/**
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.examples.finance;
import static com.opengamma.strata.basics.date.DayCounts.ACT_365F;
import static com.opengamma.strata.examples.finance.SwaptionCubeData.DATA_ARRAY_FULL;
import static com.opengamma.strata.examples.finance.SwaptionCubeData.DATA_ARRAY_SPARSE;
import static com.opengamma.strata.examples.finance.SwaptionCubeData.EXPIRIES;
import static com.opengamma.strata.examples.finance.SwaptionCubeData.MONEYNESS;
import static com.opengamma.strata.examples.finance.SwaptionCubeData.TENORS;
import static com.opengamma.strata.market.ValueType.NORMAL_VOLATILITY;
import static com.opengamma.strata.market.ValueType.SIMPLE_MONEYNESS;
import static com.opengamma.strata.market.curve.interpolator.CurveInterpolators.LINEAR;
import static com.opengamma.strata.product.swap.type.FixedIborSwapConventions.EUR_FIXED_1Y_EURIBOR_6M;
import java.time.LocalDate;
import java.time.ZoneId;
import java.time.ZonedDateTime;
import java.time.temporal.ChronoUnit;
import java.util.Map;
import java.util.TreeMap;
import com.google.common.collect.ImmutableList;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.date.Tenor;
import com.opengamma.strata.collect.array.DoubleMatrix;
import com.opengamma.strata.collect.io.ResourceLocator;
import com.opengamma.strata.data.ImmutableMarketData;
import com.opengamma.strata.loader.csv.QuotesCsvLoader;
import com.opengamma.strata.loader.csv.RatesCalibrationCsvLoader;
import com.opengamma.strata.market.ValueType;
import com.opengamma.strata.market.curve.CurveGroupDefinition;
import com.opengamma.strata.market.curve.CurveGroupName;
import com.opengamma.strata.market.observable.QuoteId;
import com.opengamma.strata.market.surface.ConstantSurface;
import com.opengamma.strata.market.surface.DefaultSurfaceMetadata;
import com.opengamma.strata.market.surface.Surface;
import com.opengamma.strata.market.surface.SurfaceMetadata;
import com.opengamma.strata.market.surface.interpolator.GridSurfaceInterpolator;
import com.opengamma.strata.market.surface.interpolator.SurfaceInterpolator;
import com.opengamma.strata.pricer.curve.CalibrationMeasures;
import com.opengamma.strata.pricer.curve.CurveCalibrator;
import com.opengamma.strata.pricer.impl.option.NormalFormulaRepository;
import com.opengamma.strata.pricer.option.RawOptionData;
import com.opengamma.strata.pricer.option.TenorRawOptionData;
import com.opengamma.strata.pricer.rate.RatesProvider;
import com.opengamma.strata.pricer.swap.DiscountingSwapProductPricer;
import com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities;
import com.opengamma.strata.pricer.swaption.SabrSwaptionCalibrator;
import com.opengamma.strata.pricer.swaption.SabrSwaptionDefinition;
import com.opengamma.strata.pricer.swaption.SwaptionVolatilitiesName;
import com.opengamma.strata.product.common.BuySell;
import com.opengamma.strata.product.swap.SwapTrade;
/**
* Analysis of swaption cube calibration with shifted SABR smile function.
