/**
* 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.BusinessDayConventions.FOLLOWING;
import static com.opengamma.strata.basics.date.DayCounts.ACT_360;
import static com.opengamma.strata.basics.date.DayCounts.ACT_365F;
import static com.opengamma.strata.basics.date.HolidayCalendarIds.USNY;
import static com.opengamma.strata.basics.index.IborIndices.USD_LIBOR_3M;
import static com.opengamma.strata.basics.index.OvernightIndices.USD_FED_FUND;
import static com.opengamma.strata.product.swap.type.FixedIborSwapConventions.USD_FIXED_6M_LIBOR_3M;
import static com.opengamma.strata.product.swap.type.FixedOvernightSwapConventions.USD_FIXED_1Y_FED_FUND_OIS;
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 java.util.function.Function;
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.BusinessDayAdjustment;
import com.opengamma.strata.basics.date.DateSequences;
import com.opengamma.strata.basics.date.DayCount;
import com.opengamma.strata.basics.date.DaysAdjustment;
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.data.MarketDataId;
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.FixedOvernightSwapCurveNode;
import com.opengamma.strata.market.curve.node.IborFixingDepositCurveNode;
import com.opengamma.strata.market.curve.node.IborFutureCurveNode;
import com.opengamma.strata.market.curve.node.TermDepositCurveNode;
import com.opengamma.strata.market.observable.QuoteId;
import com.opengamma.strata.market.param.CurrencyParameterSensitivities;
import com.opengamma.strata.market.sensitivity.PointSensitivityBuilder;
import com.opengamma.strata.pricer.deposit.DiscountingIborFixingDepositProductPricer;
import com.opengamma.strata.pricer.deposit.DiscountingTermDepositProductPricer;
import com.opengamma.strata.pricer.index.DiscountingIborFutureTradePricer;
import com.opengamma.strata.pricer.rate.RatesProvider;
import com.opengamma.strata.pricer.sensitivity.MarketQuoteSensitivityCalculator;
import com.opengamma.strata.pricer.swap.DiscountingSwapProductPricer;
import com.opengamma.strata.product.ResolvedTrade;
import com.opengamma.strata.product.common.BuySell;
import com.opengamma.strata.product.deposit.ResolvedIborFixingDepositTrade;
import com.opengamma.strata.product.deposit.ResolvedTermDepositTrade;
import com.opengamma.strata.product.deposit.type.IborFixingDepositTemplate;
import com.opengamma.strata.product.deposit.type.ImmutableTermDepositConvention;
import com.opengamma.strata.product.deposit.type.TermDepositConvention;
import com.opengamma.strata.product.deposit.type.TermDepositTemplate;
import com.opengamma.strata.product.index.ResolvedIborFutureTrade;
import com.opengamma.strata.product.index.type.IborFutureConvention;
import com.opengamma.strata.product.index.type.IborFutureTemplate;
import com.opengamma.strata.product.index.type.ImmutableIborFutureConvention;
import com.opengamma.strata.product.swap.ResolvedSwap;
import com.opengamma.strata.product.swap.ResolvedSwapTrade;
import com.opengamma.strata.product.swap.SwapTrade;
import com.opengamma.strata.product.swap.type.FixedIborSwapConventions;
import com.opengamma.strata.product.swap.type.FixedIborSwapTemplate;
import com.opengamma.strata.product.swap.type.FixedOvernightSwapTemplate;
/**
* Test for curve calibration with 2 curves in USD.
* One curve is Discounting and Fed Fund forward and the other one is Libor 3M forward.
* The Forward 3M curve is calibrated in part to Ibor futures without convexity adjustment.
