/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.provider.curve;
import static org.testng.AssertJUnit.assertEquals;
import static org.testng.internal.junit.ArrayAsserts.assertArrayEquals;
import java.util.ArrayList;
import java.util.LinkedHashMap;
import java.util.List;
import org.apache.commons.lang.ArrayUtils;
import org.testng.annotations.BeforeSuite;
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.curve.interestrate.generator.GeneratorCurve;
import com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorCurveYieldInterpolated;
import com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorYDCurve;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
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.GeneratorDepositON;
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.GeneratorSwapFixedON;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedONMaster;
import com.opengamma.analytics.financial.instrument.index.IndexON;
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.model.interestrate.curve.PriceIndexCurve;
import com.opengamma.analytics.financial.model.interestrate.curve.PriceIndexCurveSimple;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve;
import com.opengamma.analytics.financial.provider.calculator.generic.LastTimeCalculator;
import com.opengamma.analytics.financial.provider.calculator.inflation.MarketQuoteInflationSensitivityBlockCalculator;
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.PresentValueCurveSensitivityDiscountingInflationCalculator;
import com.opengamma.analytics.financial.provider.calculator.inflation.PresentValueDiscountingInflationCalculator;
import com.opengamma.analytics.financial.provider.curve.inflation.InflationDiscountBuildingRepositoryWithDiscount;
import com.opengamma.analytics.financial.provider.description.inflation.InflationProviderDiscount;
import com.opengamma.analytics.financial.provider.description.inflation.ParameterInflationProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.inflation.InflationSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.inflation.ParameterSensitivityInflationParameterCalculator;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyParameterSensitivity;
import com.opengamma.analytics.math.interpolation.CombinedInterpolatorExtrapolatorFactory;
import com.opengamma.analytics.math.interpolation.Interpolator1D;
import com.opengamma.analytics.math.interpolation.Interpolator1DFactory;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.convention.calendar.MondayToFridayCalendar;
import com.opengamma.timeseries.precise.zdt.ImmutableZonedDateTimeDoubleTimeSeries;
import com.opengamma.timeseries.precise.zdt.ZonedDateTimeDoubleTimeSeries;
import com.opengamma.util.money.Currency;
import com.opengamma.util.test.TestGroup;
import com.opengamma.util.time.DateUtils;
import com.opengamma.util.tuple.Pair;
/**
* Build of inflation curve and discount curve simultaneously in several blocks with relevant Jacobian matrices.
*/
@Test(groups = TestGroup.UNIT)
public class InflationBuildingCurveWithDiscountTestEUR {
private static final Interpolator1D INTERPOLATOR_LINEAR = CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.LOG_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 EUR = Currency.EUR;
private static final Calendar NYC = new MondayToFridayCalendar("NYC");
private static final FXMatrix FX_MATRIX = new FXMatrix(EUR);
private static final double NOTIONAL = 1.0;
private static final GeneratorSwapFixedON GENERATOR_OIS_EUR = GeneratorSwapFixedONMaster.getInstance().getGenerator("EUR1YEONIA", NYC);
