Package com.opengamma.core.marketdatasnapshot

Examples of com.opengamma.core.marketdatasnapshot.SnapshotDataBundle

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  }

  @Test(expectedExceptions = OpenGammaRuntimeException.class)
  public void testNoConventionForFRA() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double rate = 0.0012345;
    marketValues.setDataPoint(marketDataId, rate);
    final FRANode fraNode = new FRANode(Tenor.SIX_MONTHS, Tenor.NINE_MONTHS, ExternalId.of(SCHEME, "Test"), "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new FRANodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);
    fraNode.accept(converter);
  }
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  }

  @Test(expectedExceptions = OpenGammaRuntimeException.class)
  public void testWrongConventionForFRA() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double rate = 0.0012345;
    marketValues.setDataPoint(marketDataId, rate);
    final FRANode fraNode = new FRANode(Tenor.SIX_MONTHS, Tenor.NINE_MONTHS, FIXED_LEG_ID, "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new FRANodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);
    fraNode.accept(converter);
  }
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  }

  @Test(expectedExceptions = OpenGammaRuntimeException.class)
  public void testNoFutureConvention() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double rate = 0.98;
    marketValues.setDataPoint(marketDataId, rate);
    final RateFutureNode futureNode = new RateFutureNode(1, Tenor.of(Period.ZERO), Tenor.THREE_MONTHS, Tenor.THREE_MONTHS, ExternalId.of(SCHEME, "Test"),
        LIBOR_3M_ID, "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new RateFutureNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);
    futureNode.accept(converter);
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  }

  @Test(expectedExceptions = OpenGammaRuntimeException.class)
  public void testWrongFutureConvention() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double rate = 0.98;
    marketValues.setDataPoint(marketDataId, rate);
    final RateFutureNode futureNode = new RateFutureNode(1, Tenor.of(Period.ZERO), Tenor.THREE_MONTHS,
        Tenor.THREE_MONTHS, FIXED_LEG_ID, LIBOR_3M_ID, "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new RateFutureNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);
    futureNode.accept(converter);
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  }

  @Test(expectedExceptions = OpenGammaRuntimeException.class)
  public void testNoUnderlyingConventionForFuture() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double rate = 0.98;
    marketValues.setDataPoint(marketDataId, rate);
    final RateFutureNode futureNode = new RateFutureNode(1, Tenor.of(Period.ZERO), Tenor.THREE_MONTHS,
        Tenor.THREE_MONTHS, RATE_FUTURE_3M_ID, ExternalId.of(SCHEME, "Test"), "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new RateFutureNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);
    futureNode.accept(converter);
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    }
    assert forwardCurveName != null;
    assert fundingCurveName != null;
    InterpolatedYieldCurveSpecificationWithSecurities fundingCurveSpecificationWithSecurities = null;
    InterpolatedYieldCurveSpecificationWithSecurities forwardCurveSpecificationWithSecurities = null;
    SnapshotDataBundle fundingMarketData = null;
    SnapshotDataBundle forwardMarketData = null;
    HistoricalTimeSeriesBundle fundingTimeSeries = null;
    HistoricalTimeSeriesBundle forwardTimeSeries = null;
    for (final ComputedValue input : inputs.getAllValues()) {
      final String curveName = input.getSpecification().getProperty(ValuePropertyNames.CURVE);
      if (ValueRequirementNames.YIELD_CURVE_SPEC.equals(input.getSpecification().getValueName())) {
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  }

  @Test(expectedExceptions = OpenGammaRuntimeException.class)
  public void testWrongUnderlyingConventionForFuture() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double rate = 0.98;
    marketValues.setDataPoint(marketDataId, rate);
    final RateFutureNode futureNode = new RateFutureNode(1, Tenor.of(Period.ZERO), Tenor.THREE_MONTHS, Tenor.THREE_MONTHS, RATE_FUTURE_3M_ID, FIXED_LEG_ID, "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new RateFutureNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);
    futureNode.accept(converter);
  }
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  }

  @Test(expectedExceptions = OpenGammaRuntimeException.class)
  public void testNoSwapPayFixedLegConvention() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double rate = 0.01;
    marketValues.setDataPoint(marketDataId, rate);
    final SwapNode swapNode = new SwapNode(Tenor.of(Period.ZERO), Tenor.TEN_YEARS, ExternalId.of(SCHEME, "Test"), SWAP_3M_IBOR_ID, "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new SwapNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);
    swapNode.accept(converter);
  }
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  }

  @Test(expectedExceptions = OpenGammaRuntimeException.class)
  public void testWrongSwapPayFixedLegConvention() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double rate = 0.01;
    marketValues.setDataPoint(marketDataId, rate);
    final SwapNode swapNode = new SwapNode(Tenor.of(Period.ZERO), Tenor.TEN_YEARS, FIXED_LEG_ID, LIBOR_3M_ID, "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new SwapNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);
    swapNode.accept(converter);
  }
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  }

  @Test(expectedExceptions = OpenGammaRuntimeException.class)
  public void testNoSwapReceiveFixedLegConvention() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double rate = 0.01;
    marketValues.setDataPoint(marketDataId, rate);
    final SwapNode swapNode = new SwapNode(Tenor.of(Period.ZERO), Tenor.TEN_YEARS, SWAP_3M_IBOR_ID, ExternalId.of(SCHEME, "Test"), "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new SwapNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);
    swapNode.accept(converter);
  }
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Related Classes of com.opengamma.core.marketdatasnapshot.SnapshotDataBundle

  • com.opengamma.engine.marketdata.snapshot.UserMarketDataSnapshot
  • com.opengamma.examples.simulated.function.SyntheticVolatilityCubeMarketDataFunction$CompiledImpl
  • com.opengamma.financial.analytics.curve.CurveMarketDataFunction$MyCompiledFunction
  • com.opengamma.financial.analytics.curve.CurveNodeToDefinitionConverterTest
  • com.opengamma.financial.analytics.ircurve.ImpliedYieldCurveSpecificationFunction$CompiledImpl
  • com.opengamma.financial.analytics.ircurve.InterpolatedYieldAndDiscountCurveFunction
  • com.opengamma.financial.analytics.ircurve.YieldCurveMarketDataFunction
  • com.opengamma.financial.analytics.ircurve.YieldCurveMarketDataFunction$CompiledImpl
  • com.opengamma.financial.analytics.ircurve.YieldCurveMarketDataShiftFunction
  • com.opengamma.financial.analytics.ircurve.YieldCurveSpecificationFunction$CompiledImpl
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