/// <summary>
/// Tests the full set of results against a golden copy.
/// </summary>
public virtual void testResults()
{
IList <Trade> trades = ImmutableList.of(createTrade1());
IList <Column> columns = ImmutableList.of(Column.of(Measures.LEG_INITIAL_NOTIONAL), Column.of(Measures.PRESENT_VALUE), Column.of(Measures.LEG_PRESENT_VALUE), Column.of(Measures.PV01_CALIBRATED_SUM), Column.of(Measures.ACCRUED_INTEREST));
ExampleMarketDataBuilder marketDataBuilder = ExampleMarketData.builder();
LocalDate valuationDate = LocalDate.of(2009, 7, 31);
CalculationRules rules = CalculationRules.of(StandardComponents.calculationFunctions(), Currency.USD, marketDataBuilder.ratesLookup(valuationDate));
MarketData marketData = marketDataBuilder.buildSnapshot(valuationDate);
// using the direct executor means there is no need to close/shutdown the runner
CalculationTasks tasks = CalculationTasks.of(rules, trades, columns, REF_DATA);
MarketDataRequirements reqs = tasks.requirements(REF_DATA);
MarketData calibratedMarketData = marketDataFactory().create(reqs, MarketDataConfig.empty(), marketData, REF_DATA);
CalculationTaskRunner runner = CalculationTaskRunner.of(MoreExecutors.newDirectExecutorService());
Results results = runner.calculate(tasks, calibratedMarketData, REF_DATA);
ReportCalculationResults calculationResults = ReportCalculationResults.of(valuationDate, trades, columns, results);
TradeReportTemplate reportTemplate = ExampleData.loadTradeReportTemplate("swap-report-regression-test-template");
TradeReport tradeReport = TradeReport.of(calculationResults, reportTemplate);
string expectedResults = ExampleData.loadExpectedResults("swap-report");
TradeReportRegressionTestUtils.assertAsciiTableEquals(tradeReport.toAsciiTableString(), expectedResults);
}
// 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);
}
// 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(createTrade1(), createTrade2(), createTrade3(), createTrade4());
// the columns, specifying the measures to be calculated
IList <Column> columns = ImmutableList.of(Column.of(Measures.PRESENT_VALUE), Column.of(Measures.PV01_CALIBRATED_SUM), Column.of(Measures.PV01_CALIBRATED_BUCKETED));
// 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, marketDataBuilder.ratesLookup(valuationDate));
// the reference data, such as holidays and securities
ReferenceData refData = ReferenceData.standard();
// 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("fx-report-template");
TradeReport tradeReport = TradeReport.of(calculationResults, reportTemplate);
tradeReport.writeAsciiTable(System.out);
}
//--------------------------------------------------------------------------------------------------
private static ReportCalculationResults reportResults()
{
Measure measure = Measure.of("PresentValue");
Column column = Column.of(measure);
IList <Column> columns = ImmutableList.of(column);
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.List<? extends com.opengamma.strata.collect.result.Result<?>> resultValues = com.google.common.collect.ImmutableList.of(com.opengamma.strata.collect.result.Result.success(com.opengamma.strata.basics.currency.CurrencyAmount.of(com.opengamma.strata.basics.currency.Currency.CAD, 2d)), com.opengamma.strata.collect.result.Result.success(com.opengamma.strata.basics.currency.CurrencyAmount.of(com.opengamma.strata.basics.currency.Currency.AUD, 3d)), com.opengamma.strata.collect.result.Result.success(com.opengamma.strata.basics.currency.CurrencyAmount.of(com.opengamma.strata.basics.currency.Currency.CHF, 4d)));
IList <Result <object> > resultValues = ImmutableList.of(Result.success(CurrencyAmount.of(Currency.CAD, 2d)), Result.success(CurrencyAmount.of(Currency.AUD, 3d)), Result.success(CurrencyAmount.of(Currency.CHF, 4d)));
IList <Trade> trades = ImmutableList.of(trade("cpty1", 1_000_000), trade("cpty2", 10_000_000), trade("cpty3", 100_000_000));
