public void convertCurrencyAmount() {
    List<FxRate> rates =
        ImmutableList.of(
            FxRate.of(Currency.GBP, Currency.USD, 1.61),
            FxRate.of(Currency.GBP, Currency.USD, 1.62),
            FxRate.of(Currency.GBP, Currency.USD, 1.63));
    CalculationEnvironment marketData =
        MarketEnvironment.builder()
            .valuationDate(date(2011, 3, 8))
            .addValue(FxRateId.of(Currency.GBP, Currency.USD), rates)
            .build();
    MarketDataMappings mappings = MarketDataMappings.of(MarketDataFeed.NONE);
    DefaultCalculationMarketData calculationMarketData =
        DefaultCalculationMarketData.of(marketData, mappings);

    SingleScenarioResult<CurrencyAmount> test =
        SingleScenarioResult.of(3, CurrencyAmount.of(Currency.GBP, 2));

    ScenarioResult<?> convertedList = test.convertedTo(Currency.USD, calculationMarketData);
    List<CurrencyAmount> expectedValues =
        ImmutableList.of(
            CurrencyAmount.of(Currency.USD, 2 * 1.61),
            CurrencyAmount.of(Currency.USD, 2 * 1.62),
            CurrencyAmount.of(Currency.USD, 2 * 1.63));
    DefaultScenarioResult<CurrencyAmount> expectedList = DefaultScenarioResult.of(expectedValues);
    assertThat(convertedList).isEqualTo(expectedList);
  }
Esempio n. 2
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@Test
public class CalculationTaskTest {

  private static final MarketDataMappings MAPPINGS = MarketDataMappings.of(MarketDataFeed.NONE);
  private static final ReportingRules REPORTING_RULES = ReportingRules.fixedCurrency(Currency.USD);
  private static final TestTarget TARGET = new TestTarget();

  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 that the result is converted to the reporting currency if it implements
   * CurrencyConvertible and the FX rates are available in the market data. The reporting currency
   * is taken from the reporting rules.
   */
  public void convertResultCurrencyUsingReportingRules() {
    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);
    CalculationTask task = new CalculationTask(TARGET, 0, 0, fn, MAPPINGS, REPORTING_RULES);

    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);
  }

  /**
   * 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);
  }

  /** Test that the result is returned unchanged if it is a failure. */
  public void convertResultCurrencyFailure() {
    ConvertibleFunction fn =
        ConvertibleFunction.of(
            () -> {
              throw new RuntimeException("This is a failure");
            });
    CalculationTask task = new CalculationTask(TARGET, 0, 0, fn, MAPPINGS, REPORTING_RULES);
    CalculationEnvironment marketData =
        CalculationEnvironment.builder().valuationDate(date(2011, 3, 8)).build();

    CalculationResult calculationResult = task.execute(marketData);
    Result<?> result = calculationResult.getResult();
    assertThat(result).hasFailureMessageMatching("This is a failure");
  }

  /** Test the result is returned unchanged if it is not CurrencyConvertible. */
  public void convertResultCurrencyNotConvertible() {
    TestFunction fn = new TestFunction();
    CalculationTask task = new CalculationTask(TARGET, 0, 0, fn, MAPPINGS, REPORTING_RULES);
    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 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 that a failure is returned if currency conversion fails. */
  public void convertResultCurrencyConversionFails() {
    DoubleArray values = DoubleArray.of(1, 2, 3);
    CurrencyValuesArray list = CurrencyValuesArray.of(Currency.GBP, values);
    // Market data doesn't include FX rates, conversion to USD will fail
    CalculationEnvironment marketData =
        CalculationEnvironment.builder().valuationDate(date(2011, 3, 8)).build();
    ConvertibleFunction fn = ConvertibleFunction.of(() -> list);
    CalculationTask task = new CalculationTask(TARGET, 0, 0, fn, MAPPINGS, REPORTING_RULES);

    CalculationResult calculationResult = task.execute(marketData);
    Result<?> result = calculationResult.getResult();
    assertThat(result).hasFailureMessageMatching("Failed to convert value .* to currency USD");
  }

  /** Tests that executing a function wraps its return value in a success result. */
  public void execute() {
    SupplierFunction<String> fn = SupplierFunction.of(() -> "foo");
    CalculationTask task = new CalculationTask(TARGET, 0, 0, fn, MAPPINGS, REPORTING_RULES);
    CalculationEnvironment marketData =
        CalculationEnvironment.builder().valuationDate(date(2011, 3, 8)).build();

    CalculationResult calculationResult = task.execute(marketData);
    Result<?> result = calculationResult.getResult();
    assertThat(result).hasValue("foo");
  }

  /**
   * Tests that executing a function that throws an exception wraps the exception in a failure
   * result.
   */
  public void executeException() {
    SupplierFunction<String> fn =
        SupplierFunction.of(
            () -> {
              throw new IllegalArgumentException("foo");
            });
    CalculationTask task = new CalculationTask(TARGET, 0, 0, fn, MAPPINGS, REPORTING_RULES);
    CalculationEnvironment marketData =
        CalculationEnvironment.builder().valuationDate(date(2011, 3, 8)).build();