private static final IndexON INDEX_ON_EUR = GENERATOR_OIS_EUR.getIndex();
private static final GeneratorDepositON GENERATOR_DEPOSIT_ON_EUR = new GeneratorDepositON("EUR Deposit ON", EUR, NYC, INDEX_ON_EUR.getDayCount());
private static final GeneratorSwapFixedInflationZeroCoupon GENERATOR_INFALTION_SWAP = GeneratorSwapFixedInflationMaster.getInstance().getGenerator("EURHICP");
private static final IndexPrice US_CPI = GENERATOR_INFALTION_SWAP.getIndexPrice();
private static final ZonedDateTime NOW = DateUtils.getUTCDate(2012, 9, 28);
private static final ZonedDateTimeDoubleTimeSeries TS_PRICE_INDEX_EUR_WITH_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27),
DateUtils.getUTCDate(2011, 9, 28), DateUtils.getUTCDate(2012, 6, 30), DateUtils.getUTCDate(2012, 7, 31) }, new double[] {200, 200, 200, 200 });
private static final String CURVE_NAME_DSC_EUR = "EUR Dsc";
private static final String CURVE_NAME_CPI_EUR = "EUR CPI";
/** Market values for the dsc EUR curve */
private static final double[] DSC_EUR_MARKET_QUOTES = new double[] {0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400 };
/** Generators for the dsc EUR curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] DSC_EUR_GENERATORS = new GeneratorInstrument<?>[] {GENERATOR_DEPOSIT_ON_EUR, GENERATOR_OIS_EUR, GENERATOR_OIS_EUR,
GENERATOR_OIS_EUR, GENERATOR_OIS_EUR, GENERATOR_OIS_EUR, GENERATOR_OIS_EUR, GENERATOR_OIS_EUR, GENERATOR_OIS_EUR, GENERATOR_OIS_EUR, GENERATOR_OIS_EUR, GENERATOR_OIS_EUR };
/** Tenors for the dsc EUR curve */
private static final Period[] DSC_EUR_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(10) };
private static final GeneratorAttributeIR[] DSC_EUR_ATTR = new GeneratorAttributeIR[DSC_EUR_TENOR.length];
static {
for (int loopins = 0; loopins < DSC_EUR_TENOR.length; loopins++) {
DSC_EUR_ATTR[loopins] = new GeneratorAttributeIR(DSC_EUR_TENOR[loopins]);
}
}
/** Market values for the CPI EUR curve */
public static final double[] CPI_EUR_MARKET_QUOTES = new double[] {0.0200, 0.0200, 0.0250, 0.0260, 0.0200, 0.0270, 0.0280, 0.0290, 0.0300, 0.0310, 0.0320, 0.0330, 0.0330, 0.0330, 0.0330 };
/** Generators for the CPI EUR curve */
public static final GeneratorInstrument<? extends GeneratorAttribute>[] CPI_EUR_GENERATORS = new GeneratorInstrument<?>[] {GENERATOR_INFALTION_SWAP, GENERATOR_INFALTION_SWAP,
GENERATOR_INFALTION_SWAP,
GENERATOR_INFALTION_SWAP, GENERATOR_INFALTION_SWAP, GENERATOR_INFALTION_SWAP, GENERATOR_INFALTION_SWAP, GENERATOR_INFALTION_SWAP, GENERATOR_INFALTION_SWAP,
GENERATOR_INFALTION_SWAP, GENERATOR_INFALTION_SWAP, GENERATOR_INFALTION_SWAP, GENERATOR_INFALTION_SWAP, GENERATOR_INFALTION_SWAP, GENERATOR_INFALTION_SWAP };
/** Tenors for the CPI EUR curve */
public static final Period[] CPI_EUR_TENOR = new Period[] {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) };
public static final GeneratorAttributeIR[] CPI_EUR_ATTR = new GeneratorAttributeIR[CPI_EUR_TENOR.length];
static {
for (int loopins = 0; loopins < CPI_EUR_TENOR.length; loopins++) {
CPI_EUR_ATTR[loopins] = new GeneratorAttributeIR(CPI_EUR_TENOR[loopins]);
}
}
/** Standard EUR discounting curve instrument definitions */
private static final InstrumentDefinition<?>[] DEFINITIONS_DSC_EUR;
/** Standard EUR CPI curve instrument definitions */
public static final InstrumentDefinition<?>[] DEFINITIONS_CPI_EUR;
/** Units of curves */
public static final int[] NB_UNITS = new int[] {2, 1 };
public static final int NB_BLOCKS = NB_UNITS.length;
public static final InstrumentDefinition<?>[][][][] DEFINITIONS_UNITS = new InstrumentDefinition<?>[NB_BLOCKS][][][];