*/
public class SabrSwaptionCubeCalibrationExample {
private static final ReferenceData REF_DATA = ReferenceData.standard();
private static final LocalDate CALIBRATION_DATE = LocalDate.of(2016, 2, 29);
private static final ZonedDateTime CALIBRATION_TIME = CALIBRATION_DATE.atTime(10, 0).atZone(ZoneId.of("Europe/Berlin"));
private static final SabrSwaptionCalibrator SABR_CALIBRATION = SabrSwaptionCalibrator.DEFAULT;
private static final String BASE_DIR = "src/main/resources/";
private static final String GROUPS_FILE = "example-calibration/curves/EUR-DSCONOIS-E3BS-E6IRS-group.csv";
private static final String SETTINGS_FILE = "example-calibration/curves/EUR-DSCONOIS-E3BS-E6IRS-settings.csv";
private static final String NODES_FILE = "example-calibration/curves/EUR-DSCONOIS-E3BS-E6IRS-nodes.csv";
private static final String QUOTES_FILE = "example-calibration/quotes/quotes-20160229-eur.csv";
private static final CurveGroupDefinition CONFIGS =
RatesCalibrationCsvLoader.load(
ResourceLocator.of(BASE_DIR + GROUPS_FILE),
ResourceLocator.of(BASE_DIR + SETTINGS_FILE),
ResourceLocator.of(BASE_DIR + NODES_FILE)).get(CurveGroupName.of("EUR-DSCONOIS-E3BS-E6IRS"));
private static final Map<QuoteId, Double> MAP_MQ =
QuotesCsvLoader.load(CALIBRATION_DATE, ImmutableList.of(ResourceLocator.of(BASE_DIR + QUOTES_FILE)));
private static final ImmutableMarketData MARKET_QUOTES = ImmutableMarketData.of(CALIBRATION_DATE, MAP_MQ);
private static final CalibrationMeasures CALIBRATION_MEASURES = CalibrationMeasures.PAR_SPREAD;
private static final CurveCalibrator CALIBRATOR = CurveCalibrator.of(1e-9, 1e-9, 100, CALIBRATION_MEASURES);
private static final RatesProvider MULTICURVE =
CALIBRATOR.calibrate(CONFIGS, MARKET_QUOTES, REF_DATA);
private static final DiscountingSwapProductPricer SWAP_PRICER = DiscountingSwapProductPricer.DEFAULT;
private static final int NB_EXPIRIES = EXPIRIES.size();
private static final int NB_TENORS = TENORS.size();
private static final TenorRawOptionData DATA_FULL = rawData(DATA_ARRAY_FULL);
private static final TenorRawOptionData DATA_SPARSE = rawData(DATA_ARRAY_SPARSE);
private static final SurfaceInterpolator INTERPOLATOR_2D = GridSurfaceInterpolator.of(LINEAR, LINEAR);
private static final SwaptionVolatilitiesName NAME_SABR = SwaptionVolatilitiesName.of("Calibrated-SABR");
private static final SabrSwaptionDefinition DEFINITION =
SabrSwaptionDefinition.of(NAME_SABR, EUR_FIXED_1Y_EURIBOR_6M, ACT_365F, INTERPOLATOR_2D);
//-------------------------------------------------------------------------
/**
* Runs the calibration of swaptions and print the calibrated smile results on the console.
*
* @param args -s to use the sparse data, i.e. a cube with missing data points
*/
public static void main(String[] args) {
// select data
TenorRawOptionData data = DATA_FULL;
if (args.length > 0) {
if (args[0].equals("-s")) {
data = DATA_SPARSE;
}
}
System.out.println("Start calibration");
double beta = 0.50;
SurfaceMetadata betaMetadata = DefaultSurfaceMetadata.builder()
.xValueType(ValueType.YEAR_FRACTION)
.yValueType(ValueType.YEAR_FRACTION)
.zValueType(ValueType.SABR_BETA)
.surfaceName("Beta").build();
Surface betaSurface = ConstantSurface.of(betaMetadata, beta);
double shift = 0.0300;
Surface shiftSurface = ConstantSurface.of("Shift", shift);
SabrParametersSwaptionVolatilities calibrated = SABR_CALIBRATION.calibrateWithFixedBetaAndShift(
