public void test_serialization() { FxRateId test = FxRateId.of(GBP, USD); assertSerialization(test); }
public void test_of_pairAndSource() { FxRateId test = FxRateId.of(PAIR, OBS_SOURCE); FxRateId inverse = FxRateId.of(INVERSE); assertEquals(test.getPair(), PAIR); assertEquals(inverse.getPair(), PAIR); assertEquals(test.getObservableSource(), OBS_SOURCE); assertEquals(test.getMarketDataType(), FxRate.class); }
public void test_of_currencies() { FxRateId test = FxRateId.of(GBP, USD); FxRateId inverse = FxRateId.of(USD, GBP); assertEquals(test.getPair(), PAIR); assertEquals(inverse.getPair(), PAIR); assertEquals(test.getObservableSource(), ObservableSource.NONE); assertEquals(test.getMarketDataType(), FxRate.class); }
public void test_of_currenciesAndSource() { FxRateId test = FxRateId.of(GBP, USD, OBS_SOURCE); FxRateId inverse = FxRateId.of(USD, GBP); assertEquals(test.getPair(), PAIR); assertEquals(inverse.getPair(), PAIR); assertEquals(test.getObservableSource(), OBS_SOURCE); assertEquals(test.getMarketDataType(), FxRate.class); }
private static MarketDataFxRateProvider provider2() { Map<FxRateId, FxRate> marketDataMap = ImmutableMap.of(FxRateId.of(EUR, USD), FxRate.of(EUR, USD, EUR_USD), FxRateId.of(EUR, BEF), FxRate.of(EUR, BEF, EUR_BEF), FxRateId.of(GBP, USD), FxRate.of(GBP, USD, GBP_USD)); MarketData marketData = ImmutableMarketData.of(VAL_DATE, marketDataMap); return MarketDataFxRateProvider.of(marketData, ObservableSource.NONE, GBP); }
public void test_of_pair() { FxRateId test = FxRateId.of(PAIR); FxRateId inverse = FxRateId.of(INVERSE); assertEquals(test.getPair(), PAIR); assertEquals(inverse.getPair(), PAIR); assertEquals(test.getObservableSource(), ObservableSource.NONE); assertEquals(test.getMarketDataType(), FxRate.class); assertEquals(test.toString(), "FxRateId:GBP/USD"); }
public void cross_double_triangle() { Map<FxRateId, FxRate> marketDataMap = ImmutableMap.of(FxRateId.of(EUR, USD), FxRate.of(EUR, USD, EUR_USD), FxRateId.of(EUR, BEF), FxRate.of(EUR, BEF, EUR_BEF), FxRateId.of(GBP, USD), FxRate.of(GBP, USD, GBP_USD)); MarketData marketData = ImmutableMarketData.of(VAL_DATE, marketDataMap); FxRateProvider fx = MarketDataFxRateProvider.of(marketData); assertEquals(fx.fxRate(GBP, BEF), GBP_USD * EUR_BEF / EUR_USD, 1.0E-10); assertEquals(fx.fxRate(BEF, GBP), EUR_USD / EUR_BEF / GBP_USD, 1.0E-10); }
public void cross_counter() { Map<FxRateId, FxRate> marketDataMap = ImmutableMap.of(FxRateId.of(EUR, USD), FxRate.of(EUR, USD, EUR_USD), FxRateId.of(EUR, BEF), FxRate.of(EUR, BEF, EUR_BEF)); MarketData marketData = ImmutableMarketData.of(VAL_DATE, marketDataMap); FxRateProvider fx = MarketDataFxRateProvider.of(marketData); assertEquals(fx.fxRate(USD, BEF), EUR_BEF / EUR_USD, 1.0E-10); assertEquals(fx.fxRate(BEF, USD), EUR_USD / EUR_BEF, 1.0E-10); }
public void cross_base() { Map<FxRateId, FxRate> marketDataMap = ImmutableMap.of(FxRateId.of(EUR, USD), FxRate.of(EUR, USD, EUR_USD), FxRateId.of(GBP, USD), FxRate.of(GBP, USD, GBP_USD)); MarketData marketData = ImmutableMarketData.of(VAL_DATE, marketDataMap); FxRateProvider fx = MarketDataFxRateProvider.of(marketData); assertEquals(fx.fxRate(GBP, EUR), GBP_USD / EUR_USD, 1.0E-10); assertEquals(fx.fxRate(EUR, GBP), EUR_USD / GBP_USD, 1.0E-10); }
