/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.tutorial.datasets;
import java.util.LinkedHashMap;
import org.testng.annotations.Test;
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.datasets.CalendarTarget;
import com.opengamma.analytics.financial.datasets.CalendarUSD;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
import com.opengamma.analytics.financial.instrument.index.GeneratorAttribute;
import com.opengamma.analytics.financial.instrument.index.GeneratorAttributeFX;
import com.opengamma.analytics.financial.instrument.index.GeneratorAttributeIR;
import com.opengamma.analytics.financial.instrument.index.GeneratorDepositIbor;
import com.opengamma.analytics.financial.instrument.index.GeneratorDepositON;
import com.opengamma.analytics.financial.instrument.index.GeneratorFRA;
import com.opengamma.analytics.financial.instrument.index.GeneratorForexSwap;
import com.opengamma.analytics.financial.instrument.index.GeneratorInstrument;
import com.opengamma.analytics.financial.instrument.index.GeneratorLegONCompounded;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapCrossCurrency;
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.GeneratorSwapXCcyIborIbor;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.instrument.index.IndexIborMaster;
import com.opengamma.analytics.financial.instrument.index.IndexON;
import com.opengamma.analytics.financial.provider.calculator.discounting.ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.discounting.ParSpreadMarketQuoteDiscountingCalculator;
import com.opengamma.analytics.financial.provider.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.StubType;
import com.opengamma.financial.convention.businessday.BusinessDayConventions;
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.money.Currency;
import com.opengamma.util.test.TestGroup;
import com.opengamma.util.time.DateUtils;
import com.opengamma.util.tuple.Pair;
/**
* Curve calibration in USD/USD
* ONDSC-OIS/LIBOR3M-FRAIRS *
*/
@Test(groups = TestGroup.UNIT)
public class RecentDataSetsMulticurveXCcyUsdEur {
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 TARGET = new CalendarTarget("TARGET");
private static final Calendar NYC = new CalendarUSD("NYC");
private static final Currency EUR = Currency.EUR;
private static final Currency USD = Currency.USD;
private static final double FX_EURUSD = 1.35;
private static final FXMatrix FX_MATRIX = new FXMatrix(USD);
static {
FX_MATRIX.addCurrency(EUR, USD, FX_EURUSD);
}
private static final MulticurveProviderDiscount KNOWN_DATA = new MulticurveProviderDiscount(FX_MATRIX);
private static final double NOTIONAL = 1.0;
private static final IndexIborMaster IBOR_MASTER = IndexIborMaster.getInstance();
private static final GeneratorSwapFixedONMaster GENERATOR_OIS_MASTER = GeneratorSwapFixedONMaster.getInstance();
private static final GeneratorSwapFixedIborMaster GENERATOR_IRS_MASTER = GeneratorSwapFixedIborMaster.getInstance();
private static final GeneratorSwapFixedON GENERATOR_OIS_EUR = GENERATOR_OIS_MASTER.getGenerator("EUR1YEONIA", TARGET);
