/** * Copyright (C) 2014 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.analytics.tutorial.datasets; import java.util.Arrays; import java.util.LinkedHashMap; import org.threeten.bp.Period; import org.threeten.bp.ZonedDateTime; import com.opengamma.OpenGammaRuntimeException; import com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorCurveAddYieldExisiting; import com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorCurveYieldInterpolated; import com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorYDCurve; import com.opengamma.analytics.financial.datasets.CalendarGBP; import com.opengamma.analytics.financial.forex.method.FXMatrix; import com.opengamma.analytics.financial.instrument.InstrumentDefinition; import com.opengamma.analytics.financial.instrument.cash.CashDefinition; import com.opengamma.analytics.financial.instrument.index.GeneratorAttribute; import com.opengamma.analytics.financial.instrument.index.GeneratorAttributeIR; import com.opengamma.analytics.financial.instrument.index.GeneratorInstrument; import com.opengamma.analytics.financial.instrument.index.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.SwapFixedONDefinition; 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.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.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.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 GBP: * DSCON-OIS/LIBOR6M-FRAIRS * Recent market data. Standard instruments. */ public class RecentDataSetsMulticurveStandardGbp { 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 Calendar LON = new CalendarGBP("LON"); private static final Currency GBP = Currency.GBP; private static final FXMatrix FX_MATRIX = new FXMatrix(GBP); private static final double NOTIONAL = 1.0; private static final GeneratorSwapFixedONMaster GENERATOR_OIS_MASTER = GeneratorSwapFixedONMaster.getInstance(); private static final GeneratorSwapFixedIborMaster GENERATOR_IRS_MASTER = GeneratorSwapFixedIborMaster.getInstance(); private static final GeneratorSwapFixedON GENERATOR_OIS_GBP = GENERATOR_OIS_MASTER.getGenerator("GBP1YSONIA", LON); private static final IndexON GBPSONIA = GENERATOR_OIS_GBP.getIndex(); private static final GeneratorSwapFixedIbor GBP6MLIBOR6M = GENERATOR_IRS_MASTER.getGenerator("GBP6MLIBOR6M", LON); private static final IborIndex GBPLIBOR6M = GBP6MLIBOR6M.getIborIndex(); private static final String CURVE_NAME_DSC_GBP = "GBP-DSCON-OIS"; private static final String CURVE_NAME_FWD6_GBP = "GBP-LIBOR6M-FRAIRS"; /** Data as of 16-Jul-2014 */ /** Market values for the dsc GBP curve */ private static final double[] DSC_GBP_MARKET_QUOTES = new double[] {0.004263, 0.004275, 0.00431, 0.004375, 0.004375, 0.004507, 0.004592, 0.004805, 0.005107, 0.005339, 0.00562, 0.005936, 0.006231, 0.006543, 0.006879, 0.007185, 0.0110, 0.0142, 0.0167, 0.0182 }; /** Generators for the dsc GBP curve */ private static final GeneratorInstrument<? extends GeneratorAttribute>[] DSC_GBP_GENERATORS = CurveCalibrationConventionDataSets.generatorGbpOnOis(1, 19); /** Tenors for the dsc GBP curve */ private static final Period[] DSC_2_GBP_TENOR = new Period[] {Period.ofDays(0), Period.ofDays(7), Period.ofDays(14), Period.ofDays(21), Period.ofMonths(1), Period.ofMonths(2), Period.ofMonths(3), Period.ofMonths(4), Period.ofMonths(5), Period.ofMonths(6), Period.ofMonths(7), Period.ofMonths(8), Period.ofMonths(9), Period.ofMonths(10), Period.ofMonths(11), Period.ofMonths(12), Period.ofYears(2), Period.ofYears(3), Period.ofYears(4), Period.ofYears(5) }; private