private static MarketDataFxRateProvider provider() { Map<FxRateId, FxRate> marketDataMap = ImmutableMap.of(FxRateId.of(EUR, USD, OBS_SOURCE), FxRate.of(EUR, USD, EUR_USD)); MarketData marketData = ImmutableMarketData.of(VAL_DATE, marketDataMap); return MarketDataFxRateProvider.of(marketData, OBS_SOURCE, GBP); }
public void cross_specified() { Map<FxRateId, FxRate> marketDataMap = ImmutableMap.of(FxRateId.of(EUR, CHF), FxRate.of(EUR, CHF, EUR_CHF), FxRateId.of(GBP, CHF), FxRate.of(GBP, CHF, GBP_CHF)); MarketData marketData = ImmutableMarketData.of(VAL_DATE, marketDataMap); FxRateProvider fx = MarketDataFxRateProvider.of(marketData, ObservableSource.NONE, CHF); assertEquals(fx.fxRate(GBP, EUR), GBP_CHF / EUR_CHF, 1.0E-10); assertEquals(fx.fxRate(EUR, GBP), EUR_CHF / GBP_CHF, 1.0E-10); assertThrows(() -> fx.fxRate(EUR, USD), MarketDataNotFoundException.class); }
@BeforeClass public void setUp() throws Exception { ScenarioMarketData marketData = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)) .addValue(FxRateId.of(Currency.GBP, Currency.USD), FxRate.of(Currency.GBP, Currency.USD, 1.4d)) .build(); fxRateProvider = ScenarioFxRateProvider.of(marketData); }
public void test_addValueMap() { FxRateId eurGbpId = FxRateId.of(Currency.EUR, Currency.GBP); FxRateId eurUsdId = FxRateId.of(Currency.EUR, Currency.USD); FxRate eurGbpRate = FxRate.of(Currency.EUR, Currency.GBP, 0.8); FxRate eurUsdRate = FxRate.of(Currency.EUR, Currency.USD, 1.1); Map<FxRateId, FxRate> values = ImmutableMap.of( eurGbpId, eurGbpRate, eurUsdId, eurUsdRate); ImmutableScenarioMarketData marketData = ImmutableScenarioMarketData.builder(VAL_DATE) .addValueMap(values) .build(); assertEquals(marketData.getScenarioCount(), 1); assertEquals(marketData.getIds(), ImmutableSet.of(eurGbpId, eurUsdId)); assertEquals(marketData.getValue(eurGbpId), MarketDataBox.ofSingleValue(eurGbpRate)); assertEquals(marketData.getValue(eurUsdId), MarketDataBox.ofSingleValue(eurUsdRate)); }
public void test_addSingleAndList() { FxRateId eurGbpId = FxRateId.of(Currency.EUR, Currency.GBP); FxRateId eurUsdId = FxRateId.of(Currency.EUR, Currency.USD); FxRate eurGbpRate = FxRate.of(Currency.EUR, Currency.GBP, 0.8); FxRate eurUsdRate1 = FxRate.of(Currency.EUR, Currency.USD, 1.1); FxRate eurUsdRate2 = FxRate.of(Currency.EUR, Currency.USD, 1.2); ImmutableScenarioMarketData marketData = ImmutableScenarioMarketData.builder(VAL_DATE) .addValue(eurGbpId, eurGbpRate) .addScenarioValue(eurUsdId, ImmutableList.of(eurUsdRate1, eurUsdRate2)) .build(); assertEquals(marketData.getScenarioCount(), 2); assertEquals(marketData.getIds(), ImmutableSet.of(eurGbpId, eurUsdId)); assertEquals(marketData.getValue(eurGbpId), MarketDataBox.ofSingleValue(eurGbpRate)); assertEquals(marketData.getValue(eurUsdId), MarketDataBox.ofScenarioValues(eurUsdRate1, eurUsdRate2)); }
public void specifySource() { ObservableSource testSource = ObservableSource.of("test"); ScenarioMarketData marketData = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)) .addValue(FxRateId.of(Currency.GBP, Currency.USD), FxRate.of(Currency.GBP, Currency.USD, 1.4d)) .addValue(FxRateId.of(Currency.GBP, Currency.USD, testSource), FxRate.of(Currency.GBP, Currency.USD, 1.41d)) .build(); ScenarioFxRateProvider defaultRateProvider = ScenarioFxRateProvider.of(marketData); ScenarioFxRateProvider sourceRateProvider = ScenarioFxRateProvider.of(marketData, testSource); assertThat(defaultRateProvider.fxRate(Currency.GBP, Currency.USD, 0)).isEqualTo(1.4d); assertThat(sourceRateProvider.fxRate(Currency.GBP, Currency.USD, 0)).isEqualTo(1.41d); } }
