/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.tutorial.datasets;
import java.util.ArrayList;
import java.util.LinkedHashMap;
import java.util.List;
import org.threeten.bp.Period;
import org.threeten.bp.ZonedDateTime;
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.GeneratorDepositIbor;
import com.opengamma.analytics.financial.instrument.index.GeneratorDepositON;
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.IborIndex;
import com.opengamma.analytics.financial.instrument.index.IndexON;
import com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition;
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.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve;
import com.opengamma.analytics.financial.provider.calculator.discounting.ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.discounting.ParSpreadMarketQuoteDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.generic.LastTimeCalculator;
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.multicurve.MulticurveDiscountBuildingRepository;
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.MulticurveSensitivity;
import com.opengamma.analytics.math.curve.InterpolatedDoublesCurve;
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.ArgumentChecker;
import com.opengamma.util.money.Currency;
import com.opengamma.util.time.DateUtils;
import com.opengamma.util.tuple.Pair;
/**
* Curves calibration in EUR.
* Black ATM swaption volatility.
* All data as of 9-Aug-2013.
*/
public class AnalysisMarketDataEURJun13Sets {
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 Calendar TARGET = new MondayToFridayCalendar("TARGET");
private static final Currency EUR = Currency.EUR;
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", TARGET);
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, TARGET, INDEX_ON_EUR.getDayCount());
private static final GeneratorSwapFixedIborMaster GENERATOR_SWAP_MASTER = GeneratorSwapFixedIborMaster.getInstance();
private static final GeneratorSwapFixedIbor EUR1YEURIBOR3M = GENERATOR_SWAP_MASTER.getGenerator("EUR1YEURIBOR3M", TARGET);
private static final IborIndex EURIBOR3M = EUR1YEURIBOR3M.getIborIndex();
private static final GeneratorDepositIbor GENERATOR_EURIBOR3M = new GeneratorDepositIbor("GENERATOR_EURIBOR3M", EURIBOR3M, TARGET);
private static final ZonedDateTime NOW = DateUtils.getUTCDate(2013, 8, 9);
private static final ZonedDateTimeDoubleTimeSeries TS_EMPTY = ImmutableZonedDateTimeDoubleTimeSeries.ofEmptyUTC();
private static final ZonedDateTimeDoubleTimeSeries TS_ON_EUR_WITHOUT_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2013, 8, 7),
DateUtils.getUTCDate(2013, 8, 8) }, new double[] {0.07, 0.08 });
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_OIS_EUR_WITHOUT_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_EMPTY, TS_ON_EUR_WITHOUT_TODAY };
private static final ZonedDateTimeDoubleTimeSeries TS_IBOR_EUR3M_WITHOUT_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2013, 8, 8) },
new double[] {0.0022 });
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_USD3M_WITHOUT_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_IBOR_EUR3M_WITHOUT_TODAY };
private static final String CURVE_NAME_DSC_EUR = "EUR Discounting";
private static final String CURVE_NAME_FWD3_EUR = "EUR LIBOR3M";
/** Market values for the dsc EUR curve */
private static final double[] DSC_EUR_MARKET_QUOTES = new double[] {0.0010, 0.0010, 0.0010, 0.0010, 0.0010, 0.0011, 0.0012, 0.0015, 0.0025, 0.0040, 0.00625, 0.0085, 0.0125, 0.0168,
0.0190, 0.0212, 0.0225, 0.0225 }; //18
/** Generators for the dsc EUR curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] DSC_EUR_GENERATORS = new GeneratorInstrument<?>[] {GENERATOR_DEPOSIT_ON_EUR, 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,
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.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(7), Period.ofYears(10),
Period.ofYears(12), Period.ofYears(15), Period.ofYears(20), Period.ofYears(30) };
private static final GeneratorAttributeIR[] DSC_EUR_ATTR = new GeneratorAttributeIR[DSC_EUR_TENOR.length];
static {
for (int loopins = 0; loopins < 2; loopins++) {
DSC_EUR_ATTR[loopins] = new GeneratorAttributeIR(DSC_EUR_TENOR[loopins], Period.ofDays(0));
}
for (int loopins = 2; loopins < DSC_EUR_TENOR.length; loopins++) {
DSC_EUR_ATTR[loopins] = new GeneratorAttributeIR(DSC_EUR_TENOR[loopins]);
}
}
/** Market values for the Fwd 3M EUR curve */
