/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.tutorial.demo.curves;
import static org.testng.AssertJUnit.assertEquals;
import java.util.LinkedHashMap;
import org.testng.annotations.BeforeSuite;
import org.testng.annotations.Test;
import org.threeten.bp.Period;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorYDCurve;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
import com.opengamma.analytics.financial.instrument.future.InterestRateFutureSecurityDefinition;
import com.opengamma.analytics.financial.instrument.future.InterestRateFutureTransactionDefinition;
import com.opengamma.analytics.financial.instrument.future.SwapFuturesPriceDeliverableSecurityDefinition;
import com.opengamma.analytics.financial.instrument.future.SwapFuturesPriceDeliverableTransactionDefinition;
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.GeneratorInstrument;
import com.opengamma.analytics.financial.instrument.index.GeneratorInterestRateFutures;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedIbor;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedIborMaster;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFuturesDeliverable;
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.index.IndexONMaster;
import com.opengamma.analytics.financial.instrument.swap.SwapFixedONDefinition;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantParameters;
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.discounting.PresentValueDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.hullwhite.ParSpreadMarketQuoteCurveSensitivityHullWhiteCalculator;
import com.opengamma.analytics.financial.provider.calculator.hullwhite.ParSpreadMarketQuoteHullWhiteCalculator;
import com.opengamma.analytics.financial.provider.calculator.hullwhite.PresentValueHullWhiteCalculator;
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.hullwhite.HullWhiteProviderDiscountBuildingRepository;
import com.opengamma.analytics.financial.provider.curve.multicurve.MulticurveDiscountBuildingRepository;
import com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteOneFactorProviderDiscount;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderDiscount;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.convention.calendar.MondayToFridayCalendar;
import com.opengamma.timeseries.precise.zdt.ImmutableZonedDateTimeDoubleTimeSeries;
import com.opengamma.timeseries.precise.zdt.ZonedDateTimeDoubleTimeSeries;
import com.opengamma.util.money.Currency;
import com.opengamma.util.test.TestGroup;
import com.opengamma.util.time.DateUtils;
import com.opengamma.util.tuple.Pair;
/**
* Build of curve in several blocks with relevant Jacobian matrices.
* Two curves in USD;
* (1) Discounting/ON
* (2) 3M Libor Forward curve build with STIR futures and swap futures
* Curves are calibrated using simple discounting and Hull-White one-factor (HW parameters exogeneous).
*/
@Test(groups = TestGroup.UNIT)
public class MulticurveBuildingHullWhiteDiscountUSDFuturesDemoTest {
/** Curve calibration date */
private static final ZonedDateTime CALIBRATION_DATE = DateUtils.getUTCDate(2013, 4, 26);
/** Index and curve names */
private static final Calendar NYC = new MondayToFridayCalendar("NYC");
private static final Currency USD = Currency.USD;
private static final FXMatrix FX_MATRIX = new FXMatrix(USD);
private static final IndexON FEDFUND = IndexONMaster.getInstance().getIndex("FED FUND");