public void test_addScenarioValueMap() { FxRateId eurGbpId = FxRateId.of(Currency.EUR, Currency.GBP); FxRateId eurUsdId = FxRateId.of(Currency.EUR, Currency.USD); FxRateScenarioArray eurGbpRates = FxRateScenarioArray.of(Currency.EUR, Currency.GBP, DoubleArray.of(0.79, 0.8, 0.81)); FxRateScenarioArray eurUsdRates = FxRateScenarioArray.of(Currency.EUR, Currency.USD, DoubleArray.of(1.09, 1.1, 1.11)); Map<FxRateId, FxRateScenarioArray> values = ImmutableMap.of( eurGbpId, eurGbpRates, eurUsdId, eurUsdRates); ImmutableScenarioMarketData marketData = ImmutableScenarioMarketData.builder(VAL_DATE) .addScenarioValueMap(values) .build(); assertEquals(marketData.getScenarioCount(), 3); assertEquals(marketData.getIds(), ImmutableSet.of(eurGbpId, eurUsdId)); assertEquals(marketData.getValue(eurGbpId), MarketDataBox.ofScenarioValue(eurGbpRates)); assertEquals(marketData.getValue(eurUsdId), MarketDataBox.ofScenarioValue(eurUsdRates)); }
public void test_addSingleAndBox() { FxRateId eurGbpId = FxRateId.of(Currency.EUR, Currency.GBP); FxRateId eurUsdId = FxRateId.of(Currency.EUR, Currency.USD); FxRate eurGbpRate = FxRate.of(Currency.EUR, Currency.GBP, 0.8); FxRate eurUsdRate1 = FxRate.of(Currency.EUR, Currency.USD, 1.1); FxRate eurUsdRate2 = FxRate.of(Currency.EUR, Currency.USD, 1.2); ImmutableScenarioMarketData marketData = ImmutableScenarioMarketData.builder(VAL_DATE) .addValue(eurGbpId, eurGbpRate) .addBox(eurUsdId, MarketDataBox.ofScenarioValues(eurUsdRate1, eurUsdRate2)) .build(); assertEquals(marketData.getScenarioCount(), 2); assertEquals(marketData.getIds(), ImmutableSet.of(eurGbpId, eurUsdId)); assertEquals(marketData.getValue(eurGbpId), MarketDataBox.ofSingleValue(eurGbpRate)); assertEquals(marketData.getValue(eurUsdId), MarketDataBox.ofScenarioValues(eurUsdRate1, eurUsdRate2)); }
public void test_addBadScenarioCount() { FxRateId eurGbpId = FxRateId.of(Currency.EUR, Currency.GBP); FxRateId eurUsdId = FxRateId.of(Currency.EUR, Currency.USD); FxRate eurGbpRate1 = FxRate.of(Currency.EUR, Currency.GBP, 0.8); FxRate eurGbpRate2 = FxRate.of(Currency.EUR, Currency.GBP, 0.9); FxRate eurGbpRate3 = FxRate.of(Currency.EUR, Currency.GBP, 0.95); FxRate eurUsdRate1 = FxRate.of(Currency.EUR, Currency.USD, 1.1); FxRate eurUsdRate2 = FxRate.of(Currency.EUR, Currency.USD, 1.2); ImmutableScenarioMarketDataBuilder builder = ImmutableScenarioMarketData.builder(VAL_DATE) .addBox(eurGbpId, MarketDataBox.ofScenarioValues(eurGbpRate1, eurGbpRate2, eurGbpRate3)); assertThrowsIllegalArg(() -> builder.addBox(eurUsdId, MarketDataBox.ofScenarioValues(eurUsdRate1, eurUsdRate2))); }
@ImmutablePreBuild private static void preBuild(Builder builder) { if (builder.template != null) { if (builder.label == null) { builder.label = Tenor.of(builder.template.getPeriodToFar()).toString(); } if (builder.fxRateId == null) { builder.fxRateId = FxRateId.of(builder.template.getCurrencyPair()); } else { ArgChecker.isTrue( builder.fxRateId.getPair().toConventional().equals(builder.template.getCurrencyPair().toConventional()), "FxRateId currency pair '{}' must match that of the template '{}'", builder.fxRateId.getPair(), builder.template.getCurrencyPair()); } } }