/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.datasets;
import java.util.HashMap;
import java.util.LinkedHashMap;
import org.threeten.bp.Period;
import org.threeten.bp.ZonedDateTime;
import com.google.common.collect.LinkedListMultimap;
import com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorYDCurve;
import com.opengamma.analytics.financial.datasets.CalendarGBP;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
import com.opengamma.analytics.financial.instrument.bond.BillSecurityDefinition;
import com.opengamma.analytics.financial.instrument.bond.BondDataSetsGbp;
import com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinition;
import com.opengamma.analytics.financial.instrument.index.GeneratorAttribute;
import com.opengamma.analytics.financial.instrument.index.GeneratorAttributeET;
import com.opengamma.analytics.financial.instrument.index.GeneratorAttributeIR;
import com.opengamma.analytics.financial.instrument.index.GeneratorBill;
import com.opengamma.analytics.financial.instrument.index.GeneratorBondFixed;
import com.opengamma.analytics.financial.instrument.index.GeneratorInstrument;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedON;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedONMaster;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.instrument.index.IndexON;
import com.opengamma.analytics.financial.legalentity.LegalEntity;
import com.opengamma.analytics.financial.legalentity.LegalEntityFilter;
import com.opengamma.analytics.financial.legalentity.LegalEntityShortName;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.financial.provider.calculator.issuer.ParSpreadMarketQuoteCurveSensitivityIssuerDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.issuer.ParSpreadMarketQuoteIssuerDiscountingCalculator;
import com.opengamma.analytics.financial.provider.curve.CurveBuildingBlockBundle;
import com.opengamma.analytics.financial.provider.curve.CurveCalibrationConventionDataSets;
import com.opengamma.analytics.financial.provider.curve.CurveCalibrationTestsUtils;
import com.opengamma.analytics.financial.provider.curve.issuer.IssuerDiscountBuildingRepository;
import com.opengamma.analytics.financial.provider.description.interestrate.IssuerProviderDiscount;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderDiscount;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.timeseries.precise.zdt.ImmutableZonedDateTimeDoubleTimeSeries;
import com.opengamma.timeseries.precise.zdt.ZonedDateTimeDoubleTimeSeries;
import com.opengamma.util.money.Currency;
import com.opengamma.util.time.DateUtils;
import com.opengamma.util.tuple.Pair;
import com.opengamma.util.tuple.Pairs;
/**
* Curves calibration in GBP:
* 0) DSCON-OIS/CCYIS-UKGVT
* Data stored in snapshots for comparison with platform.
*/
public class StandardDataSetsBondCurveGBP {
private static final ZonedDateTime[] REFERENCE_DATE = new ZonedDateTime[1];
static {
REFERENCE_DATE[0] = DateUtils.getUTCDate(2014, 7, 11);
}
private static final Calendar LON = new CalendarGBP("Lon");
private static final Currency GBP = Currency.GBP;
private static final FXMatrix FX_MATRIX = new FXMatrix(GBP);
private static final double NOTIONAL = 1.0;
private static final GeneratorSwapFixedONMaster GENERATOR_OIS_MASTER = GeneratorSwapFixedONMaster.getInstance();
private static final GeneratorSwapFixedON GENERATOR_OIS_GBP = GENERATOR_OIS_MASTER.getGenerator("GBP1YSONIA", LON);
private static final IndexON GBPSONIA = GENERATOR_OIS_GBP.getIndex();
private static final ZonedDateTimeDoubleTimeSeries TS_EMPTY = ImmutableZonedDateTimeDoubleTimeSeries.ofEmptyUTC();
private static final ZonedDateTimeDoubleTimeSeries TS_ON_GBP_WITH_TODAY =
ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27),
DateUtils.getUTCDate(2011, 9, 28) }, new double[] {0.07, 0.08 });
private static final ZonedDateTimeDoubleTimeSeries TS_ON_GBP_WITHOUT_TODAY =
ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27),
DateUtils.getUTCDate(2011, 9, 28) }, new double[] {0.07, 0.08 });
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_OIS_GBP_WITH_TODAY =
new ZonedDateTimeDoubleTimeSeries[] {TS_EMPTY, TS_ON_GBP_WITH_TODAY };
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_OIS_GBP_WITHOUT_TODAY =
new ZonedDateTimeDoubleTimeSeries[] {TS_EMPTY, TS_ON_GBP_WITHOUT_TODAY };
private static final String CURVE_NAME_DSC_GBP = "GBP-DSCON-OIS";
private static final String CURVE_NAME_GOVTUK_GBP = "GBP-CCYIS-UKGVT";
/** Market values for the dsc GBP curve */
private static final double[] DSC_1_GBP_MARKET_QUOTES = new double[] {0.004225, 0.004215,
0.00424, 0.00422, 0.004226, 0.004303, 0.0045095,
0.0049, 0.0076675, 0.010975, 0.0136605, 0.01583,
0.01768, 0.019249, 0.020603, 0.0218265, 0.022898,
0.024725999999999998, 0.026638, 0.028471, 0.029667 }; //21
/** Generators for the dsc GBP curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] DSC_1_GBP_GENERATORS =
CurveCalibrationConventionDataSets.generatorGbpOnOis(2, 19);
/** Tenors for the dsc GBP curve */
private static final Period[] DSC_1_GBP_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(6), Period.ofYears(7), Period.ofYears(8), Period.ofYears(9), Period.ofYears(10),
Period.ofYears(12), Period.ofYears(15), Period.ofYears(20), Period.ofYears(30) };
private static final GeneratorAttributeIR[] DSC_1_GBP_ATTR = new GeneratorAttributeIR[DSC_1_GBP_TENOR.length];
static {
for (int loopins = 0; loopins < 2; loopins++) {
DSC_1_GBP_ATTR[loopins] = new GeneratorAttributeIR(DSC_1_GBP_TENOR[loopins], Period.ofDays(0));
}
for (int loopins = 2; loopins < DSC_1_GBP_TENOR.length; loopins++) {
DSC_1_GBP_ATTR[loopins] = new GeneratorAttributeIR(DSC_1_GBP_TENOR[loopins]);
}
}
/** Market values for the UKT GBP curve */ /** ISIN: GB00BDNHF692 - GB00BDNJY806 */
private static final ZonedDateTime[] BILL_MATURITY = new ZonedDateTime[] {DateUtils.getUTCDate(2014, 10, 6),
DateUtils.getUTCDate(2015, 1, 5) };
private static final int NB_BILL = BILL_MATURITY.length;
private static final BillSecurityDefinition[] BILL_SECURITY = new BillSecurityDefinition[NB_BILL];
private static final GeneratorBill[] GENERATOR_BILL = new GeneratorBill[NB_BILL];
static {
for (int loopbill = 0; loopbill < BILL_MATURITY.length; loopbill++) {
BILL_SECURITY[loopbill] = BondDataSetsGbp.billUK(NOTIONAL, BILL_MATURITY[loopbill]);
GENERATOR_BILL[loopbill] = new GeneratorBill("GeneratorBill" + loopbill, BILL_SECURITY[loopbill]);
}
}
private static final String GOVT_UK_ISSUER_NAME = BILL_SECURITY[0].getIssuer();
private static final int NB_BOND = 3;
private static final BondFixedSecurityDefinition[] BOND_SECURITY = new BondFixedSecurityDefinition[NB_BOND];
private static final GeneratorBondFixed[] GENERATOR_BOND = new GeneratorBondFixed[NB_BOND];
static {
BOND_SECURITY[0] = BondDataSetsGbp.bondUKT2_20160122(NOTIONAL);
BOND_SECURITY[1] = BondDataSetsGbp.bondUKT175_20190722(NOTIONAL);
BOND_SECURITY[2] = BondDataSetsGbp.bondUKT225_20230907(NOTIONAL);
for (int loopbnd = 0; loopbnd < NB_BOND; loopbnd++) {
GENERATOR_BOND[loopbnd] = new GeneratorBondFixed("GeneratorBond" + loopbnd, BOND_SECURITY[loopbnd]);
}
}
/** Market values for the govt GBP bill curve */
private static final double[] GOVTUK_GBP_MARKET_QUOTES = new double[] {0.0040, 0.0050, 0.0070, 0.0150, 0.0250 };
/** Generators for the govt GBP curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] GOVTUK_GBP_GENERATORS =
new GeneratorInstrument<?>[] {GENERATOR_BILL[0], GENERATOR_BILL[1],
GENERATOR_BOND[0], GENERATOR_BOND[1], GENERATOR_BOND[2] };
/** Tenors for the govt USD curve */
private static final GeneratorAttributeET[] GOVTUK_GBP_ATTR = new GeneratorAttributeET[GOVTUK_GBP_MARKET_QUOTES.length];
static {
for (int loopins = 0; loopins < GOVTUK_GBP_MARKET_QUOTES.length; loopins++) {