public static final GeneratorCurve[][][] GENERATORS_UNITS = new GeneratorCurve[NB_BLOCKS][][];
public static final String[][][] NAMES_UNITS = new String[NB_BLOCKS][][];
private static final InflationProviderDiscount KNOWN_DATA = new InflationProviderDiscount(FX_MATRIX);
private static final LinkedHashMap<String, Currency> DSC_MAP = new LinkedHashMap<>();
private static final LinkedHashMap<String, IndexON[]> FWD_ON_MAP = new LinkedHashMap<>();
public static final LinkedHashMap<String, IndexPrice[]> US_CPI_MAP = new LinkedHashMap<>();
static {
DEFINITIONS_DSC_EUR = getDefinitions(DSC_EUR_MARKET_QUOTES, DSC_EUR_GENERATORS, DSC_EUR_ATTR);
DEFINITIONS_CPI_EUR = getDefinitions(CPI_EUR_MARKET_QUOTES, CPI_EUR_GENERATORS, CPI_EUR_ATTR);
for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) {
DEFINITIONS_UNITS[loopblock] = new InstrumentDefinition<?>[NB_UNITS[loopblock]][][];
GENERATORS_UNITS[loopblock] = new GeneratorCurve[NB_UNITS[loopblock]][];
NAMES_UNITS[loopblock] = new String[NB_UNITS[loopblock]][];
}
DEFINITIONS_UNITS[0][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_EUR };
DEFINITIONS_UNITS[0][1] = new InstrumentDefinition<?>[][] {DEFINITIONS_CPI_EUR };
DEFINITIONS_UNITS[1][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_EUR, DEFINITIONS_CPI_EUR };
final GeneratorYDCurve genIntLinDiscount = new GeneratorCurveYieldInterpolated(MATURITY_CALCULATOR, INTERPOLATOR_LINEAR);
final GeneratorPriceIndexCurve genIntLinInflation = new GeneratorPriceIndexCurveInterpolated(MATURITY_CALCULATOR, INTERPOLATOR_LINEAR);
GENERATORS_UNITS[0][0] = new GeneratorYDCurve[] {genIntLinDiscount };
GENERATORS_UNITS[0][1] = new GeneratorPriceIndexCurve[] {genIntLinInflation };
GENERATORS_UNITS[1][0] = new GeneratorCurve[] {genIntLinDiscount, genIntLinInflation };
NAMES_UNITS[0][0] = new String[] {CURVE_NAME_DSC_EUR };
NAMES_UNITS[0][1] = new String[] {CURVE_NAME_CPI_EUR };
NAMES_UNITS[1][0] = new String[] {CURVE_NAME_DSC_EUR, CURVE_NAME_CPI_EUR };
DSC_MAP.put(CURVE_NAME_DSC_EUR, EUR);
FWD_ON_MAP.put(CURVE_NAME_DSC_EUR, new IndexON[] {INDEX_ON_EUR });
US_CPI_MAP.put(CURVE_NAME_CPI_EUR, new IndexPrice[] {US_CPI });
}
@SuppressWarnings({"unchecked", "rawtypes" })
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(NOW, 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 PresentValueCurveSensitivityDiscountingInflationCalculator PVCSDIC = PresentValueCurveSensitivityDiscountingInflationCalculator.getInstance();
private static final ParSpreadInflationMarketQuoteDiscountingCalculator PSIMQC = ParSpreadInflationMarketQuoteDiscountingCalculator.getInstance();
private static final ParSpreadInflationMarketQuoteCurveSensitivityDiscountingCalculator PSIMQCSC = ParSpreadInflationMarketQuoteCurveSensitivityDiscountingCalculator.getInstance();
private static final InflationDiscountBuildingRepositoryWithDiscount CURVE_BUILDING_REPOSITORY = new InflationDiscountBuildingRepositoryWithDiscount(TOLERANCE_ROOT, TOLERANCE_ROOT, STEP_MAX);
private static final double TOLERANCE_CAL = 1.0E-9;
private static final double TOLERANCE_SENSI = 1.0E-6;
@BeforeSuite
static void initClass() {
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, PSIMQC, PSIMQCSC));
}
}
public List<Pair<InflationProviderDiscount, CurveBuildingBlockBundle>> getCurvesWithBlock() {
initClass();
return CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK;
}
@Test(enabled = false)
public void comparison1Unit2Units() {
final InflationProviderDiscount[] units = new InflationProviderDiscount[2];
final CurveBuildingBlockBundle[] bb = new CurveBuildingBlockBundle[2];
