/**
* Creates a rates provider from a set of market data containing a single discounting curve, and
* forward curves and fixing series for a given set of indices. All curves are overridden by a
* given replacement.
*
* @param marketData the market data
* @param currency the currency of the discounting curve
* @param indices the indices
* @param curveOverride the curve override
* @return the rates provider
*/
public static RatesProvider toSingleCurveRatesProvider(
SingleCalculationMarketData marketData,
Currency currency,
Set<? extends Index> indices,
NodalCurve curveOverride) {
// TODO - we should be able to replace curves more easily than having to pick out all the
// market data into a new rates provider.
return ImmutableRatesProvider.builder()
.valuationDate(marketData.getValuationDate())
.discountCurves(ImmutableMap.of(currency, curveOverride))
.indexCurves(
indices.stream().collect(toImmutableMap(Function.identity(), k -> curveOverride)))
.timeSeries(
indices
.stream()
.collect(
toImmutableMap(
Function.identity(), k -> marketData.getTimeSeries(IndexRateKey.of(k)))))
.build();
}
public void coverage_functions() {
Currency ccy1 = TRADE.getProduct().getNonDeliverableCurrency();
Currency ccy2 = TRADE.getProduct().getSettlementCurrency();
LocalDate valDate = TRADE.getProduct().getPaymentDate().plusDays(7);
Curve df = ConstantNodalCurve.of(Curves.discountFactors("Test", ACT_360), 0.99);
FxRate fxRate = FxRate.of(ccy1, ccy2, 1.6d);
TestMarketDataMap md =
new TestMarketDataMap(
valDate,
ImmutableMap.of(
DiscountCurveKey.of(ccy1), df,
DiscountCurveKey.of(ccy2), df,
FxRateKey.of(ccy1, ccy2), fxRate),
ImmutableMap.of(
IndexRateKey.of(GBP_USD_WM),
LocalDateDoubleTimeSeries.of(date(2015, 3, 17), 1.45d)));
assertNotNull(new FxNdfBucketedPv01Function().execute(TRADE, md));
assertNotNull(new FxNdfCurrencyExposureFunction().execute(TRADE, md));
assertNotNull(new FxNdfForwardFxRateFunction().execute(TRADE, md));
assertNotNull(new FxNdfPv01Function().execute(TRADE, md));
assertNotNull(new FxNdfPvFunction().execute(TRADE, md));
}