static final GeneratorAttributeIR[] DSC_GBP_ATTR = new GeneratorAttributeIR[DSC_2_GBP_TENOR.length]; static { for (int loopins = 0; loopins < 1; loopins++) { DSC_GBP_ATTR[loopins] = new GeneratorAttributeIR(DSC_2_GBP_TENOR[loopins], Period.ofDays(0)); } for (int loopins = 1; loopins < DSC_2_GBP_TENOR.length; loopins++) { DSC_GBP_ATTR[loopins] = new GeneratorAttributeIR(DSC_2_GBP_TENOR[loopins]); } } /** Market values for the Fwd 6M GBP curve */ private static final double[] FWD6_GBP_MARKET_QUOTES = new double[] {0.0023, 0.0026, 0.0032, 0.0033, 0.0070, 0.0115, 0.0153, 0.0181, 0.0222, 0.0260, 0.0277, 0.0295, 0.0310, 0.0318, 0.0320 }; /** Generators for the Fwd 6M GBP curve */ private static final GeneratorInstrument<? extends GeneratorAttribute>[] FWD6_GBP_GENERATORS = CurveCalibrationConventionDataSets.generatorGbpIbor6Fra6Irs6(1, 2, 12); /** Tenors for the Fwd 6M GBP curve */ private static final Period[] FWD6_GBP_TENOR = new Period[] {Period.ofMonths(0), Period.ofMonths(8), 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[] FWD6_GBP_ATTR = new GeneratorAttributeIR[FWD6_GBP_TENOR.length]; static { for (int loopins = 0; loopins < FWD6_GBP_TENOR.length; loopins++) { FWD6_GBP_ATTR[loopins] = new GeneratorAttributeIR(FWD6_GBP_TENOR[loopins]); } } /** Units of curves */ private static final int[] NB_UNITS = {2, 1 }; private static final int NB_BLOCKS = 2; private static final GeneratorYDCurve[][][] GENERATORS_UNITS = new GeneratorYDCurve[NB_BLOCKS][][]; private static final String[][][] NAMES_UNITS = new String[NB_BLOCKS][][]; private static final MulticurveProviderDiscount KNOWN_DATA = new MulticurveProviderDiscount(FX_MATRIX); private static final LinkedHashMap<String, Currency> DSC_MAP = new LinkedHashMap<>(); private static final LinkedHashMap<String, IndexON[]> FWD_ON_MAP = new LinkedHashMap<>(); private static final LinkedHashMap<String, IborIndex[]> FWD_IBOR_MAP = new LinkedHashMap<>(); static { for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) { GENERATORS_UNITS[loopblock] = new GeneratorYDCurve[NB_UNITS[loopblock]][]; NAMES_UNITS[loopblock] = new String[NB_UNITS[loopblock]][]; } final GeneratorYDCurve genIntLin = new GeneratorCurveYieldInterpolated(MATURITY_CALCULATOR, INTERPOLATOR_LINEAR); GENERATORS_UNITS[0][0] = new GeneratorYDCurve[] {genIntLin }; GENERATORS_UNITS[0][1] = new GeneratorYDCurve[] {genIntLin }; NAMES_UNITS[0][0] = new String[] {CURVE_NAME_DSC_GBP }; NAMES_UNITS[0][1] = new String[] {CURVE_NAME_FWD6_GBP }; GeneratorYDCurve genAddExistFwd3 = new GeneratorCurveAddYieldExisiting(genIntLin, false, CURVE_NAME_FWD6_GBP); GENERATORS_UNITS[1][0] = new GeneratorYDCurve[] {genIntLin, genAddExistFwd3 }; NAMES_UNITS[1][0] = new String[] {CURVE_NAME_FWD6_GBP, CURVE_NAME_DSC_GBP }; DSC_MAP.put(CURVE_NAME_DSC_GBP, GBP); FWD_ON_MAP.put(CURVE_NAME_DSC_GBP, new IndexON[] {GBPSONIA }); FWD_IBOR_MAP.put(CURVE_NAME_FWD6_GBP, new IborIndex[] {GBPLIBOR6M }); } @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; } /** Calculators */ 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 the date provided. The curves are discounting/overnight forward, * LIBOR6M forward. * @param calibrationDate The calibration date. * @return The curves and the Jacobian matrices. */ public static Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> getCurvesGbpOisL6(ZonedDateTime calibrationDate) { InstrumentDefinition<?>[][][] definitionsUnits = new InstrumentDefinition<?>[NB_UNITS[0]][][]; InstrumentDefinition<?>[] definitionsDsc = getDefinitions(DSC_GBP_MARKET_QUOTES, DSC_GBP_GENERATORS, DSC_GBP_ATTR, calibrationDate); InstrumentDefinition<?