final YieldAndDiscountCurve[] curveDsc = new YieldAndDiscountCurve[2];
final PriceIndexCurve[] curveInflation = new PriceIndexCurve[2];
for (int loopblock = 0; loopblock < 2; loopblock++) {
units[loopblock] = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getFirst();
bb[loopblock] = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getSecond();
curveDsc[loopblock] = units[loopblock].getCurve(EUR);
curveInflation[loopblock] = units[loopblock].getCurve(US_CPI);
}
assertEquals("Curve construction: 1 unit / 3 units ", curveDsc[0].getNumberOfParameters(), curveDsc[1].getNumberOfParameters());
assertEquals("Curve construction: 1 unit / 3 units ", curveInflation[0].getNumberOfParameters(), curveInflation[1].getNumberOfParameters());
assertArrayEquals("Curve construction: 1 unit / 3 units ", ArrayUtils.toPrimitive(((YieldCurve) curveDsc[0]).getCurve().getXData()),
ArrayUtils.toPrimitive(((YieldCurve) curveDsc[1]).getCurve().getXData()), TOLERANCE_CAL);
assertArrayEquals("Curve construction: 1 unit / 3 units ", ArrayUtils.toPrimitive(((YieldCurve) curveDsc[0]).getCurve().getYData()),
ArrayUtils.toPrimitive(((YieldCurve) curveDsc[1]).getCurve().getYData()), TOLERANCE_CAL);
assertArrayEquals("Curve construction: 1 unit / 3 units ", ArrayUtils.toPrimitive(((PriceIndexCurveSimple) curveInflation[0]).getCurve().getXData()),
ArrayUtils.toPrimitive(((PriceIndexCurveSimple) curveInflation[1]).getCurve().getXData()), TOLERANCE_CAL);
assertArrayEquals("Curve construction: 1 unit / 3 units ", ArrayUtils.toPrimitive(((PriceIndexCurveSimple) curveInflation[0]).getCurve().getYData()),
ArrayUtils.toPrimitive(((PriceIndexCurveSimple) curveInflation[1]).getCurve().getYData()), TOLERANCE_CAL);
}
@Test(enabled = false)
public void performance() {
long startTime, endTime;
final int nbTest = 1000;
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
makeCurvesFromDefinitions(DEFINITIONS_UNITS[0], GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PSIMQC, PSIMQCSC);
}
endTime = System.currentTimeMillis();
System.out.println("MulticurveBuildingDiscountingDiscountXCcyTest - " + nbTest + " curve construction / EUR/EUR 3 units: " + (endTime - startTime) + " ms");
// Performance note: curve construction Price index EUR and discount EUR 1 units: 27-Mar-13: On Dell Precision T1850 3.5 GHz Quad-Core Intel Xeon: 5869 ms for 1000 sets.
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
makeCurvesFromDefinitions(DEFINITIONS_UNITS[1], GENERATORS_UNITS[1], NAMES_UNITS[1], KNOWN_DATA, PSIMQC, PSIMQCSC);
}
endTime = System.currentTimeMillis();
System.out.println(nbTest + " curve construction / 1 unit: " + (endTime - startTime) + " ms");
// Performance note: curve construction Price index EUR and discount EUR 1 units: 27-Mar-13: On Dell Precision T1850 3.5 GHz Quad-Core Intel Xeon: 9153 ms for 1000 sets.
}
@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);
}
}
@Test(enabled = true)
public void blockBundleDscFiniteDifferenceTest() {
final CurveBuildingBlockBundle blockBundles = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).clone().getSecond();
final double[] DSC_USD_MARKET_QUOTES_BUMPED_PLUS = new double[] {0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400 };
final double[] DSC_USD_MARKET_QUOTES_BUMPED_MINUS = new double[] {0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400 };
final double bump = 10e-8;
for (int k = 0; k < DSC_USD_MARKET_QUOTES_BUMPED_MINUS.length; k++) {
DSC_USD_MARKET_QUOTES_BUMPED_PLUS[k] += bump;
DSC_USD_MARKET_QUOTES_BUMPED_MINUS[k] -= bump;
final List<Pair<InflationProviderDiscount, CurveBuildingBlockBundle>> blockBundlesPlus = new ArrayList<>();
