/**
* Copyright (C) 2014 - 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 java.util.Map;
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.datasets.CalendarUSD;
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.GeneratorAttributeFX;
import com.opengamma.analytics.financial.instrument.index.GeneratorAttributeIR;
import com.opengamma.analytics.financial.instrument.index.GeneratorDepositIbor;
import com.opengamma.analytics.financial.instrument.index.GeneratorFRA;
import com.opengamma.analytics.financial.instrument.index.GeneratorForexForward;
import com.opengamma.analytics.financial.instrument.index.GeneratorInstrument;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedIbor;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedIborMaster;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedON;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedONMaster;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapIborCompoundingIbor;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapXCcyIborIbor;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.instrument.index.IndexIborMaster;
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.businessday.BusinessDayConventions;
import com.opengamma.financial.convention.calendar.Calendar;
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 StandardDataSetsMulticurveUSDGBP {
/**
* Curves calibration in USD and GBP:
* 0) USD_DSCON-OISFFS_L3M-FRAIRS_L1M-FRABSxL3M_L6M-FRABSL3Mx / FRABSL3Mx__GBP_DSC-FXxUSD-XCCYxL3MUSDL3M_L3M-FRAIRS
* Potential curve config name: USD_DSCON-OISFFS_L3M-FRAIRS_L1M-FRABSxL3M_L6M-FRABSL3Mx__GBP_DSC-FXxUSD-XCCYxL3MUSDL3M_L3M-FRAIRS
*/
private static final Calendar NYC = new CalendarUSD("NYC");
private static final Calendar LON = new CalendarGBP("LON");
private static final Currency USD = Currency.USD;
private static final Currency GBP = Currency.GBP;
private static final double FX_GBPUSD = 1.65785;
private static final FXMatrix FX_MATRIX_SPOT = new FXMatrix(GBP, USD, FX_GBPUSD);
private static final double NOTIONAL = 1.0;
private static final IndexIborMaster IBOR_MASTER = IndexIborMaster.getInstance();
private static final GeneratorSwapFixedONMaster GENERATOR_OIS_MASTER = GeneratorSwapFixedONMaster.getInstance();
private static final GeneratorSwapFixedIborMaster GENERATOR_IRS_MASTER = GeneratorSwapFixedIborMaster.getInstance();
private static final GeneratorSwapFixedON GENERATOR_OIS_USD = GENERATOR_OIS_MASTER.getGenerator("USD1YFEDFUND", NYC);
private static final IndexON USDFEDFUND = GENERATOR_OIS_USD.getIndex();
private static final GeneratorSwapFixedIbor USD6MLIBOR3M = GENERATOR_IRS_MASTER.getGenerator("USD6MLIBOR3M", NYC);
private static final IborIndex USDLIBOR3M = USD6MLIBOR3M.getIborIndex();
private static final IborIndex USDLIBOR1M = IBOR_MASTER.getIndex("USDLIBOR1M");
private static final IborIndex USDLIBOR6M = IBOR_MASTER.getIndex("USDLIBOR6M");
private static final IborIndex GBPLIBOR3M = IBOR_MASTER.getIndex("GBPLIBOR3M");
private static final GeneratorDepositIbor GENERATOR_USDLIBOR1M =
new GeneratorDepositIbor("GENERATOR_USDLIBOR1M", USDLIBOR1M, NYC);
private static final GeneratorDepositIbor GENERATOR_USDLIBOR6M =