Results results = Results.of(ImmutableList.of(column.toHeader()), resultValues);
return(ReportCalculationResults.of(LocalDate.now(ZoneOffset.UTC), trades, columns, results));
}
// 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 = createSwapTrades();
// the columns, specifying the measures to be calculated
IList <Column> columns = ImmutableList.of(Column.of(Measures.PRESENT_VALUE), Column.of(Measures.PAR_RATE), Column.of(Measures.PV01_MARKET_QUOTE_BUCKETED), Column.of(Measures.PV01_CALIBRATED_BUCKETED));
// load quotes
ImmutableMap <QuoteId, double> quotesCcp1 = QuotesCsvLoader.load(VAL_DATE, QUOTES_RESOURCE_CCP1);
ImmutableMap <QuoteId, double> quotesCcp2 = QuotesCsvLoader.load(VAL_DATE, QUOTES_RESOURCE_CCP2);
// load fixings
ImmutableMap <ObservableId, LocalDateDoubleTimeSeries> fixings = FixingSeriesCsvLoader.load(FIXINGS_RESOURCE);
// create the market data
MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValueMap(quotesCcp1).addValueMap(quotesCcp2).addTimeSeriesMap(fixings).build();
// the reference data, such as holidays and securities
ReferenceData refData = ReferenceData.standard();
// load the curve definition
IDictionary <CurveGroupName, RatesCurveGroupDefinition> defnsCcp1 = RatesCalibrationCsvLoader.load(GROUPS_RESOURCE_CCP1, SETTINGS_RESOURCE_CCP1, CALIBRATION_RESOURCE_CCP1);
IDictionary <CurveGroupName, RatesCurveGroupDefinition> defnsCcp2 = RatesCalibrationCsvLoader.load(GROUPS_RESOURCE_CCP2, SETTINGS_RESOURCE_CCP2, CALIBRATION_RESOURCE_CCP2);
RatesCurveGroupDefinition curveGroupDefinitionCcp1 = defnsCcp1[CURVE_GROUP_NAME_CCP1].filtered(VAL_DATE, refData);
RatesCurveGroupDefinition curveGroupDefinitionCcp2 = defnsCcp2[CURVE_GROUP_NAME_CCP2].filtered(VAL_DATE, refData);
// the configuration that defines how to create the curves when a curve group is requested
MarketDataConfig marketDataConfig = MarketDataConfig.builder().add(CURVE_GROUP_NAME_CCP1, curveGroupDefinitionCcp1).add(CURVE_GROUP_NAME_CCP2, curveGroupDefinitionCcp2).build();
// the complete set of rules for calculating measures
CalculationFunctions functions = StandardComponents.calculationFunctions();
RatesMarketDataLookup ratesLookupCcp1 = RatesMarketDataLookup.of(curveGroupDefinitionCcp1);
RatesMarketDataLookup ratesLookupCcp2 = RatesMarketDataLookup.of(curveGroupDefinitionCcp2);
// choose RatesMarketDataLookup instance based on counterparty
TradeCounterpartyCalculationParameter perCounterparty = TradeCounterpartyCalculationParameter.of(ImmutableMap.of(CCP1_ID, ratesLookupCcp1, CCP2_ID, ratesLookupCcp2), ratesLookupCcp1);
CalculationRules rules = CalculationRules.of(functions, perCounterparty);
// calibrate the curves and calculate the results
MarketDataRequirements reqs = MarketDataRequirements.of(rules, trades, columns, refData);
MarketData calibratedMarketData = marketDataFactory().create(reqs, marketDataConfig, marketData, refData);
Results results = runner.calculate(rules, trades, columns, calibratedMarketData, refData);
// use the report runner to transform the engine results into a trade report
ReportCalculationResults calculationResults = ReportCalculationResults.of(VAL_DATE, trades, columns, results, functions, refData);
TradeReportTemplate reportTemplate = ExampleData.loadTradeReportTemplate("swap-report-template2");
TradeReport tradeReport = TradeReport.of(calculationResults, reportTemplate);
tradeReport.writeAsciiTable(System.out);
}
// 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 = createSwapTrades();
// the columns, specifying the measures to be calculated
IList <Column> columns = ImmutableList.of(Column.of(Measures.LEG_INITIAL_NOTIONAL), Column.of(Measures.PRESENT_VALUE), Column.of(Measures.LEG_PRESENT_VALUE), Column.of(Measures.PV01_CALIBRATED_SUM), Column.of(Measures.PAR_RATE), Column.of(Measures.ACCRUED_INTEREST), Column.of(Measures.PV01_CALIBRATED_BUCKETED), Column.of(AdvancedMeasures.PV01_SEMI_PARALLEL_GAMMA_BUCKETED));