final List<Pair<InflationProviderDiscount, CurveBuildingBlockBundle>> blockBundlesMinus = new ArrayList<>();
final InstrumentDefinition<?>[] DEFINITIONS_DSC_USD_PLUS = getDefinitions(DSC_USD_MARKET_QUOTES_BUMPED_PLUS, DSC_EUR_GENERATORS, DSC_EUR_ATTR);
final InstrumentDefinition<?>[] DEFINITIONS_DSC_USD_MINUS = getDefinitions(DSC_USD_MARKET_QUOTES_BUMPED_MINUS, DSC_EUR_GENERATORS, DSC_EUR_ATTR);
final InstrumentDefinition<?>[][][] DEFINITIONS_UNITS_PLUS = new InstrumentDefinition<?>[2][][];
final InstrumentDefinition<?>[][][] DEFINITIONS_UNITS_MINUS = new InstrumentDefinition<?>[2][][];
DEFINITIONS_UNITS_PLUS[1] = new InstrumentDefinition<?>[][] {DEFINITIONS_CPI_EUR };
DEFINITIONS_UNITS_MINUS[1] = new InstrumentDefinition<?>[][] {DEFINITIONS_CPI_EUR };
DEFINITIONS_UNITS_PLUS[0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD_PLUS };
DEFINITIONS_UNITS_MINUS[0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD_MINUS };
blockBundlesPlus.add(makeCurvesFromDefinitions(DEFINITIONS_UNITS_PLUS, GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PSIMQC, PSIMQCSC));
final Double[] parametersPlus = ((YieldCurve) blockBundlesPlus.get(0).getFirst().getMulticurveProvider().getCurve(CURVE_NAME_DSC_EUR)).getCurve().getYData();
blockBundlesMinus.add(makeCurvesFromDefinitions(DEFINITIONS_UNITS_MINUS, GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PSIMQC, PSIMQCSC));
final Double[] parametersMinus = ((YieldCurve) blockBundlesMinus.get(0).getFirst().getMulticurveProvider().getCurve(CURVE_NAME_DSC_EUR)).getCurve().getYData();
final Double[] parametersSensi = new Double[parametersMinus.length];
DSC_USD_MARKET_QUOTES_BUMPED_PLUS[k] -= bump;
DSC_USD_MARKET_QUOTES_BUMPED_MINUS[k] += bump;
for (int j = 0; j < blockBundles.getBlock(CURVE_NAME_DSC_EUR).getSecond().getData().length; j++) {
parametersSensi[j] = (parametersPlus[j] - parametersMinus[j]) / (2 * bump);
assertEquals("Curve construction: block " + CURVE_NAME_DSC_EUR + ", column " + j + " - line " + k, blockBundles.getBlock(CURVE_NAME_DSC_EUR).getSecond().getData()[j][k],
parametersSensi[j], 10e-6);
}
}
}
@Test(enabled = true)
public void blockBundlePriceIndexFiniteDifferenceTest() {
final double[] DSC_USD_MARKET_QUOTES_BUMPED_PLUS = new double[] {0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400 };
final double[] DSC_USD_MARKET_QUOTES_BUMPED_MINUS = new double[] {0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400 };
final double[] CPI_EUR_MARKET_QUOTES_PLUS = new double[] {0.0200, 0.0200, 0.0250, 0.0260, 0.0200, 0.0270, 0.0280, 0.0290, 0.0300, 0.0310, 0.0320, 0.0330, 0.0330, 0.0330, 0.0330 };
final double[] CPI_EUR_MARKET_QUOTES_MINUS = new double[] {0.0200, 0.0200, 0.0250, 0.0260, 0.0200, 0.0270, 0.0280, 0.0290, 0.0300, 0.0310, 0.0320, 0.0330, 0.0330, 0.0330, 0.0330 };
final CurveBuildingBlockBundle blockBundles = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).clone().getSecond();
final double bump = 2.0e-5;
for (int k = 0; k < DSC_USD_MARKET_QUOTES_BUMPED_MINUS.length; k++) {
DSC_USD_MARKET_QUOTES_BUMPED_PLUS[k] += bump;
DSC_USD_MARKET_QUOTES_BUMPED_MINUS[k] -= bump;
final List<Pair<InflationProviderDiscount, CurveBuildingBlockBundle>> blockBundlesPlus = new ArrayList<>();
final List<Pair<InflationProviderDiscount, CurveBuildingBlockBundle>> blockBundlesMinus = new ArrayList<>();
final InstrumentDefinition<?>[] DEFINITIONS_DSC_USD_PLUS = getDefinitions(DSC_USD_MARKET_QUOTES_BUMPED_PLUS, DSC_EUR_GENERATORS, DSC_EUR_ATTR);
final InstrumentDefinition<?>[] DEFINITIONS_DSC_USD_MINUS = getDefinitions(DSC_USD_MARKET_QUOTES_BUMPED_MINUS, DSC_EUR_GENERATORS, DSC_EUR_ATTR);