private static final GeneratorSwapFixedON GENERATOR_OIS_USD = GENERATOR_OIS_MASTER.getGenerator("USD1YFEDFUND", TARGET);
private static final IndexON INDEX_ON_EUR = GENERATOR_OIS_EUR.getIndex();
private static final IndexON INDEX_ON_USD = GENERATOR_OIS_USD.getIndex();
private static final GeneratorDepositON GENERATOR_DEPOSIT_ON_EUR = new GeneratorDepositON("EUR Deposit ON", EUR, TARGET, INDEX_ON_EUR.getDayCount());
private static final GeneratorSwapFixedIbor USD6MLIBOR3M = GENERATOR_IRS_MASTER.getGenerator("USD6MLIBOR3M", TARGET);
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 GeneratorFRA GENERATOR_FRA_3M = new GeneratorFRA("GENERATOR_FRA_3M", EURIBOR3M, TARGET);
private static final GeneratorFRA GENERATOR_FRA_6M = new GeneratorFRA("GENERATOR_FRA_6M", EURIBOR6M, TARGET);
private static final GeneratorDepositIbor GENERATOR_EURIBOR3M =
new GeneratorDepositIbor("GENERATOR_EURIBOR3M", EURIBOR3M, TARGET);
private static final GeneratorDepositIbor GENERATOR_EURIBOR6M =
new GeneratorDepositIbor("GENERATOR_EURIBOR6M", EURIBOR6M, TARGET);
private static final GeneratorLegONCompounded EUREONIACMP1Y =
new GeneratorLegONCompounded("EUREONIACMP1Y", EUR, INDEX_ON_EUR, Period.ofMonths(12), 2, 2,
BusinessDayConventions.MODIFIED_FOLLOWING, true, StubType.SHORT_START, true, TARGET, TARGET);
private static final GeneratorLegONCompounded USDFEDFUNDCMP1Y =
new GeneratorLegONCompounded("USDFEDFUNDCMP1Y", USD, INDEX_ON_USD, Period.ofMonths(12), 2, 2,
BusinessDayConventions.MODIFIED_FOLLOWING, true, StubType.SHORT_START, true, NYC, NYC);
private static final GeneratorSwapXCcyIborIbor EURIBOR3MUSDLIBOR3M =
new GeneratorSwapXCcyIborIbor("EURIBOR3MUSDLIBOR3M", EURIBOR3M, USDLIBOR3M, TARGET, NYC); // Spread on EUR leg
private static final GeneratorSwapCrossCurrency EUREONIACMP1YUSDFEDFUNDCMP1Y =
new GeneratorSwapCrossCurrency("EUREONIACMP1YUSDFEDFUNDCMP1Y", EUREONIACMP1Y, USDFEDFUNDCMP1Y);
private static final GeneratorForexSwap GENERATOR_FX_EURUSD =
new GeneratorForexSwap("EURUSD", EUR, USD, TARGET, EURIBOR3M.getSpotLag(), EURIBOR3M.getBusinessDayConvention(), true);
private static final String CURVE_NAME_USD_DSC = "USD-DSCON-OIS";
private static final String CURVE_NAME_USD_FWD3 = "USD-LIBOR3M-FRAIRS";
private static final String CURVE_NAME_EUR_EONIA_DSC = "EUR-DSCON-OIS";
private static final String CURVE_NAME_EUR_EONIA_FWD3 = "EUR-EURIBOR3M-FRAIRS";
private static final String CURVE_NAME_EUR_EONIA_FWD6 = "EUR-EURIBOR6M-FRAIRS";
private static final String CURVE_NAME_EUR_FEDFUND_1_DSC = "EUR-USDON-DSC-FXUSD";
private static final String CURVE_NAME_EUR_FEDFUND_1_FWD3 = "EUR-USDON-EURIBOR3M-FRAXCCY";
private static final String CURVE_NAME_EUR_FEDFUND_1_FWD6 = "EUR-USDON-EURIBOR6M-FRABS";
private static final String CURVE_NAME_EUR_FEDFUND_1_ON = "EUR-USDON-ON-XCCY";
/** Data as of 8-Aug-2014
/** ========== USD - FEDFUND ==========
/** Market values for the dsc USD curve. 13 nodes */
private static final double[] DSC_USD_MARKET_QUOTES = new double[] {0.0013, 0.0015,
0.0009, 0.0009, 0.0009, 0.0010, 0.0012,
0.0017, 0.0049, 0.0090, 0.0125, 0.0150,
0.0230 };
