(SEC_A1, GROUP_REPO_X); ImmutableMap <LegalEntityId, RepoGroup> repoGroups = ImmutableMap.of(ISSUER_A, GROUP_REPO_Y, ISSUER_B, GROUP_REPO_Y, ISSUER_C, GROUP_REPO_Y, ISSUER_D, GROUP_REPO_Y); ImmutableMap <Pair <RepoGroup, Currency>, CurveId> repoCurves = ImmutableMap.of(Pair.of(GROUP_REPO_X, USD), CURVE_ID_USD1, Pair.of(GROUP_REPO_Y, USD), CURVE_ID_USD2, Pair.of(GROUP_REPO_Y, GBP), CURVE_ID_GBP1); ImmutableMap <LegalEntityId, LegalEntityGroup> issuerGroups = ImmutableMap.of(ISSUER_A, GROUP_ISSUER_M, ISSUER_B, GROUP_ISSUER_N, ISSUER_C, GROUP_ISSUER_M); ImmutableMap <Pair <LegalEntityGroup, Currency>, CurveId> issuerCurves = ImmutableMap.of(Pair.of(GROUP_ISSUER_M, USD), CURVE_ID_USD3, Pair.of(GROUP_ISSUER_N, USD), CURVE_ID_USD4, Pair.of(GROUP_ISSUER_N, GBP), CURVE_ID_GBP2); LegalEntityDiscountingMarketDataLookup test = LegalEntityDiscountingMarketDataLookup.of(repoSecurityGroups, repoGroups, repoCurves, issuerGroups, issuerCurves); assertEquals(test.queryType(), typeof(LegalEntityDiscountingMarketDataLookup)); assertEquals(test.requirements(SEC_A1, ISSUER_A, USD), FunctionRequirements.builder().valueRequirements(CURVE_ID_USD1, CURVE_ID_USD3).outputCurrencies(USD).build()); assertEquals(test.requirements(SEC_A2, ISSUER_A, USD), FunctionRequirements.builder().valueRequirements(CURVE_ID_USD2, CURVE_ID_USD3).outputCurrencies(USD).build()); assertEquals(test.requirements(SEC_B1, ISSUER_B, USD), FunctionRequirements.builder().valueRequirements(CURVE_ID_USD2, CURVE_ID_USD4).outputCurrencies(USD).build()); assertEquals(test.requirements(SEC_B1, ISSUER_B, GBP), FunctionRequirements.builder().valueRequirements(CURVE_ID_GBP1, CURVE_ID_GBP2).outputCurrencies(GBP).build()); assertThrowsIllegalArg(() => test.requirements(SEC_B1, LegalEntityId.of("XXX", "XXX"), GBP)); assertThrowsIllegalArg(() => test.requirements(SecurityId.of("XXX", "XXX"), LegalEntityId.of("XXX", "XXX"), GBP)); assertThrowsIllegalArg(() => test.requirements(SEC_A1, ISSUER_A, GBP)); assertThrowsIllegalArg(() => test.requirements(SEC_C1, ISSUER_C, GBP)); assertThrowsIllegalArg(() => test.requirements(SEC_D1, ISSUER_D, GBP)); assertEquals(test.discountingProvider(MOCK_MARKET_DATA), DefaultLookupLegalEntityDiscountingProvider.of((DefaultLegalEntityDiscountingMarketDataLookup)test, MOCK_MARKET_DATA)); }
//------------------------------------------------------------------------- public virtual void coverage() { ImmutableMap <SecurityId, RepoGroup> repoSecurityGroups = ImmutableMap.of(SEC_A1, GROUP_REPO_X); ImmutableMap <LegalEntityId, RepoGroup> repoGroups = ImmutableMap.of(ISSUER_A, GROUP_REPO_Y, ISSUER_B, GROUP_REPO_Y); ImmutableMap <Pair <RepoGroup, Currency>, CurveId> repoCurves = ImmutableMap.of(Pair.of(GROUP_REPO_X, USD), CURVE_ID_USD1, Pair.of(GROUP_REPO_Y, USD), CURVE_ID_USD2, Pair.of(GROUP_REPO_Y, GBP), CURVE_ID_GBP1); ImmutableMap <LegalEntityId, LegalEntityGroup> issuerGroups = ImmutableMap.of(ISSUER_A, GROUP_ISSUER_M, ISSUER_B, GROUP_ISSUER_N); ImmutableMap <Pair <LegalEntityGroup, Currency>, CurveId> issuerCurves = ImmutableMap.of(Pair.of(GROUP_ISSUER_M, USD), CURVE_ID_USD3, Pair.of(GROUP_ISSUER_N, USD), CURVE_ID_USD4, Pair.of(GROUP_ISSUER_N, GBP), CURVE_ID_GBP2); LegalEntityDiscountingMarketDataLookup test = LegalEntityDiscountingMarketDataLookup.of(repoSecurityGroups, repoGroups, repoCurves, issuerGroups, issuerCurves); coverImmutableBean((ImmutableBean)test); ImmutableMap <LegalEntityId, RepoGroup> repoGroups2 = ImmutableMap.of(); ImmutableMap <Pair <RepoGroup, Currency>, CurveId> repoCurves2 = ImmutableMap.of(); ImmutableMap <LegalEntityId, LegalEntityGroup> issuerGroups2 = ImmutableMap.of(); ImmutableMap <Pair <LegalEntityGroup, Currency>, CurveId> issuerCurves2 = ImmutableMap.of(); LegalEntityDiscountingMarketDataLookup test2 = LegalEntityDiscountingMarketDataLookup.of(repoGroups2, repoCurves2, issuerGroups2, issuerCurves2, OBS_SOURCE); coverBeanEquals((ImmutableBean)test, (ImmutableBean)test2); // related coverage coverImmutableBean((ImmutableBean)test.marketDataView(MOCK_CALC_MARKET_DATA)); DefaultLegalEntityDiscountingScenarioMarketData.meta(); coverImmutableBean((ImmutableBean)test.marketDataView(MOCK_MARKET_DATA)); DefaultLegalEntityDiscountingMarketData.meta(); coverImmutableBean((ImmutableBean)test.marketDataView(MOCK_MARKET_DATA).discountingProvider()); DefaultLookupLegalEntityDiscountingProvider.meta(); }
//------------------------------------------------------------------------- public virtual void test_of_map_invalid() { ImmutableMap <SecurityId, RepoGroup> repoSecurityGroups = ImmutableMap.of(SEC_A1, GROUP_REPO_X); ImmutableMap <Pair <RepoGroup, Currency>, CurveId> repoCurves = ImmutableMap.of(Pair.of(GROUP_REPO_X, USD), CURVE_ID_USD1); ImmutableMap <LegalEntityId, LegalEntityGroup> issuerGroups = ImmutableMap.of(ISSUER_A, GROUP_ISSUER_M); ImmutableMap <Pair <LegalEntityGroup, Currency>, CurveId> issuerCurves = ImmutableMap.of(Pair.of(GROUP_ISSUER_M, USD), CURVE_ID_USD3); assertThrowsIllegalArg(() => LegalEntityDiscountingMarketDataLookup.of(repoSecurityGroups, ImmutableMap.of(), ImmutableMap.of(), issuerGroups, issuerCurves)); assertThrowsIllegalArg(() => LegalEntityDiscountingMarketDataLookup.of(repoSecurityGroups, ImmutableMap.of(), repoCurves, issuerGroups, ImmutableMap.of())); }
public virtual void test_serialization() { ImmutableMap <SecurityId, RepoGroup> repoSecurityGroups = ImmutableMap.of(SEC_A1, GROUP_REPO_X); ImmutableMap <LegalEntityId, RepoGroup> repoGroups = ImmutableMap.of(ISSUER_A, GROUP_REPO_Y, ISSUER_B, GROUP_REPO_Y); ImmutableMap <Pair <RepoGroup, Currency>, CurveId> repoCurves = ImmutableMap.of(Pair.of(GROUP_REPO_X, USD), CURVE_ID_USD1, Pair.of(GROUP_REPO_Y, USD), CURVE_ID_USD2, Pair.of(GROUP_REPO_Y, GBP), CURVE_ID_GBP1); ImmutableMap <LegalEntityId, LegalEntityGroup> issuerGroups = ImmutableMap.of(ISSUER_A, GROUP_ISSUER_M, ISSUER_B, GROUP_ISSUER_N); ImmutableMap <Pair <LegalEntityGroup, Currency>, CurveId> issuerCurves = ImmutableMap.of(Pair.of(GROUP_ISSUER_M, USD), CURVE_ID_USD3, Pair.of(GROUP_ISSUER_N, USD), CURVE_ID_USD4, Pair.of(GROUP_ISSUER_N, GBP), CURVE_ID_GBP2); LegalEntityDiscountingMarketDataLookup test = LegalEntityDiscountingMarketDataLookup.of(repoSecurityGroups, repoGroups, repoCurves, issuerGroups, issuerCurves); assertSerialization(test); }