final InstrumentDefinition<?>[][][] DEFINITIONS_UNITS_PLUS = new InstrumentDefinition<?>[2][][];
final InstrumentDefinition<?>[][][] DEFINITIONS_UNITS_MINUS = new InstrumentDefinition<?>[2][][];
DEFINITIONS_UNITS_PLUS[1] = new InstrumentDefinition<?>[][] {DEFINITIONS_CPI_EUR };
DEFINITIONS_UNITS_MINUS[1] = new InstrumentDefinition<?>[][] {DEFINITIONS_CPI_EUR };
DEFINITIONS_UNITS_PLUS[0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD_PLUS };
DEFINITIONS_UNITS_MINUS[0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD_MINUS };
blockBundlesPlus.add(makeCurvesFromDefinitions(DEFINITIONS_UNITS_PLUS, GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PSIMQC, PSIMQCSC));
PriceIndexCurve curvePlus = blockBundlesPlus.get(0).getFirst().getCurve(CURVE_NAME_CPI_EUR);
final Double[] parametersPlus = ((PriceIndexCurveSimple) curvePlus).getCurve().getYData();
blockBundlesMinus.add(makeCurvesFromDefinitions(DEFINITIONS_UNITS_MINUS, GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PSIMQC, PSIMQCSC));
PriceIndexCurve curveMinus = blockBundlesMinus.get(0).getFirst().getCurve(CURVE_NAME_CPI_EUR);
final Double[] parametersMinus = ((PriceIndexCurveSimple) curveMinus).getCurve().getYData();
final Double[] parametersSensi = new Double[parametersMinus.length];
DSC_USD_MARKET_QUOTES_BUMPED_PLUS[k] -= bump;
DSC_USD_MARKET_QUOTES_BUMPED_MINUS[k] += bump;
for (int j = 0; j < blockBundles.getBlock(CURVE_NAME_CPI_EUR).getSecond().getData().length; j++) {
parametersSensi[j] = (parametersPlus[j] - parametersMinus[j]) / (2 * bump);
assertEquals("Curve construction: block " + CURVE_NAME_CPI_EUR + ", column " + j + " - line " + k, blockBundles.getBlock(CURVE_NAME_CPI_EUR).getSecond().getData()[j][k],
parametersSensi[j], TOLERANCE_SENSI);
}
}
for (int k = 0; k < CPI_EUR_MARKET_QUOTES_PLUS.length; k++) {
CPI_EUR_MARKET_QUOTES_PLUS[k] += bump;
CPI_EUR_MARKET_QUOTES_MINUS[k] -= bump;
final List<Pair<InflationProviderDiscount, CurveBuildingBlockBundle>> blockBundlesPlus = new ArrayList<>();
final List<Pair<InflationProviderDiscount, CurveBuildingBlockBundle>> blockBundlesMinus = new ArrayList<>();
final InstrumentDefinition<?>[] DEFINITIONS_FWD_USD_PLUS = getDefinitions(CPI_EUR_MARKET_QUOTES_PLUS, CPI_EUR_GENERATORS, CPI_EUR_ATTR);
final InstrumentDefinition<?>[] DEFINITIONS_FWD_USD_MINUS = getDefinitions(CPI_EUR_MARKET_QUOTES_MINUS, CPI_EUR_GENERATORS, CPI_EUR_ATTR);
final InstrumentDefinition<?>[][][] DEFINITIONS_UNITS_PLUS = new InstrumentDefinition<?>[2][][];
final InstrumentDefinition<?>[][][] DEFINITIONS_UNITS_MINUS = new InstrumentDefinition<?>[2][][];
DEFINITIONS_UNITS_PLUS[0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_EUR };
DEFINITIONS_UNITS_MINUS[0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_EUR };
DEFINITIONS_UNITS_PLUS[1] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD_USD_PLUS };
DEFINITIONS_UNITS_MINUS[1] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD_USD_MINUS };
blockBundlesPlus.add(makeCurvesFromDefinitions(DEFINITIONS_UNITS_PLUS, GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PSIMQC, PSIMQCSC));
PriceIndexCurve curvePlus = blockBundlesPlus.get(0).getFirst().getCurve(CURVE_NAME_CPI_EUR);
final Double[] parametersPlus = ((PriceIndexCurveSimple) curvePlus).getCurve().getYData();
blockBundlesMinus.add(makeCurvesFromDefinitions(DEFINITIONS_UNITS_MINUS, GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PSIMQC, PSIMQCSC));
PriceIndexCurve curveMinus = blockBundlesMinus.get(0).getFirst().getCurve(CURVE_NAME_CPI_EUR);
