/**
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.pricer.curve;
import static com.opengamma.strata.basics.currency.Currency.USD;
import static com.opengamma.strata.basics.date.DayCounts.ACT_365F;
import static com.opengamma.strata.basics.index.IborIndices.USD_LIBOR_3M;
import static com.opengamma.strata.product.swap.type.FixedIborSwapConventions.USD_FIXED_6M_LIBOR_3M;
import static org.testng.Assert.assertEquals;
import java.time.LocalDate;
import java.time.Period;
import java.util.ArrayList;
import java.util.HashMap;
import java.util.HashSet;
import java.util.List;
import java.util.Map;
import java.util.Set;
import org.testng.annotations.Test;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.StandardId;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.currency.CurrencyAmount;
import com.opengamma.strata.basics.currency.MultiCurrencyAmount;
import com.opengamma.strata.basics.date.DayCount;
import com.opengamma.strata.basics.date.Tenor;
import com.opengamma.strata.basics.index.Index;
import com.opengamma.strata.data.ImmutableMarketData;
import com.opengamma.strata.data.ImmutableMarketDataBuilder;
import com.opengamma.strata.data.MarketData;
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.curve.CurveMetadata;
import com.opengamma.strata.market.curve.CurveName;
import com.opengamma.strata.market.curve.CurveNode;
import com.opengamma.strata.market.curve.DefaultCurveMetadata;
import com.opengamma.strata.market.curve.InterpolatedNodalCurveDefinition;
import com.opengamma.strata.market.curve.interpolator.CurveExtrapolator;
import com.opengamma.strata.market.curve.interpolator.CurveExtrapolators;
import com.opengamma.strata.market.curve.interpolator.CurveInterpolator;
import com.opengamma.strata.market.curve.interpolator.CurveInterpolators;
import com.opengamma.strata.market.curve.node.FixedIborSwapCurveNode;
import com.opengamma.strata.market.curve.node.FraCurveNode;
import com.opengamma.strata.market.curve.node.IborFixingDepositCurveNode;
import com.opengamma.strata.market.observable.QuoteId;
import com.opengamma.strata.pricer.deposit.DiscountingIborFixingDepositProductPricer;
import com.opengamma.strata.pricer.fra.DiscountingFraTradePricer;
import com.opengamma.strata.pricer.rate.RatesProvider;
import com.opengamma.strata.pricer.swap.DiscountingSwapProductPricer;
import com.opengamma.strata.product.ResolvedTrade;
import com.opengamma.strata.product.deposit.ResolvedIborFixingDepositTrade;
import com.opengamma.strata.product.deposit.type.IborFixingDepositTemplate;
import com.opengamma.strata.product.fra.ResolvedFraTrade;
import com.opengamma.strata.product.fra.type.FraTemplate;
import com.opengamma.strata.product.swap.ResolvedSwapTrade;
import com.opengamma.strata.product.swap.type.FixedIborSwapTemplate;
/**
* Test curve calibration
*/
@Test
public class CalibrationDiscountingSimple1Test {
private static final LocalDate VAL_DATE = LocalDate.of(2015, 7, 21);
private static final CurveInterpolator INTERPOLATOR_LINEAR = CurveInterpolators.LINEAR;
private static final CurveExtrapolator EXTRAPOLATOR_FLAT = CurveExtrapolators.FLAT;
private static final DayCount CURVE_DC = ACT_365F;
// reference data