/** Generators for the dsc USD curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] DSC_USD_GENERATORS =
CurveCalibrationConventionDataSets.generatorUsdOnOisFfs(2, 11, 0);
/** Tenors for the dsc USD curve */
private static final Period[] DSC_USD_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(10) };
private static final GeneratorAttributeIR[] DSC_USD_ATTR = new GeneratorAttributeIR[DSC_USD_TENOR.length];
static {
for (int loopins = 0; loopins < 2; loopins++) {
DSC_USD_ATTR[loopins] = new GeneratorAttributeIR(DSC_USD_TENOR[loopins], Period.ZERO);
}
for (int loopins = 2; loopins < DSC_USD_TENOR.length; loopins++) {
DSC_USD_ATTR[loopins] = new GeneratorAttributeIR(DSC_USD_TENOR[loopins]);
}
}
/** Market values for the Fwd 3M USD curve. 8 nodes */
private static final double[] FWD3_USD_MARKET_QUOTES = new double[] {0.0023,
0.0026,
0.0032, 0.0066, 0.0108, 0.0145, 0.0174,
0.0254 };
/** Generators for the Fwd 3M USD curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] FWD3_USD_GENERATORS =
CurveCalibrationConventionDataSets.generatorUsdIbor3Fra3Irs3(1, 1, 6);
/** Tenors for the Fwd 3M USD curve */
private static final Period[] FWD3_USD_TENOR = new Period[] {Period.ofMonths(0),
Period.ofMonths(6),
Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(4), Period.ofYears(5),
Period.ofYears(10) };
private static final GeneratorAttributeIR[] FWD3_USD_ATTR = new GeneratorAttributeIR[FWD3_USD_TENOR.length];
static {
for (int loopins = 0; loopins < FWD3_USD_TENOR.length; loopins++) {
FWD3_USD_ATTR[loopins] = new GeneratorAttributeIR(FWD3_USD_TENOR[loopins]);
}
}
/** ========== EUR - EONIA ==========
/** Market values for the dsc EUR curve */
private static final double[] EUR_EONIA_DSC_MARKET_QUOTES = new double[] {0.0006,
0.0006, 0.0006, 0.0006, 0.0006, 0.0006,
0.0005, 0.0005, 0.0010, 0.0018, 0.0029,
0.0096 };
/** Generators for the dsc USD curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] EUR_EONIA_DSC_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 USD curve */
private static final Period[] EUR_EONIA_DSC_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[] EUR_EONIA_DSC_ATTR = new GeneratorAttributeIR[EUR_EONIA_DSC_TENOR.length];
static {
for (int loopins = 0; loopins < EUR_EONIA_DSC_TENOR.length; loopins++) {
EUR_EONIA_DSC_ATTR[loopins] = new GeneratorAttributeIR(EUR_EONIA_DSC_TENOR[loopins]);
}
}
/** Market values for the Fwd 3M USD curve */
private static final double[] EUR_EONIA_FWD3_MARKET_QUOTES = new double[] {0.0020,
0.0020, 0.0019,
0.0020, 0.0021, 0.0028, 0.0037, 0.0049,
0.0117 };
/** Generators for the Fwd 3M USD curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] EUR_EONIA_FWD3_GENERATORS =
new GeneratorInstrument<?>[] {GENERATOR_EURIBOR3M,
GENERATOR_FRA_3M, GENERATOR_FRA_3M,
EUR1YEURIBOR3M, EUR1YEURIBOR3M, EUR1YEURIBOR3M, EUR1YEURIBOR3M, EUR1YEURIBOR3M,
EUR1YEURIBOR3M };
/** Tenors for the Fwd 3M USD curve */
private static final Period[] EUR_EONIA_FWD3_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(10) };
private static final GeneratorAttributeIR[] EUR_EONIA_FWD3_ATTR = new GeneratorAttributeIR[EUR_EONIA_FWD3_TENOR.length];
static {