*/
@Test
public class CalibrationZeroRateUsd2OisFuturesIrsTest {
private static final ReferenceData REF_DATA = ReferenceData.standard();
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;
private static final String SCHEME = "CALIBRATION";
/** Curve names */
private static final String DSCON_NAME = "USD-DSCON-OIS";
private static final CurveName DSCON_CURVE_NAME = CurveName.of(DSCON_NAME);
private static final String FWD3_NAME = "USD-LIBOR3M-FUTIRS";
private static final CurveName FWD3_CURVE_NAME = CurveName.of(FWD3_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<>();
static {
DSC_NAMES.put(DSCON_CURVE_NAME, USD);
Set<Index> usdFedFundSet = new HashSet<>();
usdFedFundSet.add(USD_FED_FUND);
IDX_NAMES.put(DSCON_CURVE_NAME, usdFedFundSet);
Set<Index> usdLibor3Set = new HashSet<>();
usdLibor3Set.add(USD_LIBOR_3M);
IDX_NAMES.put(FWD3_CURVE_NAME, usdLibor3Set);
}
/** Data for USD-DSCON curve */
/* Market values */
private static final double[] DSC_MARKET_QUOTES = new double[] {
0.0005, 0.0005,
0.00072000, 0.00082000, 0.00093000, 0.00090000, 0.00105000,
0.00118500, 0.00318650, 0.00318650, 0.00704000, 0.01121500, 0.01515000,
0.01845500, 0.02111000, 0.02332000, 0.02513500, 0.02668500 };
private static final int DSC_NB_NODES = DSC_MARKET_QUOTES.length;
private static final String[] DSC_ID_VALUE = new String[] {
"USD-ON", "USD-TN",
"USD-OIS-1M", "USD-OIS-2M", "USD-OIS-3M", "USD-OIS-6M", "USD-OIS-9M",
"USD-OIS-1Y", "USD-OIS-18M", "USD-OIS-2Y", "USD-OIS-3Y", "USD-OIS-4Y", "USD-OIS-5Y",
"USD-OIS-6Y", "USD-OIS-7Y", "USD-OIS-8Y", "USD-OIS-9Y", "USD-OIS-10Y" };
/* Nodes */
private static final CurveNode[] DSC_NODES = new CurveNode[DSC_NB_NODES];
/* Tenors */
private static final int[] DSC_DEPO_OFFSET = new int[] {0, 1};
private static final int DSC_NB_DEPO_NODES = DSC_DEPO_OFFSET.length;
private static final Period[] DSC_OIS_TENORS = new Period[] {
Period.ofMonths(1), Period.ofMonths(2), Period.ofMonths(3), Period.ofMonths(6), Period.ofMonths(9),
Period.ofYears(1), Period.ofMonths(18), Period.ofYears(2), Period.ofYears(3), Period.ofYears(4), Period.ofYears(5),
Period.ofYears(6), Period.ofYears(7), Period.ofYears(8), Period.ofYears(9), Period.ofYears(10)};
private static final int DSC_NB_OIS_NODES = DSC_OIS_TENORS.length;
static {
for(int i = 0; i < DSC_NB_DEPO_NODES; i++) {
BusinessDayAdjustment bda = BusinessDayAdjustment.of(FOLLOWING, USNY);
TermDepositConvention convention =
ImmutableTermDepositConvention.of(
"USD-Dep", USD, bda, ACT_360, DaysAdjustment.ofBusinessDays(DSC_DEPO_OFFSET[i], USNY));
DSC_NODES[i] = TermDepositCurveNode.of(TermDepositTemplate.of(Period.ofDays(1), convention),
QuoteId.of(StandardId.of(SCHEME, DSC_ID_VALUE[i])));
}
for (int i = 0; i < DSC_NB_OIS_NODES; i++) {
DSC_NODES[DSC_NB_DEPO_NODES + i] = FixedOvernightSwapCurveNode.of(
FixedOvernightSwapTemplate.of(Period.ZERO, Tenor.of(DSC_OIS_TENORS[i]), USD_FIXED_1Y_FED_FUND_OIS),
QuoteId.of(StandardId.of(SCHEME, DSC_ID_VALUE[DSC_NB_DEPO_NODES + i])));
}
}
/** Data for USD-LIBOR3M curve */
/* Market values */
private static final double[] FWD3_MARKET_QUOTES = new double[] {
0.00236600,
0.9975, 0.9975, 0.9950, 0.9950, 0.9940, 0.9930, 0.9920, 0.9910,
0.00939150, 0.01380800, 0.01732000,
0.02000000, 0.02396200, 0.02500000, 0.02700000, 0.02930000 };
private static final int FWD3_NB_NODES = FWD3_MARKET_QUOTES.length;
private static final String[] FWD3_ID_VALUE = new String[] {
"USD-Fixing-3M",
"USD-ED1", "USD-ED2", "USD-ED3", "USD-ED4", "USD-ED5", "USD-ED6", "USD-ED7", "USD-ED8",
"USD-IRS3M-3Y", "USD-IRS3M-4Y", "USD-IRS3M-5Y",