private static final double[] FWD3_EUR_MARKET_QUOTES = new double[] {0.00227, 0.0025, 0.0025, 0.0030, 0.0044, 0.0060, 0.0084, 0.0105, 0.0145, 0.0190, 0.0211, 0.0230, 0.0245, 0.0245 }; //13
/** Generators for the Fwd 3M EUR curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] FWD3_EUR_GENERATORS = new GeneratorInstrument<?>[] {GENERATOR_EURIBOR3M, EUR1YEURIBOR3M, EUR1YEURIBOR3M, EUR1YEURIBOR3M,
EUR1YEURIBOR3M, EUR1YEURIBOR3M, EUR1YEURIBOR3M, EUR1YEURIBOR3M, EUR1YEURIBOR3M, EUR1YEURIBOR3M, EUR1YEURIBOR3M, EUR1YEURIBOR3M, EUR1YEURIBOR3M, EUR1YEURIBOR3M };
/** Tenors for the Fwd 3M USD curve */
private static final Period[] FWD3_EUR_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(30) };
private static final GeneratorAttributeIR[] FWD3_EUR_ATTR = new GeneratorAttributeIR[FWD3_EUR_TENOR.length];
static {
for (int loopins = 0; loopins < FWD3_EUR_TENOR.length; loopins++) {
FWD3_EUR_ATTR[loopins] = new GeneratorAttributeIR(FWD3_EUR_TENOR[loopins]);
}
}
/** Standard EUR discounting curve instrument definitions */
private static final InstrumentDefinition<?>[] DEFINITIONS_DSC_EUR;
/** Standard EUR Forward 3M curve instrument definitions */
private static final InstrumentDefinition<?>[] DEFINITIONS_FWD3_EUR;
/** Units of curves */
private static final int[] NB_UNITS = new int[] {2, 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_2C = new LinkedHashMap<>();
private static final LinkedHashMap<String, IndexON[]> FWD_ON_MAP_2C = new LinkedHashMap<>();
private static final LinkedHashMap<String, IborIndex[]> FWD_IBOR_MAP_2C = new LinkedHashMap<>();
private static final LinkedHashMap<String, Currency> DSC_MAP_1C = new LinkedHashMap<>();
private static final LinkedHashMap<String, IndexON[]> FWD_ON_MAP_1C = new LinkedHashMap<>();
private static final LinkedHashMap<String, IborIndex[]> FWD_IBOR_MAP_1C = new LinkedHashMap<>();
static {
DEFINITIONS_DSC_EUR = getDefinitions(DSC_EUR_MARKET_QUOTES, DSC_EUR_GENERATORS, DSC_EUR_ATTR);
DEFINITIONS_FWD3_EUR = getDefinitions(FWD3_EUR_MARKET_QUOTES, FWD3_EUR_GENERATORS, FWD3_EUR_ATTR);
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_EUR };
DEFINITIONS_UNITS[0][1] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD3_EUR };
DEFINITIONS_UNITS[1][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD3_EUR };
final GeneratorYDCurve genIntLin = new GeneratorCurveYieldInterpolated(MATURITY_CALCULATOR, INTERPOLATOR_LINEAR);
GENERATORS_UNITS[0][0] = new GeneratorYDCurve[] {genIntLin };
GENERATORS_UNITS[0][1] = new GeneratorYDCurve[] {genIntLin };
GENERATORS_UNITS[1][0] = new GeneratorYDCurve[] {genIntLin };
NAMES_UNITS[0][0] = new String[] {CURVE_NAME_DSC_EUR };
NAMES_UNITS[0][1] = new String[] {CURVE_NAME_FWD3_EUR };
NAMES_UNITS[1][0] = new String[] {CURVE_NAME_FWD3_EUR };
DSC_MAP_2C.put(CURVE_NAME_DSC_EUR, EUR);
FWD_ON_MAP_2C.put(CURVE_NAME_DSC_EUR, new IndexON[] {INDEX_ON_EUR });
FWD_IBOR_MAP_2C.put(CURVE_NAME_FWD3_EUR, new IborIndex[] {EURIBOR3M });
DSC_MAP_1C.put(CURVE_NAME_FWD3_EUR, EUR);
FWD_ON_MAP_1C.put(CURVE_NAME_FWD3_EUR, new IndexON[] {INDEX_ON_EUR });
FWD_IBOR_MAP_1C.put(CURVE_NAME_FWD3_EUR, new IborIndex[] {EURIBOR3M });
}
@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;
}
// Calculator
private static final ParSpreadMarketQuoteDiscountingCalculator PSMQC = ParSpreadMarketQuoteDiscountingCalculator.getInstance();
private static final ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator PSMQCSC = ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator.getInstance();
private static final MulticurveDiscountBuildingRepository CURVE_BUILDING_REPOSITORY = new MulticurveDiscountBuildingRepository(TOLERANCE_ROOT, TOLERANCE_ROOT, STEP_MAX);
private static final List<Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle>> CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK = new ArrayList<>();
static {
CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.add(makeCurvesFromDefinitions(DEFINITIONS_UNITS[0],
GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PSMQC, PSMQCSC, false, DSC_MAP_2C, FWD_IBOR_MAP_2C, FWD_ON_MAP_2C));
CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.add(makeCurvesFromDefinitions(DEFINITIONS_UNITS[1],
GENERATORS_UNITS[1], NAMES_UNITS[1], KNOWN_DATA, PSMQC, PSMQCSC, false, DSC_MAP_1C, FWD_IBOR_MAP_1C, FWD_ON_MAP_1C));
}
public static Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> getSingleCurveEUR() {
return CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(1);
}
/**
* Create a provider with shifted curve (shift of one parameter/zero-coupon point)
* @param shift The size of the shift.
