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 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;
}
