/**
* Copyright (C) 2014 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.tutorial.analysis.swap;
import static org.testng.AssertJUnit.assertEquals;
import org.testng.annotations.Test;
import org.threeten.bp.LocalDate;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.datasets.CalendarTarget;
import com.opengamma.analytics.financial.datasets.CalendarUSD;
import com.opengamma.analytics.financial.instrument.NotionalProvider;
import com.opengamma.analytics.financial.instrument.annuity.AdjustedDateParameters;
import com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponFixedDefinition;
import com.opengamma.analytics.financial.instrument.annuity.AnnuityDefinition;
import com.opengamma.analytics.financial.instrument.annuity.CompoundingMethod;
import com.opengamma.analytics.financial.instrument.annuity.FixedAnnuityDefinitionBuilder;
import com.opengamma.analytics.financial.instrument.annuity.FloatingAnnuityDefinitionBuilder;
import com.opengamma.analytics.financial.instrument.annuity.OffsetAdjustedDateParameters;
import com.opengamma.analytics.financial.instrument.annuity.OffsetType;
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.IborIndex;
import com.opengamma.analytics.financial.instrument.index.IndexIborMaster;
import com.opengamma.analytics.financial.instrument.index.IndexON;
import com.opengamma.analytics.financial.instrument.payment.CouponDefinition;
import com.opengamma.analytics.financial.instrument.payment.CouponFixedDefinition;
import com.opengamma.analytics.financial.instrument.payment.PaymentDefinition;
import com.opengamma.analytics.financial.instrument.swap.SwapCouponFixedCouponDefinition;
import com.opengamma.analytics.financial.instrument.swap.SwapDefinition;
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.discounting.ParRateDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.discounting.PresentValueCurveSensitivityDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.discounting.PresentValueDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.generic.MarketQuoteSensitivityBlockCalculator;
import com.opengamma.analytics.financial.provider.curve.CurveBuildingBlockBundle;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderDiscount;
import com.opengamma.analytics.financial.provider.description.interestrate.ParameterProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyParameterSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.parameter.ParameterSensitivityParameterCalculator;
import com.opengamma.analytics.tutorial.datasets.RecentDataSetsMulticurveXCcyUsdEur;
import com.opengamma.analytics.util.export.ExportUtils;
import com.opengamma.financial.convention.businessday.BusinessDayConventionFactory;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.convention.rolldate.RollConvention;
import com.opengamma.timeseries.precise.zdt.ZonedDateTimeDoubleTimeSeries;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.MultipleCurrencyAmount;
import com.opengamma.util.time.DateUtils;
import com.opengamma.util.tuple.Pair;
/**
* Examples of risk analysis for different swaps in USD.
* Those examples can be used for tutorials.
*/
public class SwapRiskUsdEurAnalysis {
private static final ZonedDateTime VALUATION_DATE = DateUtils.getUTCDate(2014, 7, 16);
private static final Calendar NYC = new CalendarUSD("NYC");
private static final Calendar TARGET = new CalendarTarget("TARGET");
private static final IndexIborMaster IBOR_MASTER = IndexIborMaster.getInstance();
private static final GeneratorSwapFixedONMaster GENERATOR_OIS_MASTER = GeneratorSwapFixedONMaster.getInstance();
private static final GeneratorSwapFixedON GENERATOR_OIS_USD = GENERATOR_OIS_MASTER.getGenerator("USD1YFEDFUND", NYC);
private static final GeneratorSwapFixedON GENERATOR_OIS_EUR = GENERATOR_OIS_MASTER.getGenerator("EUR1YEONIA", TARGET);
private static final IndexON USDFEDFUND = GENERATOR_OIS_USD.getIndex();
private static final IndexON EUREONIA = GENERATOR_OIS_EUR.getIndex();
private static final GeneratorSwapFixedIborMaster GENERATOR_IRS_MASTER = GeneratorSwapFixedIborMaster.getInstance();