"USD-IRS3M-6Y", "USD-IRS3M-7Y", "USD-IRS3M-8Y", "USD-IRS3M-9Y", "USD-IRS3M-10Y" };
/* Nodes */
private static final CurveNode[] FWD3_NODES = new CurveNode[FWD3_NB_NODES];
/* Tenors */
private static final int[] FWD3_FUT_SEQ = new int[] {1, 2, 3, 4, 5, 6, 7, 8};
private static final int FWD3_NB_FUT_NODES = FWD3_FUT_SEQ.length;
private static final Period[] FWD3_IRS_TENORS = new Period[] {
Period.ofYears(3), Period.ofYears(4), Period.ofYears(5),
Period.ofYears(6), Period.ofYears(7), Period.ofYears(8), Period.ofYears(9), Period.ofYears(10)};
private static final int FWD3_NB_IRS_NODES = FWD3_IRS_TENORS.length;
static {
FWD3_NODES[0] = IborFixingDepositCurveNode.of(IborFixingDepositTemplate.of(USD_LIBOR_3M),
QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[0])));
IborFutureConvention convention = ImmutableIborFutureConvention.of(USD_LIBOR_3M, DateSequences.QUARTERLY_IMM);
for (int i = 0; i < FWD3_NB_FUT_NODES; i++) {
IborFutureTemplate template = IborFutureTemplate.of(Period.ofDays(7), FWD3_FUT_SEQ[i], convention);
FWD3_NODES[i + 1] = IborFutureCurveNode.of(template,
QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[i + 1])));
}
for (int i = 0; i < FWD3_NB_IRS_NODES; i++) {
FWD3_NODES[i + 1 + FWD3_NB_FUT_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 + 1 + FWD3_NB_FUT_NODES])));
}
}
/** All quotes for the curve calibration */
private static final ImmutableMarketData ALL_QUOTES;
static {
ImmutableMarketDataBuilder builder = ImmutableMarketData.builder(VAL_DATE);
for (int i = 0; i < DSC_NB_NODES; i++) {
builder.addValue(QuoteId.of(StandardId.of(SCHEME, DSC_ID_VALUE[i])), DSC_MARKET_QUOTES[i]);
}
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[]> groupDsc = new ArrayList<>();
groupDsc.add(DSC_NODES);
CURVES_NODES.add(groupDsc);
List<CurveNode[]> groupFwd3 = new ArrayList<>();
groupFwd3.add(FWD3_NODES);
CURVES_NODES.add(groupFwd3);
}
/** All metadata by groups */
private static final List<List<CurveMetadata>> CURVES_METADATA = new ArrayList<>();
static {
List<CurveMetadata> groupDsc = new ArrayList<>();
groupDsc.add(DefaultCurveMetadata.builder().curveName(DSCON_CURVE_NAME).xValueType(ValueType.YEAR_FRACTION)
.yValueType(ValueType.ZERO_RATE).dayCount(CURVE_DC).build());
CURVES_METADATA.add(groupDsc);
List<CurveMetadata> groupFwd3 = new ArrayList<>();
groupFwd3.add(DefaultCurveMetadata.builder().curveName(FWD3_CURVE_NAME).xValueType(ValueType.YEAR_FRACTION)
.yValueType(ValueType.ZERO_RATE).dayCount(CURVE_DC).build());
CURVES_METADATA.add(groupFwd3);
}
private static final DiscountingIborFixingDepositProductPricer FIXING_PRICER =
DiscountingIborFixingDepositProductPricer.DEFAULT;
private static final DiscountingIborFutureTradePricer FUT_PRICER =
DiscountingIborFutureTradePricer.DEFAULT;
private static final DiscountingSwapProductPricer SWAP_PRICER =
DiscountingSwapProductPricer.DEFAULT;
private static final DiscountingTermDepositProductPricer DEPO_PRICER =
DiscountingTermDepositProductPricer.DEFAULT;
private static final MarketQuoteSensitivityCalculator MQC = MarketQuoteSensitivityCalculator.DEFAULT;
private static final CurveCalibrator CALIBRATOR = CurveCalibrator.of(1e-9, 1e-9, 100);
// Constants
private static final double TOLERANCE_PV = 1.0E-6;
private static final double TOLERANCE_PV_DELTA = 1.0E+3;
private static final CurveGroupName CURVE_GROUP_NAME = CurveGroupName.of("USD-DSCON-LIBOR3M");
private static final InterpolatedNodalCurveDefinition DSC_CURVE_DEFN =
InterpolatedNodalCurveDefinition.builder()
.name(DSCON_CURVE_NAME)
.xValueType(ValueType.YEAR_FRACTION)
.yValueType(ValueType.ZERO_RATE)
.dayCount(CURVE_DC)
.interpolator(INTERPOLATOR_LINEAR)