// load quotes
ImmutableMap <QuoteId, double> quotes = QuotesCsvLoader.load(VAL_DATE, QUOTES_RESOURCE);
// load fixings
ImmutableMap <ObservableId, LocalDateDoubleTimeSeries> fixings = FixingSeriesCsvLoader.load(FIXINGS_RESOURCE);
// create the market data
MarketData marketData = MarketData.of(VAL_DATE, quotes, fixings);
// the reference data, such as holidays and securities
ReferenceData refData = ReferenceData.standard();
// load the curve definition
IDictionary <CurveGroupName, RatesCurveGroupDefinition> defns = RatesCalibrationCsvLoader.load(GROUPS_RESOURCE, SETTINGS_RESOURCE, CALIBRATION_RESOURCE);
RatesCurveGroupDefinition curveGroupDefinition = defns[CURVE_GROUP_NAME].filtered(VAL_DATE, refData);
// the configuration that defines how to create the curves when a curve group is requested
MarketDataConfig marketDataConfig = MarketDataConfig.builder().add(CURVE_GROUP_NAME, curveGroupDefinition).build();
// the complete set of rules for calculating measures
CalculationFunctions functions = StandardComponents.calculationFunctions();
RatesMarketDataLookup ratesLookup = RatesMarketDataLookup.of(curveGroupDefinition);
CalculationRules rules = CalculationRules.of(functions, ratesLookup);
// calibrate the curves and calculate the results
MarketDataRequirements reqs = MarketDataRequirements.of(rules, trades, columns, refData);
MarketData calibratedMarketData = marketDataFactory().create(reqs, marketDataConfig, marketData, refData);
Results results = runner.calculate(rules, trades, columns, calibratedMarketData, refData);
// use the report runner to transform the engine results into a trade report
ReportCalculationResults calculationResults = ReportCalculationResults.of(VAL_DATE, trades, columns, results, functions, refData);
TradeReportTemplate reportTemplate = ExampleData.loadTradeReportTemplate("swap-report-template");
TradeReport tradeReport = TradeReport.of(calculationResults, reportTemplate);
tradeReport.writeAsciiTable(System.out);
}
private ReportCalculationResults runCalculationRequirements(ReportRequirements requirements)
{
IList <Column> columns = requirements.TradeMeasureRequirements;
ExampleMarketDataBuilder marketDataBuilder = marketDataRoot == null?ExampleMarketData.builder() : ExampleMarketDataBuilder.ofPath(marketDataRoot.toPath());
CalculationFunctions functions = StandardComponents.calculationFunctions();
RatesMarketDataLookup ratesLookup = marketDataBuilder.ratesLookup(valuationDate);
CalculationRules rules = CalculationRules.of(functions, ratesLookup);
MarketData marketData = marketDataBuilder.buildSnapshot(valuationDate);
IList <Trade> trades;
if (Strings.nullToEmpty(idSearch).Trim().Empty)
{
trades = tradeList.Trades;
}
else
{
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
trades = tradeList.Trades.Where(t => t.Info.Id.Present).Where(t => t.Info.Id.get().Value.Equals(idSearch)).collect(toImmutableList());
if (trades.Count > 1)
{
throw new System.ArgumentException(Messages.format("More than one trade found matching ID: '{}'", idSearch));
}
}
if (trades.Count == 0)
{
throw new System.ArgumentException("No trades found. Please check the input portfolio or trade ID filter.");
}
// the reference data, such as holidays and securities
ReferenceData refData = ReferenceData.standard();
// calculate the results
CalculationTasks tasks = CalculationTasks.of(rules, trades, columns, refData);
MarketDataRequirements reqs = tasks.requirements(refData);
MarketData calibratedMarketData = marketDataFactory().create(reqs, MarketDataConfig.empty(), marketData, refData);
Results results = runner.TaskRunner.calculate(tasks, calibratedMarketData, refData);
return(ReportCalculationResults.of(valuationDate, trades, requirements.TradeMeasureRequirements, results, functions, refData));
}