private static final IborIndex USDLIBOR3M = IndexIborMaster.getInstance().getIndex("USDLIBOR3M");
private static final String CURVE_NAME_DSC_USD = "USD Dsc";
private static final String CURVE_NAME_FWD3_USD = "USD Fwd 3M";
/** Instruments generators **/
private static final double NOTIONAL = 1000000.0;
private static final GeneratorSwapFixedIborMaster GENERATOR_SWAP_MASTER = GeneratorSwapFixedIborMaster.getInstance();
private static final GeneratorSwapFixedIbor USD6MLIBOR3M = GENERATOR_SWAP_MASTER.getGenerator("USD6MLIBOR3M", NYC);
private static final ZonedDateTime EDM3_START_PERIOD = DateUtils.getUTCDate(2013, 6, 19);
private static final InterestRateFutureSecurityDefinition EDM3_DEFINITION = InterestRateFutureSecurityDefinition
.fromFixingPeriodStartDate(EDM3_START_PERIOD, USDLIBOR3M, NOTIONAL, 0.25, "EDM3", NYC);
private static final ZonedDateTime EDU3_START_PERIOD = DateUtils.getUTCDate(2013, 9, 18);
private static final InterestRateFutureSecurityDefinition EDU3_DEFINITION = InterestRateFutureSecurityDefinition
.fromFixingPeriodStartDate(EDU3_START_PERIOD, USDLIBOR3M, NOTIONAL, 0.25, "EDU3", NYC);
private static final ZonedDateTime EDZ3_START_PERIOD = DateUtils.getUTCDate(2013, 12, 18);
private static final InterestRateFutureSecurityDefinition EDZ3_DEFINITION = InterestRateFutureSecurityDefinition
.fromFixingPeriodStartDate(EDZ3_START_PERIOD, USDLIBOR3M, NOTIONAL, 0.25, "EDZ3", NYC);
private static final ZonedDateTime EDH4_START_PERIOD = DateUtils.getUTCDate(2014, 3, 19);
private static final InterestRateFutureSecurityDefinition EDH4_DEFINITION = InterestRateFutureSecurityDefinition
.fromFixingPeriodStartDate(EDH4_START_PERIOD, USDLIBOR3M, NOTIONAL, 0.25, "EDH4", NYC);
// private static final ZonedDateTime EDM4_START_PERIOD = DateUtils.getUTCDate(2014, 6, 18);
// private static final InterestRateFutureSecurityDefinition EDM4_DEFINITION = InterestRateFutureSecurityDefinition
// .fromFixingPeriodStartDate(EDM4_START_PERIOD, USDLIBOR3M, NOTIONAL, 0.25, "EDM4", NYC);
private static final ZonedDateTime EDU4_START_PERIOD = DateUtils.getUTCDate(2014, 9, 17);
private static final InterestRateFutureSecurityDefinition EDU4_DEFINITION = InterestRateFutureSecurityDefinition
.fromFixingPeriodStartDate(EDU4_START_PERIOD, USDLIBOR3M, NOTIONAL, 0.25, "EDM4", NYC);
private static final Period CTPM3_TENOR = Period.ofYears(2);
private static final double CTPM3_RATE = 0.0050;
private static final SwapFuturesPriceDeliverableSecurityDefinition CTPM3_DEFINITION = SwapFuturesPriceDeliverableSecurityDefinition.from(EDM3_START_PERIOD, USD6MLIBOR3M, CTPM3_TENOR, NOTIONAL,
CTPM3_RATE);
private static final Period CFPM3_TENOR = Period.ofYears(5);
private static final double CFPM3_RATE = 0.0100;
private static final SwapFuturesPriceDeliverableSecurityDefinition CFPM3_DEFINITION = SwapFuturesPriceDeliverableSecurityDefinition.from(EDM3_START_PERIOD, USD6MLIBOR3M, CFPM3_TENOR, NOTIONAL,
CFPM3_RATE);
private static final Period CNPM3_TENOR = Period.ofYears(10);
private static final double CNPM3_RATE = 0.0200;
private static final SwapFuturesPriceDeliverableSecurityDefinition CNPM3_DEFINITION = SwapFuturesPriceDeliverableSecurityDefinition.from(EDM3_START_PERIOD, USD6MLIBOR3M, CNPM3_TENOR, NOTIONAL,
CNPM3_RATE);
private static final Period CBPM3_TENOR = Period.ofYears(30);
private static final double CBPM3_RATE = 0.0275;
private static final SwapFuturesPriceDeliverableSecurityDefinition CBPM3_DEFINITION = SwapFuturesPriceDeliverableSecurityDefinition.from(EDM3_START_PERIOD, USD6MLIBOR3M, CBPM3_TENOR, NOTIONAL,