private static final GeneratorSwapFixedIbor USD6MLIBOR3M = GENERATOR_IRS_MASTER.getGenerator("USD6MLIBOR3M", NYC);
private static final GeneratorSwapFixedIbor EUR1YEURIBOR3M = GENERATOR_IRS_MASTER.getGenerator("EUR1YEURIBOR3M", TARGET);
private static final GeneratorSwapFixedIbor EUR1YEURIBOR6M = GENERATOR_IRS_MASTER.getGenerator("EUR1YEURIBOR6M", TARGET);
private static final IborIndex USDLIBOR3M = USD6MLIBOR3M.getIborIndex();
private static final IborIndex EURIBOR3M = IBOR_MASTER.getIndex("EURIBOR3M");
private static final IborIndex EURIBOR6M = IBOR_MASTER.getIndex("EURIBOR6M");
// private static final GeneratorSwapXCcyIborIbor EURIBOR3MUSDLIBOR3M = new GeneratorSwapXCcyIborIbor("EURIBOR3MUSDLIBOR3M", EURIBOR3M, USDLIBOR3M, TARGET, NYC);
private static final Currency USD = USDLIBOR3M.getCurrency();
private static final Currency EUR = EURIBOR3M.getCurrency();
private static final AdjustedDateParameters ADJUSTED_DATE_USDLIBOR = new AdjustedDateParameters(NYC, USD6MLIBOR3M.getBusinessDayConvention());
private static final AdjustedDateParameters ADJUSTED_DATE_EUREURIBOR = new AdjustedDateParameters(TARGET, EUR1YEURIBOR3M.getBusinessDayConvention());
private static final OffsetAdjustedDateParameters OFFSET_ADJ_USDLIBOR =
new OffsetAdjustedDateParameters(-2, OffsetType.BUSINESS, NYC, USD6MLIBOR3M.getBusinessDayConvention());
private static final OffsetAdjustedDateParameters OFFSET_ADJ_EUREURIBOR =
new OffsetAdjustedDateParameters(-2, OffsetType.BUSINESS, TARGET, EUR1YEURIBOR3M.getBusinessDayConvention());
private static final AdjustedDateParameters ADJUSTED_DATE_FEDFUND =
new AdjustedDateParameters(NYC, GENERATOR_OIS_USD.getBusinessDayConvention());
private static final AdjustedDateParameters ADJUSTED_DATE_EONIA =
new AdjustedDateParameters(TARGET, GENERATOR_OIS_EUR.getBusinessDayConvention());
private static final OffsetAdjustedDateParameters OFFSET_PAY_FEDFUND =
new OffsetAdjustedDateParameters(GENERATOR_OIS_USD.getPaymentLag(), OffsetType.BUSINESS, NYC, BusinessDayConventionFactory.of("Following"));
private static final OffsetAdjustedDateParameters OFFSET_FIX_FEDFUND =
new OffsetAdjustedDateParameters(0, OffsetType.BUSINESS, NYC, BusinessDayConventionFactory.of("Following"));
private static final OffsetAdjustedDateParameters OFFSET_PAY_EONIA =
new OffsetAdjustedDateParameters(2, OffsetType.BUSINESS, TARGET, BusinessDayConventionFactory.of("Following"));
private static final OffsetAdjustedDateParameters OFFSET_FIX_EONIA =
new OffsetAdjustedDateParameters(0, OffsetType.BUSINESS, TARGET, BusinessDayConventionFactory.of("Following"));
private static final double NOTIONAL_1 = 1000000; // 1m
private static final NotionalProvider NOTIONAL_PROV_1 = new NotionalProvider() {
@Override
public double getAmount(final LocalDate date) {
return NOTIONAL_1;
}
};
/** USD Fixed v USDLIBOR3M */
private static final LocalDate EFFECTIVE_DATE_1 = LocalDate.of(2015, 7, 18);
private static final LocalDate MATURITY_DATE_1 = LocalDate.of(2018, 7, 18);
private static final double FIXED_RATE_1 = 0.02655;
private static final boolean PAYER_1 = false;
/** EUR Fixed v EUREURIBOR6M */
private static final LocalDate EFFECTIVE_DATE_2 = LocalDate.of(2015, 7, 18);
private static final LocalDate MATURITY_DATE_2 = LocalDate.of(2018, 7, 18);
private static final double FIXED_RATE_2 = 0.0250;
private static final boolean PAYER_2 = false;
/** EUREURIBOR3M + Spread v USDLIBOR3M */
private static final LocalDate EFFECTIVE_DATE_3 = LocalDate.of(2015, 7, 18);
private static final LocalDate MATURITY_DATE_3 = LocalDate.of(2018, 7, 18);
private static final double SPREAD_3 = 0.0010;
private static final boolean PAYER_3 = false;
/** EUR Fixed v EONIA 1Y */
private static final LocalDate EFFECTIVE_DATE_4 = LocalDate.of(2015, 7, 18);
private static final LocalDate MATURITY_DATE_4 = LocalDate.of(2017, 7, 18);
private static final double FIXED_RATE_4 = 0.0050;
private static final boolean PAYER_4 = false;
/** IRS 1 - USD - Fixed v LIBOR3M **/
/** Fixed leg */
private static final PaymentDefinition[] PAYMENT_LEG_1_DEFINITION = new FixedAnnuityDefinitionBuilder().