new GeneratorDepositIbor("GENERATOR_USDLIBOR6M", USDLIBOR6M, NYC);
private static final GeneratorFRA GENERATOR_FRA6M = new GeneratorFRA("GENERATOR_FRA", USDLIBOR6M, NYC);
private static final GeneratorSwapFixedIbor USD1YLIBOR1M =
GENERATOR_IRS_MASTER.getGenerator(GeneratorSwapFixedIborMaster.USD1YLIBOR1M, NYC);
private static final Period P6M = Period.ofMonths(6);
private static final Period P3M = Period.ofMonths(3);
private static final GeneratorSwapIborCompoundingIbor USD6MLIBOR3MLIBOR6M =
new GeneratorSwapIborCompoundingIbor("USD6MLIBOR3MLIBOR6M", USDLIBOR3M, P6M, USDLIBOR6M, NYC, NYC);
private static final GeneratorSwapIborCompoundingIbor USD3MLIBOR1MLIBOR3M =
new GeneratorSwapIborCompoundingIbor("USD3MLIBOR1MLIBOR3M", USDLIBOR1M, P3M, USDLIBOR3M, NYC, NYC);
private static final GeneratorSwapXCcyIborIbor GBPLIBOR3MUSDLIBOR3M =
new GeneratorSwapXCcyIborIbor("GBPLIBOR3MUSDLIBOR3M", GBPLIBOR3M, USDLIBOR3M,
BusinessDayConventions.MODIFIED_FOLLOWING, true, 2, LON, NYC); // Spread on GBP leg
private static final GeneratorForexForward GENERATOR_FXFWD_GBPUSD = new GeneratorForexForward("GBPUSD",
GBP, USD, NYC, USDLIBOR3M.getSpotLag(), USDLIBOR3M.getBusinessDayConvention(), true);
private static final String NAME_INPUT_DSC_USD = "USD-OISFFS";
private static final String NAME_INPUT_FWD3_USD = "USD-FRAL3M-IRSL3M";
private static final String NAME_INPUT_FWD1_USD = "USD-FRAL3M-BSL1ML3M";
private static final String NAME_INPUT_FWD6_USD = "USD-FRAL6M-BSL3ML6M";
private static final String NAME_INPUT_DSC_GBP = "GBPUSD-FXGBPUSD-XCCYGBPL3MUSDL3M";
private static final String NAME_INPUT_FWD3_GBP = "GBP-FRAL3MIRSL3M";
private static final String NAME_MULTICURVE_SHORT =
"USD_GBP_FFCol";
private static final String NAME_OUTPUT_DSC_USD = NAME_MULTICURVE_SHORT + "." + NAME_INPUT_DSC_USD;
private static final String NAME_OUTPUT_FWD3_USD = NAME_MULTICURVE_SHORT + "." + NAME_INPUT_FWD3_USD;
private static final String NAME_OUTPUT_FWD1_USD = NAME_MULTICURVE_SHORT + "." + NAME_INPUT_FWD1_USD;
private static final String NAME_OUTPUT_FWD6_USD = NAME_MULTICURVE_SHORT + "." + NAME_INPUT_FWD6_USD;
private static final String NAME_OUTPUT_DSC_GBP = NAME_MULTICURVE_SHORT + "." + NAME_INPUT_DSC_GBP;
private static final String NAME_OUTPUT_FWD3_GBP = NAME_MULTICURVE_SHORT + "." + NAME_INPUT_FWD3_GBP;
/** Data for 2014-01-22 **/
private static final ZonedDateTime DATA_DATE_1 = DateUtils.getUTCDate(2014, 1, 22);
/** Market values for the USD-OISFFS curve */
private static final double[] USD_OISFFS_1_MARKET_QUOTES = new double[] {0.0015500000,
0.0009000000, 0.0009100000, 0.0009150000, 0.0010000000, 0.0012450000, 0.0018050000,
0.0016300600, 0.0017810300, 0.0019273500, 0.0020548700, 0.0021300000,
0.0021972300, 0.0022500000, 0.0022900000, 0.0023218600, 0.0023700000,
0.0023848500, 0.0024500000, 0.0024400000, 0.0024126500};
/** Market values for the USD-FRAL3M-IRSL3M curve */
private static final double[] USD_FWD3_1_MARKET_QUOTES = new double[] {0.0023810000,
0.0026000000, 0.0030000000,
0.0033050000, 0.0071175000, 0.0114285000, 0.0150500000, 0.0177025000,
0.0214500000, 0.0250500000, 0.0267200000, 0.0284250000, 0.0299700000,
