/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.curve;
import org.testng.annotations.Test;
import com.opengamma.util.test.TestGroup;
/**
* Build of curve in several blocks with relevant Jacobian matrices.
* Curves are using different types of interpolations (on cc rate, periodic rates and discount factors) and spread curves.
* TODO: This is old code that has been commented. It should be removed at some point.
*/
@Test(groups = TestGroup.UNIT)
public class CurveConstructionSpreadTest {
// private static final Interpolator1D INTERPOLATOR_DQ = CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.DOUBLE_QUADRATIC, Interpolator1DFactory.FLAT_EXTRAPOLATOR,
// Interpolator1DFactory.FLAT_EXTRAPOLATOR);
// private static final Interpolator1D INTERPOLATOR_LINEAR = CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.LINEAR, Interpolator1DFactory.FLAT_EXTRAPOLATOR,
// Interpolator1DFactory.FLAT_EXTRAPOLATOR);
// // private static final Interpolator1D INTERPOLATOR_CS = CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.NATURAL_CUBIC_SPLINE, Interpolator1DFactory.FLAT_EXTRAPOLATOR,
// // Interpolator1DFactory.FLAT_EXTRAPOLATOR);
// private static final Interpolator1D INTERPOLATOR_LL = CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.LOG_LINEAR, Interpolator1DFactory.EXPONENTIAL_EXTRAPOLATOR,
// Interpolator1DFactory.EXPONENTIAL_EXTRAPOLATOR); // Log-linear on the discount factor = step on the instantaneous rates
// // private static final MatrixAlgebra MATRIX_ALGEBRA = new CommonsMatrixAlgebra();
//
// private static final LastTimeCalculator MATURITY_CALCULATOR = LastTimeCalculator.getInstance();
// private static final double TOLERANCE_ROOT = 1.0E-10;
// private static final int STEP_MAX = 100;
// private static final CurveBuildingFunction CURVE_BUILDING_FUNCTION = new CurveBuildingFunction(TOLERANCE_ROOT, TOLERANCE_ROOT, STEP_MAX);
// private static final Currency CCY_USD = Currency.USD;
// private static final FXMatrix FX_MATRIX = new FXMatrix(CCY_USD);
// private static final Calendar CALENDAR = new MondayToFridayCalendar("CAL");
// private static final int SPOT_LAG = 2;
// private static final DayCount DAY_COUNT_CASH = DayCounts.ACT_360;
// private static final double NOTIONAL = 1.0;
// private static final BusinessDayConvention BDC = BusinessDayConventions.MODIFIED_FOLLOWING;
// private static final IndexON INDEX_ON_1 = new IndexON("Fed Fund", CCY_USD, DAY_COUNT_CASH, 1, CALENDAR);
// private static final GeneratorDepositON GENERATOR_DEPOSIT_ON_USD = new GeneratorDepositON("USD Deposit ON", CCY_USD, CALENDAR, DAY_COUNT_CASH);
// private static final GeneratorSwapFixedON GENERATOR_OIS_USD = new GeneratorSwapFixedON("USD1YFEDFUND", INDEX_ON_1, Period.ofMonths(12), DAY_COUNT_CASH, BDC, true, SPOT_LAG, SPOT_LAG);
// private static final GeneratorDeposit GENERATOR_DEPOSIT_USD = new GeneratorDeposit("USD Deposit", CCY_USD, CALENDAR, SPOT_LAG, DAY_COUNT_CASH, BDC, true);
// private static final GeneratorSwapFixedIborMaster GENERATOR_SWAP_MASTER = GeneratorSwapFixedIborMaster.getInstance();
// private static final GeneratorSwapFixedIbor USD6MLIBOR3M = GENERATOR_SWAP_MASTER.getGenerator("USD6MLIBOR3M", CALENDAR);
// private static final GeneratorSwapFixedIbor USD6MLIBOR6M = GENERATOR_SWAP_MASTER.getGenerator("USD6MLIBOR6M", CALENDAR);
//
// private static final ZonedDateTime NOW = DateUtils.getUTCDate(2011, 9, 28);
//
// private static final ArrayZonedDateTimeDoubleTimeSeries TS_EMPTY = new ArrayZonedDateTimeDoubleTimeSeries();
// private static final ArrayZonedDateTimeDoubleTimeSeries TS_ON_USD_WITH_TODAY = new ArrayZonedDateTimeDoubleTimeSeries(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27),
// DateUtils.getUTCDate(2011, 9, 28) }, new double[] {0.07, 0.08 });
// private static final ArrayZonedDateTimeDoubleTimeSeries TS_ON_USD_WITHOUT_TODAY = new ArrayZonedDateTimeDoubleTimeSeries(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27),
// DateUtils.getUTCDate(2011, 9, 28) }, new double[] {0.07, 0.08 });
// @SuppressWarnings("rawtypes")
// private static final DoubleTimeSeries[] TS_FIXED_OIS_USD_WITH_TODAY = new DoubleTimeSeries[] {TS_EMPTY, TS_ON_USD_WITH_TODAY };
// @SuppressWarnings("rawtypes")
// private static final DoubleTimeSeries[] TS_FIXED_OIS_USD_WITHOUT_TODAY = new DoubleTimeSeries[] {TS_EMPTY, TS_ON_USD_WITHOUT_TODAY };
//
// private static final ArrayZonedDateTimeDoubleTimeSeries TS_IBOR_USD3M_WITH_TODAY = new ArrayZonedDateTimeDoubleTimeSeries(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27),
// DateUtils.getUTCDate(2011, 9, 28) }, new double[] {0.0035, 0.0036 });
// private static final ArrayZonedDateTimeDoubleTimeSeries TS_IBOR_USD3M_WITHOUT_TODAY = new ArrayZonedDateTimeDoubleTimeSeries(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27) },
// new double[] {0.0035 });
//
// private static final ArrayZonedDateTimeDoubleTimeSeries TS_IBOR_USD6M_WITH_TODAY = new ArrayZonedDateTimeDoubleTimeSeries(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27),
// DateUtils.getUTCDate(2011, 9, 28) }, new double[] {0.0045, 0.0046 });
// private static final ArrayZonedDateTimeDoubleTimeSeries TS_IBOR_USD6M_WITHOUT_TODAY = new ArrayZonedDateTimeDoubleTimeSeries(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27) },
// new double[] {0.0045 });
//
// @SuppressWarnings("rawtypes")