payer(PAYER_1).currency(USD6MLIBOR3M.getCurrency()).notional(NOTIONAL_PROV_1).startDate(EFFECTIVE_DATE_1).
endDate(MATURITY_DATE_1).dayCount(USD6MLIBOR3M.getFixedLegDayCount()).accrualPeriodFrequency(USD6MLIBOR3M.getFixedLegPeriod()).
rate(FIXED_RATE_1).accrualPeriodParameters(ADJUSTED_DATE_USDLIBOR).build().getPayments();
private static final CouponFixedDefinition[] CPN_FIXED_1_DEFINITION = new CouponFixedDefinition[PAYMENT_LEG_1_DEFINITION.length];
static {
for (int loopcpn = 0; loopcpn < PAYMENT_LEG_1_DEFINITION.length; loopcpn++) {
CPN_FIXED_1_DEFINITION[loopcpn] = (CouponFixedDefinition) PAYMENT_LEG_1_DEFINITION[loopcpn];
}
}
private static final AnnuityCouponFixedDefinition FIXED_LEG_1_DEFINITION = new AnnuityCouponFixedDefinition(CPN_FIXED_1_DEFINITION, NYC);
/** Ibor leg */
private static final AnnuityDefinition<? extends CouponDefinition> IBOR_LEG_1_DEFINITION = (AnnuityDefinition<? extends CouponDefinition>)
new FloatingAnnuityDefinitionBuilder().payer(!PAYER_1).notional(NOTIONAL_PROV_1).startDate(EFFECTIVE_DATE_1).
endDate(MATURITY_DATE_1).index(USDLIBOR3M).accrualPeriodFrequency(USDLIBOR3M.getTenor()).
rollDateAdjuster(RollConvention.NONE.getRollDateAdjuster(0)).resetDateAdjustmentParameters(ADJUSTED_DATE_USDLIBOR).
accrualPeriodParameters(ADJUSTED_DATE_USDLIBOR).dayCount(USDLIBOR3M.getDayCount()).fixingDateAdjustmentParameters(OFFSET_ADJ_USDLIBOR).
currency(USDLIBOR3M.getCurrency()).build();
private static final SwapCouponFixedCouponDefinition IRS_1_DEFINITION = new SwapCouponFixedCouponDefinition(FIXED_LEG_1_DEFINITION, IBOR_LEG_1_DEFINITION);
/** IRS 2 - EUR - Fixed v EURIBOR6M **/
/** Fixed leg */
private static final PaymentDefinition[] PAYMENT_LEG_2_DEFINITION = new FixedAnnuityDefinitionBuilder().
payer(PAYER_2).currency(EUR1YEURIBOR6M.getCurrency()).notional(NOTIONAL_PROV_1).startDate(EFFECTIVE_DATE_2).
endDate(MATURITY_DATE_2).dayCount(EUR1YEURIBOR6M.getFixedLegDayCount()).accrualPeriodFrequency(EUR1YEURIBOR6M.getFixedLegPeriod()).
rate(FIXED_RATE_2).accrualPeriodParameters(ADJUSTED_DATE_EUREURIBOR).build().getPayments();
private static final CouponFixedDefinition[] CPN_FIXED_2_DEFINITION = new CouponFixedDefinition[PAYMENT_LEG_2_DEFINITION.length];
static {
for (int loopcpn = 0; loopcpn < PAYMENT_LEG_2_DEFINITION.length; loopcpn++) {
CPN_FIXED_2_DEFINITION[loopcpn] = (CouponFixedDefinition) PAYMENT_LEG_2_DEFINITION[loopcpn];
}
}
private static final AnnuityCouponFixedDefinition FIXED_LEG_2_DEFINITION = new AnnuityCouponFixedDefinition(CPN_FIXED_2_DEFINITION, NYC);
/** Euribor leg */
private static final AnnuityDefinition<? extends CouponDefinition> IBOR_LEG_2_DEFINITION = (AnnuityDefinition<? extends CouponDefinition>)
new FloatingAnnuityDefinitionBuilder().payer(!PAYER_2).notional(NOTIONAL_PROV_1).startDate(EFFECTIVE_DATE_2).
