/**
* 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.LinkedHashMap;
import org.threeten.bp.Period;
import org.threeten.bp.ZonedDateTime;
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.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.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.provider.calculator.discounting.ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.discounting.ParSpreadMarketQuoteDiscountingCalculator;
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.multicurve.MulticurveDiscountBuildingRepository;
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;
/**
* Curves calibration in GBP:
* 0) ONDSC-OIS
* Data stored in snapshots for comparison with platform.
*/
public class StandardDataSetsMulticurveGBP {
private static final ZonedDateTime[] REFERENCE_DATE = new ZonedDateTime[2];
static {
REFERENCE_DATE[0] = DateUtils.getUTCDate(2014, 4, 11);
REFERENCE_DATE[1] = DateUtils.getUTCDate(2014, 4, 11);
}
private static final Calendar LONDON = new CalendarGBP("LONDON");
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", LONDON);
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 ZonedDateTimeDoubleTimeSeries TS_IBOR_GBP3M_WITH_TODAY =
ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27),
DateUtils.getUTCDate(2011, 9, 28) }, new double[] {0.0035, 0.0036 });
private static final ZonedDateTimeDoubleTimeSeries TS_IBOR_GBP3M_WITHOUT_TODAY =
ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27) },
new double[] {0.0035 });
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_GBP3M_WITH_TODAY =
new ZonedDateTimeDoubleTimeSeries[] {TS_IBOR_GBP3M_WITH_TODAY };
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_GBP3M_WITHOUT_TODAY =
new ZonedDateTimeDoubleTimeSeries[] {TS_IBOR_GBP3M_WITHOUT_TODAY };
private static final String CURVE_NAME_DSC_GBP = "GBP-DSCON-OIS";
/** Data for 2014-01-22 **/
/** 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,
0.024726, 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]);
}
}
/** Standard GBP discounting curve instrument definitions */
private static final InstrumentDefinition<?>[] DEFINITIONS_DSC_1_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 GeneratorYDCurve[][][] GENERATORS_UNITS = new GeneratorYDCurve[NB_BLOCKS][][];
private static final String[][][] NAMES_UNITS = new String[NB_BLOCKS][][];
private static final MulticurveProviderDiscount KNOWN_DATA = new MulticurveProviderDiscount(FX_MATRIX);
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<>();
static {
DEFINITIONS_DSC_1_GBP = getDefinitions(DSC_1_GBP_MARKET_QUOTES, DSC_1_GBP_GENERATORS, DSC_1_GBP_ATTR, REFERENCE_DATE[0]);
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_1_GBP };
final GeneratorYDCurve genIntLin = CurveCalibrationConventionDataSets.generatorYDMatLin();
GENERATORS_UNITS[0][0] = new GeneratorYDCurve[] {genIntLin };
NAMES_UNITS[0][0] = new String[] {CURVE_NAME_DSC_GBP };
DSC_MAP.put(CURVE_NAME_DSC_GBP, GBP);
FWD_ON_MAP.put(CURVE_NAME_DSC_GBP, new IndexON[] {GBPSONIA });
}
@SuppressWarnings({"unchecked", "rawtypes" })
public static InstrumentDefinition<?>[] getDefinitions(final double[] marketQuotes,
final GeneratorInstrument[] generators, final GeneratorAttribute[] attribute, final 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 ParSpreadMarketQuoteDiscountingCalculator PSMQC =
ParSpreadMarketQuoteDiscountingCalculator.getInstance();
private static final ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator PSMQCSC =
ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator.getInstance();
private static final MulticurveDiscountBuildingRepository CURVE_BUILDING_REPOSITORY =
CurveCalibrationConventionDataSets.curveBuildingRepositoryMulticurve();
public static Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> getCurvesGBPSonia(ZonedDateTime calibrationDate) {
InstrumentDefinition<?>[] dscDefinition =
getDefinitions(DSC_1_GBP_MARKET_QUOTES, DSC_1_GBP_GENERATORS, DSC_1_GBP_ATTR, calibrationDate);
InstrumentDefinition<?>[][][] unitsDefinition = new InstrumentDefinition<?>[1][][];
unitsDefinition[0] = new InstrumentDefinition<?>[][] {dscDefinition };
return CurveCalibrationTestsUtils.makeCurvesFromDefinitionsMulticurve(calibrationDate,
unitsDefinition, GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PSMQC,
PSMQCSC, false, DSC_MAP, FWD_ON_MAP, FWD_IBOR_MAP, CURVE_BUILDING_REPOSITORY,
TS_FIXED_OIS_GBP_WITH_TODAY, TS_FIXED_OIS_GBP_WITHOUT_TODAY, TS_FIXED_IBOR_GBP3M_WITH_TODAY, TS_FIXED_IBOR_GBP3M_WITHOUT_TODAY);
}
/**
* Returns the array of overnight index used in the curve data set.
* @return The array: GBPFEDFUND
*/
public static IndexON[] indexONArray() {
return new IndexON[] {GBPSONIA };
}
/**
* Returns the array of calendars used in the curve data set.
* @return The array: NYC
*/
public static Calendar[] calendarArray() {
return new Calendar[] {LONDON };
}
}