// private static final DoubleTimeSeries[] TS_FIXED_IBOR_USD3M_WITH_TODAY = new DoubleTimeSeries[] {TS_IBOR_USD3M_WITH_TODAY };
// @SuppressWarnings("rawtypes")
// private static final DoubleTimeSeries[] TS_FIXED_IBOR_USD3M_WITHOUT_TODAY = new DoubleTimeSeries[] {TS_IBOR_USD3M_WITHOUT_TODAY };
// @SuppressWarnings("rawtypes")
// private static final DoubleTimeSeries[] TS_FIXED_IBOR_USD6M_WITH_TODAY = new DoubleTimeSeries[] {TS_IBOR_USD6M_WITH_TODAY };
// @SuppressWarnings("rawtypes")
// private static final DoubleTimeSeries[] TS_FIXED_IBOR_USD6M_WITHOUT_TODAY = new DoubleTimeSeries[] {TS_IBOR_USD6M_WITHOUT_TODAY };
//
// private static final String CURVE_NAME_DSC_USD = "USD Dsc";
// private static final String CURVE_NAME_FWD3_USD = "USD Fwd 3M";
// private static final String CURVE_NAME_FWD6_USD = "USD Fwd 6M";
// private static final HashMap<String, Currency> CCY_MAP = new HashMap<String, Currency>();
// static {
// CCY_MAP.put(CURVE_NAME_DSC_USD, CCY_USD);
// CCY_MAP.put(CURVE_NAME_FWD3_USD, CCY_USD);
// CCY_MAP.put(CURVE_NAME_FWD6_USD, CCY_USD);
// }
//
// /** Market values for the dsc USD curve */
// public static final double[] DSC_USD_MARKET_QUOTES = new double[] {0.0010, 0.0011, 0.0013, 0.0009, 0.0010, 0.0015, 0.0014, 0.0020, 0.0020, 0.0030, 0.0040, 0.0050, 0.0130 };
// /** Generators for the dsc USD curve */
// public static final GeneratorInstrument[] DSC_USD_GENERATORS = new GeneratorInstrument[] {GENERATOR_DEPOSIT_ON_USD, GENERATOR_DEPOSIT_ON_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD,
// GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD };
// /** Tenors for the dsc USD curve */
// public static final Period[] DSC_USD_TENOR = new Period[] {Period.ofDays(0), Period.ofDays(1), Period.ofMonths(1), Period.ofMonths(2), Period.ofMonths(3), Period.ofMonths(6), Period.ofMonths(9),
// Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(4), Period.ofYears(5), Period.ofYears(10) };
//
// /** Market values for the Fwd 3M USD curve */
// public static final double[] FWD3_USD_MARKET_QUOTES = new double[] {0.0045, 0.0045, 0.0045, 0.0045, 0.0060, 0.0070, 0.0080, 0.0160 };
// /** Generators for the Fwd 3M USD curve */
// public static final GeneratorInstrument[] FWD3_USD_GENERATORS = new GeneratorInstrument[] {USD6MLIBOR3M, GENERATOR_DEPOSIT_USD, USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M,
// USD6MLIBOR3M };
// /** Tenors for the Fwd 3M USD curve */
// public static final Period[] FWD3_USD_TENOR = new Period[] {Period.ofYears(1), Period.ofMonths(3), Period.ofMonths(6), Period.ofYears(2), Period.ofYears(3), Period.ofYears(4), Period.ofYears(5),
// Period.ofYears(10) };
//
// /** Market values for the Fwd 3M USD curve */
// public static final double[] FWD3_USD_MARKET_QUOTES_2 = new double[] {0.0045, 0.0045, 0.0045, 0.0050, 0.0060, 0.0080, 0.0075, 0.0090, 0.0160 };
// /** Generators for the Fwd 3M USD curve */
// public static final GeneratorInstrument[] FWD3_USD_GENERATORS_2 = new GeneratorInstrument[] {GENERATOR_DEPOSIT_USD, USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M,
// USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M };
// /** Tenors for the Fwd 3M USD curve */
// public static final Period[] FWD3_USD_TENOR_2 = new Period[] {Period.ofMonths(3), Period.ofMonths(6), Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(4), Period.ofYears(5),
// Period.ofYears(7), Period.ofYears(10) };
//
// /** Market values for the Fwd 3M USD curve */
// public static final double[] FWD3_USD_MARKET_QUOTES_3 = new double[] {0.0045, 0.0045, 0.0045, 0.0050, 0.0060, 0.0080, 0.0075, 0.0090, 0.0160, 0.0200, 0.0180 };
// /** Generators for the Fwd 3M USD curve */
// public static final GeneratorInstrument[] FWD3_USD_GENERATORS_3 = new GeneratorInstrument[] {GENERATOR_DEPOSIT_USD, USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M,
// USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M };
// /** Tenors for the Fwd 3M USD curve */
// public static final Period[] FWD3_USD_TENOR_3 = new Period[] {Period.ofMonths(3), Period.ofMonths(6), Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(4), Period.ofYears(5),
// Period.ofYears(7), Period.ofYears(10), Period.ofYears(15), Period.ofYears(20) };
//
// /** Market values for the Fwd 3M USD curve */
// public static final double[] FWD3_USD_MARKET_QUOTES_4 = new double[] {0.0100, 0.0125, 0.0150, 0.0140, 0.0113, 0.0131, 0.0136, 0.0142, 0.0146, 0.0135 };
// /** Generators for the Fwd 3M USD curve */
// public static final GeneratorInstrument[] FWD3_USD_GENERATORS_4 = new GeneratorInstrument[] {GENERATOR_DEPOSIT_USD, USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M,
// USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M };
// /** Tenors for the Fwd 3M USD curve */
// public static final Period[] FWD3_USD_TENOR_4 = new Period[] {Period.ofMonths(3), Period.ofYears(1), Period.ofYears(5), Period.ofYears(10), Period.ofMonths(6), Period.ofYears(2), Period.ofYears(3),
// Period.ofYears(4), Period.ofYears(7), Period.ofYears(15) };
//
// /** Market values for the Fwd 6M USD curve */
// public static final double[] FWD6_USD_MARKET_QUOTES = new double[] {0.0065, 0.0055, 0.0080, 0.0170 };
// /** Generators for the Fwd 6M USD curve */
// public static final GeneratorInstrument[] FWD6_USD_GENERATORS = new GeneratorInstrument[] {GENERATOR_DEPOSIT_USD, USD6MLIBOR6M, USD6MLIBOR6M, USD6MLIBOR6M };
// /** Tenors for the Fwd 6M USD curve */