private static final ReferenceData REF_DATA = ReferenceData.standard();
private static final String SCHEME = "CALIBRATION";
/** Curve name */
private static final String ALL_NAME = "USD-ALL-FRAIRS3M";
private static final CurveName ALL_CURVE_NAME = CurveName.of(ALL_NAME);
/** Curves associations to currencies and indices. */
private static final Map<CurveName, Currency> DSC_NAMES = new HashMap<>();
private static final Map<CurveName, Set<Index>> IDX_NAMES = new HashMap<>();
private static final Set<Index> IBOR_INDICES = new HashSet<>();
static {
IBOR_INDICES.add(USD_LIBOR_3M);
}
static {
DSC_NAMES.put(ALL_CURVE_NAME, USD);
IDX_NAMES.put(ALL_CURVE_NAME, IBOR_INDICES);
}
/** Market values for the Fwd 3M USD curve */
private static final double[] FWD3_MARKET_QUOTES = new double[] {
0.0420, 0.0420, 0.0420, 0.0420, 0.0430,
0.0470, 0.0540, 0.0570, 0.0600};
private static final int FWD3_NB_NODES = FWD3_MARKET_QUOTES.length;
private static final String[] FWD3_ID_VALUE = new String[] {
"Fixing", "FRA3Mx6M", "FRA6Mx9M", "IRS1Y", "IRS2Y",
"IRS3Y", "IRS5Y", "IRS7Y", "IRS10Y"};
/** Nodes for the Fwd 3M USD curve */
private static final CurveNode[] ALL_NODES = new CurveNode[FWD3_NB_NODES];
/** Tenors for the Fwd 3M USD swaps */
private static final Period[] FWD3_FRA_TENORS = new Period[] { // Period to start
Period.ofMonths(3), Period.ofMonths(6)};
private static final int FWD3_NB_FRA_NODES = FWD3_FRA_TENORS.length;
private static final Period[] FWD3_IRS_TENORS = new Period[] {
Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(5), Period.ofYears(7), Period.ofYears(10)};
private static final int FWD3_NB_IRS_NODES = FWD3_IRS_TENORS.length;
static {
ALL_NODES[0] = IborFixingDepositCurveNode.of(IborFixingDepositTemplate.of(USD_LIBOR_3M),
QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[0])));
for (int i = 0; i < FWD3_NB_FRA_NODES; i++) {
ALL_NODES[i + 1] = FraCurveNode.of(FraTemplate.of(FWD3_FRA_TENORS[i], USD_LIBOR_3M),
QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[1])));
}
for (int i = 0; i < FWD3_NB_IRS_NODES; i++) {
ALL_NODES[i + 1 + FWD3_NB_FRA_NODES] = FixedIborSwapCurveNode.of(
FixedIborSwapTemplate.of(Period.ZERO, Tenor.of(FWD3_IRS_TENORS[i]), USD_FIXED_6M_LIBOR_3M),
QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[i])));
}
}
/** All quotes for the curve calibration */
private static final MarketData ALL_QUOTES;
static {
ImmutableMarketDataBuilder builder = ImmutableMarketData.builder(VAL_DATE);
for (int i = 0; i < FWD3_NB_NODES; i++) {
builder.addValue(QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[i])), FWD3_MARKET_QUOTES[i]);
}
ALL_QUOTES = builder.build();
}
/** All nodes by groups. */
private static final List<List<CurveNode[]>> CURVES_NODES = new ArrayList<>();
static {
List<CurveNode[]> groupNodes = new ArrayList<>();
groupNodes.add(ALL_NODES);
CURVES_NODES.add(groupNodes);
}
/** All metadata by groups */
private static final List<List<CurveMetadata>> CURVES_METADATA = new ArrayList<>();
static {
List<CurveMetadata> groupMetadata = new ArrayList<>();
groupMetadata.add(DefaultCurveMetadata.builder().curveName(ALL_CURVE_NAME).xValueType(ValueType.YEAR_FRACTION)