0.0306825000, 0.0310250000};
/** Market values for the USD-IRSL1M-BSL1ML3M curve */
private static final double[] USD_FWD1_1_MARKET_QUOTES = new double[] {0.0015600000,
0.0019000000, 0.0022000000,
0.0008250000, 0.0008500000, 0.0008812500, 0.0009687500, 0.0010187500,
0.0010562500, 0.0010687500, 0.0010312500, 0.0009062500, 0.0008175000,
0.0007312500, 0.0006562500, 0.0005937500, 0.0005562500};
/** Market values for the USD-FRAL6M-BSL3ML6M curve */
private static final double[] USD_FWD6_1_MARKET_QUOTES = new double[] {0.0032990000,
0.0040000000,
0.0008937500, 0.0009000000, 0.0009000000, 0.0009000000, 0.0009000000,
0.0009062500, 0.0009062500, 0.0009187500, 0.0009450000, 0.0009187500,
0.0009187500, 0.0009312500};
/** Market values for the GBPUSD-FXGBPUSD-XCCYGBPL3MUSDL3M curve */
private static final double[] GBP_DSC_1_MARKET_QUOTES = new double[] {
-0.0004, -0.0008155, -0.0012575, -0.002976, -0.005201,
0.0000400000, 0.0000750000, 0.0000000000, -0.0001000000, -0.0002000000,
-0.0002750000, -0.0003000000, -0.0003800000, -0.0004400000, -0.0005000000,
-0.0006450000, -0.0008500000, -0.0009000000, -0.0007350000, -0.0005000000};
//1.65745, 1.6570345, 1.6565925, 1.654874, 1.652649,
/** Market values for the GBP-FRAL3MIRSL3M curve */
private static final double[] GBP_FWD3_1_MARKET_QUOTES = new double[] {
0.0056400000,
0.0067900000, 0.0084700000,
0.0078400000, 0.0113900000, 0.0143300000, 0.0164100000, 0.0179400000,
0.0192000000, 0.0202700000, 0.0211700000, 0.0219200000, 0.0226400000,
0.0238800000, 0.0252400000, 0.0265600000, 0.0269400000, 0.0270700000};
/** Generators for the USD-OISFFS curve */
private static final int NB_ONDEPO_1 = 1;
private static final GeneratorInstrument<? extends GeneratorAttribute>[] USD_OISFFS_1_GENERATORS =
CurveCalibrationConventionDataSets.generatorUsdOnOisFfs(NB_ONDEPO_1, 6, 14);
/** Tenors for the USD-OISFFS curve */
private static final Period[] USD_OISFFS_1_TENOR = new Period[] {Period.ofDays(0),
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(25), Period.ofYears(30) };
private static final GeneratorAttributeIR[] USD_OISFFS_1_ATTR = new GeneratorAttributeIR[USD_OISFFS_1_TENOR.length];
static {
for (int loopins = 0; loopins < NB_ONDEPO_1; loopins++) {
USD_OISFFS_1_ATTR[loopins] = new GeneratorAttributeIR(USD_OISFFS_1_TENOR[loopins], Period.ofDays(0));
}
for (int loopins = NB_ONDEPO_1; loopins < USD_OISFFS_1_TENOR.length; loopins++) {
USD_OISFFS_1_ATTR[loopins] = new GeneratorAttributeIR(USD_OISFFS_1_TENOR[loopins]);
}
}
/** Generators for the USD-FRAL3M-IRSL3M curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] USD_FWD3_1_GENERATORS =
CurveCalibrationConventionDataSets.generatorUsdIbor3Fra3Irs3(1, 2, 12);
/** Tenors for the USD-FRAL3M-IRSL3M curve */
private static final Period[] USD_FWD3_1_TENOR = new Period[] {Period.ofMonths(0),
Period.ofMonths(6), Period.ofMonths(9),
Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(4), Period.ofYears(5),
Period.ofYears(7), Period.ofYears(10), Period.ofYears(12), Period.ofYears(15), Period.ofYears(20),
Period.ofYears(25), Period.ofYears(30) };