// public static final Period[] FWD6_USD_TENOR = new Period[] {Period.ofMonths(6), Period.ofYears(2), Period.ofYears(5), Period.ofYears(10) };
//
// /** Standard USD discounting curve instrument definitions */
// public static final InstrumentDefinition<?>[] DEFINITIONS_DSC_USD;
// /** Standard USD Forward 3M curve instrument definitions */
// public static final InstrumentDefinition<?>[] DEFINITIONS_FWD3_USD;
// /** Standard USD Forward 3M curve instrument definitions */
// public static final InstrumentDefinition<?>[] DEFINITIONS_FWD3_USD_2;
// /** Standard USD Forward 3M curve instrument definitions */
// public static final InstrumentDefinition<?>[] DEFINITIONS_FWD3_USD_3;
// /** Standard USD Forward 3M curve instrument definitions */
// public static final InstrumentDefinition<?>[] DEFINITIONS_FWD3_USD_4;
// /** Standard USD Forward 6M curve instrument definitions */
// public static final InstrumentDefinition<?>[] DEFINITIONS_FWD6_USD;
// /** Units of curves */
// public static final int[] NB_UNITS = new int[] {2, 2, 2, 3, 3, 1, 1, 2, 1, 1 };
// public static final int NB_BLOCKS = NB_UNITS.length;
// public static final InstrumentDefinition<?>[][][][] DEFINITIONS_UNITS = new InstrumentDefinition<?>[NB_BLOCKS][][][];
// public static final GeneratorYDCurve[][][] GENERATORS_UNITS = new GeneratorYDCurve[NB_BLOCKS][][];
// public static final String[][][] NAMES_UNITS = new String[NB_BLOCKS][][];
// public static final YieldCurveBundle KNOWN_DATA = new YieldCurveBundle(FX_MATRIX, CCY_MAP);
//
// static {
// DEFINITIONS_DSC_USD = getDefinitions(DSC_USD_MARKET_QUOTES, DSC_USD_GENERATORS, DSC_USD_TENOR, new Double[DSC_USD_MARKET_QUOTES.length]);
// DEFINITIONS_FWD3_USD = getDefinitions(FWD3_USD_MARKET_QUOTES, FWD3_USD_GENERATORS, FWD3_USD_TENOR, new Double[FWD3_USD_MARKET_QUOTES.length]);
// DEFINITIONS_FWD3_USD_2 = getDefinitions(FWD3_USD_MARKET_QUOTES_2, FWD3_USD_GENERATORS_2, FWD3_USD_TENOR_2, new Double[FWD3_USD_MARKET_QUOTES_2.length]);
// DEFINITIONS_FWD3_USD_3 = getDefinitions(FWD3_USD_MARKET_QUOTES_3, FWD3_USD_GENERATORS_3, FWD3_USD_TENOR_3, new Double[FWD3_USD_MARKET_QUOTES_3.length]);
// DEFINITIONS_FWD3_USD_4 = getDefinitions(FWD3_USD_MARKET_QUOTES_4, FWD3_USD_GENERATORS_4, FWD3_USD_TENOR_4, new Double[FWD3_USD_MARKET_QUOTES_4.length]);
// DEFINITIONS_FWD6_USD = getDefinitions(FWD6_USD_MARKET_QUOTES, FWD6_USD_GENERATORS, FWD6_USD_TENOR, new Double[FWD6_USD_MARKET_QUOTES.length]);
// for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) {
// DEFINITIONS_UNITS[loopblock] = new InstrumentDefinition<?>[NB_UNITS[loopblock]][][];
// GENERATORS_UNITS[loopblock] = new GeneratorYDCurve[NB_UNITS[loopblock]][];
// NAMES_UNITS[loopblock] = new String[NB_UNITS[loopblock]][];
// }
// DEFINITIONS_UNITS[0][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD };
// DEFINITIONS_UNITS[0][1] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD3_USD_2 };
// DEFINITIONS_UNITS[1][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD };
// DEFINITIONS_UNITS[1][1] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD3_USD_2 };
// DEFINITIONS_UNITS[2][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD };
// DEFINITIONS_UNITS[2][1] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD3_USD_2 };
// DEFINITIONS_UNITS[3][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD };
// DEFINITIONS_UNITS[3][1] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD3_USD_2 };
// DEFINITIONS_UNITS[3][2] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD6_USD };
// DEFINITIONS_UNITS[4][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD };
// DEFINITIONS_UNITS[4][1] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD3_USD_2 };
// DEFINITIONS_UNITS[4][2] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD6_USD };
// DEFINITIONS_UNITS[5][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD3_USD_3, DEFINITIONS_DSC_USD };
// DEFINITIONS_UNITS[6][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD3_USD_3, DEFINITIONS_DSC_USD };
// DEFINITIONS_UNITS[7][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD };
// DEFINITIONS_UNITS[7][1] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD3_USD_4 };
// DEFINITIONS_UNITS[8][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD };
// DEFINITIONS_UNITS[9][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD };
// final GeneratorYDCurve genIntDQ = new GeneratorCurveYieldInterpolated(MATURITY_CALCULATOR, INTERPOLATOR_DQ);
// final GeneratorYDCurve genIntLin = new GeneratorCurveYieldInterpolated(MATURITY_CALCULATOR, INTERPOLATOR_LINEAR);
// final int compoundingRate = 1;
// final GeneratorYDCurve genIntRPLin = new GeneratorCurveYieldPeriodicInterpolated(MATURITY_CALCULATOR, compoundingRate, INTERPOLATOR_LINEAR);
// final GeneratorYDCurve genIntDFLL = new GeneratorCurveDiscountFactorInterpolated(MATURITY_CALCULATOR, INTERPOLATOR_LL);
// final GeneratorYDCurve genNS = new GeneratorCurveYieldNelsonSiegel();
// final GeneratorYDCurve genInt0 = new GeneratorCurveYieldInterpolatedAnchor(MATURITY_CALCULATOR, INTERPOLATOR_LINEAR);
// final GeneratorYDCurve genAddExistFwd3 = new GeneratorCurveAddYieldExisiting(genIntDQ, false, CURVE_NAME_FWD3_USD);
// final LocalDate startTOY = LocalDate.of(2011, 12, 30);
// final LocalDate endTOY = LocalDate.of(2012, 1, 2);
// final double spreadTOY = 0.0025; // 25bps
// final double dfTOY = 1.0 / (1 + DAY_COUNT_CASH.getDayCountFraction(startTOY, endTOY) * spreadTOY);
