Examples of SnapshotDataBundle

com.opengamma.core.marketdatasnapshot.SnapshotDataBundle
A bundle of data to use in some structured context.
This class is mutable and not thread-safe.

Examples of com.opengamma.core.marketdatasnapshot.SnapshotDataBundle

  }


  @Test(expectedExceptions = OpenGammaRuntimeException.class)
  public void testWrongSwapReceiveFixedLegConvention() {
    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, LIBOR_3M_ID, FIXED_LEG_ID, "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new SwapNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);
    swapNode.accept(converter);
  }

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Examples of com.opengamma.core.marketdatasnapshot.SnapshotDataBundle

  }


  @Test(expectedExceptions = OpenGammaRuntimeException.class)
  public void testNoSwapPayOISLegConvention() {
    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"), FIXED_LEG_ID, "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new SwapNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);
    swapNode.accept(converter);
  }

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Examples of com.opengamma.core.marketdatasnapshot.SnapshotDataBundle

  }


  @Test(expectedExceptions = OpenGammaRuntimeException.class)
  public void testNoSwapReceiveOISLegConvention() {
    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, 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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Examples of com.opengamma.core.marketdatasnapshot.SnapshotDataBundle

  }


  @Test(expectedExceptions = OpenGammaRuntimeException.class)
  public void testWrongSwapFloatLegIborConvention() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double rate = 0.01;
    marketValues.setDataPoint(marketDataId, rate);
    final VanillaIborLegConvention iborConvention = new VanillaIborLegConvention("Test", ExternalIdBundle.of(ExternalId.of(SCHEME, "Test")),
        SWAP_6M_IBOR_ID, false, SCHEME, Tenor.THREE_MONTHS, 2, false, StubType.NONE, false, 3);
    final Map<ExternalId, Convention> conventions = new HashMap<>();
    conventions.put(FIXED_LEG_ID, FIXED_LEG);
    conventions.put(SWAP_3M_IBOR_ID, SWAP_3M_LIBOR);

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Examples of com.opengamma.core.marketdatasnapshot.SnapshotDataBundle

  }


  @Test(expectedExceptions = OpenGammaRuntimeException.class)
  public void testNullFXForwardConvention() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double forward = 1.5;
    marketValues.setDataPoint(marketDataId, forward);
    final FXForwardNode node = new FXForwardNode(Tenor.of(Period.ZERO), Tenor.ONE_YEAR, FX_FORWARD_ID, Currency.USD, Currency.CAD, "Mapper");
    final Map<ExternalId, Convention> conventions = Collections.<ExternalId, Convention>emptyMap();
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new FXForwardNodeConverter(new TestConventionSource(conventions), HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);
    node.accept(converter);

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Examples of com.opengamma.core.marketdatasnapshot.SnapshotDataBundle

  }


  @Test(expectedExceptions = OpenGammaRuntimeException.class)
  public void testNullFXSpotConvention() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double forward = 1.5;
    marketValues.setDataPoint(marketDataId, forward);
    final FXForwardNode node = new FXForwardNode(Tenor.of(Period.ZERO), Tenor.ONE_YEAR, FX_FORWARD_ID, Currency.USD, Currency.CAD, "Mapper");
    final Map<ExternalId, Convention> conventions = new HashMap<>();
    conventions.put(FX_FORWARD_ID, FX_FORWARD);
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new FXForwardNodeConverter(new TestConventionSource(conventions), HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);

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Examples of com.opengamma.core.marketdatasnapshot.SnapshotDataBundle

  }


  @Test(expectedExceptions = OpenGammaRuntimeException.class)
  public void testWrongConventionForFXForward() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double forward = 1.5;
    marketValues.setDataPoint(marketDataId, forward);
    final FXForwardNode node = new FXForwardNode(Tenor.of(Period.ZERO), Tenor.ONE_YEAR, SWAP_3M_IBOR_ID, Currency.USD, Currency.CAD, "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new FXForwardNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);
    node.accept(converter);
  }

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Examples of com.opengamma.core.marketdatasnapshot.SnapshotDataBundle

  }


  @Test(expectedExceptions = OpenGammaRuntimeException.class)
  public void testWrongUnderlyingConventionForFXForward() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double forward = 1.5;
    marketValues.setDataPoint(marketDataId, forward);
    final FXForwardAndSwapConvention fxForward = new FXForwardAndSwapConvention("FX Forward", ExternalIdBundle.of(ExternalId.of(SCHEME, "FX Forward")), LIBOR_1M_ID, MODIFIED_FOLLOWING, false, US);
    final FXForwardNode node = new FXForwardNode(Tenor.of(Period.ZERO), Tenor.ONE_YEAR, ExternalId.of(SCHEME, "FX Forward"), Currency.USD, Currency.CAD, "Mapper");
    final Map<ExternalId, Convention> conventions = new HashMap<>();
    conventions.put(FX_FORWARD_ID, fxForward);
    conventions.put(LIBOR_1M_ID, LIBOR_1M);

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Examples of com.opengamma.core.marketdatasnapshot.SnapshotDataBundle


  @Test
  public void testOneDayDeposit() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "US1d");
    final double rate = 0.0012345;
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    marketValues.setDataPoint(marketDataId, rate);
    final ZonedDateTime now = DateUtils.getUTCDate(2013, 5, 1);
    final CurveNode cashNode = new CashNode(Tenor.of(Period.ZERO), Tenor.ONE_DAY, DEPOSIT_1D_ID, "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new CashNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE, marketValues, marketDataId, now);
    final InstrumentDefinition<?> definition = cashNode.accept(converter);
    assertTrue(definition instanceof CashDefinition);

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Examples of com.opengamma.core.marketdatasnapshot.SnapshotDataBundle


  @Test
  public void testOneMonthDeposit() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "US1d");
    final double rate = 0.0012345;
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    marketValues.setDataPoint(marketDataId, rate);
    ZonedDateTime now = DateUtils.getUTCDate(2013, 2, 4);
    CurveNode cashNode = new CashNode(Tenor.of(Period.ZERO), Tenor.ONE_MONTH, DEPOSIT_1M_ID, "Mapper");
    CurveNodeVisitor<InstrumentDefinition<?>> converter = new CashNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE, marketValues, marketDataId, now);
    InstrumentDefinition<?> definition = cashNode.accept(converter);
    assertTrue(definition instanceof CashDefinition);

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