DEFINITION, CALIBRATION_TIME, data, MULTICURVE, betaSurface, shiftSurface);
System.out.println("End calibration");
/* Graph calibration */
int nbStrikesGraph = 50;
double moneyMin = -0.0250;
double moneyMax = +0.0300;
double[] moneyGraph = new double[nbStrikesGraph + 1];
for (int i = 0; i < nbStrikesGraph + 1; i++) {
moneyGraph[i] = moneyMin + i * (moneyMax - moneyMin) / nbStrikesGraph;
}
double[][][] strikesGraph = new double[NB_TENORS][NB_EXPIRIES][nbStrikesGraph + 1];
double[][][] volLNGraph = new double[NB_TENORS][NB_EXPIRIES][nbStrikesGraph + 1];
double[][][] volNGraph = new double[NB_TENORS][NB_EXPIRIES][nbStrikesGraph + 1];
double[][] parRate = new double[NB_TENORS][NB_EXPIRIES];
for (int looptenor = 0; looptenor < TENORS.size(); looptenor++) {
double tenor = TENORS.get(looptenor).get(ChronoUnit.YEARS);
for (int loopexpiry = 0; loopexpiry < EXPIRIES.size(); loopexpiry++) {
LocalDate expiry = EUR_FIXED_1Y_EURIBOR_6M.getFloatingLeg().getStartDateBusinessDayAdjustment()
.adjust(CALIBRATION_DATE.plus(EXPIRIES.get(loopexpiry)), REF_DATA);
LocalDate effectiveDate = EUR_FIXED_1Y_EURIBOR_6M.calculateSpotDateFromTradeDate(expiry, REF_DATA);
LocalDate endDate = effectiveDate.plus(TENORS.get(looptenor));
SwapTrade swap = EUR_FIXED_1Y_EURIBOR_6M
.toTrade(CALIBRATION_DATE, effectiveDate, endDate, BuySell.BUY, 1.0, 0.0);
parRate[looptenor][loopexpiry] = SWAP_PRICER.parRate(swap.resolve(REF_DATA).getProduct(), MULTICURVE);
ZonedDateTime expiryDateTime = expiry.atTime(11, 0).atZone(ZoneId.of("Europe/Berlin"));
double time = calibrated.relativeTime(expiryDateTime);
for (int i = 0; i < nbStrikesGraph + 1; i++) {
strikesGraph[looptenor][loopexpiry][i] = parRate[looptenor][loopexpiry] + moneyGraph[i];
volLNGraph[looptenor][loopexpiry][i] = calibrated.volatility(
expiryDateTime,
tenor,
strikesGraph[looptenor][loopexpiry][i],
parRate[looptenor][loopexpiry]);
volNGraph[looptenor][loopexpiry][i] = NormalFormulaRepository.impliedVolatilityFromBlackApproximated(
parRate[looptenor][loopexpiry] + shift,
strikesGraph[looptenor][loopexpiry][i] + shift,
time,
volLNGraph[looptenor][loopexpiry][i]);
}
}
}
/* Graph export */
String svn = "Moneyness";
for (int looptenor = 0; looptenor < TENORS.size(); looptenor++) {
for (int loopexpiry = 0; loopexpiry < EXPIRIES.size(); loopexpiry++) {
svn = svn + ", Strike_" + EXPIRIES.get(loopexpiry).toString() + "x" + TENORS.get(looptenor).toString() + ", NormalVol_" +
EXPIRIES.get(loopexpiry).toString() + "x" + TENORS.get(looptenor).toString();
}
}
svn = svn + "\n";
for (int i = 0; i < nbStrikesGraph + 1; i++) {
svn = svn + moneyGraph[i];
for (int looptenor = 0; looptenor < TENORS.size(); looptenor++) {
for (int loopexpiry = 0; loopexpiry < EXPIRIES.size(); loopexpiry++) {
svn = svn + ", " + strikesGraph[looptenor][loopexpiry][i];
svn = svn + ", " + volNGraph[looptenor][loopexpiry][i];
}
}
svn = svn + "\n";
}
System.out.println(svn);
}
private static TenorRawOptionData rawData(double[][][] dataArray) {
Map<Tenor, RawOptionData> raw = new TreeMap<>();
for (int looptenor = 0; looptenor < dataArray.length; looptenor++) {
DoubleMatrix matrix = DoubleMatrix.ofUnsafe(dataArray[looptenor]);
raw.put(TENORS.get(looptenor), RawOptionData.of(EXPIRIES, MONEYNESS, SIMPLE_MONEYNESS, matrix, NORMAL_VOLATILITY));
}
return TenorRawOptionData.of(raw);
}
}