public void requirements() {
MarketDataFeed marketDataFeed = MarketDataFeed.of("MarketDataVendor");
MarketDataMappings marketDataMappings =
DefaultMarketDataMappings.builder()
.mappings(ImmutableMap.of(TestKey.class, new TestMapping("foo")))
.marketDataFeed(marketDataFeed)
.build();
CalculationTask task =
new CalculationTask(
new TestTarget(), 0, 0, new TestFunction(), marketDataMappings, ReportingRules.empty());
MarketDataRequirements requirements = task.requirements();
Set<? extends MarketDataId<?>> nonObservables = requirements.getNonObservables();
ImmutableSet<? extends ObservableId> observables = requirements.getObservables();
ImmutableSet<ObservableId> timeSeries = requirements.getTimeSeries();
MarketDataId<?> timeSeriesId = TestObservableKey.of("3").toMarketDataId(marketDataFeed);
assertThat(timeSeries).hasSize(1);
assertThat(timeSeries.iterator().next()).isEqualTo(timeSeriesId);
MarketDataId<?> nonObservableId = TestId.of("1");
assertThat(nonObservables).hasSize(1);
assertThat(nonObservables.iterator().next()).isEqualTo(nonObservableId);
MarketDataId<?> observableId = TestObservableKey.of("2").toMarketDataId(marketDataFeed);
assertThat(observables).hasSize(1);
assertThat(observables.iterator().next()).isEqualTo(observableId);
}
/** Test a non-convertible result is returned even if there is no reporting currency. */
public void nonConvertibleResultReturnedWhenNoReportingCurrency() {
TestFunction fn = new TestFunction();
CalculationTask task = new CalculationTask(TARGET, 0, 0, fn, MAPPINGS, ReportingRules.empty());
CalculationEnvironment marketData =
CalculationEnvironment.builder().valuationDate(date(2011, 3, 8)).build();
CalculationResult calculationResult = task.execute(marketData);
Result<?> result = calculationResult.getResult();
assertThat(result).hasValue("bar");
}
/** Test a failure is returned for a convertible value if there is no reporting currency. */
public void convertResultCurrencyNoReportingCurrency() {
DoubleArray values = DoubleArray.of(1, 2, 3);
List<FxRate> rates =
ImmutableList.of(1.61, 1.62, 1.63)
.stream()
.map(rate -> FxRate.of(Currency.GBP, Currency.USD, rate))
.collect(toImmutableList());
CurrencyValuesArray list = CurrencyValuesArray.of(Currency.GBP, values);
CalculationEnvironment marketData =
CalculationEnvironment.builder()
.valuationDate(date(2011, 3, 8))
.addValue(FxRateId.of(Currency.GBP, Currency.USD), rates)
.build();
ConvertibleFunction fn = ConvertibleFunction.of(() -> list);
ReportingRules reportingRules = ReportingRules.empty();
CalculationTask task = new CalculationTask(TARGET, 0, 0, fn, MAPPINGS, reportingRules);
CalculationResult calculationResult = task.execute(marketData);
Result<?> result = calculationResult.getResult();
assertThat(result).hasFailureMessageMatching("No reporting currency available.*");
}
/**
* Test that the result is converted to the reporting currency if it implements
* CurrencyConvertible and the FX rates are available in the market data. The default reporting
* currency is taken from the function.
*/
public void convertResultCurrencyUsingDefaultReportingCurrency() {
DoubleArray values = DoubleArray.of(1, 2, 3);
List<FxRate> rates =
ImmutableList.of(1.61, 1.62, 1.63)
.stream()
.map(rate -> FxRate.of(Currency.GBP, Currency.USD, rate))
.collect(toImmutableList());
CurrencyValuesArray list = CurrencyValuesArray.of(Currency.GBP, values);
CalculationEnvironment marketData =
CalculationEnvironment.builder()
.valuationDate(date(2011, 3, 8))
.addValue(FxRateId.of(Currency.GBP, Currency.USD), rates)
.build();
ConvertibleFunction fn = ConvertibleFunction.of(() -> list, Currency.USD);
CalculationTask task = new CalculationTask(TARGET, 0, 0, fn, MAPPINGS, ReportingRules.empty());
DoubleArray expectedValues = DoubleArray.of(1 * 1.61, 2 * 1.62, 3 * 1.63);
CurrencyValuesArray expectedArray = CurrencyValuesArray.of(Currency.USD, expectedValues);
CalculationResult calculationResult = task.execute(marketData);
Result<?> result = calculationResult.getResult();
assertThat(result).hasValue(expectedArray);
}
