@Override public FxOptionVolatilitiesName getName() { return FxOptionVolatilitiesName.of(curve.getName().getName()); }
private static void writeCurveGroup(CsvOutput csv, RatesCurveGroup group) { String groupName = group.getName().getName(); Map<Currency, Curve> discountingCurves = group.getDiscountCurves(); for (Entry<Currency, Curve> entry : discountingCurves.entrySet()) { List<String> line = new ArrayList<>(4); line.add(groupName); line.add(DISCOUNT); line.add(entry.getKey().toString()); line.add(entry.getValue().getName().getName()); csv.writeLine(line); } Map<Index, Curve> forwardCurves = group.getForwardCurves(); for (Entry<Index, Curve> entry : forwardCurves.entrySet()) { List<String> line = new ArrayList<>(4); line.add(groupName); line.add(FORWARD); line.add(entry.getKey().toString()); line.add(entry.getValue().getName().getName()); csv.writeLine(line); } }
private static List<String> curveSettings(Curve curve) { ArgChecker.isTrue(curve instanceof InterpolatedNodalCurve, "Curve must be an InterpolatedNodalCurve"); if (!VALUE_TYPE_MAP.inverse().containsKey(curve.getMetadata().getYValueType())) { throw new IllegalArgumentException( Messages.format("Unsupported ValueType in curve settings: {}", curve.getMetadata().getYValueType())); } InterpolatedNodalCurve interpolatedCurve = (InterpolatedNodalCurve) curve; List<String> line = new ArrayList<>(); line.add(curve.getName().getName()); line.add(VALUE_TYPE_MAP.inverse().get(curve.getMetadata().getYValueType())); line.add(curve.getMetadata().getInfo(CurveInfoType.DAY_COUNT).toString()); line.add(interpolatedCurve.getInterpolator().toString()); line.add(interpolatedCurve.getExtrapolatorLeft().toString()); line.add(interpolatedCurve.getExtrapolatorRight().toString()); return line; }
private static Currency parseCurrency(CsvRow row, CurveName reference) { Optional<String> currencyStr = row.findValue(CURRENCY_HEADER); if (currencyStr.isPresent()) { return LoaderUtils.parseCurrency(currencyStr.get()); } String referenceStr = reference.getName().toUpperCase(Locale.ENGLISH); try { Optional<IborIndex> ibor = IborIndex.extendedEnum().find(referenceStr); if (ibor.isPresent()) { return ibor.get().getCurrency(); } else { Optional<FloatingRateName> frName = FloatingRateName.extendedEnum().find(referenceStr); if (frName.isPresent()) { return frName.get().getCurrency(); } else if (referenceStr.length() == 3) { return Currency.of(referenceStr); } else if (referenceStr.length() > 3 && referenceStr.charAt(3) == '-' || referenceStr.charAt(3) == '_') { return LoaderUtils.parseCurrency(referenceStr.substring(0, 3)); } else { // drop out to exception } } } catch (RuntimeException ex) { // drop out to exception } throw new IllegalArgumentException("Unable to parse currency from reference, consider adding a 'Currency' column"); }
private static void writeCurveGroupDefinition(CsvOutput csv, RatesCurveGroupDefinition group) { String groupName = group.getName().getName(); for (RatesCurveGroupEntry entry : group.getEntries()) { for (Currency currency : entry.getDiscountCurrencies()) { csv.writeLine( ImmutableList.of(groupName, DISCOUNT, currency.toString(), entry.getCurveName().getName())); } for (Index index : entry.getIndices()) { csv.writeLine( ImmutableList.of(groupName, FORWARD, index.toString(), entry.getCurveName().getName())); } } }
private static void nodeLines(String valuationDateStr, Curve curve, CsvOutput csv) { ArgChecker.isTrue(curve instanceof InterpolatedNodalCurve, "interpolated"); InterpolatedNodalCurve interpolatedCurve = (InterpolatedNodalCurve) curve; int nbPoints = interpolatedCurve.getXValues().size(); for (int i = 0; i < nbPoints; i++) { ArgChecker.isTrue( interpolatedCurve.getParameterMetadata(i) instanceof DatedParameterMetadata, "Curve metadata must contain a date, but was " + interpolatedCurve.getParameterMetadata(i).getClass().getSimpleName()); DatedParameterMetadata metadata = (DatedParameterMetadata) interpolatedCurve.getParameterMetadata(i); List<String> line = new ArrayList<>(); line.add(valuationDateStr); line.add(curve.getName().getName().toString()); line.add(metadata.getDate().toString()); line.add(BigDecimal.valueOf(interpolatedCurve.getYValues().get(i)).toPlainString()); line.add(metadata.getLabel()); csv.writeLine(line); } }
private RatesCurveGroupEntry findEntry(RatesCurveGroupDefinition defn, String curveName) { return defn.getEntries().stream().filter(d -> d.getCurveName().getName().equals(curveName)).findFirst().get(); }
public void test_of() { CurveName test = CurveName.of("Foo"); assertEquals(test.getName(), "Foo"); assertEquals(test.getMarketDataType(), Curve.class); assertEquals(test.toString(), "Foo"); assertEquals(test.compareTo(CurveName.of("Goo")) < 0, true); }
/** * Creates a curve as the sum of a base curve and a spread curve. * <p> * The metadata of the combined curve will be created form the base curve and spread curve. * * @param baseCurve the base curve * @param spreadCurve the spread curve * @return the combined curve */ public static CombinedCurve of(Curve baseCurve, Curve spreadCurve) { CurveMetadata baseMetadata = baseCurve.getMetadata(); CurveMetadata spreadMetadata = spreadCurve.getMetadata(); List<ParameterMetadata> paramMeta = Stream.concat( IntStream.range(0, baseCurve.getParameterCount()) .mapToObj(i -> baseCurve.getParameterMetadata(i)), IntStream.range(0, spreadCurve.getParameterCount()) .mapToObj(i -> spreadCurve.getParameterMetadata(i))) .collect(toImmutableList()); DefaultCurveMetadataBuilder metadataBuilder = DefaultCurveMetadata.builder() .curveName(baseCurve.getName().getName() + "+" + spreadMetadata.getCurveName().getName()) .xValueType(baseMetadata.getXValueType()) .yValueType(baseMetadata.getYValueType()) .parameterMetadata(paramMeta); if (baseMetadata.findInfo(CurveInfoType.DAY_COUNT).isPresent()) { metadataBuilder.addInfo( CurveInfoType.DAY_COUNT, baseMetadata.getInfo(CurveInfoType.DAY_COUNT)); } return of(baseCurve, spreadCurve, metadataBuilder.build()); }
public void test_builder() { BlackFxOptionFlatVolatilities test = BlackFxOptionFlatVolatilities.builder() .currencyPair(CURRENCY_PAIR) .curve(CURVE) .valuationDateTime(VAL_DATE_TIME) .build(); assertEquals(test.getValuationDateTime(), VAL_DATE_TIME); assertEquals(test.getCurrencyPair(), CURRENCY_PAIR); assertEquals(test.getName(), FxOptionVolatilitiesName.of(CURVE.getName().getName())); assertEquals(test.getCurve(), CURVE); assertEquals(VOLS, test); }