@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);
}
public void testPricingMethodCanBeCaptured() {
// Test that we can capture results when we have trades/securities involved
AvailableOutputs availableOutputs = createAvailableOutputs();
AvailableImplementations availableImplementations = createAvailableImplementations();
ViewFactory viewFactory =
EngineTestUtils.createViewFactory(
InterestRateMockSources.generateBaseComponents(),
availableOutputs,
availableImplementations);
// Run view
View view = viewFactory.createView(createIrsPricerConfig(), InterestRateSwapSecurity.class);
VersionCorrection versionCorrection =
ThreadLocalServiceContext.getInstance()
.get(VersionCorrectionProvider.class)
.getConfigVersionCorrection();
CycleArguments cycleArguments =
CycleArguments.builder(InterestRateMockSources.createMarketDataEnvironment())
.versionCorrection(versionCorrection)
.captureInputs(true)
.build();
Results run = view.run(cycleArguments, ImmutableList.of(createFixedVsLibor3mSwap()));
Result<Object> pvResult = run.get(0, 0).getResult();
if (!pvResult.isSuccess()) {
fail(pvResult.toString());
}
Result<Object> pv01Result = run.get(0, 1).getResult();
if (!pv01Result.isSuccess()) {
fail(pv01Result.toString());
}
// Capture results
ViewResultsSerializer serializer = new ViewResultsSerializer(run);
// Write inputs to stream
ByteArrayOutputStream inputsBaos = new ByteArrayOutputStream(1_000_000);
serializer.serializeViewInputs(inputsBaos);
ByteArrayOutputStream outputsBaos = new ByteArrayOutputStream(1_000_000);
serializer.serializeViewOutputs(outputsBaos);
ViewResultsDeserializer inputsDeserializer =
new ViewResultsDeserializer(new ByteArrayInputStream(inputsBaos.toByteArray()));
ViewInputs viewInputs = inputsDeserializer.deserialize(ViewInputs.class);
assertThat(viewInputs, is(notNullValue()));
ViewResultsDeserializer outputsDeserializer =
new ViewResultsDeserializer(new ByteArrayInputStream(outputsBaos.toByteArray()));
ViewOutputs viewOutputs = outputsDeserializer.deserialize(ViewOutputs.class);
assertThat(viewOutputs, is(notNullValue()));
CapturedResultsLoader loader =
new CapturedResultsLoader(viewInputs, availableOutputs, availableImplementations);
loader.addExtraConfigData("EmptyCurrencyMatrix", ConfigItem.of(new SimpleCurrencyMatrix()));
Results run2 = loader.runViewFromInputs();
System.out.println(run2);
Result<Object> pvResult2 = run2.get(0, 0).getResult();
if (!pvResult2.isSuccess()) {
fail(pvResult2.toString());
}
Result<Object> pv01Result2 = run2.get(0, 1).getResult();
if (!pv01Result2.isSuccess()) {
fail(pv01Result2.toString());
}
// Check results are same as original ones
assertThat(pvResult2.getValue(), is(pvResult.getValue()));
assertThat(pv01Result2.getValue(), is(pv01Result.getValue()));
// TODO - this should work but seems to be prevented by a Fudge issue
// assertThat(view2Outputs, is(viewOutputs));
}
public void testCurveViewCanBeSavedAndRead() {
AvailableOutputs availableOutputs = createAvailableOutputs();
AvailableImplementations availableImplementations = createAvailableImplementations();
ImmutableMap<Class<?>, Object> components = InterestRateMockSources.generateBaseComponents();
ViewFactory viewFactory =
EngineTestUtils.createViewFactory(components, availableOutputs, availableImplementations);
View view = viewFactory.createView(createCurveBundleConfig("TEST"));
VersionCorrection versionCorrection =
ThreadLocalServiceContext.getInstance()
.get(VersionCorrectionProvider.class)
.getConfigVersionCorrection();
CycleArguments cycleArguments =
CycleArguments.builder(InterestRateMockSources.createMarketDataEnvironment())
.versionCorrection(versionCorrection)
.captureInputs(true)
.build();
Results run = view.run(cycleArguments);
Result<Object> result = run.getNonPortfolioResults().get("TEST").getResult();
if (!result.isSuccess()) {
fail(result.getFailureMessage());
}
// Capture results
ViewResultsSerializer serializer = new ViewResultsSerializer(run);
// Write inputs to stream
ByteArrayOutputStream inputsBaos = new ByteArrayOutputStream(1_000_000);
serializer.serializeViewInputs(inputsBaos);
ByteArrayOutputStream outputsBaos = new ByteArrayOutputStream(1_000_000);
serializer.serializeViewOutputs(outputsBaos);
ViewResultsDeserializer inputsDeserializer =
new ViewResultsDeserializer(new ByteArrayInputStream(inputsBaos.toByteArray()));
ViewInputs viewInputs2 = inputsDeserializer.deserialize(ViewInputs.class);
assertThat(viewInputs2, is(notNullValue()));
ViewResultsDeserializer outputsDeserializer =
new ViewResultsDeserializer(new ByteArrayInputStream(outputsBaos.toByteArray()));
ViewOutputs viewOutputs = outputsDeserializer.deserialize(ViewOutputs.class);
assertThat(viewOutputs, is(notNullValue()));
CapturedResultsLoader loader =
new CapturedResultsLoader(viewInputs2, availableOutputs, availableImplementations);
loader.addExtraConfigData("EmptyCurrencyMatrix", ConfigItem.of(new SimpleCurrencyMatrix()));
Results run2 = loader.runViewFromInputs();
Result<Object> result2 = run2.getNonPortfolioResults().get("TEST").getResult();
if (!result2.isSuccess()) {
fail(result2.toString());
}
// Check results are same as original ones
ViewOutputs view2Outputs =
ViewOutputs.builder()
.nonPortfolioResults(run2.getNonPortfolioResults())
.columnNames(run2.getColumnNames())
.rows(run2.getRows())
.build();
assertThat(result2.getValue(), is(result.getValue()));
assertThat(view2Outputs, is(viewOutputs));
}