@Override
public ScenarioResult<T> execute(TermDepositTrade trade, CalculationMarketData marketData) {
ExpandedTermDeposit product = trade.getProduct().expand();
return IntStream.range(0, marketData.getScenarioCount())
.mapToObj(index -> new SingleCalculationMarketData(marketData, index))
.map(MarketDataRatesProvider::new)
.map(provider -> execute(product, provider))
.collect(toScenarioResult(isConvertCurrencies()));
}
@Override
public FunctionRequirements requirements(TermDepositTrade trade) {
TermDeposit deposit = trade.getProduct();
Set<DiscountCurveKey> discountCurveKeys =
ImmutableSet.of(DiscountCurveKey.of(deposit.getCurrency()));
return FunctionRequirements.builder()
.singleValueRequirements(discountCurveKeys)
.timeSeriesRequirements()
.outputCurrencies(deposit.getCurrency())
.build();
}
public void test_trade() {
TermDepositCurveNode node = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
double rate = 0.035;
MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, rate).build();
TermDepositTrade trade = node.trade(1d, marketData, REF_DATA);
LocalDate startDateExpected = PLUS_TWO_DAYS.adjust(VAL_DATE, REF_DATA);
LocalDate endDateExpected = startDateExpected.plus(DEPOSIT_PERIOD);
TermDeposit depositExpected =
TermDeposit.builder()
.buySell(BuySell.BUY)
.currency(EUR)
.dayCount(ACT_360)
.startDate(startDateExpected)
.endDate(endDateExpected)
.notional(1.0d)
.businessDayAdjustment(BDA_MOD_FOLLOW)
.rate(rate + SPREAD)
.build();
TradeInfo tradeInfoExpected = TradeInfo.builder().tradeDate(VAL_DATE).build();
assertEquals(trade.getProduct(), depositExpected);
assertEquals(trade.getInfo(), tradeInfoExpected);
}
@Override
public Optional<Currency> defaultReportingCurrency(TermDepositTrade target) {
return Optional.of(target.getProduct().getCurrency());
}
