/** * 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 static org.testng.AssertJUnit.assertEquals; import java.util.ArrayList; import java.util.LinkedHashMap; import java.util.List; import org.testng.annotations.Test; import org.threeten.bp.Period; import org.threeten.bp.ZonedDateTime; import com.opengamma.analytics.financial.curve.inflation.generator.GeneratorPriceIndexCurve; import com.opengamma.analytics.financial.curve.inflation.generator.GeneratorPriceIndexCurveInterpolated; import com.opengamma.analytics.financial.instrument.InstrumentDefinition; import com.opengamma.analytics.financial.instrument.cash.CashDefinition; import com.opengamma.analytics.financial.instrument.fra.ForwardRateAgreementDefinition; import com.opengamma.analytics.financial.instrument.index.GeneratorAttribute; import com.opengamma.analytics.financial.instrument.index.GeneratorAttributeIR; import com.opengamma.analytics.financial.instrument.index.GeneratorInstrument; import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedInflationMaster; import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedInflationZeroCoupon; import com.opengamma.analytics.financial.instrument.index.IndexPrice; import com.opengamma.analytics.financial.instrument.inflation.CouponInflationZeroCouponInterpolationDefinition; import com.opengamma.analytics.financial.instrument.inflation.CouponInflationZeroCouponMonthlyDefinition; import com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition; import com.opengamma.analytics.financial.instrument.swap.SwapFixedInflationZeroCouponDefinition; import com.opengamma.analytics.financial.instrument.swap.SwapFixedONDefinition; import com.opengamma.analytics.financial.interestrate.InstrumentDerivative; import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor; import com.opengamma.analytics.financial.interestrate.annuity.derivative.Annuity; import com.opengamma.analytics.financial.interestrate.payments.derivative.Payment; import com.opengamma.analytics.financial.interestrate.swap.derivative.Swap; import com.opengamma.analytics.financial.provider.calculator.generic.LastTimeCalculator; import com.opengamma.analytics.financial.provider.calculator.inflation.ParSpreadInflationMarketQuoteCurveSensitivityDiscountingCalculator; import com.opengamma.analytics.financial.provider.calculator.inflation.ParSpreadInflationMarketQuoteDiscountingCalculator; import com.opengamma.analytics.financial.provider.calculator.inflation.PresentValueDiscountingInflationCalculator; import com.opengamma.analytics.financial.provider.curve.CurveBuildingBlockBundle; import com.opengamma.analytics.financial.provider.curve.MultiCurveBundle; import com.opengamma.analytics.financial.provider.curve.SingleCurveBundle; import com.opengamma.analytics.financial.provider.curve.inflation.InflationDiscountBuildingRepository; import com.opengamma.analytics.financial.provider.description.inflation.InflationProviderDiscount; import com.opengamma.analytics.financial.provider.description.inflation.ParameterInflationProviderInterface; import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderDiscount; import com.opengamma.analytics.financial.provider.sensitivity.inflation.InflationSensitivity; import com.opengamma.analytics.math.interpolation.CombinedInterpolatorExtrapolatorFactory; import com.opengamma.analytics.math.interpolation.Interpolator1D; import com.opengamma.analytics.math.interpolation.Interpolator1DFactory; 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; /** * */ public class StandardDataSetsInflationGBP { private static final ZonedDateTime CALIBRATION_DATE = DateUtils.getUTCDate(2014, 4, 11); private static final Interpolator1D INTERPOLATOR_LINEAR = CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.LINEAR, Interpolator1DFactory.FLAT_EXTRAPOLATOR, Interpolator1DFactory.FLAT_EXTRAPOLATOR); 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 Currency GBP = Currency.GBP; private static final double NOTIONAL = 1.0; private static final GeneratorSwapFixedInflationZeroCoupon GENERATOR_INFLATION_SWAP = GeneratorSwapFixedInflationMaster.getInstance().getGenerator("UKRPI"); private static final IndexPrice GBP_RPI = GENERATOR_INFLATION_SWAP.getIndexPrice(); private static final ZonedDateTimeDoubleTimeSeries TS_PRICE_INDEX_USD_WITH_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2013, 12, 31), DateUtils.getUTCDate(2014, 1, 31), DateUtils.getUTCDate(2014, 2, 28) }, new double[] {253.4, 252.6, 254.2 }); private static final String CURVE_NAME_RPI_GBP = "GBP RPI"; /** Market values for the RPI GBP curve */ public static final double[] RPI_GBP_MARKET_QUOTES = new double[] { 0.02163, 0.02262, 0.02371, 0.02463, 0.02522, 0.02581, 0.02634, 0.02698, 0.0249, 0.02844, 0.02991, 0.02810, 0.03175, 0.031915 }; /** Generators for the RPI GBP curve */ private static final GeneratorInstrument<? extends GeneratorAttribute>[] RPI_GBP_GENERATORS = new GeneratorInstrument<?