public virtual void test_simpleMeasures() { FixedCouponBondTradeCalculationFunction <FixedCouponBondTrade> function = FixedCouponBondTradeCalculationFunction.TRADE; ScenarioMarketData md = marketData(); LegalEntityDiscountingProvider provider = LOOKUP.marketDataView(md.scenario(0)).discountingProvider(); DiscountingFixedCouponBondTradePricer pricer = DiscountingFixedCouponBondTradePricer.DEFAULT; CurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider); MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(RTRADE, provider); CurrencyAmount expectedCurrentCash = pricer.currentCash(RTRADE, VAL_DATE); ISet <Measure> measures = ImmutableSet.of(Measures.PRESENT_VALUE, Measures.CURRENCY_EXPOSURE, Measures.CURRENT_CASH, Measures.RESOLVED_TARGET); assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.PRESENT_VALUE, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedPv)))).containsEntry(Measures.CURRENCY_EXPOSURE, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure)))).containsEntry(Measures.CURRENT_CASH, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedCurrentCash)))).containsEntry(Measures.RESOLVED_TARGET, Result.success(RTRADE)); }
public virtual void test_simpleMeasures() { FxSingleBarrierOptionTradeCalculationFunction function = new FxSingleBarrierOptionTradeCalculationFunction(); ScenarioMarketData md = marketData(); RatesProvider provider = RATES_LOOKUP.ratesProvider(md.scenario(0)); BlackFxSingleBarrierOptionTradePricer pricer = BlackFxSingleBarrierOptionTradePricer.DEFAULT; MultiCurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider, VOLS); MultiCurrencyAmount expectedCurrencyExp = pricer.currencyExposure(RTRADE, provider, VOLS); CurrencyAmount expectedCash = pricer.currentCash(RTRADE, VAL_DATE); ISet <Measure> measures = ImmutableSet.of(Measures.PRESENT_VALUE, Measures.PAR_SPREAD, Measures.CURRENCY_EXPOSURE, Measures.CURRENT_CASH, Measures.RESOLVED_TARGET); assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.PRESENT_VALUE, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv)))).containsEntry(Measures.CURRENCY_EXPOSURE, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExp)))).containsEntry(Measures.CURRENT_CASH, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedCash)))).containsEntry(Measures.RESOLVED_TARGET, Result.success(RTRADE)); }
public virtual void test_pv01() { FxSwapTradeCalculationFunction function = new FxSwapTradeCalculationFunction(); ScenarioMarketData md = marketData(); RatesProvider provider = RATES_LOOKUP.ratesProvider(md.scenario(0)); DiscountingFxSwapTradePricer pricer = DiscountingFxSwapTradePricer.DEFAULT; PointSensitivities pvPointSens = pricer.presentValueSensitivity(RTRADE, provider); CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens); MultiCurrencyAmount expectedPv01 = pvParamSens.total().multipliedBy(1e-4); CurrencyParameterSensitivities expectedBucketedPv01 = pvParamSens.multipliedBy(1e-4); ISet <Measure> measures = ImmutableSet.of(Measures.PV01_CALIBRATED_SUM, Measures.PV01_CALIBRATED_BUCKETED); assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.PV01_CALIBRATED_SUM, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01)))).containsEntry(Measures.PV01_CALIBRATED_BUCKETED, Result.success(ScenarioArray.of(ImmutableList.of(expectedBucketedPv01)))); }
public virtual void test_simpleMeasures() { FxNdfTradeCalculationFunction function = new FxNdfTradeCalculationFunction(); ScenarioMarketData md = marketData(); RatesProvider provider = RATES_LOOKUP.ratesProvider(md.scenario(0)); DiscountingFxNdfTradePricer pricer = DiscountingFxNdfTradePricer.DEFAULT; CurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider); MultiCurrencyAmount expectedCurrencyExp = pricer.currencyExposure(RTRADE, provider); CurrencyAmount expectedCash = pricer.currentCash(RTRADE, provider); FxRate expectedForwardFx = pricer.forwardFxRate(RTRADE, provider); ISet <Measure> measures = ImmutableSet.of(Measures.PRESENT_VALUE, Measures.CURRENCY_EXPOSURE, Measures.CURRENT_CASH, Measures.FORWARD_FX_RATE, Measures.RESOLVED_TARGET); assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.PRESENT_VALUE, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedPv)))).containsEntry(Measures.CURRENCY_EXPOSURE, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExp)))).containsEntry(Measures.CURRENT_CASH, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedCash)))).containsEntry(Measures.FORWARD_FX_RATE, Result.success(ScenarioArray.of(ImmutableList.of(expectedForwardFx)))).containsEntry(Measures.RESOLVED_TARGET, Result.success(RTRADE)); }