* @param nodeIndex The index of the node to shift.
* @return
*/
public static MulticurveProviderDiscount getSinglecurveEURShiftParameterPoint(final double shift, final int nodeIndex) {
Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> multicurvePair0 = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(1);
MulticurveProviderDiscount singlecurve = multicurvePair0.getFirst(); // Shift the forward curve
final YieldAndDiscountCurve curve = singlecurve.getCurve(EURIBOR3M);
ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
final YieldCurve curveYield = (YieldCurve) curve;
ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
yieldBumped[nodeIndex] += shift;
final YieldAndDiscountCurve fwdBumped = new YieldCurve(curveInt.getName(),
new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
return singlecurve.withForward(EURIBOR3M, fwdBumped).withDiscountFactor(EUR, fwdBumped).withForward(INDEX_ON_EUR, fwdBumped);
}
public static Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> getMulticurveEUR() {
return CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0);
}
public static Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> getCurvesEURShift(final double shift) {
double[] marketQuotesDsc = DSC_EUR_MARKET_QUOTES.clone();
for (int loopdsc = 0; loopdsc < marketQuotesDsc.length; loopdsc++) {
marketQuotesDsc[loopdsc] += shift;
}
double[] marketQuotesFwd = FWD3_EUR_MARKET_QUOTES.clone();
for (int loopfwd = 0; loopfwd < marketQuotesFwd.length; loopfwd++) {
marketQuotesFwd[loopfwd] += shift;
}
InstrumentDefinition<?>[] definitionDsc = getDefinitions(marketQuotesDsc, DSC_EUR_GENERATORS, DSC_EUR_ATTR);
InstrumentDefinition<?>[] definitionFwd = getDefinitions(marketQuotesFwd, FWD3_EUR_GENERATORS, FWD3_EUR_ATTR);
final InstrumentDefinition<?>[][][] definitionUnits = new InstrumentDefinition<?>[NB_UNITS[0]][][];
definitionUnits[0] = new InstrumentDefinition<?>[][] {definitionDsc };
definitionUnits[1] = new InstrumentDefinition<?>[][] {definitionFwd };
Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> multicurve = makeCurvesFromDefinitions(definitionUnits, GENERATORS_UNITS[0], NAMES_UNITS[0],
KNOWN_DATA, PSMQC, PSMQCSC, false, DSC_MAP_2C, FWD_IBOR_MAP_2C, FWD_ON_MAP_2C);
return multicurve;
}
/**
* Create a provider with shifted curve (shift of one market quote point)
* @param shift The size of the shift.
* @param nodeIndex The index of the node to shift.
* @param dscShift Flag to indicate if the discounting curve (true) or the forward curve (false) should be shifted.
* @return
*/
public static Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> getCurvesEURShiftMarketPoint(final double shift,
final int nodeIndex, final boolean dscShift) {
double[] marketQuotesDsc = DSC_EUR_MARKET_QUOTES.clone();
double[] marketQuotesFwd = FWD3_EUR_MARKET_QUOTES.clone();
if (dscShift) {
marketQuotesDsc[nodeIndex] += shift;
} else {
marketQuotesFwd[nodeIndex] += shift;
}
InstrumentDefinition<?>[] definitionDsc = getDefinitions(marketQuotesDsc, DSC_EUR_GENERATORS, DSC_EUR_ATTR);
InstrumentDefinition<?>[] definitionFwd = getDefinitions(marketQuotesFwd, FWD3_EUR_GENERATORS, FWD3_EUR_ATTR);
final InstrumentDefinition<?>[][][] definitionUnits = new InstrumentDefinition<?>[NB_UNITS[0]][][];
definitionUnits[0] = new InstrumentDefinition<?>[][] {definitionDsc };
definitionUnits[1] = new InstrumentDefinition<?>[][] {definitionFwd };
Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> multicurve = makeCurvesFromDefinitions(definitionUnits, GENERATORS_UNITS[0], NAMES_UNITS[0],
KNOWN_DATA, PSMQC, PSMQCSC, false, DSC_MAP_2C, FWD_IBOR_MAP_2C, FWD_ON_MAP_2C);
return multicurve;
}
/**
* Create a provider with shifted curve (shift of one parameter/zero-coupon point)
* @param shift The size of the shift.