CBPM3_RATE);
private static final GeneratorInterestRateFutures GENERATOR_EDM3 = new GeneratorInterestRateFutures("EDM3", EDM3_DEFINITION);
private static final GeneratorInterestRateFutures GENERATOR_EDU3 = new GeneratorInterestRateFutures("EDU3", EDU3_DEFINITION);
private static final GeneratorInterestRateFutures GENERATOR_EDZ3 = new GeneratorInterestRateFutures("EDZ3", EDZ3_DEFINITION);
private static final GeneratorInterestRateFutures GENERATOR_EDH4 = new GeneratorInterestRateFutures("EDH4", EDH4_DEFINITION);
// private static final GeneratorInterestRateFutures GENERATOR_EDM4 = new GeneratorInterestRateFutures("EDM4", EDM4_DEFINITION);
private static final GeneratorInterestRateFutures GENERATOR_EDU4 = new GeneratorInterestRateFutures("EDU4", EDU4_DEFINITION);
private static final GeneratorSwapFuturesDeliverable GENERATOR_CTPM3 = new GeneratorSwapFuturesDeliverable("CTPM3", CTPM3_DEFINITION);
private static final GeneratorSwapFuturesDeliverable GENERATOR_CFPM3 = new GeneratorSwapFuturesDeliverable("CFPM3", CFPM3_DEFINITION);
private static final GeneratorSwapFuturesDeliverable GENERATOR_CNPM3 = new GeneratorSwapFuturesDeliverable("CNPM3", CNPM3_DEFINITION);
private static final GeneratorSwapFuturesDeliverable GENERATOR_CBPM3 = new GeneratorSwapFuturesDeliverable("CBPM3", CBPM3_DEFINITION);
private static final GeneratorDepositIbor GENERATOR_USDLIBOR3M = new GeneratorDepositIbor("GENERATOR_USDLIBOR3M", USDLIBOR3M, NYC);
/** Market values for the dsc USD curve */
private static final double[] DSC_USD_MARKET_QUOTES = new double[] {0.0022, 0.00127, 0.00125, 0.00126, 0.00126, 0.00125, 0.001315, 0.001615, 0.00243, 0.00393, 0.00594, 0.01586 };
/** Generators for the dsc USD curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] DSC_USD_GENERATORS = CurveCalibrationConventionDataSets.generatorUsdOnOisFfs(1, 11, 0);
/** Tenors for the dsc USD curve */
private static final Period[] DSC_USD_TENOR = new Period[] {Period.ofDays(0),
Period.ofMonths(1), Period.ofMonths(2), Period.ofMonths(3), Period.ofMonths(6), Period.ofMonths(9), Period.ofYears(1),
Period.ofYears(2), Period.ofYears(3), Period.ofYears(4), Period.ofYears(5), Period.ofYears(10) };
private static final GeneratorAttributeIR[] DSC_USD_ATTR = new GeneratorAttributeIR[DSC_USD_TENOR.length];
static {
for (int loopins = 0; loopins < DSC_USD_TENOR.length; loopins++) {
DSC_USD_ATTR[loopins] = new GeneratorAttributeIR(DSC_USD_TENOR[loopins]);
}
}
/** Market values for the Fwd LIBOR3M USD curve */
private static final double[] FWD3_USD_MARKET_QUOTES =
new double[] {0.0027560,
0.99715, 0.99700, 0.99680, 0.99660, 0.99500,
(100 + 7.0 / 32.0 + 3.0 / (32.0 * 4.0)) / 100.0, (100 + 17.0 / 32.0) / 100.0, (101 + 2.0 / 32.0) / 100.0, (98 + 21.0 / 32.0) / 100.0 };
// Quoted in 32nd (by 1/4): 100-07 3/4, 100-17 +, 101-02, 98-21 };
/** Generators for the Fwd 3M USD curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] FWD3_EUR_GENERATORS =
new GeneratorInstrument<?>[] {GENERATOR_USDLIBOR3M,
GENERATOR_EDM3, GENERATOR_EDU3, GENERATOR_EDZ3, GENERATOR_EDH4, GENERATOR_EDU4,
GENERATOR_CTPM3, GENERATOR_CFPM3, GENERATOR_CNPM3, GENERATOR_CBPM3 };
/** Tenors for the Fwd 3M USD curve */
private static final Period[] FWD3_USD_TENOR = new Period[] {Period.ofMonths(0),
Period.ofMonths(0), Period.ofMonths(0), Period.ofMonths(0), Period.ofMonths(0), Period.ofMonths(0),