.yValueType(ValueType.ZERO_RATE).dayCount(CURVE_DC).build());
CURVES_METADATA.add(groupMetadata);
}
private static final DiscountingIborFixingDepositProductPricer FIXING_PRICER =
DiscountingIborFixingDepositProductPricer.DEFAULT;
private static final DiscountingFraTradePricer FRA_PRICER =
DiscountingFraTradePricer.DEFAULT;
private static final DiscountingSwapProductPricer SWAP_PRICER =
DiscountingSwapProductPricer.DEFAULT;
private static final CurveCalibrator CALIBRATOR = CurveCalibrator.of(1e-9, 1e-9, 100);
// Constants
private static final double TOLERANCE_PV = 1.0E-6;
/** Test with CurveGroupDefinition */
private static final String CURVE_GROUP_NAME_STR = "USD-SINGLE-CURVE";
private static final CurveGroupName CURVE_GROUP_NAME = CurveGroupName.of(CURVE_GROUP_NAME_STR);
private static final InterpolatedNodalCurveDefinition CURVE_DEFN =
InterpolatedNodalCurveDefinition.builder()
.name(ALL_CURVE_NAME)
.xValueType(ValueType.YEAR_FRACTION)
.yValueType(ValueType.ZERO_RATE)
.dayCount(CURVE_DC)
.interpolator(INTERPOLATOR_LINEAR)
.extrapolatorLeft(EXTRAPOLATOR_FLAT)
.extrapolatorRight(EXTRAPOLATOR_FLAT)
.nodes(ALL_NODES).build();
private static final CurveGroupDefinition CURVE_GROUP_DEFN =
CurveGroupDefinition.builder()
.name(CURVE_GROUP_NAME)
.addCurve(CURVE_DEFN, USD, USD_LIBOR_3M).build();
//-------------------------------------------------------------------------
public void calibration_present_value() {
RatesProvider result2 =
CALIBRATOR.calibrate(CURVE_GROUP_DEFN, ALL_QUOTES, REF_DATA);
// Test PV
CurveNode[] fwd3Nodes = CURVES_NODES.get(0).get(0);
List<ResolvedTrade> fwd3Trades = new ArrayList<>();
for (int i = 0; i < fwd3Nodes.length; i++) {
fwd3Trades.add(fwd3Nodes[i].resolvedTrade(1d, ALL_QUOTES, REF_DATA));
}
// Fixing
CurrencyAmount pvFixing2 = FIXING_PRICER.presentValue(
((ResolvedIborFixingDepositTrade) fwd3Trades.get(0)).getProduct(), result2);
assertEquals(pvFixing2.getAmount(), 0.0, TOLERANCE_PV);
// FRA
for (int i = 0; i < FWD3_NB_FRA_NODES; i++) {
CurrencyAmount pvFra2 = FRA_PRICER.presentValue(
((ResolvedFraTrade) fwd3Trades.get(i + 1)), result2);
assertEquals(pvFra2.getAmount(), 0.0, TOLERANCE_PV);
}
// IRS
for (int i = 0; i < FWD3_NB_IRS_NODES; i++) {
MultiCurrencyAmount pvIrs2 = SWAP_PRICER.presentValue(
((ResolvedSwapTrade) fwd3Trades.get(i + 1 + FWD3_NB_FRA_NODES)).getProduct(), result2);
assertEquals(pvIrs2.getAmount(USD).getAmount(), 0.0, TOLERANCE_PV);
}
}
//-------------------------------------------------------------------------
@Test(enabled = false)
void performance() {
long startTime, endTime;
int nbTests = 100;
int nbRep = 5;
int count = 0;
for (int i = 0; i < nbRep; i++) {
startTime = System.currentTimeMillis();
for (int looprep = 0; looprep < nbTests; looprep++) {
RatesProvider result =
CALIBRATOR.calibrate(CURVE_GROUP_DEFN, ALL_QUOTES, REF_DATA);
count += result.getValuationDate().getDayOfMonth();
}
endTime = System.currentTimeMillis();
System.out.println("Performance: " + nbTests + " calibrations for 1 curve with 9 nodes in "
+ (endTime - startTime) + " ms.");
}
System.out.println("Avoiding hotspot: " + count);
// Previous run: 290 ms for 100 calibrations (1 curve - 9 nodes)
}
}