endDate(MATURITY_DATE_2).index(EURIBOR6M).accrualPeriodFrequency(EURIBOR6M.getTenor()).
rollDateAdjuster(RollConvention.NONE.getRollDateAdjuster(0)).resetDateAdjustmentParameters(ADJUSTED_DATE_EUREURIBOR).
accrualPeriodParameters(ADJUSTED_DATE_EUREURIBOR).dayCount(EURIBOR6M.getDayCount()).fixingDateAdjustmentParameters(OFFSET_ADJ_EUREURIBOR).
currency(EURIBOR6M.getCurrency()).build();
private static final SwapCouponFixedCouponDefinition IRS_2_DEFINITION = new SwapCouponFixedCouponDefinition(FIXED_LEG_2_DEFINITION, IBOR_LEG_2_DEFINITION);
/** BS 2 - EUR EURIBOR3M v USD LIBOR3M **/
/** EUR Euribor leg */
private static final AnnuityDefinition<? extends CouponDefinition> IBOR_LEG_3_1_DEFINITION = (AnnuityDefinition<? extends CouponDefinition>)
new FloatingAnnuityDefinitionBuilder().payer(PAYER_3).notional(NOTIONAL_PROV_1).startDate(EFFECTIVE_DATE_3).
endDate(MATURITY_DATE_3).index(EURIBOR3M).accrualPeriodFrequency(EURIBOR3M.getTenor()).
rollDateAdjuster(RollConvention.NONE.getRollDateAdjuster(0)).resetDateAdjustmentParameters(ADJUSTED_DATE_EUREURIBOR).
accrualPeriodParameters(ADJUSTED_DATE_EUREURIBOR).dayCount(EURIBOR3M.getDayCount()).fixingDateAdjustmentParameters(OFFSET_ADJ_EUREURIBOR).
currency(EURIBOR3M.getCurrency()).exchangeInitialNotional(true).exchangeFinalNotional(true).
startDateAdjustmentParameters(ADJUSTED_DATE_EUREURIBOR).endDateAdjustmentParameters(ADJUSTED_DATE_EUREURIBOR).
spread(SPREAD_3).build();
/** ISD LIBOR leg */
private static final AnnuityDefinition<? extends CouponDefinition> IBOR_LEG_3_2_DEFINITION = (AnnuityDefinition<? extends CouponDefinition>)
new FloatingAnnuityDefinitionBuilder().payer(!PAYER_3).notional(NOTIONAL_PROV_1).startDate(EFFECTIVE_DATE_3).
endDate(MATURITY_DATE_3).index(USDLIBOR3M).accrualPeriodFrequency(USDLIBOR3M.getTenor()).
rollDateAdjuster(RollConvention.NONE.getRollDateAdjuster(0)).resetDateAdjustmentParameters(ADJUSTED_DATE_USDLIBOR).
accrualPeriodParameters(ADJUSTED_DATE_USDLIBOR).dayCount(USDLIBOR3M.getDayCount()).fixingDateAdjustmentParameters(OFFSET_ADJ_USDLIBOR).
currency(USDLIBOR3M.getCurrency()).exchangeInitialNotional(true).exchangeFinalNotional(true).
startDateAdjustmentParameters(ADJUSTED_DATE_USDLIBOR).endDateAdjustmentParameters(ADJUSTED_DATE_USDLIBOR).build();
private static final SwapDefinition XCCY_1_DEFINITION = new SwapDefinition(IBOR_LEG_3_1_DEFINITION, IBOR_LEG_3_2_DEFINITION);
/** OIS 1 - EUR - Fixed vs EONIA 1Y**/
private static final PaymentDefinition[] PAYMENT_OIS_LEG_1_DEFINITION = new FixedAnnuityDefinitionBuilder().
payer(PAYER_4).currency(EUR).notional(NOTIONAL_PROV_1).startDate(EFFECTIVE_DATE_4).endDate(MATURITY_DATE_4).
dayCount(GENERATOR_OIS_EUR.getFixedLegDayCount()).accrualPeriodFrequency(GENERATOR_OIS_EUR.getLegsPeriod()).
rate(FIXED_RATE_4).accrualPeriodParameters(ADJUSTED_DATE_EONIA).paymentDateAdjustmentParameters(OFFSET_PAY_EONIA).
