//-------------------------------------------------------------------------
public FxRateProvider fxRateProvider(MarketData marketData)
{
if (currency == null)
{
return(MarketDataFxRateProvider.of(marketData, observableSource));
}
return(MarketDataFxRateProvider.of(marketData, observableSource, currency));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calibrates a single curve group, containing one or more curves.
/// <para>
/// The calibration is defined using <seealso cref="RatesCurveGroupDefinition"/>.
/// Observable market data, time-series and FX are also needed to complete the calibration.
/// The valuation date is defined by the market data.
/// </para>
/// <para>
/// The Jacobian matrices are computed and stored in curve metadata.
///
/// </para>
/// </summary>
/// <param name="curveGroupDefn"> the curve group definition </param>
/// <param name="marketData"> the market data required to build a trade for the instrument, including time-series </param>
/// <param name="refData"> the reference data, used to resolve the trades </param>
/// <returns> the rates provider resulting from the calibration </returns>
public ImmutableRatesProvider calibrate(RatesCurveGroupDefinition curveGroupDefn, MarketData marketData, ReferenceData refData)
{
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IDictionary <Index, LocalDateDoubleTimeSeries> timeSeries = marketData.TimeSeriesIds.Where(typeof(IndexQuoteId).isInstance).Select(typeof(IndexQuoteId).cast).collect(toImmutableMap(id => id.Index, id => marketData.getTimeSeries(id)));
ImmutableRatesProvider knownData = ImmutableRatesProvider.builder(marketData.ValuationDate).fxRateProvider(MarketDataFxRateProvider.of(marketData)).timeSeries(timeSeries).build();
return(calibrate(ImmutableList.of(curveGroupDefn), knownData, marketData, refData));
}
public virtual void test_ratesProvider()
{
ImmutableMap <Currency, CurveId> discounts = ImmutableMap.of(USD, CURVE_ID_DSC);
ImmutableMap <Index, CurveId> forwards = ImmutableMap.of(USD_FED_FUND, CURVE_ID_DSC, USD_LIBOR_3M, CURVE_ID_FWD, US_CPI_U, CURVE_ID_FWD);
RatesMarketDataLookup test = RatesMarketDataLookup.of(discounts, forwards);
LocalDate valDate = date(2015, 6, 30);
Curve dscCurve = ConstantCurve.of(Curves.discountFactors(CURVE_ID_DSC.CurveName, ACT_360), 1d);
Curve fwdCurve = ConstantCurve.of(Curves.discountFactors(CURVE_ID_FWD.CurveName, ACT_360), 2d);
MarketData md = ImmutableMarketData.of(valDate, ImmutableMap.of(CURVE_ID_DSC, dscCurve, CURVE_ID_FWD, fwdCurve));
RatesProvider ratesProvider = test.ratesProvider(md);
assertEquals(ratesProvider.ValuationDate, valDate);
assertEquals(ratesProvider.findData(CURVE_ID_DSC.CurveName), dscCurve);
assertEquals(ratesProvider.findData(CURVE_ID_FWD.CurveName), fwdCurve);
assertEquals(ratesProvider.findData(CurveName.of("Rubbish")), null);
assertEquals(ratesProvider.IborIndices, ImmutableSet.of(USD_LIBOR_3M));
assertEquals(ratesProvider.OvernightIndices, ImmutableSet.of(USD_FED_FUND));
assertEquals(ratesProvider.PriceIndices, ImmutableSet.of(US_CPI_U));
assertEquals(ratesProvider.TimeSeriesIndices, ImmutableSet.of());
// check discount factors
SimpleDiscountFactors df = (SimpleDiscountFactors)ratesProvider.discountFactors(USD);
assertEquals(df.Curve.Name, dscCurve.Name);
assertThrowsIllegalArg(() => ratesProvider.discountFactors(GBP));
// check Ibor
DiscountIborIndexRates ibor = (DiscountIborIndexRates)ratesProvider.iborIndexRates(USD_LIBOR_3M);
SimpleDiscountFactors iborDf = (SimpleDiscountFactors)ibor.DiscountFactors;
assertEquals(iborDf.Curve.Name, fwdCurve.Name);
assertThrowsIllegalArg(() => ratesProvider.iborIndexRates(GBP_LIBOR_3M));
// check Overnight
DiscountOvernightIndexRates on = (DiscountOvernightIndexRates)ratesProvider.overnightIndexRates(USD_FED_FUND);
SimpleDiscountFactors onDf = (SimpleDiscountFactors)on.DiscountFactors;
assertEquals(onDf.Curve.Name, dscCurve.Name);
assertThrowsIllegalArg(() => ratesProvider.overnightIndexRates(GBP_SONIA));
// check price curve must be interpolated
assertThrowsIllegalArg(() => ratesProvider.priceIndexValues(US_CPI_U));
// to immutable
ImmutableRatesProvider expectedImmutable = ImmutableRatesProvider.builder(valDate).fxRateProvider(MarketDataFxRateProvider.of(md)).discountCurve(USD, dscCurve).indexCurve(USD_FED_FUND, dscCurve).indexCurve(USD_LIBOR_3M, fwdCurve).indexCurve(US_CPI_U, fwdCurve).build();
assertEquals(ratesProvider.toImmutableRatesProvider(), expectedImmutable);
}
public virtual FxRateProvider fxRateProvider(int scenarioIndex)
{
return(MarketDataFxRateProvider.of(marketData.scenario(scenarioIndex), source));
}