for (int loopins = 0; loopins < EUR_EONIA_FWD3_TENOR.length; loopins++) {
EUR_EONIA_FWD3_ATTR[loopins] = new GeneratorAttributeIR(EUR_EONIA_FWD3_TENOR[loopins]);
}
}
/** Market values for the Fwd 6M USD curve */
private static final double[] EUR_EONIA_FWD6_MARKET_QUOTES = new double[] {0.0030,
0.0030, 0.0030,
0.0033, 0.0040, 0.0050, 0.0062, 0.0129 };
/** Generators for the Fwd 6M USD curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] EUR_EONIA_FWD6_GENERATORS =
new GeneratorInstrument<?>[] {GENERATOR_EURIBOR6M,
GENERATOR_FRA_6M, GENERATOR_FRA_6M,
EUR1YEURIBOR6M, EUR1YEURIBOR6M, EUR1YEURIBOR6M, EUR1YEURIBOR6M, EUR1YEURIBOR6M };
/** Tenors for the Fwd 3M USD curve */
private static final Period[] EUR_EONIA_FWD6_TENOR = new Period[] {Period.ofMonths(0),
Period.ofMonths(9), Period.ofMonths(12),
Period.ofYears(2), Period.ofYears(3), Period.ofYears(4), Period.ofYears(5), Period.ofYears(10) };
private static final GeneratorAttributeIR[] EUR_EONIA_FWD6_ATTR = new GeneratorAttributeIR[EUR_EONIA_FWD6_TENOR.length];
static {
for (int loopins = 0; loopins < EUR_EONIA_FWD6_TENOR.length; loopins++) {
EUR_EONIA_FWD6_ATTR[loopins] = new GeneratorAttributeIR(EUR_EONIA_FWD6_TENOR[loopins]);
}
}
/** ========== EUR - FED FUND - 1 ==========
/** Market values for the dsc EUR curve. Depo ON / FX swaps */
private static final double[] EUR_FEDFUND_1_DSC_MARKET_QUOTES = new double[] {0.0006, 0.0006,
0.00015, 0.00033, 0.00050, 0.00108, 0.00125,
0.0030, 0.0150, 0.0380, 0.0665, 0.0950 };
/** Generators for the dsc EUR curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] EUR_FEDFUND_1_DSC_GENERATORS =
new GeneratorInstrument<?>[] {GENERATOR_DEPOSIT_ON_EUR, GENERATOR_DEPOSIT_ON_EUR,
GENERATOR_FX_EURUSD, GENERATOR_FX_EURUSD, GENERATOR_FX_EURUSD, GENERATOR_FX_EURUSD, GENERATOR_FX_EURUSD,
GENERATOR_FX_EURUSD, GENERATOR_FX_EURUSD, GENERATOR_FX_EURUSD, GENERATOR_FX_EURUSD, GENERATOR_FX_EURUSD };
/** Tenors for the dsc EUR curve */
private static final Period[] EUR_FEDFUND_1_DSC_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) };
private static final GeneratorAttribute[] EUR_FEDFUND_1_DSC_ATTR = new GeneratorAttribute[EUR_FEDFUND_1_DSC_TENOR.length];
static {
for (int loopins = 0; loopins < 2; loopins++) {
EUR_FEDFUND_1_DSC_ATTR[loopins] = new GeneratorAttributeIR(EUR_FEDFUND_1_DSC_TENOR[loopins], Period.ZERO);
}
for (int loopins = 2; loopins < EUR_FEDFUND_1_DSC_TENOR.length; loopins++) {
EUR_FEDFUND_1_DSC_ATTR[loopins] = new GeneratorAttributeFX(EUR_FEDFUND_1_DSC_TENOR[loopins], FX_MATRIX);
}
}
/** Market values for the Fwd 3M EUR curve. Fixing / XCcy Swaps*/
private static final double[] EUR_FEDFUND_1_FWD3_MARKET_QUOTES = new double[] {0.0020,
-0.0010, -0.0010, -0.0010, -0.0010, -0.0009,
-0.0008 };
/** Generators for the Fwd 3M USD curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] EUR_FEDFUND_1_FWD3_GENERATORS =
new GeneratorInstrument<?>[] {GENERATOR_EURIBOR3M,
EURIBOR3MUSDLIBOR3M, EURIBOR3MUSDLIBOR3M, EURIBOR3MUSDLIBOR3M, EURIBOR3MUSDLIBOR3M, EURIBOR3MUSDLIBOR3M,
EURIBOR3MUSDLIBOR3M };
/** Tenors for the Fwd 3M USD curve */