// final LocalDate startTOQ = LocalDate.of(2012, 3, 30);
// final LocalDate endTOQ = LocalDate.of(2012, 4, 2);
// final double spreadTOQ = 0.0010; // 25bps
// final double dfTOQ = 1.0 / (1 + DAY_COUNT_CASH.getDayCountFraction(startTOQ, endTOQ) * spreadTOQ);
// final double[] times = {TimeCalculator.getTimeBetween(NOW, startTOY), TimeCalculator.getTimeBetween(NOW, endTOY), TimeCalculator.getTimeBetween(NOW, startTOQ),
// TimeCalculator.getTimeBetween(NOW, endTOQ) };
// final double[] df = {1.0, dfTOY, dfTOY, dfTOY * dfTOQ };
// final YieldAndDiscountCurve curveTOY = new DiscountCurve("TOY", new InterpolatedDoublesCurve(times, df, INTERPOLATOR_LINEAR, true));
// final GeneratorYDCurve genAddFixed = new GeneratorCurveAddYieldFixed(genIntDQ, false, curveTOY);
// final GeneratorYDCurve genIntDQ0 = new GeneratorCurveYieldInterpolatedAnchor(MATURITY_CALCULATOR, INTERPOLATOR_DQ);
// final int[] nbParameters = {5, DSC_USD_MARKET_QUOTES.length - 5 };
// final GeneratorYDCurve gen2Blocks = new GeneratorCurveAddYieldNb(new GeneratorYDCurve[] {genIntDFLL, genIntDQ0 }, nbParameters, false);
// GENERATORS_UNITS[0][0] = new GeneratorYDCurve[] {genIntLin };
// GENERATORS_UNITS[0][1] = new GeneratorYDCurve[] {genIntLin };
// GENERATORS_UNITS[1][0] = new GeneratorYDCurve[] {genIntRPLin };
// GENERATORS_UNITS[1][1] = new GeneratorYDCurve[] {genIntRPLin };
// GENERATORS_UNITS[2][0] = new GeneratorYDCurve[] {genIntDFLL };
// GENERATORS_UNITS[2][1] = new GeneratorYDCurve[] {genIntDFLL };
// // 3xinterpolated / 2xinterpolated + spread over existing
// GENERATORS_UNITS[3][0] = new GeneratorYDCurve[] {genIntDQ };
// GENERATORS_UNITS[3][1] = new GeneratorYDCurve[] {genIntDQ };
// GENERATORS_UNITS[3][2] = new GeneratorYDCurve[] {genIntDQ };
// GENERATORS_UNITS[4][0] = new GeneratorYDCurve[] {genIntDQ };
// GENERATORS_UNITS[4][1] = new GeneratorYDCurve[] {genIntDQ };
// GENERATORS_UNITS[4][2] = new GeneratorYDCurve[] {genAddExistFwd3 };
// // 2xinterpolated / interpolated + spread over existing
// GENERATORS_UNITS[5][0] = new GeneratorYDCurve[] {genIntDQ, genIntDQ };
// GENERATORS_UNITS[6][0] = new GeneratorYDCurve[] {genIntDQ, genAddExistFwd3 };
// // interpolated + functional+interpolated
// GENERATORS_UNITS[7][0] = new GeneratorYDCurve[] {genIntDQ };
// GENERATORS_UNITS[7][1] = new GeneratorYDCurve[] {new GeneratorCurveAddYield(new GeneratorYDCurve[] {genNS, genInt0 }, false) };
// GENERATORS_UNITS[8][0] = new GeneratorYDCurve[] {genAddFixed };
// GENERATORS_UNITS[9][0] = new GeneratorYDCurve[] {gen2Blocks };
// NAMES_UNITS[0][0] = new String[] {CURVE_NAME_DSC_USD };
// NAMES_UNITS[0][1] = new String[] {CURVE_NAME_FWD3_USD };
// NAMES_UNITS[1][0] = new String[] {CURVE_NAME_DSC_USD };
// NAMES_UNITS[1][1] = new String[] {CURVE_NAME_FWD3_USD };
// NAMES_UNITS[2][0] = new String[] {CURVE_NAME_DSC_USD };
// NAMES_UNITS[2][1] = new String[] {CURVE_NAME_FWD3_USD };
// NAMES_UNITS[3][0] = new String[] {CURVE_NAME_DSC_USD };
// NAMES_UNITS[3][1] = new String[] {CURVE_NAME_FWD3_USD };
// NAMES_UNITS[3][2] = new String[] {CURVE_NAME_FWD6_USD };
// NAMES_UNITS[4][0] = new String[] {CURVE_NAME_DSC_USD };
// NAMES_UNITS[4][1] = new String[] {CURVE_NAME_FWD3_USD };
// NAMES_UNITS[4][2] = new String[] {CURVE_NAME_FWD6_USD };
// NAMES_UNITS[5][0] = new String[] {CURVE_NAME_FWD3_USD, CURVE_NAME_DSC_USD };
// NAMES_UNITS[6][0] = new String[] {CURVE_NAME_FWD3_USD, CURVE_NAME_DSC_USD };
// NAMES_UNITS[7][0] = new String[] {CURVE_NAME_DSC_USD };
// NAMES_UNITS[7][1] = new String[] {CURVE_NAME_FWD3_USD };
// NAMES_UNITS[8][0] = new String[] {CURVE_NAME_DSC_USD };
// NAMES_UNITS[9][0] = new String[] {CURVE_NAME_DSC_USD };
// }
//
// // Present Value
// private static final PresentValueMCACalculator PV_CALCULATOR = PresentValueMCACalculator.getInstance();
// private static final PresentValueCurveSensitivityMCSCalculator PVCS_CALCULATOR = PresentValueCurveSensitivityMCSCalculator.getInstance();
// private static final Currency CCY_PV = CCY_USD;
// private static final PresentValueConvertedCalculator PV_CONVERTED_CALCULATOR = new PresentValueConvertedCalculator(CCY_PV, PV_CALCULATOR);
// private static final PresentValueCurveSensitivityConvertedCalculator PVCS_CONVERTED_CALCULATOR = new PresentValueCurveSensitivityConvertedCalculator(CCY_PV, PVCS_CALCULATOR);
// // Par spread market quote
// private static final ParSpreadMarketQuoteCalculator PSMQ_CALCULATOR = ParSpreadMarketQuoteCalculator.getInstance();
// private static final ParSpreadMarketQuoteCurveSensitivityCalculator PSMQCS_CALCULATOR = ParSpreadMarketQuoteCurveSensitivityCalculator.getInstance();
//
// private static Pair<YieldCurveBundle, CurveBuildingBlockBundle> CURVES_PRESENT_VALUE_WITH_TODAY_BLOCK0;
// private static Pair<YieldCurveBundle, CurveBuildingBlockBundle> CURVES_PRESENT_VALUE_WITHOUT_TODAY_BLOCK0;
// private static Pair<YieldCurveBundle, CurveBuildingBlockBundle> CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK0;
// private static List<Pair<YieldCurveBundle, CurveBuildingBlockBundle>> CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK = new ArrayList<Pair<YieldCurveBundle, CurveBuildingBlockBundle>>();
//
// // Instrument used for sensitivity tests
// private static final Period SWAP_START = Period.ofMonths(6);
// private static final ZonedDateTime SWAP_SETTLE = ScheduleCalculator.getAdjustedDate(ScheduleCalculator.getAdjustedDate(NOW, SPOT_LAG, CALENDAR), SWAP_START, GENERATOR_DEPOSIT_USD);