>[] {GENERATOR_INFLATION_SWAP, GENERATOR_INFLATION_SWAP, GENERATOR_INFLATION_SWAP, GENERATOR_INFLATION_SWAP, GENERATOR_INFLATION_SWAP, GENERATOR_INFLATION_SWAP, GENERATOR_INFLATION_SWAP, GENERATOR_INFLATION_SWAP, GENERATOR_INFLATION_SWAP, GENERATOR_INFLATION_SWAP, GENERATOR_INFLATION_SWAP, GENERATOR_INFLATION_SWAP, GENERATOR_INFLATION_SWAP, GENERATOR_INFLATION_SWAP }; /** Tenors for the RPI GBP curve */ private static final Period[] RPI_GBP_TENOR = new Period[] {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(25), Period.ofYears(30) }; private static final GeneratorAttributeIR[] RPI_GBP_ATTR = new GeneratorAttributeIR[RPI_GBP_TENOR.length]; static { for (int loopins = 0; loopins < RPI_GBP_TENOR.length; loopins++) { RPI_GBP_ATTR[loopins] = new GeneratorAttributeIR(RPI_GBP_TENOR[loopins]); } } /** Standard RPI GBP curve instrument definitions */ private static final InstrumentDefinition<?>[] DEFINITIONS_RPI_GBP; /** Units of curves */ private static final int[] NB_UNITS = new int[] {1 }; private static final int NB_BLOCKS = NB_UNITS.length; private static final InstrumentDefinition<?>[][][][] DEFINITIONS_UNITS = new InstrumentDefinition<?>[NB_BLOCKS][][][]; private static final GeneratorPriceIndexCurve[][][] GENERATORS_UNITS = new GeneratorPriceIndexCurve[NB_BLOCKS][][]; private static final String[][][] NAMES_UNITS = new String[NB_BLOCKS][][]; private static final Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> MULTICURVE_PAIR = StandardDataSetsMulticurveGBP.getCurvesGBPSonia(CALIBRATION_DATE); private static final MulticurveProviderDiscount GBP_MULTICURVE = MULTICURVE_PAIR.getFirst(); private static final InflationProviderDiscount KNOWN_DATA = new InflationProviderDiscount(GBP_MULTICURVE); private static final CurveBuildingBlockBundle KNOWN_BUNDLE = MULTICURVE_PAIR.getSecond(); private static final LinkedHashMap<String, IndexPrice[]> GBP_RPI_MAP = new LinkedHashMap<>(); static { DEFINITIONS_RPI_GBP = getDefinitions(RPI_GBP_MARKET_QUOTES, RPI_GBP_GENERATORS, RPI_GBP_ATTR); for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) { DEFINITIONS_UNITS[loopblock] = new InstrumentDefinition<?>[NB_UNITS[loopblock]][][]; GENERATORS_UNITS[loopblock] = new GeneratorPriceIndexCurve[NB_UNITS[loopblock]][]; NAMES_UNITS[loopblock] = new String[NB_UNITS[loopblock]][]; } DEFINITIONS_UNITS[0][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_RPI_GBP }; final GeneratorPriceIndexCurve genIntLin = new GeneratorPriceIndexCurveInterpolated(MATURITY_CALCULATOR, INTERPOLATOR_LINEAR); GENERATORS_UNITS[0][0] = new GeneratorPriceIndexCurve[] {genIntLin }; NAMES_UNITS[0][0] = new String[] {CURVE_NAME_RPI_GBP }; GBP_RPI_MAP.put(CURVE_NAME_RPI_GBP, new IndexPrice[] {GBP_RPI }); } @SuppressWarnings({"rawtypes", "unchecked" }) public static InstrumentDefinition<?>[] getDefinitions(final double[] marketQuotes, final GeneratorInstrument[] generators, final GeneratorAttribute[] attribute) { final InstrumentDefinition<?>[] definitions = new InstrumentDefinition<?>[marketQuotes.length]; for (int loopmv = 0; loopmv < marketQuotes.length; loopmv++) { definitions[loopmv] = generators[loopmv].generateInstrument(CALIBRATION_DATE, marketQuotes[loopmv], NOTIONAL, attribute[loopmv]); } return definitions; } private static List<Pair<InflationProviderDiscount, CurveBuildingBlockBundle>> CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK = new ArrayList<>(); // Calculator private static final PresentValueDiscountingInflationCalculator PVIC = PresentValueDiscountingInflationCalculator.getInstance(); private static final ParSpreadInflationMarketQuoteDiscountingCalculator PSIMQC = ParSpreadInflationMarketQuoteDiscountingCalculator.getInstance(); private static final ParSpreadInflationMarketQuoteCurveSensitivityDiscountingCalculator PSIMQCSC = ParSpreadInflationMarketQuoteCurveSensitivityDiscountingCalculator.getInstance(); private static final InflationDiscountBuildingRepository CURVE_BUILDING_REPOSITORY = new InflationDiscountBuildingRepository(TOLERANCE_ROOT, TOLERANCE_ROOT, STEP_MAX); private static final double TOLERANCE_CAL = 1.0E-9; static { 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, KNOWN_BUNDLE, PSIMQC, PSIMQCSC)); } } @Test public void curveConstructionGeneratorOtherBlocks() { for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) { curveConstructionTest(DEFINITIONS_UNITS[loopblock], CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getFirst(), loopblock); } } public static Pair<InflationProviderDiscount, CurveBuildingBlockBundle> getCurvesGBPRpiAndSonia() { return CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0); } /** * Returns the array of overnight index used in the curve data set. * @return The array: USDFEDFUND */ public static IndexPrice[] indexONArray() { return new IndexPrice[] {GBP_RPI }; } private void curveConstructionTest(final InstrumentDefinition<?