private static final Period[] EUR_FEDFUND_1_FWD3_TENOR = new Period[] {Period.ofMonths(0),
Period.ofMonths(6), Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(4),
Period.ofYears(5) };
private static final GeneratorAttribute[] EUR_FEDFUND_1_FWD3_ATTR = new GeneratorAttribute[EUR_FEDFUND_1_FWD3_TENOR.length];
static {
for (int loopins = 0; loopins < 1; loopins++) {
EUR_FEDFUND_1_FWD3_ATTR[loopins] = new GeneratorAttributeIR(EUR_FEDFUND_1_DSC_TENOR[loopins]);
}
for (int loopins = 1; loopins < EUR_FEDFUND_1_FWD3_TENOR.length; loopins++) {
EUR_FEDFUND_1_FWD3_ATTR[loopins] = new GeneratorAttributeFX(EUR_FEDFUND_1_FWD3_TENOR[loopins], FX_MATRIX);
}
}
/** Market values for the Fwd 6M EUR curve. Fixing / Basis swaps*/
private static final double[] EUR_FEDFUND_1_FWD6_MARKET_QUOTES = new double[] {0.0030,
0.0029,
0.001150, 0.001175, 0.001215, 0.001260, 0.001295,
0.001230 };
/** Generators for the Fwd 6M USD curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] EUR_FEDFUND_1_FWD6_GENERATORS =
CurveCalibrationConventionDataSets.generatorEurIbor6Fra6Bs36(1, 1, 6);
/** Tenors for the Fwd 6M USD curve */
private static final Period[] EUR_FEDFUND_1_FWD6_TENOR = new Period[] {Period.ofMonths(0),
Period.ofMonths(9),
Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(4), Period.ofYears(5),
Period.ofYears(10) };
private static final GeneratorAttributeIR[] EUR_FEDFUND_1_FWD6_ATTR = new GeneratorAttributeIR[EUR_FEDFUND_1_FWD6_TENOR.length];
static {
for (int loopins = 0; loopins < EUR_FEDFUND_1_FWD6_TENOR.length; loopins++) {
EUR_FEDFUND_1_FWD6_ATTR[loopins] = new GeneratorAttributeIR(EUR_FEDFUND_1_FWD6_TENOR[loopins]);
}
}
/** Market values for the EONIA EUR curve. XCcy Basis swaps*/
private static final double[] EUR_FEDFUND_1_ON_MARKET_QUOTES = new double[] {
0.0010, 0.0010, 0.0010, 0.0010,
0.0010, 0.0010 };
/** Generators for the EONIA EUR curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] EUR_FEDFUND_1_ON_GENERATORS =
new GeneratorInstrument<?>[] {
EUREONIACMP1YUSDFEDFUNDCMP1Y, EUREONIACMP1YUSDFEDFUNDCMP1Y, EUREONIACMP1YUSDFEDFUNDCMP1Y, EUREONIACMP1YUSDFEDFUNDCMP1Y,
EUREONIACMP1YUSDFEDFUNDCMP1Y, EUREONIACMP1YUSDFEDFUNDCMP1Y, EUREONIACMP1YUSDFEDFUNDCMP1Y };
/** Tenors for the Fwd EONIA EUR curve */
private static final Period[] EUR_FEDFUND_1_ON_TENOR = new Period[] {
Period.ofMonths(1), Period.ofMonths(2), Period.ofMonths(3), Period.ofMonths(6),
Period.ofMonths(9), Period.ofYears(1), Period.ofYears(2) };
private static final GeneratorAttributeFX[] EUR_FEDFUND_1_ON_ATTR = new GeneratorAttributeFX[EUR_FEDFUND_1_ON_TENOR.length];
static {
for (int loopins = 0; loopins < EUR_FEDFUND_1_ON_TENOR.length; loopins++) {
EUR_FEDFUND_1_ON_ATTR[loopins] = new GeneratorAttributeFX(EUR_FEDFUND_1_ON_TENOR[loopins], FX_MATRIX);
}
}
/** Units of curves */
private static final int[] NB_UNITS = new int[] {5, 6 };
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][][];
@SuppressWarnings("unchecked")
private static final LinkedHashMap<String, Currency>[] DSC_MAP = new LinkedHashMap[NB_BLOCKS];
@SuppressWarnings("unchecked")
private static final LinkedHashMap<String, IndexON[]>[] FWD_ON_MAP = new LinkedHashMap[NB_BLOCKS];