Period.ofMonths(0), Period.ofMonths(0), Period.ofMonths(0), Period.ofMonths(0) };
private static final GeneratorAttribute[] FWD3_USD_ATTR = new GeneratorAttribute[FWD3_USD_TENOR.length];
static {
FWD3_USD_ATTR[0] = new GeneratorAttributeIR(FWD3_USD_TENOR[0], FWD3_USD_TENOR[0]);
for (int loopins = 1; loopins < FWD3_USD_TENOR.length; loopins++) {
FWD3_USD_ATTR[loopins] = new GeneratorAttribute();
}
}
/** Hull-White one-factor (for futures)**/
private static final double MEAN_REVERSION = 0.01;
private static final double[] VOLATILITY = new double[] {0.01, 0.011, 0.012, 0.013, 0.014 };
private static final double[] VOLATILITY_TIME = new double[] {0.5, 1.0, 2.0, 5.0 };
private static final HullWhiteOneFactorPiecewiseConstantParameters MODEL_PARAMETERS = new HullWhiteOneFactorPiecewiseConstantParameters(MEAN_REVERSION, VOLATILITY, VOLATILITY_TIME);
/** Units of curves */
private static final int[] NB_UNITS = new int[] {2, 2 };
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 HullWhiteOneFactorProviderDiscount KNOWN_DATA_HW = new HullWhiteOneFactorProviderDiscount(KNOWN_DATA, MODEL_PARAMETERS, USD);
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<>();
/** Standard USD discounting curve instrument definitions */
private static final InstrumentDefinition<?>[] DEFINITIONS_DSC_USD;
/** Standard USD Forward 3M curve instrument definitions */
private static final InstrumentDefinition<?>[] DEFINITIONS_FWD3_USD;
static {
DEFINITIONS_DSC_USD = getDefinitions(DSC_USD_MARKET_QUOTES, DSC_USD_GENERATORS, DSC_USD_ATTR);
DEFINITIONS_FWD3_USD = getDefinitions(FWD3_USD_MARKET_QUOTES, FWD3_EUR_GENERATORS, FWD3_USD_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_USD };
DEFINITIONS_UNITS[0][1] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD3_USD };
DEFINITIONS_UNITS[1][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD };
DEFINITIONS_UNITS[1][1] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD3_USD };
final GeneratorYDCurve genIntLin = CurveCalibrationConventionDataSets.generatorYDMatLin();
GENERATORS_UNITS[0][0] = new GeneratorYDCurve[] {genIntLin };
GENERATORS_UNITS[0][1] = new GeneratorYDCurve[] {genIntLin };
GENERATORS_UNITS[1][0] = new GeneratorYDCurve[] {genIntLin };
GENERATORS_UNITS[1][1] = new GeneratorYDCurve[] {genIntLin };
NAMES_UNITS[0][0] = new String[] {CURVE_NAME_DSC_USD };
NAMES_UNITS[0][1] = new String[] {CURVE_NAME_FWD3_USD };
NAMES_UNITS[1][0] = new String[] {CURVE_NAME_DSC_USD };
NAMES_UNITS[1][1] = new String[] {CURVE_NAME_FWD3_USD };
DSC_MAP.put(CURVE_NAME_DSC_USD, USD);
FWD_ON_MAP.put(CURVE_NAME_DSC_USD, new IndexON[] {FEDFUND });
FWD_IBOR_MAP.put(CURVE_NAME_FWD3_USD, new IborIndex[] {USDLIBOR3M });
}
@SuppressWarnings({"unchecked", "rawtypes" })
private 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(CALIBRATION_DATE, marketQuotes[loopmv], NOTIONAL, attribute[loopmv]);
}
return definitions;
}
/** Calculators used in curve calibration and testing */
private static final PresentValueDiscountingCalculator PVDC = PresentValueDiscountingCalculator.getInstance();
private static final ParSpreadMarketQuoteDiscountingCalculator PSMQDC = ParSpreadMarketQuoteDiscountingCalculator.getInstance();
private static final ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator PSMQCSDC = ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator.getInstance();
private static final PresentValueHullWhiteCalculator PVHWC = PresentValueHullWhiteCalculator.getInstance();