// private static final Period SWAP_TENOR = Period.ofYears(5);
// private static final SwapFixedIborDefinition SWAP_DEFINITION = SwapFixedIborDefinition.from(SWAP_SETTLE, SWAP_TENOR, USD6MLIBOR3M, 1000000, 0.02, true);
// private static final SwapFixedCoupon<Coupon> SWAP = SWAP_DEFINITION.toDerivative(NOW, new String[] {CURVE_NAME_DSC_USD, CURVE_NAME_FWD3_USD });
//
// private static final double TOLERANCE_CAL = 1.0E-9;
// private static final double TOLERANCE_PNL = 1.0E+0;
//
// @BeforeSuite
// static void initClass() {
// CURVES_PRESENT_VALUE_WITH_TODAY_BLOCK0 = makeCurvesFromDefinitions(DEFINITIONS_UNITS[0], GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PV_CONVERTED_CALCULATOR, PVCS_CONVERTED_CALCULATOR, true,
// 0);
// CURVES_PRESENT_VALUE_WITHOUT_TODAY_BLOCK0 = makeCurvesFromDefinitions(DEFINITIONS_UNITS[0], GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PV_CONVERTED_CALCULATOR, PVCS_CONVERTED_CALCULATOR,
// false, 0);
// CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK0 = makeCurvesFromDefinitions(DEFINITIONS_UNITS[0], GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PSMQ_CALCULATOR, PSMQCS_CALCULATOR, false, 0);
// for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) {
// CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.add(makeCurvesFromDefinitions(DEFINITIONS_UNITS[loopblock], GENERATORS_UNITS[loopblock], NAMES_UNITS[loopblock], KNOWN_DATA, PSMQ_CALCULATOR,
// PSMQCS_CALCULATOR, false, loopblock));
// }
// }
//
// @Test
// public void curveConstructionGeneratorBlock0() {
// // Curve constructed with present value and today fixing
// curveConstructionTest(NAMES_UNITS[0], DEFINITIONS_UNITS[0], CURVES_PRESENT_VALUE_WITH_TODAY_BLOCK0.getFirst(), true, 0);
// // Curve constructed with present value and no today fixing
// curveConstructionTest(NAMES_UNITS[0], DEFINITIONS_UNITS[0], CURVES_PRESENT_VALUE_WITHOUT_TODAY_BLOCK0.getFirst(), false, 0);
// // Curve constructed with par spread (market quote) and no today fixing
// curveConstructionTest(NAMES_UNITS[0], DEFINITIONS_UNITS[0], CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK0.getFirst(), false, 0);
// // Curve constructed with par spread (market quote) and today fixing
// curveConstructionTest(NAMES_UNITS[0], DEFINITIONS_UNITS[0], CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).getFirst(), false, 0);
// }
//
// @Test
// public void curveConstructionGeneratorOtherBlocks() {
// for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) {
// curveConstructionTest(NAMES_UNITS[loopblock], DEFINITIONS_UNITS[loopblock], CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getFirst(), false, loopblock);
// }
// int t = 0;
// t++;
// }
//
// public void curveConstructionTest(final String[][] curveNames, final InstrumentDefinition<?>[][][] definitions, final YieldCurveBundle curves, final boolean withToday, final int block) {
// final int nbBlocks = definitions.length;
// for (int loopblock = 0; loopblock < nbBlocks; loopblock++) {
// final InstrumentDerivative[][] instruments = convert(curveNames, definitions[loopblock], loopblock, withToday, block);
// final double[][] pv = new double[instruments.length][];
// for (int loopcurve = 0; loopcurve < instruments.length; loopcurve++) {
// pv[loopcurve] = new double[instruments[loopcurve].length];
// for (int loopins = 0; loopins < instruments[loopcurve].length; loopins++) {
// pv[loopcurve][loopins] = curves.getFxRates().convert(instruments[loopcurve][loopins].accept(PV_CALCULATOR, curves), CCY_USD).getAmount();
// assertEquals("Curve construction: block " + block + ", unit " + loopblock + " - instrument " + loopins, 0, pv[loopcurve][loopins], TOLERANCE_CAL);
// }
// }
// }
// }
//
// @Test
// /**
// * Test the market quote sensitivity by comparison to a finite difference (bump and recompute)
// */
// public void sensiParSpreadMQ() {
// final ParameterUnderlyingSensitivityBlockCalculator pusbc = new ParameterUnderlyingSensitivityBlockCalculator(PVCS_CALCULATOR);
// final MarketQuoteSensitivityBlockCalculator mqsc = new MarketQuoteSensitivityBlockCalculator(pusbc);
// final MultipleCurrencyInterestRateCurveSensitivity[] pvcs = new MultipleCurrencyInterestRateCurveSensitivity[NB_BLOCKS];
// final MultipleCurrencyAmount[] pv = new MultipleCurrencyAmount[NB_BLOCKS];
// final MultipleCurrencyParameterSensitivity[] ps = new MultipleCurrencyParameterSensitivity[NB_BLOCKS];
// final MultipleCurrencyParameterSensitivity[] mqs = new MultipleCurrencyParameterSensitivity[NB_BLOCKS];
// final Set<String> fixedCurves = new java.util.HashSet<String>();
// for (int loopblock = 1; loopblock < NB_BLOCKS - 2; loopblock++) {
// pv[loopblock] = SWAP.accept(PV_CALCULATOR, CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getFirst());
// pvcs[loopblock] = SWAP.accept(PVCS_CALCULATOR, CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getFirst());
// ps[loopblock] = pusbc.calculateSensitivity(SWAP, fixedCurves, CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getFirst());
// mqs[loopblock] = mqsc.fromInstrument(SWAP, fixedCurves, CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getFirst(), CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getSecond());
// }
// for (int loopblock = 5; loopblock < 7; loopblock++) { // Test is underlying specific. Only 2 curves tested.