* @param nodeIndex The index of the node to shift.
* @param dscShift Flag to indicate if the discounting curve (true) or the forward curve (false) should be shifted.
* @return
*/
public static MulticurveProviderDiscount getMulticurvesEURShiftParameterPoint(final double shift,
final int nodeIndex, final boolean dscShift) {
Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> multicurvePair0 = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0);
MulticurveProviderDiscount multicurve = multicurvePair0.getFirst();
if (dscShift) { // Shift the discounting curve
final YieldAndDiscountCurve curve = multicurve.getCurve(EUR);
ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
final YieldCurve curveYield = (YieldCurve) curve;
ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
yieldBumped[nodeIndex] += shift;
final YieldAndDiscountCurve dscBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
return multicurve.withDiscountFactor(EUR, dscBumped).withForward(INDEX_ON_EUR, dscBumped);
} // Shift the forward curve
final YieldAndDiscountCurve curve = multicurve.getCurve(EURIBOR3M);
ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
final YieldCurve curveYield = (YieldCurve) curve;
ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
yieldBumped[nodeIndex] += shift;
final YieldAndDiscountCurve fwdBumped = new YieldCurve(curveInt.getName(),
new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
return multicurve.withForward(EURIBOR3M, fwdBumped);
}
public static int getCurveEURNumberNodeDiscounting() {
return DSC_EUR_MARKET_QUOTES.length;
}
public static int getCurveEURNumberNodeForward() {
return FWD3_EUR_MARKET_QUOTES.length;
}
@SuppressWarnings("unchecked")
private static Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> makeCurvesFromDefinitions(final InstrumentDefinition<?>[][][] definitions, final GeneratorYDCurve[][] curveGenerators,
final String[][] curveNames, final MulticurveProviderDiscount knownData, final InstrumentDerivativeVisitor<ParameterProviderInterface, Double> calculator,
final InstrumentDerivativeVisitor<ParameterProviderInterface, MulticurveSensitivity> sensitivityCalculator, final boolean withToday,
LinkedHashMap<String, Currency> dscMap, LinkedHashMap<String, IborIndex[]> iborMap, LinkedHashMap<String, IndexON[]> onMap) {
final int nbUnits = curveGenerators.length;
final MultiCurveBundle<GeneratorYDCurve>[] curveBundles = new MultiCurveBundle[nbUnits];
for (int i = 0; i < nbUnits; i++) {
final int nCurves = definitions[i].length;
final SingleCurveBundle<GeneratorYDCurve>[] 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], i, withToday);
initialGuess[k] = initialGuess(definitions[i][j][k]);
}
final GeneratorYDCurve 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, dscMap, iborMap, onMap, calculator,
sensitivityCalculator);
// final int nbUnits = curveGenerators.length;
// final double[][] parametersGuess = new double[nbUnits][];
// final GeneratorYDCurve[][] generatorFinal = new GeneratorYDCurve[nbUnits][];
// final InstrumentDerivative[][][] instruments = new InstrumentDerivative[nbUnits][][];
// for (int loopunit = 0; loopunit < nbUnits; loopunit++) {
// generatorFinal[loopunit] = new GeneratorYDCurve[curveGenerators[loopunit].length];
// int nbInsUnit = 0;
// for (int loopcurve = 0; loopcurve < curveGenerators[loopunit].length; loopcurve++) {
// nbInsUnit += definitions[loopunit][loopcurve].length;
// }
// parametersGuess[loopunit] = new double[nbInsUnit];
// int startCurve = 0; // First parameter index of the curve in the unit.