private static final ParSpreadMarketQuoteHullWhiteCalculator PSMQHWC = ParSpreadMarketQuoteHullWhiteCalculator.getInstance();
private static final ParSpreadMarketQuoteCurveSensitivityHullWhiteCalculator PSMQCSHWC = ParSpreadMarketQuoteCurveSensitivityHullWhiteCalculator.getInstance();
private static final MulticurveDiscountBuildingRepository CURVE_BUILDING_REPOSITORY_MULTICURVE =
CurveCalibrationConventionDataSets.curveBuildingRepositoryMulticurve();
private static final HullWhiteProviderDiscountBuildingRepository CURVE_BUILDING_REPOSITORY_HW =
CurveCalibrationConventionDataSets.curveBuildingRepositoryHullWhite();
private static final double TOLERANCE_CAL = 1.0E-10 * NOTIONAL; // 0.01 currency unit for 100m
private static Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> CURVE_BLOCK_MC;
private static Pair<HullWhiteOneFactorProviderDiscount, CurveBuildingBlockBundle> CURVE_BLOCK_HW;
@BeforeSuite
static void initClass() {
CURVE_BLOCK_MC = CurveCalibrationTestsUtils.makeCurvesFromDefinitionsMulticurve(
CALIBRATION_DATE, DEFINITIONS_UNITS[0],
GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PSMQDC, PSMQCSDC, false,
DSC_MAP, FWD_ON_MAP, FWD_IBOR_MAP,
CURVE_BUILDING_REPOSITORY_MULTICURVE, TS_FIXED_OIS_USD_WITH_TODAY, TS_FIXED_OIS_USD_WITHOUT_TODAY,
TS_EMPTY_ARRAY, TS_EMPTY_ARRAY); // Discounting
CURVE_BLOCK_HW = CurveCalibrationTestsUtils.makeCurvesFromDefinitionsHullWhite(
CALIBRATION_DATE, DEFINITIONS_UNITS[1],
GENERATORS_UNITS[1], NAMES_UNITS[1], KNOWN_DATA_HW, PSMQHWC, PSMQCSHWC, false,
DSC_MAP, FWD_ON_MAP, FWD_IBOR_MAP,
CURVE_BUILDING_REPOSITORY_HW, TS_FIXED_OIS_USD_WITH_TODAY, TS_FIXED_OIS_USD_WITHOUT_TODAY,
TS_EMPTY_ARRAY, TS_EMPTY_ARRAY); // Hull-White
}
@Test
public void curveConstruction() {
curveConstructionTestMc(DEFINITIONS_UNITS[0], CURVE_BLOCK_MC.getFirst(), false);
curveConstructionTestHw(DEFINITIONS_UNITS[1], CURVE_BLOCK_HW.getFirst(), false);
}
private void curveConstructionTestHw(final InstrumentDefinition<?>[][][] definitions, final HullWhiteOneFactorProviderDiscount curves, final boolean withToday) {
final int nbUnits = definitions.length;
for (int loopunit = 0; loopunit < nbUnits; loopunit++) {
final InstrumentDerivative[][] instruments = convert(definitions[loopunit], withToday);
final double[][] pv = new double[instruments.length][];
for (int loopcurve = 0; loopcurve < instruments.length; loopcurve++) {
pv[loopcurve] = new double[instruments[loopcurve].length];
for (int loopins = 0; loopins < instruments[loopcurve].length; loopins++) {
pv[loopcurve][loopins] = curves.getMulticurveProvider().getFxRates().convert(instruments[loopcurve][loopins].accept(PVHWC, curves), USD).getAmount();
assertEquals("Curve construction: unit " + loopunit + " - instrument " + loopins, 0, pv[loopcurve][loopins], TOLERANCE_CAL);
}
}
}
}
private void curveConstructionTestMc(final InstrumentDefinition<?>[][][] definitions, final MulticurveProviderDiscount curves, final boolean withToday) {
final int nbUnits = definitions.length;
for (int loopunit = 0; loopunit < nbUnits; loopunit++) {
final InstrumentDerivative[][] instruments = convert(definitions[loopunit], withToday);
final double[][] pv = new double[instruments.length][];
for (int loopcurve = 0; loopcurve < instruments.length; loopcurve++) {
pv[loopcurve] = new double[instruments[loopcurve].length];
for (int loopins = 0; loopins < instruments[loopcurve].length; loopins++) {