>[] definitionsFwd6 = getDefinitions(FWD6_GBP_MARKET_QUOTES, FWD6_GBP_GENERATORS, FWD6_GBP_ATTR, calibrationDate); definitionsUnits[0] = new InstrumentDefinition<?>[][] {definitionsDsc }; definitionsUnits[1] = new InstrumentDefinition<?>[][] {definitionsFwd6 }; return CurveCalibrationTestsUtils.makeCurvesFromDefinitionsMulticurve(calibrationDate, definitionsUnits, GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PSMQC, PSMQCSC, false, DSC_MAP, FWD_ON_MAP, FWD_IBOR_MAP, CURVE_BUILDING_REPOSITORY, TS_FIXED_OIS_GBP_WITH_TODAY, TS_FIXED_OIS_GBP_WITHOUT_TODAY, TS_FIXED_IBOR_GBP6M_WITH_LAST, TS_FIXED_IBOR_GBP6M_WITHOUT_LAST); } /** * Calibrate curves with hard-coded date and with calibration date the date provided. The curves are discounting/overnight forward, * LIBOR3M forward. The overnight curve is constructed as a spread to the LIBOR6M curve. * @param calibrationDate The calibration date. * @return The curves and the Jacobian matrices. */ public static Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> getCurvesGbpOisL6Spread(ZonedDateTime calibrationDate) { return getCurvesGbpOisL6Spread(calibrationDate, DSC_GBP_MARKET_QUOTES, FWD6_GBP_MARKET_QUOTES); } /** * Calibrate curves with hard-coded date and with calibration date the date provided. The curves are discounting/overnight forward, * LIBOR3M forward. The overnight curve is constructed as a spread to the LIBOR6M curve. * @param calibrationDate The calibration date. * @param dscMarketQuotes Market quotes for the discounting curve. * @param fwd6MarketQuotes Market quotes for the forward LIBOR6M curve. * @return The curves and the Jacobian matrices. */ public static Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> getCurvesGbpOisL6Spread(ZonedDateTime calibrationDate, double[] dscMarketQuotes, double[] fwd6MarketQuotes) { ArgumentChecker.isTrue(dscMarketQuotes.length == DSC_GBP_GENERATORS.length, "Discounting market quotes of the wrong length"); ArgumentChecker.isTrue(fwd6MarketQuotes.length == FWD6_GBP_GENERATORS.length, "Forward 6M market quotes of the wrong length"); InstrumentDefinition<?>[][][] definitionsUnits = new InstrumentDefinition<?>[NB_UNITS[1]][][]; InstrumentDefinition<?>[] definitionsDsc = getDefinitions(dscMarketQuotes, DSC_GBP_GENERATORS, DSC_GBP_ATTR, calibrationDate); InstrumentDefinition<?>[] definitionsFwd6 = getDefinitions(fwd6MarketQuotes, FWD6_GBP_GENERATORS, FWD6_GBP_ATTR, calibrationDate); definitionsUnits[0] = new InstrumentDefinition<?>[][] {definitionsFwd6, definitionsDsc }; return CurveCalibrationTestsUtils.makeCurvesFromDefinitionsMulticurve(calibrationDate, definitionsUnits, GENERATORS_UNITS[1], NAMES_UNITS[1], KNOWN_DATA, PSMQC, PSMQCSC, false, DSC_MAP, FWD_ON_MAP, FWD_IBOR_MAP, CURVE_BUILDING_REPOSITORY, TS_FIXED_OIS_GBP_WITH_TODAY, TS_FIXED_OIS_GBP_WITHOUT_TODAY, TS_FIXED_IBOR_GBP6M_WITH_LAST, TS_FIXED_IBOR_GBP6M_WITHOUT_LAST); } /** * Get the definitions for the first instruments of the standard curve to be used in another curve * @param calibrationDate The calibration date. * @param howMany The number of instruments to be returned * @return The InstrumentDefinition for the first howMany instruments of the curve */ public static InstrumentDefinition<?>[] getDefinitionForFirstInstruments(ZonedDateTime calibrationDate, ZonedDateTime firstStartDate) { InstrumentDefinition<?