@SuppressWarnings("unchecked")
private static final LinkedHashMap<String, IborIndex[]>[] FWD_IBOR_MAP = new LinkedHashMap[NB_BLOCKS];
static {
for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) {
DEFINITIONS_UNITS[loopblock] = new InstrumentDefinition<?>[NB_UNITS[loopblock]][][];
NAMES_UNITS[loopblock] = new String[NB_UNITS[loopblock]][];
}
final GeneratorYDCurve genIntLin = new GeneratorCurveYieldInterpolated(MATURITY_CALCULATOR, INTERPOLATOR_LINEAR);
GENERATORS_UNITS[0] = new GeneratorYDCurve[NB_UNITS[0]][];
GENERATORS_UNITS[1] = new GeneratorYDCurve[NB_UNITS[1]][];
for (int loopblock = 0; loopblock < 2; loopblock++) { // Linear interpolation
for (int loopunit = 0; loopunit < NB_UNITS[loopblock]; loopunit++) {
GENERATORS_UNITS[loopblock][loopunit] = new GeneratorYDCurve[] {genIntLin };
}
}
NAMES_UNITS[0] = new String[NB_UNITS[0]][];
NAMES_UNITS[1] = new String[NB_UNITS[1]][];
NAMES_UNITS[0][0] = new String[] {CURVE_NAME_USD_DSC };
NAMES_UNITS[0][1] = new String[] {CURVE_NAME_USD_FWD3 };
NAMES_UNITS[0][2] = new String[] {CURVE_NAME_EUR_EONIA_DSC };
NAMES_UNITS[0][3] = new String[] {CURVE_NAME_EUR_EONIA_FWD3 };
NAMES_UNITS[0][4] = new String[] {CURVE_NAME_EUR_EONIA_FWD6 };
NAMES_UNITS[1][0] = new String[] {CURVE_NAME_USD_DSC };
NAMES_UNITS[1][1] = new String[] {CURVE_NAME_USD_FWD3 };
NAMES_UNITS[1][2] = new String[] {CURVE_NAME_EUR_FEDFUND_1_DSC };
NAMES_UNITS[1][3] = new String[] {CURVE_NAME_EUR_FEDFUND_1_FWD3 };
NAMES_UNITS[1][4] = new String[] {CURVE_NAME_EUR_FEDFUND_1_FWD6 };
NAMES_UNITS[1][5] = new String[] {CURVE_NAME_EUR_FEDFUND_1_ON };
for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) {
DSC_MAP[loopblock] = new LinkedHashMap<>();
FWD_ON_MAP[loopblock] = new LinkedHashMap<>();
FWD_IBOR_MAP[loopblock] = new LinkedHashMap<>();
}
DSC_MAP[0].put(CURVE_NAME_USD_DSC, USD);
DSC_MAP[0].put(CURVE_NAME_EUR_EONIA_DSC, EUR);
FWD_ON_MAP[0].put(CURVE_NAME_USD_DSC, new IndexON[] {INDEX_ON_USD });
FWD_ON_MAP[0].put(CURVE_NAME_EUR_EONIA_DSC, new IndexON[] {INDEX_ON_EUR });
FWD_IBOR_MAP[0].put(CURVE_NAME_USD_FWD3, new IborIndex[] {USDLIBOR3M });
FWD_IBOR_MAP[0].put(CURVE_NAME_EUR_EONIA_FWD3, new IborIndex[] {EURIBOR3M });
FWD_IBOR_MAP[0].put(CURVE_NAME_EUR_EONIA_FWD6, new IborIndex[] {EURIBOR6M });
DSC_MAP[1].put(CURVE_NAME_USD_DSC, USD);
DSC_MAP[1].put(CURVE_NAME_EUR_FEDFUND_1_DSC, EUR);
FWD_ON_MAP[1].put(CURVE_NAME_EUR_FEDFUND_1_ON, new IndexON[] {INDEX_ON_EUR });
FWD_ON_MAP[1].put(CURVE_NAME_USD_DSC, new IndexON[] {INDEX_ON_USD });
FWD_IBOR_MAP[1].put(CURVE_NAME_USD_FWD3, new IborIndex[] {USDLIBOR3M });
FWD_IBOR_MAP[1].put(CURVE_NAME_EUR_FEDFUND_1_FWD3, new IborIndex[] {EURIBOR3M });
FWD_IBOR_MAP[1].put(CURVE_NAME_EUR_FEDFUND_1_FWD6, new IborIndex[] {EURIBOR6M });
}
@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, Libor3M forward, Libor1M forward and Libor6M forward.
* OIS are used for the discounting curve from 1 month up to 30 years.
* Libor3M curve uses FRA and OIS.
* Libor1M and Libor6M use FRA and bsis swaps v 3M.
* @param calibrationDate The calibration date.
* @return The curves and the Jacobian matrices.