// instruments[loopunit] = convert(definitions[loopunit], loopunit, withToday);
// for (int loopcurve = 0; loopcurve < curveGenerators[loopunit].length; loopcurve++) {
// generatorFinal[loopunit][loopcurve] = curveGenerators[loopunit][loopcurve].finalGenerator(instruments[loopunit][loopcurve]);
// final double[] guessCurve = generatorFinal[loopunit][loopcurve].initialGuess(initialGuess(definitions[loopunit][loopcurve]));
// System.arraycopy(guessCurve, 0, parametersGuess[loopunit], startCurve, instruments[loopunit][loopcurve].length);
// startCurve += instruments[loopunit][loopcurve].length;
// }
// }
// return CURVE_BUILDING_REPOSITORY.makeCurvesFromDerivatives(instruments, generatorFinal, curveNames, parametersGuess, knownData, DSC_MAP, FWD_IBOR_MAP, FWD_ON_MAP, calculator,
// sensitivityCalculator);
}
// private static InstrumentDerivative[][] convert(final InstrumentDefinition<?>[][] definitions, final int unit, final boolean withToday) {
// // int nbDef = 0;
// // for (final InstrumentDefinition<?>[] definition : definitions) {
// // nbDef += definition.length;
// // }
// 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 SwapFixedONDefinition) {
// ird = ((SwapFixedONDefinition) instrument).toDerivative(NOW, getTSSwapFixedON(unit));
// } else {
// if (instrument instanceof SwapFixedIborDefinition) {
// ird = ((SwapFixedIborDefinition) instrument).toDerivative(NOW, getTSSwapFixedIbor(unit));
// } else {
// ird = instrument.toDerivative(NOW);
// }
// }
// instruments[loopcurve][loopins++] = ird;
// }
// }
// return instruments;
// }
private static InstrumentDerivative convert(final InstrumentDefinition<?> definition, final int unit, final boolean withToday) {
InstrumentDerivative ird;
if (definition instanceof SwapFixedONDefinition) {
ird = ((SwapFixedONDefinition) definition).toDerivative(NOW, getTSSwapFixedON(unit));
} else {
if (definition instanceof SwapFixedIborDefinition) {
ird = ((SwapFixedIborDefinition) definition).toDerivative(NOW, getTSSwapFixedIbor(unit));
} else {
ird = definition.toDerivative(NOW);
}
}
return ird;
}
private static ZonedDateTimeDoubleTimeSeries[] getTSSwapFixedON(final Integer unit) {
switch (unit) {
case 0:
return TS_FIXED_OIS_EUR_WITHOUT_TODAY;
default:
throw new IllegalArgumentException(unit.toString());
}
}
private static ZonedDateTimeDoubleTimeSeries[] getTSSwapFixedIbor(final Integer unit) {
switch (unit) {
case 0:
return TS_FIXED_IBOR_USD3M_WITHOUT_TODAY;
case 1:
return TS_FIXED_IBOR_USD3M_WITHOUT_TODAY;
default:
throw new IllegalArgumentException(unit.toString());
}
}
// private static double[] initialGuess(final InstrumentDefinition<?>[] definitions) {
// final double[] result = new double[definitions.length];
// int loopr = 0;
// for (final InstrumentDefinition<?> definition : definitions) {
// result[loopr++] = initialGuess(definition);
// }
// return result;
// }
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 ForwardRateAgreementDefinition) {
return ((ForwardRateAgreementDefinition) instrument).getRate();
}
if (instrument instanceof CashDefinition) {
return ((CashDefinition) instrument).getRate();
}
return 0.01;
}
// /**
// * The linear interpolator/ flat extrapolator.
// */
// private static final Interpolator1D LINEAR_FLAT = CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.LINEAR, Interpolator1DFactory.FLAT_EXTRAPOLATOR,
// Interpolator1DFactory.FLAT_EXTRAPOLATOR);
// private static final GridInterpolator2D INTERPOLATOR_2D = new GridInterpolator2D(LINEAR_FLAT, LINEAR_FLAT);
//
// /** Data date: 19-Jun-2013 **/
// private static final InterpolatedDoublesSurface BLACK_SURFACE_EXP_TEN = InterpolatedDoublesSurface.from(
// new double[] {0.25, 0.5, 1.0, 0.25, 0.5, 1.0, 0.25, 0.5, 1.0, 0.25, 0.5, 1.0 },
// new double[] {2, 2, 2, 5, 5, 5, 10, 10, 10, 30, 30, 30 },
// new double[] {0.685, 0.661, 0.631, 0.509, 0.479, 0.438, 0.351, 0.339, 0.325, 0.256, 0.251, 0.252 },
// INTERPOLATOR_2D);
// private static final BlackFlatSwaptionParameters BLACK_SWAPTION_USD3 = new BlackFlatSwaptionParameters(BLACK_SURFACE_EXP_TEN, EUR1YEURIBOR3M);
//
// // Normal: 35.6, x, 50.6, 73.6, x5, x5, x10, 88.5, x10, x30, x30, 86.4
//
// public static BlackFlatSwaptionParameters createBlackSwaptionUSD3() {
// return BLACK_SWAPTION_USD3;
// }
}