>[] definitionsDsc = getDefinitions(DSC_GBP_MARKET_QUOTES, DSC_GBP_GENERATORS, DSC_GBP_ATTR, calibrationDate); int howMany = 0; for (int i = 0; i < definitionsDsc.length; ++i) { if (definitionsDsc[i] instanceof CashDefinition) { CashDefinition definition = (CashDefinition) definitionsDsc[i]; if (firstStartDate.isBefore(definition.getEndDate())) { howMany = i + 1; break; } } else if (definitionsDsc[i] instanceof SwapFixedONDefinition) { SwapFixedONDefinition definition = (SwapFixedONDefinition) definitionsDsc[i]; if (firstStartDate.isBefore( definition.getFirstLeg().getNthPayment(definition.getFirstLeg().getNumberOfPayments() - 1). getPaymentDate())) { howMany = i + 1; break; } } else { throw new OpenGammaRuntimeException("Instrument definition type not supported: " + definitionsDsc[i].getClass().getName()); } } return Arrays.copyOf(definitionsDsc, howMany); } /** * Returns the array of Ibor index used in the curve data set. * @return The array: GBPLIBOR6M */ public static IborIndex[] indexIborArrayGBPOisL6() { return new IborIndex[] {GBPLIBOR6M }; } /** * Returns the array of overnight index used in the curve data set. * @return The array: GBPSONIA */ public static IndexON[] indexONArray() { return new IndexON[] {GBPSONIA }; } /** * Returns the array of calendars used in the curve data set. * @return The array: NYC */ public static Calendar[] calendarArray() { return new Calendar[] {LON }; } /** * Returns an array with one time series corresponding to the GBP LIBOR6M fixing up to and including the last date. * @return */ public static ZonedDateTimeDoubleTimeSeries fixingGbpLibor6MWithLast() { return TS_IBOR_GBP6M_WITH_LAST; } /** * Returns an array with one time series corresponding to the GBP LIBOR6M fixing up to and including the last date. * @return */ public static ZonedDateTimeDoubleTimeSeries fixingGbpLibor6MWithoutLast() { return TS_IBOR_GBP6M_WITHOUT_LAST; } /** * Returns an array with one time series corresponding to the GBP SONIA fixing up to and including the last date. * @return */ public static ZonedDateTimeDoubleTimeSeries fixingGbpSoniaWithLast() { return TS_ON_GBP_WITH_TODAY; } /** * Returns an array with one time series corresponding to the GBP SONIA fixing up to and including the last date. * @return */ public static ZonedDateTimeDoubleTimeSeries fixingGbpSoniaWithoutLast() { return TS_ON_GBP_WITHOUT_TODAY; } private static final ZonedDateTimeDoubleTimeSeries TS_EMPTY = ImmutableZonedDateTimeDoubleTimeSeries.ofEmptyUTC(); private static final ZonedDateTimeDoubleTimeSeries TS_ON_GBP_WITH_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC( new ZonedDateTime[] {DateUtils.getUTCDate(2014, 7, 1), DateUtils.getUTCDate(2014, 7, 2), DateUtils.getUTCDate(2014, 7, 3), DateUtils.getUTCDate(2014, 7, 4), DateUtils.getUTCDate(2014, 7, 7), DateUtils.getUTCDate(2014, 7, 8), DateUtils.getUTCDate(2014, 7, 9), DateUtils.getUTCDate(2014, 7, 10), DateUtils.getUTCDate(2014, 7, 11), DateUtils.getUTCDate(2014, 7, 14), DateUtils.getUTCDate(2014, 7, 15), DateUtils.getUTCDate(2014, 7, 16), DateUtils.getUTCDate(2014, 7, 17), DateUtils.getUTCDate(2014, 7, 18), DateUtils.getUTCDate(2014, 7, 21), DateUtils.getUTCDate(2014, 7, 22), DateUtils.getUTCDate(2014, 7, 23), DateUtils.getUTCDate(2014, 7, 24), DateUtils.getUTCDate(2014, 7, 25), DateUtils.getUTCDate(2014, 7, 28) }, new double[] {0.002318, 0.002346, 0.002321, 0.002331, 0.002341, 0.002336, 0.002341, 0.002336, 0.002336, 0.002326, 0.002331, 0.002336, 0.002336, 0.002316, 0.002331, 0.002326, 0.002341, 0.002351, 0.002341, 0.002341 }); private static final ZonedDateTimeDoubleTimeSeries TS_ON_GBP_WITHOUT_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC( new ZonedDateTime[] {DateUtils.getUTCDate(2014, 