GOVTUK_GBP_ATTR[loopins] = new GeneratorAttributeET(false);
}
}
/** Units of curves */
private static final int[] NB_UNITS = new int[] {2 };
private static final int NB_BLOCKS = NB_UNITS.length;
private static final InstrumentDefinition<?>[][][][] DEFINITIONS_UNITS = new InstrumentDefinition<?>[NB_BLOCKS][][][];
private static final GeneratorYDCurve[][][] GENERATORS_UNITS = new GeneratorYDCurve[NB_BLOCKS][][];
private static final String[][][] NAMES_UNITS = new String[NB_BLOCKS][][];
private static final MulticurveProviderDiscount KNOWN_MULTICURVES = new MulticurveProviderDiscount(FX_MATRIX);
private static final IssuerProviderDiscount KNOWN_DATA =
new IssuerProviderDiscount(KNOWN_MULTICURVES, new HashMap<Pair<Object, LegalEntityFilter<LegalEntity>>, YieldAndDiscountCurve>());
private static final LinkedHashMap<String, Currency> DSC_MAP = new LinkedHashMap<>();
private static final LinkedHashMap<String, IndexON[]> FWD_ON_MAP = new LinkedHashMap<>();
private static final LinkedHashMap<String, IborIndex[]> FWD_IBOR_MAP = new LinkedHashMap<>();
private static final LinkedListMultimap<String, Pair<Object, LegalEntityFilter<LegalEntity>>> DSC_ISS_MAP = LinkedListMultimap.create();
static {
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]][];
}
final GeneratorYDCurve genIntLin = CurveCalibrationConventionDataSets.generatorYDMatLin();
GENERATORS_UNITS[0][0] = new GeneratorYDCurve[] {genIntLin };
GENERATORS_UNITS[0][1] = new GeneratorYDCurve[] {genIntLin };
NAMES_UNITS[0][0] = new String[] {CURVE_NAME_DSC_GBP };
NAMES_UNITS[0][1] = new String[] {CURVE_NAME_GOVTUK_GBP };
DSC_MAP.put(CURVE_NAME_DSC_GBP, GBP);
FWD_ON_MAP.put(CURVE_NAME_DSC_GBP, new IndexON[] {GBPSONIA });
DSC_ISS_MAP.put(CURVE_NAME_GOVTUK_GBP, Pairs.of((Object) GOVT_UK_ISSUER_NAME, (LegalEntityFilter<LegalEntity>) new LegalEntityShortName()));
}
@SuppressWarnings({"unchecked", "rawtypes" })
public static InstrumentDefinition<?>[] getDefinitions(double[] marketQuotes, GeneratorInstrument[] generators,
GeneratorAttribute[] attribute, ZonedDateTime referenceDate) {
final InstrumentDefinition<?>[] definitions = new InstrumentDefinition<?>[marketQuotes.length];
for (int loopmv = 0; loopmv < marketQuotes.length; loopmv++) {
definitions[loopmv] = generators[loopmv].generateInstrument(referenceDate, marketQuotes[loopmv], NOTIONAL, attribute[loopmv]);
}
return definitions;
}
// Calculator
private static final ParSpreadMarketQuoteIssuerDiscountingCalculator PSMQIC =
ParSpreadMarketQuoteIssuerDiscountingCalculator.getInstance();
private static final ParSpreadMarketQuoteCurveSensitivityIssuerDiscountingCalculator PSMQCSIC =
ParSpreadMarketQuoteCurveSensitivityIssuerDiscountingCalculator.getInstance();
private static final IssuerDiscountBuildingRepository CURVE_BUILDING_REPOSITORY =
CurveCalibrationConventionDataSets.curveBuildingRepositoryIssuer();
public static Pair<IssuerProviderDiscount, CurveBuildingBlockBundle> getCurvesGBPSoniaGovt(ZonedDateTime calibrationDate) {
InstrumentDefinition<?>[] dscDefinition =
getDefinitions(DSC_1_GBP_MARKET_QUOTES, DSC_1_GBP_GENERATORS, DSC_1_GBP_ATTR, calibrationDate);
InstrumentDefinition<?>[] gvtDefinition =
getDefinitions(GOVTUK_GBP_MARKET_QUOTES, GOVTUK_GBP_GENERATORS, GOVTUK_GBP_ATTR, calibrationDate);
InstrumentDefinition<?>[][][] unitsDefinition = new InstrumentDefinition<?>[2][][];
unitsDefinition[0] = new InstrumentDefinition<?>[][] {dscDefinition };
unitsDefinition[1] = new InstrumentDefinition<?>[][] {gvtDefinition };
return CurveCalibrationTestsUtils.makeCurvesFromDefinitionsIssuer(
calibrationDate, unitsDefinition, GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA,
PSMQIC, PSMQCSIC, false, DSC_MAP, FWD_ON_MAP, FWD_IBOR_MAP, DSC_ISS_MAP, CURVE_BUILDING_REPOSITORY,
TS_FIXED_OIS_GBP_WITH_TODAY, TS_FIXED_OIS_GBP_WITHOUT_TODAY, TS_FIXED_OIS_GBP_WITH_TODAY, TS_FIXED_OIS_GBP_WITHOUT_TODAY);
}
}