*/
public static Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> getCurvesUsdOisL3EurOisE3E6(ZonedDateTime calibrationDate) {
InstrumentDefinition<?>[][][] definitionsUnits = new InstrumentDefinition<?>[NB_UNITS[0]][][];
InstrumentDefinition<?>[] definitionsUsdDsc = getDefinitions(DSC_USD_MARKET_QUOTES, DSC_USD_GENERATORS, DSC_USD_ATTR, calibrationDate);
InstrumentDefinition<?>[] definitionsUsdFwd3 = getDefinitions(FWD3_USD_MARKET_QUOTES, FWD3_USD_GENERATORS, FWD3_USD_ATTR, calibrationDate);
InstrumentDefinition<?>[] definitionsEurDsc = getDefinitions(EUR_EONIA_DSC_MARKET_QUOTES, EUR_EONIA_DSC_GENERATORS, EUR_EONIA_DSC_ATTR, calibrationDate);
InstrumentDefinition<?>[] definitionsEurFwd3 = getDefinitions(EUR_EONIA_FWD3_MARKET_QUOTES, EUR_EONIA_FWD3_GENERATORS, EUR_EONIA_FWD3_ATTR, calibrationDate);
InstrumentDefinition<?>[] definitionsEurFwd6 = getDefinitions(EUR_EONIA_FWD6_MARKET_QUOTES, EUR_EONIA_FWD6_GENERATORS, EUR_EONIA_FWD6_ATTR, calibrationDate);
definitionsUnits[0] = new InstrumentDefinition<?>[][] {definitionsUsdDsc };
definitionsUnits[1] = new InstrumentDefinition<?>[][] {definitionsUsdFwd3 };
definitionsUnits[2] = new InstrumentDefinition<?>[][] {definitionsEurDsc };
definitionsUnits[3] = new InstrumentDefinition<?>[][] {definitionsEurFwd3 };
definitionsUnits[4] = new InstrumentDefinition<?>[][] {definitionsEurFwd6 };
return CurveCalibrationTestsUtils.makeCurvesFromDefinitionsMulticurve(calibrationDate, definitionsUnits, GENERATORS_UNITS[0],
NAMES_UNITS[0], KNOWN_DATA, PSMQC, PSMQCSC, false, DSC_MAP[0], FWD_ON_MAP[0], FWD_IBOR_MAP[0], CURVE_BUILDING_REPOSITORY,
TS_FIXED_OIS_USD_WITH_TODAY, TS_FIXED_OIS_USD_WITHOUT_TODAY, TS_FIXED_IBOR_USD3M_WITH_LAST, TS_FIXED_IBOR_USD3M_WITHOUT_LAST);
}
/**
* Calibrate curves with hard-coded date and with calibration date the date provided.
* The curves are discounting/overnight forward, Libor3M forward, Libor1M forward and Libor6M forward.
* OIS are used for the discounting curve from 1 month up to 30 years.
* Libor3M curve uses FRA and OIS.
* Libor1M and Libor6M use FRA and bsis swaps v 3M.
* @param calibrationDate The calibration date.
* @return The curves and the Jacobian matrices.
*/
public static Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> getCurvesUsdOisL3EurFxXCcy3Bs6(ZonedDateTime calibrationDate) {
InstrumentDefinition<?>[][][] definitionsUnits = new InstrumentDefinition<?>[NB_UNITS[1]][][];
InstrumentDefinition<?>[] definitionsUsdDsc =
getDefinitions(DSC_USD_MARKET_QUOTES, DSC_USD_GENERATORS, DSC_USD_ATTR, calibrationDate);
InstrumentDefinition<?>[] definitionsUsdFwd3 =
getDefinitions(FWD3_USD_MARKET_QUOTES, FWD3_USD_GENERATORS, FWD3_USD_ATTR, calibrationDate);
InstrumentDefinition<?>[] definitionsEurDsc = getDefinitions(EUR_FEDFUND_1_DSC_MARKET_QUOTES,
EUR_FEDFUND_1_DSC_GENERATORS, EUR_FEDFUND_1_DSC_ATTR, calibrationDate);
InstrumentDefinition<?>[] definitionsEurFwd3 = getDefinitions(EUR_FEDFUND_1_FWD3_MARKET_QUOTES,
EUR_FEDFUND_1_FWD3_GENERATORS, EUR_FEDFUND_1_FWD3_ATTR, calibrationDate);
InstrumentDefinition<?>[] definitionsEurFwd6 = getDefinitions(EUR_FEDFUND_1_FWD6_MARKET_QUOTES,
EUR_FEDFUND_1_FWD6_GENERATORS, EUR_FEDFUND_1_FWD6_ATTR, calibrationDate);
InstrumentDefinition<?>[] definitionsEurOn = getDefinitions(EUR_FEDFUND_1_ON_MARKET_QUOTES,
EUR_FEDFUND_1_ON_GENERATORS, EUR_FEDFUND_1_ON_ATTR, calibrationDate);
definitionsUnits[0] = new InstrumentDefinition<?>[][] {definitionsUsdDsc };
definitionsUnits[1] = new InstrumentDefinition<?>[][] {definitionsUsdFwd3 };
definitionsUnits[2] = new InstrumentDefinition<?>[][] {definitionsEurDsc };
definitionsUnits[3] = new InstrumentDefinition<?>[][] {definitionsEurFwd3 };
definitionsUnits[4] = new InstrumentDefinition<?>[][] {definitionsEurFwd6 };
definitionsUnits[5] = new InstrumentDefinition<?>[][] {definitionsEurOn };
return CurveCalibrationTestsUtils.makeCurvesFromDefinitionsMulticurve(calibrationDate, definitionsUnits, GENERATORS_UNITS[1],
NAMES_UNITS[1], KNOWN_DATA, PSMQC, PSMQCSC, false, DSC_MAP[1], FWD_ON_MAP[1], FWD_IBOR_MAP[1], CURVE_BUILDING_REPOSITORY,
TS_FIXED_OIS_USD_WITH_TODAY, TS_FIXED_OIS_USD_WITHOUT_TODAY, TS_FIXED_IBOR_USD3M_WITH_LAST, TS_FIXED_IBOR_USD3M_WITHOUT_LAST);
}
/**
* Returns an array with one time series corresponding to the USD FEDFUND fixing up to and including the last date.