// testPnLNodeSensitivity(mqs[loopblock], loopblock);
// }
// int t = 0;
// t++;
// }
//
// public void testPnLNodeSensitivity(final MultipleCurrencyParameterSensitivity mqSensitivities, final int block) {
// final double bp1 = 1.0E-4; // 1 bp
// final double eps = 0.1 * bp1;
// final double pv = SWAP.accept(PV_CALCULATOR, CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(block).getFirst()).getAmount(CCY_USD);
// final int nbFwd = DEFINITIONS_UNITS[block][0][0].length;
// final double[] pvFwd = new double[nbFwd];
// final double[] pnlFwd = new double[nbFwd];
// final double[] pvcsFwdApprox = new double[nbFwd];
// for (int loopnode = 0; loopnode < nbFwd; loopnode++) {
// final double[] bumpedMarketValues = getBumpedMarketValues(FWD3_USD_MARKET_QUOTES_3, loopnode, eps);
// final InstrumentDefinition<?>[] bumpedFwdDefinitions = getDefinitions(bumpedMarketValues, FWD3_USD_GENERATORS_3, FWD3_USD_TENOR_3, new Double[FWD3_USD_MARKET_QUOTES_3.length]);
// final Pair<YieldCurveBundle, CurveBuildingBlockBundle> bumpedResult = makeCurvesFromDefinitions(new InstrumentDefinition<?>[][][] {{bumpedFwdDefinitions, DEFINITIONS_DSC_USD } },
// GENERATORS_UNITS[block], NAMES_UNITS[block], KNOWN_DATA, PSMQ_CALCULATOR, PSMQCS_CALCULATOR, false, block);
// pvFwd[loopnode] = PV_CONVERTED_CALCULATOR.visit(SWAP, bumpedResult.getFirst());
// pnlFwd[loopnode] = pvFwd[loopnode] - pv;
// pvcsFwdApprox[loopnode] = pnlFwd[loopnode] / eps;
// assertEquals("PL explain: Block " + block + " - fwd node " + loopnode,
// mqSensitivities.getSensitivity(new ObjectsPair<String, Currency>(CURVE_NAME_FWD3_USD, CCY_USD)).getData()[loopnode] * bp1, pvcsFwdApprox[loopnode] * bp1, TOLERANCE_PNL);
// }
// final int nbDsc = DEFINITIONS_UNITS[block][0][1].length;
// final double[] pvDsc = new double[nbDsc];
// final double[] pnlDsc = new double[nbDsc];
// final double[] pvcsDscApprox = new double[nbDsc];
// for (int loopnode = 0; loopnode < nbDsc; loopnode++) {
// final double[] bumpedMarketValues = getBumpedMarketValues(DSC_USD_MARKET_QUOTES, loopnode, eps);
// final InstrumentDefinition<?>[] bumpedDscDefinitions = getDefinitions(bumpedMarketValues, DSC_USD_GENERATORS, DSC_USD_TENOR, new Double[DSC_USD_MARKET_QUOTES.length]);
// final Pair<YieldCurveBundle, CurveBuildingBlockBundle> bumpedResult = makeCurvesFromDefinitions(new InstrumentDefinition<?>[][][] {{DEFINITIONS_FWD3_USD_3, bumpedDscDefinitions } },
// GENERATORS_UNITS[block], NAMES_UNITS[block], KNOWN_DATA, PSMQ_CALCULATOR, PSMQCS_CALCULATOR, false, block);
// pvDsc[loopnode] = PV_CONVERTED_CALCULATOR.visit(SWAP, bumpedResult.getFirst());
// pnlDsc[loopnode] = pvDsc[loopnode] - pv;
// pvcsDscApprox[loopnode] = pnlDsc[loopnode] / eps;
// assertEquals("PL explain: Block " + block + " - Dsc node " + loopnode, mqSensitivities.getSensitivity(new ObjectsPair<String, Currency>(CURVE_NAME_DSC_USD, CCY_USD)).getData()[loopnode] * bp1,
// pvcsDscApprox[loopnode] * bp1, TOLERANCE_PNL);
// }
// int t = 0;
// t++;
// }
//
// private static double[] getBumpedMarketValues(final double[] marketValues, final int n, final double eps) {
// final double[] bumped = Arrays.copyOf(marketValues, marketValues.length);
// bumped[n] += eps;
// return bumped;
// }
//
// @Test(enabled = true)
// /**
// * Code used to graph the curves
// */
// public void analysis() {
// final int nbPoints = 210;
// final double endTime = 21.0;
// final double[] x = new double[nbPoints + 1];
// for (int looppt = 0; looppt <= nbPoints; looppt++) {
// x[looppt] = looppt * endTime / nbPoints;
// }
// final int nbAnalysis = NB_BLOCKS;
// final YieldCurveBundle[] bundle = new YieldCurveBundle[nbAnalysis];
// final double[][][] rate = new double[nbAnalysis][][];
// for (int loopblock = 0; loopblock < nbAnalysis; loopblock++) {
// bundle[loopblock] = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getFirst();
// }
// for (int loopbundle = 0; loopbundle < nbAnalysis; loopbundle++) {
// final Set<String> curveNames = bundle[loopbundle].getAllNames();
// final int nbCurve = curveNames.size();
// int loopc = 0;
// rate[loopbundle] = new double[nbCurve][nbPoints + 1];
// for (final String name : curveNames) {
// for (int looppt = 0; looppt <= nbPoints; looppt++) {
// rate[loopbundle][loopc][looppt] = bundle[loopbundle].getCurve(name).getInterestRate(x[looppt]);
// }
// loopc++;
// }
// }
// final double[] rateNS = new double[nbPoints + 1];
// final YieldAndDiscountAddZeroSpreadCurve curve = (YieldAndDiscountAddZeroSpreadCurve) bundle[7].getCurve(CURVE_NAME_FWD3_USD);
// final DoublesCurveNelsonSiegel curveNS = (DoublesCurveNelsonSiegel) (((YieldCurve) curve.getCurves()[0]).getCurve());
// for (int looppt = 0; looppt <= nbPoints; looppt++) {
// rateNS[looppt] = curveNS.getYValue(x[looppt]);
// }
// int t = 0;
// t++;
// }
//
// @Test(enabled = true)
// /**
// * Code used to graph the curves
// */
// public void analysisON() {
// final YieldAndDiscountCurve curve = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(9).getFirst().getCurve(CURVE_NAME_DSC_USD);
// final int nbDates = 250;
// final ZonedDateTime[] bd = new ZonedDateTime[nbDates + 1];
// bd[0] = NOW;
// final double[] on = new double[nbDates];
// final double[] t = new double[nbDates];
// final double[] df = new double[nbDates + 1];
// df[0] = 1.0;
// for (int loopdate = 0; loopdate < nbDates; loopdate++) {
// bd[loopdate + 1] = ScheduleCalculator.getAdjustedDate(bd[loopdate], 1, CALENDAR);
// t[loopdate] = TimeCalculator.getTimeBetween(NOW, bd[loopdate + 1]);
// df[loopdate + 1] = curve.getDiscountFactor(t[loopdate]);
// on[loopdate] = (df[loopdate] / df[loopdate + 1] - 1.0) / DAY_COUNT_CASH.getDayCountFraction(bd[loopdate], bd[loopdate + 1]);
// }
// int test = 0;
// test++;
//
// }
//
// @Test(enabled = false)
// public void performance() {
// long startTime, endTime;
// final int nbTest = 100;
// @SuppressWarnings("unused")