    CalculationResult calculationResult = task.execute(marketData);
    Result<?> result = calculationResult.getResult();
    assertThat(result).isFailure(FailureReason.ERROR).hasFailureMessageMatching("foo");
  }

  /**
   * Tests that executing a function that returns a success result returns the underlying result
   * without wrapping it.
   */
  public void executeSuccessResultValue() {
    SupplierFunction<Result<String>> fn = SupplierFunction.of(() -> Result.success("foo"));
    CalculationTask task = new CalculationTask(TARGET, 0, 0, fn, MAPPINGS, REPORTING_RULES);
    CalculationEnvironment marketData =
        CalculationEnvironment.builder().valuationDate(date(2011, 3, 8)).build();

    CalculationResult calculationResult = task.execute(marketData);
    Result<?> result = calculationResult.getResult();
    assertThat(result).hasValue("foo");
  }

  /**
   * Tests that executing a function that returns a failure result returns the underlying result
   * without wrapping it.
   */
  public void executeFailureResultValue() {
    SupplierFunction<Result<String>> fn =
        SupplierFunction.of(() -> Result.failure(FailureReason.NOT_APPLICABLE, "bar"));
    CalculationTask task = new CalculationTask(TARGET, 0, 0, fn, MAPPINGS, REPORTING_RULES);
    CalculationEnvironment marketData =
        CalculationEnvironment.builder().valuationDate(date(2011, 3, 8)).build();

    CalculationResult calculationResult = task.execute(marketData);
    Result<?> result = calculationResult.getResult();
    assertThat(result).isFailure(FailureReason.NOT_APPLICABLE).hasFailureMessageMatching("bar");
  }

  /**
   * Tests that requirements are added for the FX rates needed to convert the results into the
   * reporting currency.
   */
  public void fxConversionRequirements() {
    OutputCurrenciesFunction fn = new OutputCurrenciesFunction();
    CalculationTask task = new CalculationTask(TARGET, 0, 0, fn, MAPPINGS, REPORTING_RULES);
    MarketDataRequirements requirements = task.requirements();

    assertThat(requirements.getNonObservables())
        .containsOnly(
            FxRateId.of(Currency.GBP, Currency.USD), FxRateId.of(Currency.EUR, Currency.USD));
  }

  // --------------------------------------------------------------------------------------------------------------------

  private static class TestTarget implements CalculationTarget {}

  /** Function that returns a value that is not currency convertible. */
  public static final class TestFunction implements CalculationSingleFunction<TestTarget, Object> {

    @Override
    public FunctionRequirements requirements(TestTarget target) {
      return FunctionRequirements.builder()
          .singleValueRequirements(ImmutableSet.of(TestKey.of("1"), TestObservableKey.of("2")))
          .timeSeriesRequirements(TestObservableKey.of("3"))
          .build();
    }

    @Override
    public Object execute(TestTarget target, CalculationMarketData marketData) {
      return "bar";
    }
  }

  /** Function that returns a value that is currency convertible. */
  private static final class ConvertibleFunction
      implements CalculationSingleFunction<TestTarget, CurrencyValuesArray> {

    private final Supplier<CurrencyValuesArray> supplier;
    private final Optional<Currency> reportingCurrency;

    public static ConvertibleFunction of(Supplier<CurrencyValuesArray> supplier) {
      return new ConvertibleFunction(supplier, Optional.<Currency>empty());
    }

    public static ConvertibleFunction of(
        Supplier<CurrencyValuesArray> supplier, Currency reportingCurrency) {
      return new ConvertibleFunction(supplier, Optional.of(reportingCurrency));
    }

    private ConvertibleFunction(
        Supplier<CurrencyValuesArray> supplier, Optional<Currency> reportingCurrency) {
      this.supplier = supplier;
      this.reportingCurrency = reportingCurrency;
    }

    @Override
    public CurrencyValuesArray execute(TestTarget target, CalculationMarketData marketData) {
      return supplier.get();
    }

    @Override
    public FunctionRequirements requirements(TestTarget target) {
      return FunctionRequirements.empty();
    }

    @Override
    public Optional<Currency> defaultReportingCurrency(TestTarget target) {
      return reportingCurrency;
    }
  }

  /** Function that returns a value from a Supplier. */
  private static final class SupplierFunction<T>
      implements CalculationSingleFunction<TestTarget, T> {

    private final Supplier<T> supplier;

    public static <T> SupplierFunction<T> of(Supplier<T> supplier) {
      return new SupplierFunction<>(supplier);
    }

    private SupplierFunction(Supplier<T> supplier) {
      this.supplier = supplier;
    }

    @Override
    public T execute(TestTarget target, CalculationMarketData marketData) {
      return supplier.get();
    }

    @Override
    public FunctionRequirements requirements(TestTarget target) {
      return FunctionRequirements.empty();
    }
  }

  /** Function that returns requirements containing output currencies. */
  private static final class OutputCurrenciesFunction
      implements CalculationSingleFunction<TestTarget, Object> {

    @Override
    public Object execute(TestTarget target, CalculationMarketData marketData) {
      throw new UnsupportedOperationException("execute not implemented");
    }

    @Override
    public FunctionRequirements requirements(TestTarget target) {
      return FunctionRequirements.builder()
          .outputCurrencies(Currency.GBP, Currency.EUR, Currency.USD)
          .build();
    }
  }
}