private ViewConfig createIrsPricerConfig() {
return configureView(
"IRS Pricer",
config(
arguments(
function(
MarketExposureSelector.class,
argument(
"exposureFunctions",
ConfigLink.resolved(InterestRateMockSources.mockExposureFunctions()))),
function(
RootFinderConfiguration.class,
argument("rootFinderAbsoluteTolerance", 1e-10),
argument("rootFinderRelativeTolerance", 1e-10),
argument("rootFinderMaxIterations", 5000)),
function(
DefaultCurrencyPairsFn.class,
argument("currencyPairs", ImmutableSet.of(/*no pairs*/ ))),
function(
DefaultCurveNodeConverterFn.class,
argument("timeSeriesDuration", RetrievalPeriod.of(Period.ofYears(1)))),
function(
DefaultDiscountingMulticurveBundleFn.class,
argument("impliedCurveNames", StringSet.of())))),
column("Present Value", output(OutputNames.PRESENT_VALUE, InterestRateSwapSecurity.class)),
column("PV01", output(OutputNames.PV01, InterestRateSwapSecurity.class)));
}
private ViewConfig createCurveBundleConfig(String curveBundleOutputName) {
CurveConstructionConfiguration curveConstructionConfiguration =
ConfigLink.resolvable("USD_ON-OIS_LIBOR3M-FRAIRS_1U", CurveConstructionConfiguration.class)
.resolve();
return configureView(
"Curve Bundle only",
nonPortfolioOutput(
curveBundleOutputName,
output(
OutputNames.DISCOUNTING_MULTICURVE_BUNDLE,
config(
arguments(
function(
RootFinderConfiguration.class,
argument("rootFinderAbsoluteTolerance", 1e-9),
argument("rootFinderRelativeTolerance", 1e-9),
argument("rootFinderMaxIterations", 1000)),
function(
DefaultCurveNodeConverterFn.class,
argument("timeSeriesDuration", RetrievalPeriod.of(Period.ofYears(1)))),
function(
DefaultDiscountingMulticurveBundleResolverFn.class,
argument("curveConfig", curveConstructionConfiguration)),
function(
DefaultDiscountingMulticurveBundleFn.class,
argument("impliedCurveNames", StringSet.of())))))));
}
@BeforeClass
public void setUpClass() {
ImmutableMap<Class<?>, Object> components = generateComponents();
VersionCorrectionProvider vcProvider = new FixedInstantVersionCorrectionProvider(Instant.now());
ServiceContext serviceContext =
ServiceContext.of(components).with(VersionCorrectionProvider.class, vcProvider);
ThreadLocalServiceContext.init(serviceContext);
ComponentMap componentMap = ComponentMap.of(components);
MarketDataSource marketDataSource =
InterestRateMockSources.createMarketDataSource(MARKET_DATA_DATE, true);
TestMarketDataFactory marketDataFactory = new TestMarketDataFactory(marketDataSource);
ConfigLink<CurrencyMatrix> currencyMatrixLink =
ConfigLink.resolved(componentMap.getComponent(CurrencyMatrix.class));
List<MarketDataBuilder> builders =
MarketDataBuilders.standard(componentMap, "dataSource", currencyMatrixLink);
MarketDataEnvironmentFactory environmentFactory =
new MarketDataEnvironmentFactory(marketDataFactory, builders);
_functionRunner = new FunctionRunner(environmentFactory);
_normalIRFutureOptionFn =
FunctionModel.build(IRFutureOptionFn.class, normalConfig(), componentMap);
_blackIRFutureOptionFn =
FunctionModel.build(IRFutureOptionFn.class, blackConfig(), componentMap);
}
private FunctionModelConfig normalConfig() {
FunctionModelConfig config =
config(
arguments(
function(
MarketExposureSelector.class,
argument(
"exposureFunctions",
ConfigLink.resolved(InterestRateMockSources.mockExposureFunctions()))),
function(
RootFinderConfiguration.class,
argument("rootFinderAbsoluteTolerance", 1e-9),
argument("rootFinderRelativeTolerance", 1e-9),
argument("rootFinderMaxIterations", 1000)),
function(
TestIRFutureOptionNormalSurfaceProviderFn.class,
argument("moneynessOnPrice", false)),
function(
DefaultCurveNodeConverterFn.class,
argument("timeSeriesDuration", RetrievalPeriod.of(Period.ofYears(1))))),
implementations(
IRFutureOptionFn.class, DefaultIRFutureOptionFn.class,
IRFutureOptionCalculatorFactory.class, IRFutureOptionNormalCalculatorFactory.class,
CurveSpecificationMarketDataFn.class, DefaultCurveSpecificationMarketDataFn.class,
FXMatrixFn.class, DefaultFXMatrixFn.class,
CurveDefinitionFn.class, DefaultCurveDefinitionFn.class,
CurveLabellingFn.class, CurveDefinitionCurveLabellingFn.class,
CurveSpecificationFn.class, DefaultCurveSpecificationFn.class,
CurveConstructionConfigurationSource.class,
ConfigDBCurveConstructionConfigurationSource.class,
CurveNodeConverterFn.class, DefaultCurveNodeConverterFn.class,
HistoricalMarketDataFn.class, DefaultHistoricalMarketDataFn.class,
FixingsFn.class, DefaultFixingsFn.class,
MarketDataFn.class, DefaultMarketDataFn.class,
CurveSelector.class, MarketExposureSelector.class,
IRFutureOptionNormalSurfaceProviderFn.class,
TestIRFutureOptionNormalSurfaceProviderFn.class,
DiscountingMulticurveCombinerFn.class, CurveSelectorMulticurveBundleFn.class));
return config;
}