private static final GeneratorAttributeIR[] USD_FWD3_1_ATTR = new GeneratorAttributeIR[USD_FWD3_1_TENOR.length];
static {
for (int loopins = 0; loopins < USD_FWD3_1_TENOR.length; loopins++) {
USD_FWD3_1_ATTR[loopins] = new GeneratorAttributeIR(USD_FWD3_1_TENOR[loopins]);
}
}
/** Generators for the USD-IRSL1M-BSL1ML3M curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] USD_FWD1_1_GENERATORS =
new GeneratorInstrument<?>[] {GENERATOR_USDLIBOR1M,
USD1YLIBOR1M, USD1YLIBOR1M,
USD3MLIBOR1MLIBOR3M, USD3MLIBOR1MLIBOR3M, USD3MLIBOR1MLIBOR3M, USD3MLIBOR1MLIBOR3M, USD3MLIBOR1MLIBOR3M,
USD3MLIBOR1MLIBOR3M, USD3MLIBOR1MLIBOR3M, USD3MLIBOR1MLIBOR3M, USD3MLIBOR1MLIBOR3M, USD3MLIBOR1MLIBOR3M,
USD3MLIBOR1MLIBOR3M, USD3MLIBOR1MLIBOR3M, USD3MLIBOR1MLIBOR3M, USD3MLIBOR1MLIBOR3M };
/** Tenors for the USD-FRAL1M-BSL1ML3M curve */
private static final Period[] USD_FWD1_1_TENOR = new Period[] {Period.ofMonths(0),
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(7), Period.ofYears(10), Period.ofYears(12),
Period.ofYears(15), Period.ofYears(20), Period.ofYears(25), Period.ofYears(30) };
private static final GeneratorAttributeIR[] USD_FWD1_1_ATTR = new GeneratorAttributeIR[USD_FWD1_1_TENOR.length];
static {
for (int loopins = 0; loopins < USD_FWD1_1_TENOR.length; loopins++) {
USD_FWD1_1_ATTR[loopins] = new GeneratorAttributeIR(USD_FWD1_1_TENOR[loopins]);
}
}
/** Generators for the USD-FRAL6M-BSL3ML6M curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] USD_FWD6_1_GENERATORS =
new GeneratorInstrument<?>[] {GENERATOR_USDLIBOR6M,
GENERATOR_FRA6M,
USD6MLIBOR3MLIBOR6M, USD6MLIBOR3MLIBOR6M, USD6MLIBOR3MLIBOR6M, USD6MLIBOR3MLIBOR6M, USD6MLIBOR3MLIBOR6M,
USD6MLIBOR3MLIBOR6M, USD6MLIBOR3MLIBOR6M, USD6MLIBOR3MLIBOR6M, USD6MLIBOR3MLIBOR6M, USD6MLIBOR3MLIBOR6M,
USD6MLIBOR3MLIBOR6M, USD6MLIBOR3MLIBOR6M };
/** Tenors for the USD-FRAL6M-BSL3ML6M curve */
private static final Period[] USD_FWD6_1_TENOR = new Period[] {Period.ofMonths(0),
Period.ofMonths(9),
Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(4), Period.ofYears(5),
Period.ofYears(7), Period.ofYears(10), Period.ofYears(12), Period.ofYears(15), Period.ofYears(20),
Period.ofYears(25), Period.ofYears(30) };
private static final GeneratorAttributeIR[] USD_FWD6_1_ATTR = new GeneratorAttributeIR[USD_FWD6_1_TENOR.length];
static {
for (int loopins = 0; loopins < USD_FWD6_1_TENOR.length; loopins++) {
USD_FWD6_1_ATTR[loopins] = new GeneratorAttributeIR(USD_FWD6_1_TENOR[loopins]);
}
}
/** Generators for the GBPUSD-FXGBPUSD-XCCYGBPL3MUSDL3M curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] GBP_DSC_1_GENERATORS =
new GeneratorInstrument<?>[] {GENERATOR_FXFWD_GBPUSD, GENERATOR_FXFWD_GBPUSD, GENERATOR_FXFWD_GBPUSD, GENERATOR_FXFWD_GBPUSD, GENERATOR_FXFWD_GBPUSD,
GBPLIBOR3MUSDLIBOR3M, GBPLIBOR3MUSDLIBOR3M, GBPLIBOR3MUSDLIBOR3M, GBPLIBOR3MUSDLIBOR3M, GBPLIBOR3MUSDLIBOR3M,
GBPLIBOR3MUSDLIBOR3M, GBPLIBOR3MUSDLIBOR3M, GBPLIBOR3MUSDLIBOR3M, GBPLIBOR3MUSDLIBOR3M, GBPLIBOR3MUSDLIBOR3M,
GBPLIBOR3MUSDLIBOR3M, GBPLIBOR3MUSDLIBOR3M, GBPLIBOR3MUSDLIBOR3M, GBPLIBOR3MUSDLIBOR3M, GBPLIBOR3MUSDLIBOR3M };
/** Tenors for the GBPUSD-FXGBPUSD-XCCYGBPL3MUSDL3M curve */
private static final Period[] GBP_DSC_1_TENOR = new Period[] {