pv[loopcurve][loopins] = curves.getMulticurveProvider().getFxRates().convert(instruments[loopcurve][loopins].accept(PVDC, curves), USD).getAmount();
assertEquals("Curve construction: unit " + loopunit + " - instrument " + loopins, 0, pv[loopcurve][loopins], TOLERANCE_CAL);
}
}
}
}
@Test(enabled = false)
public void performance() {
long startTime, endTime;
final int nbTest = 100;
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
CurveCalibrationTestsUtils.makeCurvesFromDefinitionsMulticurve(
CALIBRATION_DATE, DEFINITIONS_UNITS[0],
GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PSMQDC, PSMQCSDC, false,
DSC_MAP, FWD_ON_MAP, FWD_IBOR_MAP,
CURVE_BUILDING_REPOSITORY_MULTICURVE, TS_FIXED_OIS_USD_WITH_TODAY, TS_FIXED_OIS_USD_WITHOUT_TODAY,
TS_EMPTY_ARRAY, TS_EMPTY_ARRAY);
}
endTime = System.currentTimeMillis();
System.out.println("MulticurveBuildingHullWhiteDiscountUSDFuturesDemoTest - Discounting:" + nbTest + " curve construction / 2 units: " + (endTime - startTime) + " ms");
// Performance note: Curve construction 2 units Multicurve: 06-Nov-12: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 500 ms for 100 sets.
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
CurveCalibrationTestsUtils.makeCurvesFromDefinitionsHullWhite(
CALIBRATION_DATE, DEFINITIONS_UNITS[1],
GENERATORS_UNITS[1], NAMES_UNITS[1], KNOWN_DATA_HW, PSMQHWC, PSMQCSHWC, false,
DSC_MAP, FWD_ON_MAP, FWD_IBOR_MAP,
CURVE_BUILDING_REPOSITORY_HW, TS_FIXED_OIS_USD_WITH_TODAY, TS_FIXED_OIS_USD_WITHOUT_TODAY,
TS_EMPTY_ARRAY, TS_EMPTY_ARRAY);
}
endTime = System.currentTimeMillis();
System.out.println("MulticurveBuildingHullWhiteDiscountUSDFuturesDemoTest - Hull-White:" + nbTest + " curve construction / 2 unit: " + (endTime - startTime) + " ms");
// Performance note: Curve construction 2 units Hull-White: 06-Nov-12: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 1100 ms for 100 sets.
}
private static InstrumentDerivative[][] convert(final InstrumentDefinition<?>[][] definitions, final boolean withToday) {
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(CALIBRATION_DATE,
CurveCalibrationTestsUtils.getTSSwapFixedON(withToday, TS_FIXED_OIS_USD_WITH_TODAY, TS_FIXED_OIS_USD_WITHOUT_TODAY));
} else {
if (instrument instanceof InterestRateFutureTransactionDefinition) {
ird = ((InterestRateFutureTransactionDefinition) instrument).toDerivative(CALIBRATION_DATE, 0.0); // Trade date = today, reference price not used.
} else {
if (instrument instanceof SwapFuturesPriceDeliverableTransactionDefinition) {
ird = ((SwapFuturesPriceDeliverableTransactionDefinition) instrument).toDerivative(CALIBRATION_DATE, 0.0); // Trade date = today, reference price not used.
} else {
ird = instrument.toDerivative(CALIBRATION_DATE);
}
}
}
instruments[loopcurve][loopins++] = ird;
}
}
return instruments;
}
private static final ZonedDateTimeDoubleTimeSeries TS_EMPTY = ImmutableZonedDateTimeDoubleTimeSeries.ofEmptyUTC();
private static final ZonedDateTimeDoubleTimeSeries TS_ON_USD_WITH_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2013, 4, 25),
DateUtils.getUTCDate(2013, 4, 26) }, new double[] {0.0007, 0.0008 });
private static final ZonedDateTimeDoubleTimeSeries TS_ON_USD_WITHOUT_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2013, 4, 25) },
new double[] {0.0007 });
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_EMPTY_ARRAY = new ZonedDateTimeDoubleTimeSeries[] {TS_EMPTY, TS_EMPTY };
}