final Double[] parametersMinus = ((PriceIndexCurveSimple) curveMinus).getCurve().getYData();
final Double[] parametersSensi = new Double[parametersMinus.length];
CPI_EUR_MARKET_QUOTES_PLUS[k] -= bump;
CPI_EUR_MARKET_QUOTES_MINUS[k] += bump;
for (int j = 0; j < blockBundles.getBlock(CURVE_NAME_CPI_EUR).getSecond().getData().length; j++) {
parametersSensi[j] = (parametersPlus[j] - parametersMinus[j]) / (2 * bump);
assertEquals("Curve construction: block " + CURVE_NAME_CPI_EUR + ", column " + j + " - line " + k, blockBundles.getBlock(CURVE_NAME_CPI_EUR).getSecond().getData()[j][k +
DSC_USD_MARKET_QUOTES_BUMPED_MINUS.length],
parametersSensi[j], 2e-3);
}
}
}
@Test(enabled = true)
/**
* Analyzes the shape of the forward curve.
*/
public void marketQuoteSensitivityAnalysis() {
final InflationProviderDiscount multicurves7 = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(1).getFirst();
multicurves7.setAll(CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).getFirst());
final CurveBuildingBlockBundle blocks7 = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(1).getSecond();
blocks7.addAll(CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).getSecond());
final double spreadJPYEUR = 0.0010; // 10bps
final double notional = 100000;
final GeneratorAttributeIR swapAttribute = new GeneratorAttributeIR(Period.ofYears(4));
final SwapFixedInflationZeroCouponDefinition swapDefinition = GENERATOR_INFALTION_SWAP.generateInstrument(NOW, spreadJPYEUR, notional, swapAttribute);
final InstrumentDerivative swap = swapDefinition.toDerivative(NOW, new ZonedDateTimeDoubleTimeSeries[] {TS_PRICE_INDEX_EUR_WITH_TODAY, TS_PRICE_INDEX_EUR_WITH_TODAY });
final ParameterSensitivityInflationParameterCalculator<ParameterInflationProviderInterface> PSC = new ParameterSensitivityInflationParameterCalculator<>(PVCSDIC);
final MarketQuoteInflationSensitivityBlockCalculator<ParameterInflationProviderInterface> MQSC = new MarketQuoteInflationSensitivityBlockCalculator<>(PSC);
@SuppressWarnings("unused")
final MultipleCurrencyParameterSensitivity mqs = MQSC.fromInstrument(swap, multicurves7, blocks7);
}
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), EUR).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 GeneratorCurve[][] curveGenerators,
final String[][] curveNames, final InflationProviderDiscount knownData, final InstrumentDerivativeVisitor<ParameterInflationProviderInterface, Double> calculator,
final InstrumentDerivativeVisitor<ParameterInflationProviderInterface, InflationSensitivity> sensitivityCalculator) {
final int nUnits = definitions.length;
final MultiCurveBundle<GeneratorCurve>[] curveBundles = new MultiCurveBundle[nUnits];
for (int i = 0; i < nUnits; i++) {
final int nCurves = definitions[i].length;
final SingleCurveBundle<GeneratorCurve>[] 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 GeneratorCurve 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, DSC_MAP, FWD_ON_MAP, US_CPI_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(NOW);
final Annuity<? extends Payment> ird2 = ((SwapFixedInflationZeroCouponDefinition) instrument).getSecondLeg().toDerivative(NOW, TS_PRICE_INDEX_EUR_WITH_TODAY);
ird = new Swap<>(ird1, ird2);
}
else {
ird = instrument.toDerivative(NOW);
}
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(NOW);
final Annuity<? extends Payment> ird2 = ((SwapFixedInflationZeroCouponDefinition) instrument).getSecondLeg().toDerivative(NOW, TS_PRICE_INDEX_EUR_WITH_TODAY);
ird = new Swap<>(ird1, ird2);
}
else {
ird = instrument.toDerivative(NOW);
}
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 100;
}
}