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(25), Period.ofYears(30) };
private static final GeneratorAttribute[] GBP_DSC_1_ATTR = new GeneratorAttribute[GBP_DSC_1_TENOR.length];
static {
for (int loopins = 0; loopins < GBP_DSC_1_TENOR.length; loopins++) {
GBP_DSC_1_ATTR[loopins] = new GeneratorAttributeFX(GBP_DSC_1_TENOR[loopins], FX_MATRIX_SPOT);
}
}
/** Generators for the GBP-FRAL3MIRSL3M curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] GBP_FWD3_1_GENERATORS =
CurveCalibrationConventionDataSets.generatorGbpIbor3Fra3Irs3(1, 2, 15);
/** Tenors for the GBP-FRAL3MIRSL3M curve */
private static final Period[] GBP_FWD3_1_TENOR = new Period[] {Period.ofMonths(0),
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(25), Period.ofYears(30) };
private static final GeneratorAttribute[] GBP_FWD3_1_ATTR = new GeneratorAttribute[GBP_FWD3_1_TENOR.length];
static {
for (int loopins = 0; loopins < GBP_FWD3_1_TENOR.length; loopins++) {
GBP_FWD3_1_ATTR[loopins] = new GeneratorAttributeIR(GBP_FWD3_1_TENOR[loopins]);
}
}
/** Units of curves */
private static final int[] NB_UNITS = new int[] {4 };
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_SPOT);
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 {
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();
final GeneratorYDCurve genIntNcs = CurveCalibrationConventionDataSets.generatorYDMatNcs();
GENERATORS_UNITS[0][0] = new GeneratorYDCurve[] {genIntNcs, genIntNcs };
GENERATORS_UNITS[0][1] = new GeneratorYDCurve[] {genIntNcs };
GENERATORS_UNITS[0][2] = new GeneratorYDCurve[] {genIntNcs };
GENERATORS_UNITS[0][3] = new GeneratorYDCurve[] {genIntNcs, genIntNcs };
NAMES_UNITS[0][0] = new String[] {NAME_OUTPUT_DSC_USD, NAME_OUTPUT_FWD3_USD };
NAMES_UNITS[0][1] = new String[] {NAME_OUTPUT_FWD1_USD };
NAMES_UNITS[0][2] = new String[] {NAME_OUTPUT_FWD6_USD};
NAMES_UNITS[0][3] = new String[] {NAME_OUTPUT_DSC_GBP, NAME_OUTPUT_FWD3_GBP };
DSC_MAP.put(NAME_OUTPUT_DSC_USD, USD);
FWD_ON_MAP.put(NAME_OUTPUT_DSC_USD, new IndexON[] {USDFEDFUND });
FWD_IBOR_MAP.put(NAME_OUTPUT_FWD3_USD, new IborIndex[] {USDLIBOR3M });
FWD_IBOR_MAP.put(NAME_OUTPUT_FWD1_USD, new IborIndex[] {USDLIBOR1M });
FWD_IBOR_MAP.put(NAME_OUTPUT_FWD6_USD, new IborIndex[] {USDLIBOR6M });
DSC_MAP.put(NAME_OUTPUT_DSC_GBP, GBP);
FWD_IBOR_MAP.put(NAME_OUTPUT_FWD3_GBP, new IborIndex[] {GBPLIBOR3M });
}
@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();
/**
* Calibrate curves with hard-coded date and with calibration date provided.
* The curves are
* - USD discounting/overnight forward, USDIbor3M forward, USDIbor1M forward and USDIbor6M forward.
* - GBP discounting, GBPIbor3M forward.
* The instruments for the calibration are:
* - USD discounting: OIS up to 1Y and Fed Fund Swaps from 2Y to 30Y
* - USD Libor3M: Fixing, FRA to 9M and IRS from 1Y to 30Y
* - GBP discounting: FX up to 9M, XCCY swaps from 1Y to 30Y
* - GBP Libor3M: Fixing, FRA to 9M and IRS from 1Y to 30Y
* USDIbor3M curve uses FRA and IRS.
* USDIbor1M and Libor6M use FRA and basis swaps v 3M.
* @param calibrationDate The calibration date.
* @return The curves and the Jacobian matrices.
