public virtual void test_builder4()
{
RatesCurveGroupDefinition test = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("Test")).addCurve(CURVE_NAME1, GBP, GBP_LIBOR_1M, GBP_LIBOR_3M).build();
assertEquals(test.Name, CurveGroupName.of("Test"));
assertEquals(test.Entries, ImmutableList.of(ENTRY3));
assertEquals(test.findEntry(CurveName.of("Test")), ENTRY3);
assertEquals(test.findEntry(CurveName.of("Test2")), null);
assertEquals(test.findEntry(CurveName.of("Rubbish")), null);
}
public virtual void test_builder3()
{
RatesCurveGroupDefinition test = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("Test")).addDiscountCurve(CURVE_NAME1, GBP).addForwardCurve(CURVE_NAME1, GBP_SONIA).addForwardCurve(CURVE_NAME1, GBP_LIBOR_1W).addForwardCurve(CURVE_NAME2, GBP_LIBOR_1M, GBP_LIBOR_3M).build();
assertEquals(test.Name, CurveGroupName.of("Test"));
assertEquals(test.Entries, ImmutableList.of(ENTRY1, ENTRY2));
assertEquals(test.findEntry(CurveName.of("Test")), ENTRY1);
assertEquals(test.findEntry(CurveName.of("Test2")), ENTRY2);
assertEquals(test.findEntry(CurveName.of("Rubbish")), null);
}
public virtual void test_builder_seasonality()
{
RatesCurveGroupDefinition test = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("Test")).addCurve(CURVE_DEFN1, GBP, GBP_LIBOR_1M, GBP_LIBOR_3M).addSeasonality(CURVE_NAME_I, SEASONALITY_ADDITIVE_DEF).build();
assertEquals(test.Name, CurveGroupName.of("Test"));
assertEquals(test.Entries, ImmutableList.of(ENTRY3));
assertEquals(test.findEntry(CurveName.of("Test")), ENTRY3);
assertEquals(test.findEntry(CurveName.of("Test2")), null);
assertEquals(test.findEntry(CurveName.of("Rubbish")), null);
assertEquals(test.findCurveDefinition(CurveName.of("Test")), CURVE_DEFN1);
assertEquals(test.findCurveDefinition(CurveName.of("Test2")), null);
assertEquals(test.findCurveDefinition(CurveName.of("Rubbish")), null);
ImmutableMap <CurveName, SeasonalityDefinition> seasonMap = test.SeasonalityDefinitions;
assertTrue(seasonMap.size() == 1);
assertEquals(seasonMap.get(CURVE_NAME_I), SEASONALITY_ADDITIVE_DEF);
}
/// <summary>
/// Obtains a generator from an existing provider and definition.
/// </summary>
/// <param name="knownProvider"> the underlying known provider </param>
/// <param name="groupDefn"> the curve group definition </param>
/// <param name="refData"> the reference data to use </param>
/// <returns> the generator </returns>
public static ImmutableRatesProviderGenerator of(ImmutableRatesProvider knownProvider, RatesCurveGroupDefinition groupDefn, ReferenceData refData)
{
IList <CurveDefinition> curveDefns = new List <CurveDefinition>();
IList <CurveMetadata> curveMetadata = new List <CurveMetadata>();
SetMultimap <CurveName, Currency> discountNames = HashMultimap.create();
SetMultimap <CurveName, Index> indexNames = HashMultimap.create();
foreach (CurveDefinition curveDefn in groupDefn.CurveDefinitions)
{
curveDefns.Add(curveDefn);
curveMetadata.Add(curveDefn.metadata(knownProvider.ValuationDate, refData));
CurveName curveName = curveDefn.Name;
// A curve group is guaranteed to include an entry for every definition
RatesCurveGroupEntry entry = groupDefn.findEntry(curveName).get();
ISet <Currency> ccy = entry.DiscountCurrencies;
discountNames.putAll(curveName, ccy);
indexNames.putAll(curveName, entry.Indices);
}
return(new ImmutableRatesProviderGenerator(knownProvider, curveDefns, curveMetadata, discountNames, indexNames));
}