7, 1), DateUtils.getUTCDate(2014, 7, 2), DateUtils.getUTCDate(2014, 7, 3), DateUtils.getUTCDate(2014, 7, 4), DateUtils.getUTCDate(2014, 7, 7), DateUtils.getUTCDate(2014, 7, 8), DateUtils.getUTCDate(2014, 7, 9), DateUtils.getUTCDate(2014, 7, 10), DateUtils.getUTCDate(2014, 7, 11), DateUtils.getUTCDate(2014, 7, 14), DateUtils.getUTCDate(2014, 7, 15), DateUtils.getUTCDate(2014, 7, 16), DateUtils.getUTCDate(2014, 7, 17), DateUtils.getUTCDate(2014, 7, 18), DateUtils.getUTCDate(2014, 7, 21), DateUtils.getUTCDate(2014, 7, 22), DateUtils.getUTCDate(2014, 7, 23), DateUtils.getUTCDate(2014, 7, 24), DateUtils.getUTCDate(2014, 7, 25) }, new double[] {0.002318, 0.002346, 0.002321, 0.002331, 0.002341, 0.002336, 0.002341, 0.002336, 0.002336, 0.002326, 0.002331, 0.002336, 0.002336, 0.002316, 0.002331, 0.002326, 0.002341, 0.002351, 0.002341 }); private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_OIS_GBP_WITH_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_EMPTY, TS_ON_GBP_WITH_TODAY }; private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_OIS_GBP_WITHOUT_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_EMPTY, TS_ON_GBP_WITHOUT_TODAY }; private static final ZonedDateTimeDoubleTimeSeries TS_IBOR_GBP6M_WITH_LAST = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC( new ZonedDateTime[] {DateUtils.getUTCDate(2014, 7, 1), DateUtils.getUTCDate(2014, 7, 2), DateUtils.getUTCDate(2014, 7, 3), DateUtils.getUTCDate(2014, 7, 4), DateUtils.getUTCDate(2014, 7, 7), DateUtils.getUTCDate(2014, 7, 8), DateUtils.getUTCDate(2014, 7, 9), DateUtils.getUTCDate(2014, 7, 10), DateUtils.getUTCDate(2014, 7, 11), DateUtils.getUTCDate(2014, 7, 14), DateUtils.getUTCDate(2014, 7, 15), DateUtils.getUTCDate(2014, 7, 16), DateUtils.getUTCDate(2014, 7, 17), DateUtils.getUTCDate(2014, 7, 18), DateUtils.getUTCDate(2014, 7, 21), DateUtils.getUTCDate(2014, 7, 22), DateUtils.getUTCDate(2014, 7, 23), DateUtils.getUTCDate(2014, 7, 24), DateUtils.getUTCDate(2014, 7, 25), DateUtils.getUTCDate(2014, 7, 28) }, new double[] {0.002318, 0.002346, 0.002321, 0.002331, 0.002341, 0.002336, 0.002341, 0.002336, 0.002336, 0.002326, 0.002331, 0.002336, 0.002336, 0.002316, 0.002331, 0.002326, 0.002341, 0.002351, 0.002341, 0.002341 }); private static final ZonedDateTimeDoubleTimeSeries TS_IBOR_GBP6M_WITHOUT_LAST = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC( new ZonedDateTime[] {DateUtils.getUTCDate(2014, 7, 1), DateUtils.getUTCDate(2014, 7, 2), DateUtils.getUTCDate(2014, 7, 3), DateUtils.getUTCDate(2014, 7, 4), DateUtils.getUTCDate(2014, 7, 7), DateUtils.getUTCDate(2014, 7, 8), DateUtils.getUTCDate(2014, 7, 9), DateUtils.getUTCDate(2014, 7, 10), DateUtils.getUTCDate(2014, 7, 11), DateUtils.getUTCDate(2014, 7, 14), DateUtils.getUTCDate(2014, 7, 15), DateUtils.getUTCDate(2014, 7, 16), DateUtils.getUTCDate(2014, 7, 17), DateUtils.getUTCDate(2014, 7, 18), DateUtils.getUTCDate(2014, 7, 21), DateUtils.getUTCDate(2014, 7, 22), DateUtils.getUTCDate(2014, 7, 23), DateUtils.getUTCDate(2014, 7, 24), DateUtils.getUTCDate(2014, 7, 25) }, new double[] {0.002318, 0.002346, 0.002321, 0.002331, 0.002341, 0.002336, 0.002341, 0.002336, 0.002336, 0.002326, 0.002331, 0.002336, 0.002336, 0.002316, 0.002331, 0.002326, 0.002341, 0.002351, 0.002341 }); private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_GBP6M_WITH_LAST = new ZonedDateTimeDoubleTimeSeries[] {TS_IBOR_GBP6M_WITH_LAST }; private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_GBP6M_WITHOUT_LAST = new ZonedDateTimeDoubleTimeSeries[] {TS_IBOR_GBP6M_WITHOUT_LAST }; }