* @return
*/
public static ZonedDateTimeDoubleTimeSeries fixingUsdOnWithLast() {
return TS_ON_USD_WITH_TODAY;
}
/**
* Returns an array with one time series corresponding to the USD FEDFUND fixing up to and including the last date.
* @return
*/
public static ZonedDateTimeDoubleTimeSeries fixingUsdOnWithoutLast() {
return TS_ON_USD_WITHOUT_TODAY;
}
/**
* Returns an array with one time series corresponding to the USD LIBOR3M fixing up to and including the last date.
* @return
*/
public static ZonedDateTimeDoubleTimeSeries fixingUsdLibor3MWithLast() {
return TS_IBOR_USD3M_WITH_LAST;
}
/**
* Returns an array with one time series corresponding to the USD LIBOR3M fixing up to and including the last date.
* @return
*/
public static ZonedDateTimeDoubleTimeSeries fixingUsdLibor3MWithoutLast() {
return TS_IBOR_USD3M_WITHOUT_LAST;
}
/**
* Returns an array with one time series corresponding to the EUR EURIBOR3M fixing up to and including the last date.
* @return
*/
public static ZonedDateTimeDoubleTimeSeries fixingEurEuribor3MWithLast() {
return TS_IBOR_EUR3M_WITH_LAST;
}
/**
* Returns an array with one time series corresponding to the EUR EURIBOR3M fixing up to and including the last date.
* @return
*/
public static ZonedDateTimeDoubleTimeSeries fixingEurEuribor3MWithoutLast() {
return TS_IBOR_EUR3M_WITHOUT_LAST;
}
private static final ZonedDateTimeDoubleTimeSeries TS_EMPTY = ImmutableZonedDateTimeDoubleTimeSeries.ofEmptyUTC();
private static final ZonedDateTimeDoubleTimeSeries TS_ON_USD_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 }); // TODO: replace by actual data
private static final ZonedDateTimeDoubleTimeSeries TS_ON_USD_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 }); // TODO: replace by actual data
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_OIS_USD_WITH_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_EMPTY, TS_ON_USD_WITH_TODAY };
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_OIS_USD_WITHOUT_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_EMPTY, TS_ON_USD_WITHOUT_TODAY };
private static final ZonedDateTimeDoubleTimeSeries TS_IBOR_USD3M_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_USD3M_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_IBOR_EUR3M_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[] {0.00206, 0.00205, 0.00206, 0.00204,
0.00203, 0.00203, 0.00203, 0.00202, 0.00203,
0.00203, 0.00202, 0.00201, 0.00201, 0.00202,
0.00204, 0.00206, 0.00208, 0.00209, 0.00209,
0.00209 });
private static final ZonedDateTimeDoubleTimeSeries TS_IBOR_EUR3M_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[] {0.00206, 0.00205, 0.00206, 0.00204,
0.00203, 0.00203, 0.00203, 0.00202, 0.00203,
0.00203, 0.00202, 0.00201, 0.00201, 0.00202,
0.00204, 0.00206, 0.00208, 0.00209, 0.00209 });
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_USD3M_WITH_LAST = new ZonedDateTimeDoubleTimeSeries[] {TS_IBOR_USD3M_WITH_LAST };
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_USD3M_WITHOUT_LAST = new ZonedDateTimeDoubleTimeSeries[] {TS_IBOR_USD3M_WITHOUT_LAST };
}