//------------------------------------------------------------------------- public virtual void test_marketDataView() { ImmutableMap <SecurityId, RepoGroup> repoSecurityGroups = ImmutableMap.of(SEC_A1, GROUP_REPO_X); ImmutableMap <Pair <RepoGroup, Currency>, CurveId> repoCurves = ImmutableMap.of(Pair.of(GROUP_REPO_X, USD), CURVE_ID_USD1); ImmutableMap <LegalEntityId, LegalEntityGroup> issuerGroups = ImmutableMap.of(ISSUER_A, GROUP_ISSUER_M); ImmutableMap <Pair <LegalEntityGroup, Currency>, CurveId> issuerCurves = ImmutableMap.of(Pair.of(GROUP_ISSUER_M, USD), CURVE_ID_USD3); LegalEntityDiscountingMarketDataLookup test = LegalEntityDiscountingMarketDataLookup.of(repoSecurityGroups, ImmutableMap.of(), repoCurves, issuerGroups, issuerCurves); LocalDate valDate = date(2015, 6, 30); ScenarioMarketData md = new TestMarketDataMap(valDate, ImmutableMap.of(), ImmutableMap.of()); LegalEntityDiscountingScenarioMarketData multiScenario = test.marketDataView(md); assertEquals(multiScenario.Lookup, test); assertEquals(multiScenario.MarketData, md); assertEquals(multiScenario.ScenarioCount, 1); LegalEntityDiscountingMarketData scenario = multiScenario.scenario(0); assertEquals(scenario.Lookup, test); assertEquals(scenario.MarketData, md.scenario(0)); assertEquals(scenario.ValuationDate, valDate); }
public virtual void test_bondDiscountingProvider() { ImmutableMap <SecurityId, RepoGroup> repoSecurityGroups = ImmutableMap.of(SEC_A1, GROUP_REPO_X); ImmutableMap <LegalEntityId, RepoGroup> repoGroups = ImmutableMap.of(ISSUER_B, GROUP_REPO_X); ImmutableMap <Pair <RepoGroup, Currency>, CurveId> repoCurves = ImmutableMap.of(Pair.of(GROUP_REPO_X, USD), CURVE_ID_USD1); ImmutableMap <LegalEntityId, LegalEntityGroup> issuerGroups = ImmutableMap.of(ISSUER_A, GROUP_ISSUER_M); ImmutableMap <Pair <LegalEntityGroup, Currency>, CurveId> issuerCurves = ImmutableMap.of(Pair.of(GROUP_ISSUER_M, USD), CURVE_ID_USD3); LegalEntityDiscountingMarketDataLookup test = LegalEntityDiscountingMarketDataLookup.of(repoSecurityGroups, repoGroups, repoCurves, issuerGroups, issuerCurves); LocalDate valDate = date(2015, 6, 30); Curve repoCurve = ConstantCurve.of(Curves.discountFactors(CURVE_ID_USD1.CurveName, ACT_360), 1d); Curve issuerCurve = ConstantCurve.of(Curves.discountFactors(CURVE_ID_USD3.CurveName, ACT_360), 2d); MarketData md = ImmutableMarketData.of(valDate, ImmutableMap.of(CURVE_ID_USD1, repoCurve, CURVE_ID_USD3, issuerCurve)); LegalEntityDiscountingProvider provider = test.discountingProvider(md); assertEquals(provider.ValuationDate, valDate); assertEquals(provider.findData(CURVE_ID_USD1.CurveName), repoCurve); assertEquals(provider.findData(CURVE_ID_USD3.CurveName), issuerCurve); assertEquals(provider.findData(CurveName.of("Rubbish")), null); // check repo RepoCurveDiscountFactors rcdf = provider.repoCurveDiscountFactors(SEC_A1, ISSUER_A, USD); SimpleDiscountFactors rdf = (SimpleDiscountFactors)rcdf.DiscountFactors; assertEquals(rdf.Curve.Name, repoCurve.Name); assertEquals(rcdf, provider.repoCurveDiscountFactors(SEC_B1, ISSUER_B, USD)); assertThrowsIllegalArg(() => provider.repoCurveDiscountFactors(SEC_A1, ISSUER_A, GBP)); assertThrowsIllegalArg(() => provider.repoCurveDiscountFactors(SEC_C1, ISSUER_C, USD)); // check issuer IssuerCurveDiscountFactors icdf = provider.issuerCurveDiscountFactors(ISSUER_A, USD); SimpleDiscountFactors idf = (SimpleDiscountFactors)icdf.DiscountFactors; assertEquals(idf.Curve.Name, issuerCurve.Name); assertThrowsIllegalArg(() => provider.issuerCurveDiscountFactors(ISSUER_A, GBP)); assertThrowsIllegalArg(() => provider.issuerCurveDiscountFactors(ISSUER_C, USD)); }