public virtual void test_ofName()
{
MarketDataFilter <string, NamedMarketDataId <string> > test = MarketDataFilter.ofName(new TestingName("a"));
assertEquals(test.MarketDataIdType, typeof(NamedMarketDataId));
assertTrue(test.matches(new TestingNamedId("a"), null, REF_DATA));
assertFalse(test.matches(new TestingNamedId("b"), null, REF_DATA));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
MarketDataFilter <string, MarketDataId <string> > test1 = MarketDataFilter.ofIdType(typeof(TestId));
coverImmutableBean((ImmutableBean)test1);
MarketDataFilter <string, MarketDataId <string> > test2 = MarketDataFilter.ofId(new TestId("a"));
coverImmutableBean((ImmutableBean)test2);
MarketDataFilter <string, NamedMarketDataId <string> > test3 = MarketDataFilter.ofName(new TestingName("a"));
coverImmutableBean((ImmutableBean)test3);
}
private static ScenarioDefinition buildHistoricalScenarios(IDictionary <LocalDate, RatesCurveGroup> historicalCurves, IList <LocalDate> scenarioDates)
{
// extract the curves to perturb
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IList <Curve> usdDiscountCurves = scenarioDates.Select(date => historicalCurves[date]).Select(group => group.findDiscountCurve(Currency.USD).get()).collect(toImmutableList());
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IList <Curve> libor3mCurves = scenarioDates.Select(date => historicalCurves[date]).Select(group => group.findForwardCurve(IborIndices.USD_LIBOR_3M).get()).collect(toImmutableList());
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IList <Curve> libor6mCurves = scenarioDates.Select(date => historicalCurves[date]).Select(group => group.findForwardCurve(IborIndices.USD_LIBOR_6M).get()).collect(toImmutableList());
// create mappings which will cause the point shift perturbations generated above
// to be applied to the correct curves
PerturbationMapping <ParameterizedData> discountCurveMappings = PerturbationMapping.of(MarketDataFilter.ofName(CurveName.of("USD-Disc")), buildShifts(usdDiscountCurves));
PerturbationMapping <ParameterizedData> libor3mMappings = PerturbationMapping.of(MarketDataFilter.ofName(CurveName.of("USD-3ML")), buildShifts(libor3mCurves));
PerturbationMapping <ParameterizedData> libor6mMappings = PerturbationMapping.of(MarketDataFilter.ofName(CurveName.of("USD-6ML")), buildShifts(libor6mCurves));
// create a scenario definition from these mappings
return(ScenarioDefinition.ofMappings(discountCurveMappings, libor3mMappings, libor6mMappings));
}