public virtual void test_simpleMeasures() { TermDepositTradeCalculationFunction function = new TermDepositTradeCalculationFunction(); ScenarioMarketData md = marketData(); RatesProvider provider = RATES_LOOKUP.ratesProvider(md.scenario(0)); DiscountingTermDepositTradePricer pricer = DiscountingTermDepositTradePricer.DEFAULT; CurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider); double expectedParRate = pricer.parRate(RTRADE, provider); double expectedParSpread = pricer.parSpread(RTRADE, provider); MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(RTRADE, provider); CurrencyAmount expectedCurrentCash = pricer.currentCash(RTRADE, provider); ISet <Measure> measures = ImmutableSet.of(Measures.PRESENT_VALUE, Measures.PAR_RATE, Measures.PAR_SPREAD, Measures.CURRENCY_EXPOSURE, Measures.CURRENT_CASH, Measures.RESOLVED_TARGET); assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.PRESENT_VALUE, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedPv)))).containsEntry(Measures.PAR_RATE, Result.success(DoubleScenarioArray.of(ImmutableList.of(expectedParRate)))).containsEntry(Measures.PAR_SPREAD, Result.success(DoubleScenarioArray.of(ImmutableList.of(expectedParSpread)))).containsEntry(Measures.CURRENCY_EXPOSURE, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure)))).containsEntry(Measures.CURRENT_CASH, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedCurrentCash)))).containsEntry(Measures.RESOLVED_TARGET, Result.success(RTRADE)); }
public FxOptionMarketData scenario(int scenarioIndex) { FxOptionMarketData current = cache.get(scenarioIndex); if (current != null) { return(current); } return(cache.updateAndGet(scenarioIndex, v => v != null ? v : lookup.marketDataView(marketData.scenario(scenarioIndex)))); }
public virtual void test_pv01() { CapitalIndexedBondTradeCalculationFunction <CapitalIndexedBondTrade> function = CapitalIndexedBondTradeCalculationFunction.TRADE; ScenarioMarketData md = marketData(); RatesProvider ratesProvider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider(); LegalEntityDiscountingProvider ledProvider = LED_LOOKUP.marketDataView(md.scenario(0)).discountingProvider(); DiscountingCapitalIndexedBondTradePricer pricer = DiscountingCapitalIndexedBondTradePricer.DEFAULT; PointSensitivities pvPointSens = pricer.presentValueSensitivity(RTRADE, ratesProvider, ledProvider); CurrencyParameterSensitivities pvParamSens = ledProvider.parameterSensitivity(pvPointSens); MultiCurrencyAmount expectedPv01Cal = pvParamSens.total().multipliedBy(1e-4); CurrencyParameterSensitivities expectedPv01CalBucketed = pvParamSens.multipliedBy(1e-4); ISet <Measure> measures = ImmutableSet.of(Measures.PV01_CALIBRATED_SUM, Measures.PV01_CALIBRATED_BUCKETED); assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.PV01_CALIBRATED_SUM, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Cal)))).containsEntry(Measures.PV01_CALIBRATED_BUCKETED, Result.success(ScenarioArray.of(ImmutableList.of(expectedPv01CalBucketed)))); }
public virtual void test_simpleMeasures() { DsfTradeCalculationFunction <DsfTrade> function = DsfTradeCalculationFunction.TRADE; ScenarioMarketData md = marketData(); RatesProvider provider = RATES_LOOKUP.ratesProvider(md.scenario(0)); DiscountingDsfTradePricer pricer = DiscountingDsfTradePricer.DEFAULT; double expectedPrice = pricer.price(RTRADE, provider); CurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider, REF_PRICE); MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(RTRADE, provider, REF_PRICE); ISet <Measure> measures = ImmutableSet.of(Measures.UNIT_PRICE, Measures.PRESENT_VALUE, Measures.CURRENCY_EXPOSURE, Measures.RESOLVED_TARGET); assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.UNIT_PRICE, Result.success(DoubleScenarioArray.of(ImmutableList.of(expectedPrice)))).containsEntry(Measures.PRESENT_VALUE, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedPv)))).containsEntry(Measures.CURRENCY_EXPOSURE, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure)))).containsEntry(Measures.RESOLVED_TARGET, Result.success(RTRADE)); }