// Pair<YieldCurveBundle, CurveBuildingBlockBundle> curvePresentValue;
// @SuppressWarnings("unused")
// Pair<YieldCurveBundle, CurveBuildingBlockBundle> curveParSpreadMQ;
// final int[] nbIns = new int[NB_BLOCKS];
// nbIns[0] = DEFINITIONS_DSC_USD.length + DEFINITIONS_FWD3_USD_2.length;
// nbIns[1] = DEFINITIONS_DSC_USD.length + DEFINITIONS_FWD3_USD_2.length;
// nbIns[2] = DEFINITIONS_DSC_USD.length + DEFINITIONS_FWD3_USD_2.length;
// nbIns[3] = DEFINITIONS_DSC_USD.length + DEFINITIONS_FWD3_USD_2.length + DEFINITIONS_FWD6_USD.length;
// nbIns[4] = DEFINITIONS_DSC_USD.length + DEFINITIONS_FWD3_USD_2.length + DEFINITIONS_FWD6_USD.length;
// nbIns[5] = DEFINITIONS_DSC_USD.length + DEFINITIONS_FWD3_USD_3.length;
// nbIns[6] = DEFINITIONS_DSC_USD.length + DEFINITIONS_FWD3_USD_3.length;
// nbIns[7] = DEFINITIONS_DSC_USD.length + DEFINITIONS_FWD3_USD_4.length;
// final int[] nbCurve = new int[] {2, 2, 2, 3, 3, 2, 2, 2 };
//
// startTime = System.currentTimeMillis();
// for (int looptest = 0; looptest < nbTest; looptest++) {
// curvePresentValue = makeCurvesFromDefinitions(DEFINITIONS_UNITS[0], GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PV_CONVERTED_CALCULATOR, PVCS_CONVERTED_CALCULATOR, true, 0);
// }
// endTime = System.currentTimeMillis();
// System.out.println(nbTest + " curve construction Full 2 curves (Int / Cst+Int) and " + nbIns[0] + " instruments (with present value): " + (endTime - startTime) + " ms");
// // Performance note: curve construction (with present value, 2 curves (Int / Cst+Int) and 21 instruments by units): 23-Jul-2012: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: xx ms for 100 bundles.
//
// for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) {
// startTime = System.currentTimeMillis();
// for (int looptest = 0; looptest < nbTest; looptest++) {
// curveParSpreadMQ = makeCurvesFromDefinitions(DEFINITIONS_UNITS[loopblock], GENERATORS_UNITS[loopblock], NAMES_UNITS[loopblock], KNOWN_DATA, PSMQ_CALCULATOR, PSMQCS_CALCULATOR, false,
// loopblock);
// }
// endTime = System.currentTimeMillis();
// System.out.println(nbTest + " curve construction Full " + nbCurve[loopblock] + " curves and " + nbIns[loopblock] + " instruments (with par spread-market quote): " + (endTime - startTime)
// + " ms");
// }
// // Performance note: curve construction (with par spread/market quote), 2 curves (Int / Cst+Int) and 21 instruments by units): 23-Jul-2012: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: xx ms for 100 bundles.
// // 100 curve construction Full 2 curves and 22 instruments (with par spread-market quote): 391 ms
// // 100 curve construction Full 2 curves and 22 instruments (with par spread-market quote): 472 ms
// // 100 curve construction Full 2 curves and 22 instruments (with par spread-market quote): 631 ms
// // 100 curve construction Full 3 curves and 26 instruments (with par spread-market quote): 545 ms
// // 100 curve construction Full 3 curves and 26 instruments (with par spread-market quote): 549 ms
// // 100 curve construction Full 2 curves and 24 instruments (with par spread-market quote): 605 ms
// // 100 curve construction Full 2 curves and 24 instruments (with par spread-market quote): 847 ms
// // 100 curve construction Full 2 curves and 23 instruments (with par spread-market quote): 564 ms
//
// for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) {
// startTime = System.currentTimeMillis();
// for (int looptest = 0; looptest < nbTest; looptest++) {
// curveParSpreadMQ = makeCurvesFromDefinitions(DEFINITIONS_UNITS[loopblock], GENERATORS_UNITS[loopblock], NAMES_UNITS[loopblock], KNOWN_DATA, PSMQ_CALCULATOR, PSMQCS_CALCULATOR, false,
// loopblock);
// }
// endTime = System.currentTimeMillis();
// System.out.println(nbTest + " curve construction Full " + nbCurve[loopblock] + " curves and " + nbIns[loopblock] + " instruments (with par spread-market quote): " + (endTime - startTime)
// + " ms");
// }
// // Performance note: curve construction (with par spread/market quote), 2 curves (Int / Cst+Int) and 21 instruments by units): 23-Jul-2012: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: xx ms for 100 bundles.
//
// }
//
// public static InstrumentDefinition<?>[] getDefinitions(final double[] marketQuotes, final GeneratorInstrument[] generators, final Period[] tenors, final Double[] other) {
// final InstrumentDefinition<?>[] definitions = new InstrumentDefinition<?>[marketQuotes.length];
// for (int loopmv = 0; loopmv < marketQuotes.length; loopmv++) {
// definitions[loopmv] = generators[loopmv].generateInstrument(NOW, tenors[loopmv], marketQuotes[loopmv], NOTIONAL, other[loopmv]);
// }
// return definitions;
// }
//
// private static Pair<YieldCurveBundle, CurveBuildingBlockBundle> makeCurvesFromDefinitions(final InstrumentDefinition<?>[][][] definitions, final GeneratorYDCurve[][] curveGenerators,
// final String[][] curveNames, final YieldCurveBundle knownData, final InstrumentDerivativeVisitor<YieldCurveBundle, Double> calculator,
// final InstrumentDerivativeVisitor<YieldCurveBundle, InterestRateCurveSensitivity> sensitivityCalculator, final boolean withToday, final int block) {
// final int nbUnits = curveGenerators.length;
// final double[][] parametersGuess = new double[nbUnits][];
// final GeneratorYDCurve[][] generatorFinal = new GeneratorYDCurve[nbUnits][];
// final InstrumentDerivative[][][] instruments = new InstrumentDerivative[nbUnits][][];
// for (int loopunit = 0; loopunit < nbUnits; loopunit++) {
// generatorFinal[loopunit] = new GeneratorYDCurve[curveGenerators[loopunit].length];
// int nbInsUnit = 0;
// for (int loopcurve = 0; loopcurve < curveGenerators[loopunit].length; loopcurve++) {
// nbInsUnit += definitions[loopunit][loopcurve].length;
// }
// parametersGuess[loopunit] = new double[nbInsUnit];
// int startCurve = 0; // First parameter index of the curve in the unit.