>[][][] definitions, final InflationProviderDiscount curves, final int block) { final int nbBlocks = definitions.length; for (int loopblock = 0; loopblock < nbBlocks; loopblock++) { final InstrumentDerivative[][] instruments = convert(definitions[loopblock]); 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(PVIC, curves), GBP).getAmount(); assertEquals("Curve construction: block " + block + ", unit " + loopblock + " - instrument " + loopins, 0, pv[loopcurve][loopins], TOLERANCE_CAL); } } } } @SuppressWarnings("unchecked") private static Pair<InflationProviderDiscount, CurveBuildingBlockBundle> makeCurvesFromDefinitions(final InstrumentDefinition<?>[][][] definitions, final GeneratorPriceIndexCurve[][] curveGenerators, final String[][] curveNames, final InflationProviderDiscount knownData, final CurveBuildingBlockBundle knownBundle, final InstrumentDerivativeVisitor<ParameterInflationProviderInterface, Double> calculator, final InstrumentDerivativeVisitor<ParameterInflationProviderInterface, InflationSensitivity> sensitivityCalculator) { final int nUnits = definitions.length; final MultiCurveBundle<GeneratorPriceIndexCurve>[] curveBundles = new MultiCurveBundle[nUnits]; for (int i = 0; i < nUnits; i++) { final int nCurves = definitions[i].length; final SingleCurveBundle<GeneratorPriceIndexCurve>[] singleCurves = new SingleCurveBundle[nCurves]; for (int j = 0; j < nCurves; j++) { final int nInstruments = definitions[i][j].length; final InstrumentDerivative[] derivatives = new InstrumentDerivative[nInstruments]; final double[] initialGuess = new double[nInstruments]; for (int k = 0; k < nInstruments; k++) { derivatives[k] = convert(definitions[i][j][k]); initialGuess[k] = initialGuess(definitions[i][j][k]); } final GeneratorPriceIndexCurve generator = curveGenerators[i][j].finalGenerator(derivatives); singleCurves[j] = new SingleCurveBundle<>(curveNames[i][j], derivatives, initialGuess, generator); } curveBundles[i] = new MultiCurveBundle<>(singleCurves); } return CURVE_BUILDING_REPOSITORY.makeCurvesFromDerivatives(curveBundles, knownData, knownBundle, GBP_RPI_MAP, calculator, sensitivityCalculator); } private static InstrumentDerivative[][] convert(final InstrumentDefinition<?>[][] definitions) { 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 SwapFixedInflationZeroCouponDefinition) { final Annuity<? extends Payment> ird1 = ((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg().toDerivative(CALIBRATION_DATE); final Annuity<? extends Payment> ird2 = ((SwapFixedInflationZeroCouponDefinition) instrument).getSecondLeg().toDerivative(CALIBRATION_DATE, TS_PRICE_INDEX_USD_WITH_TODAY); ird = new Swap<>(ird1, ird2); } else { ird = instrument.toDerivative(CALIBRATION_DATE); } instruments[loopcurve][loopins++] = ird; } } return instruments; } private static InstrumentDerivative convert(final InstrumentDefinition<?> instrument) { InstrumentDerivative ird; if (instrument instanceof SwapFixedInflationZeroCouponDefinition) { final Annuity<? extends Payment> ird1 = ((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg().toDerivative(CALIBRATION_DATE); final Annuity<? extends Payment> ird2 = ((SwapFixedInflationZeroCouponDefinition) instrument).getSecondLeg().toDerivative(CALIBRATION_DATE, TS_PRICE_INDEX_USD_WITH_TODAY); ird = new Swap<>(ird1, ird2); } else { ird = instrument.toDerivative(CALIBRATION_DATE); } return ird; } 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 SwapFixedInflationZeroCouponDefinition) { if (((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg().getNthPayment(0) instanceof CouponInflationZeroCouponMonthlyDefinition) { return 100.0; } if (((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg().getNthPayment(0) instanceof CouponInflationZeroCouponInterpolationDefinition) { return 100.0; } return 100; } if (instrument instanceof ForwardRateAgreementDefinition) { return ((ForwardRateAgreementDefinition) instrument).getRate(); } if (instrument instanceof CashDefinition) { return ((CashDefinition) instrument).getRate(); } return 1; } }