public virtual FxRateProvider fxRateProvider(int scenarioIndex) { return(lookup.fxRateProvider(marketData.scenario(scenarioIndex))); }
public virtual void test_pv01_quote() { BillTradeCalculationFunction <BillTrade> function = BillTradeCalculationFunction.TRADE; ScenarioMarketData md = marketData(); LegalEntityDiscountingProvider provider = LOOKUP.marketDataView(md.scenario(0)).discountingProvider(); DiscountingBillTradePricer pricer = DiscountingBillTradePricer.DEFAULT; PointSensitivities pvPointSens = pricer.presentValueSensitivity(RTRADE, provider); CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens); CurrencyParameterSensitivities expectedPv01CalBucketed = MQ_CALC.sensitivity(pvParamSens, provider).multipliedBy(1e-4); MultiCurrencyAmount expectedPv01Cal = expectedPv01CalBucketed.total(); ISet <Measure> measures = ImmutableSet.of(Measures.PV01_MARKET_QUOTE_SUM, Measures.PV01_MARKET_QUOTE_BUCKETED); assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.PV01_MARKET_QUOTE_SUM, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Cal)))).containsEntry(Measures.PV01_MARKET_QUOTE_BUCKETED, Result.success(ScenarioArray.of(ImmutableList.of(expectedPv01CalBucketed)))); }
public LegalEntityDiscountingMarketData scenario(int scenarioIndex) { LegalEntityDiscountingMarketData current = cache.get(scenarioIndex); if (current != null) { return(current); } return(cache.updateAndGet(scenarioIndex, v => v != null ? v : lookup.marketDataView(marketData.scenario(scenarioIndex)))); }
public virtual void test_pv01_quote() { FixedCouponBondTradeCalculationFunction <FixedCouponBondTrade> function = FixedCouponBondTradeCalculationFunction.TRADE; ScenarioMarketData md = marketData(); LegalEntityDiscountingProvider provider = LOOKUP.marketDataView(md.scenario(0)).discountingProvider(); DiscountingFixedCouponBondTradePricer pricer = DiscountingFixedCouponBondTradePricer.DEFAULT; PointSensitivities pvPointSens = pricer.presentValueSensitivity(RTRADE, provider); CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens); CurrencyParameterSensitivities expectedPv01CalBucketed = MQ_CALC.sensitivity(pvParamSens, provider).multipliedBy(1e-4); MultiCurrencyAmount expectedPv01Cal = expectedPv01CalBucketed.total(); ISet <Measure> measures = ImmutableSet.of(Measures.PV01_MARKET_QUOTE_SUM, Measures.PV01_MARKET_QUOTE_BUCKETED); //JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET: //ORIGINAL LINE: java.util.Map<com.opengamma.strata.calc.Measure, com.opengamma.strata.collect.result.Result<?>> computed = function.calculate(TRADE, measures, PARAMS, md, REF_DATA); IDictionary <Measure, Result <object> > computed = function.calculate(TRADE, measures, PARAMS, md, REF_DATA); MultiCurrencyScenarioArray sumComputed = (MultiCurrencyScenarioArray)computed[Measures.PV01_MARKET_QUOTE_SUM].Value; ScenarioArray <CurrencyParameterSensitivities> bucketedComputed = (ScenarioArray <CurrencyParameterSensitivities>)computed[Measures.PV01_MARKET_QUOTE_BUCKETED].Value; assertEquals(sumComputed.ScenarioCount, 1); assertEquals(sumComputed.get(0).Currencies, ImmutableSet.of(GBP)); assertTrue(DoubleMath.fuzzyEquals(sumComputed.get(0).getAmount(GBP).Amount, expectedPv01Cal.getAmount(GBP).Amount, 1.0e-10)); assertEquals(bucketedComputed.ScenarioCount, 1); assertTrue(bucketedComputed.get(0).equalWithTolerance(expectedPv01CalBucketed, 1.0e-10)); }
public virtual FxRateProvider fxRateProvider(int scenarioIndex) { return(MarketDataFxRateProvider.of(marketData.scenario(scenarioIndex), source)); }
public IborFutureOptionMarketData scenario(int scenarioIndex) { return(lookup.marketDataView(marketData.scenario(scenarioIndex))); }