*/
public static Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> getCurvesUsdDscL1L3L6GbpDscL3(ZonedDateTime calibrationDate) {
InstrumentDefinition<?>[][][] definitionsUnits = new InstrumentDefinition<?>[NB_UNITS[0]][][];
InstrumentDefinition<?>[] definitionsUsdDsc = getDefinitions(USD_OISFFS_1_MARKET_QUOTES, USD_OISFFS_1_GENERATORS,
USD_OISFFS_1_ATTR, calibrationDate);
InstrumentDefinition<?>[] definitionsUsdFwd3 = getDefinitions(USD_FWD3_1_MARKET_QUOTES, USD_FWD3_1_GENERATORS,
USD_FWD3_1_ATTR, calibrationDate);
InstrumentDefinition<?>[] definitionsUsdFwd1 = getDefinitions(USD_FWD1_1_MARKET_QUOTES, USD_FWD1_1_GENERATORS,
USD_FWD1_1_ATTR, calibrationDate);
InstrumentDefinition<?>[] definitionsUsdFwd6 = getDefinitions(USD_FWD6_1_MARKET_QUOTES, USD_FWD6_1_GENERATORS,
USD_FWD6_1_ATTR, calibrationDate);
InstrumentDefinition<?>[] definitionsGbpDsc = getDefinitions(GBP_DSC_1_MARKET_QUOTES, GBP_DSC_1_GENERATORS,
GBP_DSC_1_ATTR, calibrationDate);
InstrumentDefinition<?>[] definitionsGbpFwd3 = getDefinitions(GBP_FWD3_1_MARKET_QUOTES, GBP_FWD3_1_GENERATORS,
GBP_FWD3_1_ATTR, calibrationDate);
definitionsUnits[0] = new InstrumentDefinition<?>[][] {definitionsUsdDsc, definitionsUsdFwd3 };
definitionsUnits[1] = new InstrumentDefinition<?>[][] {definitionsUsdFwd1 };
definitionsUnits[2] = new InstrumentDefinition<?>[][] {definitionsUsdFwd6 };
definitionsUnits[3] = new InstrumentDefinition<?>[][] {definitionsGbpDsc, definitionsGbpFwd3 };
return CurveCalibrationTestsUtils.makeCurvesFromDefinitionsMulticurve(calibrationDate, definitionsUnits,
GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PSMQC, PSMQCSC, DSC_MAP, FWD_ON_MAP, FWD_IBOR_MAP,
CURVE_BUILDING_REPOSITORY, TS_ON_WITHOUT_TODAY, TS_IBOR_WITHOUT_TODAY);
}
private static final ZonedDateTimeDoubleTimeSeries TS_USD_ON_WITHOUT_TODAY =
StandardTimeSeriesOnIborDataSets.timeSeriesUsdOn2014Jan(DATA_DATE_1);
private static final Map<IndexON,ZonedDateTimeDoubleTimeSeries> TS_ON_WITHOUT_TODAY =
new HashMap<>();
static {
TS_ON_WITHOUT_TODAY.put(USDFEDFUND, TS_USD_ON_WITHOUT_TODAY);
}
private static final ZonedDateTimeDoubleTimeSeries TS_USD_IBOR3M_WITHOUT_LAST =
StandardTimeSeriesOnIborDataSets.timeSeriesUsdIbor3M2014Jan(DATA_DATE_1);
private static final ZonedDateTimeDoubleTimeSeries TS_GBP_IBOR3M_WITHOUT_LAST =
StandardTimeSeriesOnIborDataSets.timeSeriesGbpIbor3M2014Jan(DATA_DATE_1);
private static final Map<IborIndex,ZonedDateTimeDoubleTimeSeries> TS_IBOR_WITHOUT_TODAY =
new HashMap<>();
static {
TS_IBOR_WITHOUT_TODAY.put(USDLIBOR1M, TS_USD_IBOR3M_WITHOUT_LAST); // TODO: Change not 1M ts when available
TS_IBOR_WITHOUT_TODAY.put(USDLIBOR3M, TS_USD_IBOR3M_WITHOUT_LAST);
TS_IBOR_WITHOUT_TODAY.put(USDLIBOR6M, TS_USD_IBOR3M_WITHOUT_LAST); // TODO: Change not 6M ts when available
TS_IBOR_WITHOUT_TODAY.put(GBPLIBOR3M, TS_GBP_IBOR3M_WITHOUT_LAST);
}
}