// instruments[loopunit] = convert(curveNames, definitions[loopunit], loopunit, withToday, block);
// for (int loopcurve = 0; loopcurve < curveGenerators[loopunit].length; loopcurve++) {
// generatorFinal[loopunit][loopcurve] = curveGenerators[loopunit][loopcurve].finalGenerator(instruments[loopunit][loopcurve]);
// final double[] guessCurve = generatorFinal[loopunit][loopcurve].initialGuess(initialGuess(definitions[loopunit][loopcurve]));
// System.arraycopy(guessCurve, 0, parametersGuess[loopunit], startCurve, instruments[loopunit][loopcurve].length);
// startCurve += instruments[loopunit][loopcurve].length;
// }
// if ((block == 7) && (loopunit == 1)) {
// parametersGuess[loopunit] = new double[] {0.012, -0.003, 0.018, 1.60, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0 };
// }
// }
// return CURVE_BUILDING_FUNCTION.makeCurvesFromDerivatives(instruments, generatorFinal, curveNames, parametersGuess, knownData, calculator, sensitivityCalculator);
// }
//
// @SuppressWarnings("unchecked")
// private static InstrumentDerivative[][] convert(final String[][] curveNames, final InstrumentDefinition<?>[][] definitions, final int unit, final boolean withToday, final int block) {
// int nbDef = 0;
// for (final InstrumentDefinition<?>[] definition : definitions) {
// nbDef += definition.length;
// }
// final InstrumentDerivative[][] instruments = new InstrumentDerivative[definitions.length][];
// for (int loopcurve = 0; loopcurve < definitions.length; loopcurve++) {
// instruments[loopcurve] = new InstrumentDerivative[definitions[loopcurve].length];
// int loopins = 0;
// for (final InstrumentDefinition<?> instrument : definitions[loopcurve]) {
// InstrumentDerivative ird;
// if (instrument instanceof SwapFixedONDefinition) {
// final String[] names = getCurvesNameSwapFixedON(curveNames, block);
// ird = ((SwapFixedONDefinition) instrument).toDerivative(NOW, getTSSwapFixedON(withToday, unit), names);
// } else {
// if (instrument instanceof SwapFixedIborDefinition) {
// final String[] names = getCurvesNameSwapFixedIbor(curveNames, unit, block);
// ird = ((SwapFixedIborDefinition) instrument).toDerivative(NOW, getTSSwapFixedIbor(withToday, unit), names);
// } else {
// final String[] names;
// // Cash
// names = getCurvesNameCash(curveNames, loopcurve, unit, block);
// ird = instrument.toDerivative(NOW, names);
// }
// }
// instruments[loopcurve][loopins++] = ird;
// }
// }
// return instruments;
// }
//
// private static double initialGuess(final InstrumentDefinition<?> instrument) {
// if (instrument instanceof SwapFixedONDefinition) {
// return ((SwapFixedONDefinition) instrument).getFixedLeg().getNthPayment(0).getRate();
// }
// if (instrument instanceof SwapFixedIborDefinition) {
// return ((SwapFixedIborDefinition) instrument).getFixedLeg().getNthPayment(0).getRate();
// }
// if (instrument instanceof ForwardRateAgreementDefinition) {
// return ((ForwardRateAgreementDefinition) instrument).getRate();
// }
// if (instrument instanceof CashDefinition) {
// return ((CashDefinition) instrument).getRate();
// }
// return 0.01;
// }
//
// private static double[] initialGuess(final InstrumentDefinition<?>[] definitions) {
// final double[] result = new double[definitions.length];
// int loopr = 0;
// for (final InstrumentDefinition<?> definition : definitions) {
// result[loopr++] = initialGuess(definition);
// }
// return result;
// }
//
// private static String[] getCurvesNameSwapFixedON(final String[][] curveNames, final Integer block) {
// switch (block) {
// case 0:
// case 1:
// case 2:
// case 3:
// case 4:
// case 7:
// case 8:
// case 9:
// return new String[] {curveNames[0][0], curveNames[0][0] };
// case 5:
// case 6:
// return new String[] {curveNames[0][1], curveNames[0][1] };
// default:
// throw new IllegalArgumentException(block.toString());
// }
// }
//
// private static String[] getCurvesNameSwapFixedIbor(final String[][] curveNames, final Integer unit, final Integer block) {
// switch (unit) {
// case 0:
// switch (block) {
// case 0:
// case 1:
// case 2:
// case 3:
// case 4:
// case 7:
// return new String[] {curveNames[0][0], curveNames[1][0] };
// case 5:
// case 6:
// return new String[] {curveNames[0][1], curveNames[0][0] };
// default:
// throw new IllegalArgumentException(block.toString());
// }
// case 1:
// return new String[] {curveNames[0][0], curveNames[1][0] };
// case 2:
// return new String[] {curveNames[0][0], curveNames[2][0] };
// default:
// throw new IllegalArgumentException(unit.toString());
// }
// }
//
// private static String[] getCurvesNameCash(final String[][] curveNames, final Integer loopcurve, final Integer unit, final Integer block) {
// switch (unit) {
// case 0:
// switch (block) {
// case 0:
// case 1:
// case 2:
// case 3:
// case 4:
// case 7:
// case 8:
// case 9:
// return new String[] {curveNames[0][0] };
// case 5:
// case 6:
// return new String[] {curveNames[0][loopcurve] };
// default:
// throw new IllegalArgumentException(block.toString());
// }
// case 1:
// return new String[] {curveNames[1][0] };
// case 2:
// return new String[] {curveNames[2][0] };
// default:
// throw new IllegalArgumentException(unit.toString());
// }
// }
//
// @SuppressWarnings("rawtypes")
// private static DoubleTimeSeries[] getTSSwapFixedON(final Boolean withToday, final Integer unit) {
// switch (unit) {
// case 0:
// return withToday ? TS_FIXED_OIS_USD_WITH_TODAY : TS_FIXED_OIS_USD_WITHOUT_TODAY;
// default:
// throw new IllegalArgumentException(unit.toString());
// }
// }
//
// @SuppressWarnings("rawtypes")
// private static DoubleTimeSeries[] getTSSwapFixedIbor(final Boolean withToday, final Integer unit) {
// switch (unit) {
// case 0:
// return withToday ? TS_FIXED_IBOR_USD3M_WITH_TODAY : TS_FIXED_IBOR_USD3M_WITHOUT_TODAY;
// case 1:
// return withToday ? TS_FIXED_IBOR_USD3M_WITH_TODAY : TS_FIXED_IBOR_USD3M_WITHOUT_TODAY;
// case 2:
// return withToday ? TS_FIXED_IBOR_USD6M_WITH_TODAY : TS_FIXED_IBOR_USD6M_WITHOUT_TODAY;
// default:
// throw new IllegalArgumentException(unit.toString());
// }
// }
}