build().getPayments();
private static final CouponFixedDefinition[] CPN_FIXED_OIS_1_DEFINITION = new CouponFixedDefinition[PAYMENT_OIS_LEG_1_DEFINITION.length];
static {
for (int loopcpn = 0; loopcpn < PAYMENT_OIS_LEG_1_DEFINITION.length; loopcpn++) {
CPN_FIXED_OIS_1_DEFINITION[loopcpn] = (CouponFixedDefinition) PAYMENT_OIS_LEG_1_DEFINITION[loopcpn];
}
}
private static final AnnuityCouponFixedDefinition FIXED_OIS_LEG_1_DEFINITION =
new AnnuityCouponFixedDefinition(CPN_FIXED_OIS_1_DEFINITION, TARGET);
/** ON leg */
private static final AnnuityDefinition<? extends CouponDefinition> ON_LEG_1_DEFINITION =
(AnnuityDefinition<? extends CouponDefinition>) new FloatingAnnuityDefinitionBuilder().
payer(!PAYER_4).notional(NOTIONAL_PROV_1).startDate(EFFECTIVE_DATE_4).endDate(MATURITY_DATE_4).index(EUREONIA).
accrualPeriodFrequency(GENERATOR_OIS_EUR.getLegsPeriod()).rollDateAdjuster(RollConvention.NONE.getRollDateAdjuster(0)).
resetDateAdjustmentParameters(ADJUSTED_DATE_EONIA).accrualPeriodParameters(ADJUSTED_DATE_EONIA).
dayCount(EUREONIA.getDayCount()).fixingDateAdjustmentParameters(OFFSET_FIX_EONIA).currency(EUR).
compoundingMethod(CompoundingMethod.FLAT).build();
private static final SwapCouponFixedCouponDefinition OIS_1_DEFINITION =
new SwapCouponFixedCouponDefinition(FIXED_OIS_LEG_1_DEFINITION, ON_LEG_1_DEFINITION);
/** Curves and fixing */
private static final ZonedDateTimeDoubleTimeSeries TS_FIXED_IBOR_USD3M_WITHOUT_TODAY =
RecentDataSetsMulticurveXCcyUsdEur.fixingUsdLibor3MWithoutLast();
private static final ZonedDateTimeDoubleTimeSeries TS_FIXED_ON_USD_WITHOUT_TODAY =
RecentDataSetsMulticurveXCcyUsdEur.fixingUsdOnWithoutLast();
private static final ZonedDateTimeDoubleTimeSeries TS_FIXED_IBOR_EUR3M_WITHOUT_TODAY =
RecentDataSetsMulticurveXCcyUsdEur.fixingEurEuribor3MWithoutLast();
private static final Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> MULTICURVE_FF_EO_PAIR =
RecentDataSetsMulticurveXCcyUsdEur.getCurvesUsdOisL3EurOisE3E6(VALUATION_DATE);
private static final MulticurveProviderDiscount MULTICURVE_FF_EO = MULTICURVE_FF_EO_PAIR.getFirst();
private static final CurveBuildingBlockBundle BLOCK_FF_EO = MULTICURVE_FF_EO_PAIR.getSecond();
private static final Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> MULTICURVE_FF_1_PAIR =
RecentDataSetsMulticurveXCcyUsdEur.getCurvesUsdOisL3EurFxXCcy3Bs6(VALUATION_DATE);
private static final MulticurveProviderDiscount MULTICURVE_FF_1 = MULTICURVE_FF_1_PAIR.getFirst();
private static final CurveBuildingBlockBundle BLOCK_FF_1 = MULTICURVE_FF_1_PAIR.getSecond();
private static final Swap<? extends Payment, ? extends Payment> IRS_1 = IRS_1_DEFINITION.toDerivative(VALUATION_DATE,
new ZonedDateTimeDoubleTimeSeries[] {TS_FIXED_IBOR_USD3M_WITHOUT_TODAY, TS_FIXED_IBOR_USD3M_WITHOUT_TODAY });
private static final Swap<? extends Payment, ? extends Payment> IRS_2 = IRS_2_DEFINITION.toDerivative(VALUATION_DATE,
new ZonedDateTimeDoubleTimeSeries[] {TS_FIXED_IBOR_USD3M_WITHOUT_TODAY, TS_FIXED_IBOR_USD3M_WITHOUT_TODAY });
private static final Swap<? extends Payment, ? extends Payment> XCCY_1 = XCCY_1_DEFINITION.toDerivative(VALUATION_DATE,
new ZonedDateTimeDoubleTimeSeries[] {TS_FIXED_IBOR_EUR3M_WITHOUT_TODAY, TS_FIXED_IBOR_USD3M_WITHOUT_TODAY });
private static final Swap<? extends Payment, ? extends Payment> OIS_1 = OIS_1_DEFINITION.toDerivative(VALUATION_DATE,
new ZonedDateTimeDoubleTimeSeries[] {TS_FIXED_IBOR_EUR3M_WITHOUT_TODAY, TS_FIXED_IBOR_USD3M_WITHOUT_TODAY });
/** Calculators **/
private static final PresentValueDiscountingCalculator PVDC = PresentValueDiscountingCalculator.getInstance();
private static final ParRateDiscountingCalculator PRDC = ParRateDiscountingCalculator.getInstance();
private static final PresentValueCurveSensitivityDiscountingCalculator PVCSDC =
PresentValueCurveSensitivityDiscountingCalculator.getInstance();
private static final ParameterSensitivityParameterCalculator<ParameterProviderInterface> PSC =
new ParameterSensitivityParameterCalculator<>(PVCSDC);
private static final MarketQuoteSensitivityBlockCalculator<ParameterProviderInterface> MQSBC =
new MarketQuoteSensitivityBlockCalculator<>(PSC);
private static final double TOLERANCE_PV = 1.0E-2;
private static final double BP1 = 1.0E-4;
@SuppressWarnings("unused")
@Test(enabled = true)
public void presentValue() {
// USD instrument: Same PV
MultipleCurrencyAmount pvIrs1FfEo = IRS_1.accept(PVDC, MULTICURVE_FF_EO);
MultipleCurrencyAmount pvIrs1Ff1 = IRS_1.accept(PVDC, MULTICURVE_FF_1);
assertEquals("Tutorial - Change of collateral", pvIrs1FfEo.getAmount(USD), pvIrs1Ff1.getAmount(USD), TOLERANCE_PV);
// EUR instrument
MultipleCurrencyAmount pvIrs2FfEo = IRS_2.accept(PVDC, MULTICURVE_FF_EO);
MultipleCurrencyAmount pvIrs2Ff1 = IRS_2.accept(PVDC, MULTICURVE_FF_1);
MultipleCurrencyAmount pvXCcy1FfEo = XCCY_1.accept(PVDC, MULTICURVE_FF_EO);
MultipleCurrencyAmount pvXCcy1Ff1 = XCCY_1.accept(PVDC, MULTICURVE_FF_1);
MultipleCurrencyAmount pvOis1FfEo = OIS_1.accept(PVDC, MULTICURVE_FF_EO);
MultipleCurrencyAmount pvOis1Ff1 = OIS_1.accept(PVDC, MULTICURVE_FF_1);
int t = 0;
}
@Test(enabled = false)
public void bucketedPv01() {
MultipleCurrencyParameterSensitivity pvmqsIrs1FfEo = MQSBC.fromInstrument(IRS_1, MULTICURVE_FF_EO, BLOCK_FF_EO).multipliedBy(BP1);
MultipleCurrencyParameterSensitivity pvmqsIrs2FfEo = MQSBC.fromInstrument(IRS_2, MULTICURVE_FF_EO, BLOCK_FF_EO).multipliedBy(BP1);
ExportUtils.exportMultipleCurrencyParameterSensitivity(pvmqsIrs1FfEo, "irs-usd-mqs-ff-eo.csv");
ExportUtils.exportMultipleCurrencyParameterSensitivity(pvmqsIrs2FfEo, "irs-eur-mqs-ff-eo.csv");
MultipleCurrencyParameterSensitivity pvmqsIrs1Ff1 = MQSBC.fromInstrument(IRS_1, MULTICURVE_FF_1, BLOCK_FF_1).multipliedBy(BP1);
MultipleCurrencyParameterSensitivity pvmqsIrs2Ff1 = MQSBC.fromInstrument(IRS_2, MULTICURVE_FF_1, BLOCK_FF_1).multipliedBy(BP1);
ExportUtils.exportMultipleCurrencyParameterSensitivity(pvmqsIrs1Ff1, "irs-usd-mqs-ff-fxxccy.csv");
ExportUtils.exportMultipleCurrencyParameterSensitivity(pvmqsIrs2Ff1, "irs-eur-mqs-ff-fxxccy.csv");
}
@Test(enabled = false)
public void exportCurves() {
ExportUtils.exportMulticurveProviderDiscount(MULTICURVE_FF_EO, "multicurve-localcurrencycollateral.csv");
ExportUtils.exportMulticurveProviderDiscount(MULTICURVE_FF_1, "multicurve-fedfundcollateral-1.csv");
}
}