.extrapolatorLeft(EXTRAPOLATOR_FLAT)
.extrapolatorRight(EXTRAPOLATOR_FLAT)
.nodes(DSC_NODES).build();
private static final InterpolatedNodalCurveDefinition FWD3_CURVE_DEFN =
InterpolatedNodalCurveDefinition.builder()
.name(FWD3_CURVE_NAME)
.xValueType(ValueType.YEAR_FRACTION)
.yValueType(ValueType.ZERO_RATE)
.dayCount(CURVE_DC)
.interpolator(INTERPOLATOR_LINEAR)
.extrapolatorLeft(EXTRAPOLATOR_FLAT)
.extrapolatorRight(EXTRAPOLATOR_FLAT)
.nodes(FWD3_NODES).build();
private static final CurveGroupDefinition CURVE_GROUP_CONFIG =
CurveGroupDefinition.builder()
.name(CURVE_GROUP_NAME)
.addCurve(DSC_CURVE_DEFN, USD, USD_FED_FUND)
.addForwardCurve(FWD3_CURVE_DEFN, USD_LIBOR_3M).build();
//-------------------------------------------------------------------------
public void calibration_present_value_oneGroup() {
RatesProvider result = CALIBRATOR.calibrate(CURVE_GROUP_CONFIG, ALL_QUOTES, REF_DATA);
assertPresentValue(result);
}
public void calibration_market_quote_sensitivity_one_group() {
double shift = 1.0E-6;
Function<MarketData, RatesProvider> f =
marketData -> CALIBRATOR.calibrate(CURVE_GROUP_CONFIG, marketData, REF_DATA);
calibration_market_quote_sensitivity_check(f, shift);
}
private void calibration_market_quote_sensitivity_check(
Function<MarketData, RatesProvider> calibrator,
double shift) {
double notional = 100_000_000.0;
double spread = 0.0050;
SwapTrade trade = FixedIborSwapConventions.USD_FIXED_1Y_LIBOR_3M
.createTrade(VAL_DATE, Period.ofMonths(8), Tenor.TENOR_7Y, BuySell.BUY, notional, spread, REF_DATA);
RatesProvider result = calibrator.apply(ALL_QUOTES);
ResolvedSwap product = trade.getProduct().resolve(REF_DATA);
PointSensitivityBuilder pts = SWAP_PRICER.presentValueSensitivity(product, result);
CurrencyParameterSensitivities ps = result.parameterSensitivity(pts.build());
CurrencyParameterSensitivities mqs = MQC.sensitivity(ps, result);
double pv0 = SWAP_PRICER.presentValue(product, result).getAmount(USD).getAmount();
double[] mqsDscComputed = mqs.getSensitivity(DSCON_CURVE_NAME, USD).getSensitivity().toArray();
for (int i = 0; i < DSC_NB_NODES; i++) {
Map<MarketDataId<?>, Object> map = new HashMap<>(ALL_QUOTES.getValues());
map.put(QuoteId.of(StandardId.of(SCHEME, DSC_ID_VALUE[i])), DSC_MARKET_QUOTES[i] + shift);
ImmutableMarketData marketData = ImmutableMarketData.of(VAL_DATE, map);
RatesProvider rpShifted = calibrator.apply(marketData);
double pvS = SWAP_PRICER.presentValue(product, rpShifted).getAmount(USD).getAmount();
assertEquals(mqsDscComputed[i], (pvS - pv0) / shift, TOLERANCE_PV_DELTA, "DSC - node " + i);
}
double[] mqsFwd3Computed = mqs.getSensitivity(FWD3_CURVE_NAME, USD).getSensitivity().toArray();
for (int i = 0; i < FWD3_NB_NODES; i++) {
Map<MarketDataId<?>, Object> map = new HashMap<>(ALL_QUOTES.getValues());
map.put(QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[i])), FWD3_MARKET_QUOTES[i] + shift);
ImmutableMarketData marketData = ImmutableMarketData.of(VAL_DATE, map);
RatesProvider rpShifted = calibrator.apply(marketData);
double pvS = SWAP_PRICER.presentValue(product, rpShifted).getAmount(USD).getAmount();
assertEquals(mqsFwd3Computed[i], (pvS - pv0) / shift, TOLERANCE_PV_DELTA, "FWD3 - node " + i);
}
}
private void assertPresentValue(RatesProvider result) {
// Test PV Dsc
CurveNode[] dscNodes = CURVES_NODES.get(0).get(0);
List<ResolvedTrade> dscTrades = new ArrayList<>();
for (int i = 0; i < dscNodes.length; i++) {
dscTrades.add(dscNodes[i].resolvedTrade(1d, ALL_QUOTES, REF_DATA));
}
// Depo
for (int i = 0; i < DSC_NB_DEPO_NODES; i++) {
CurrencyAmount pvIrs = DEPO_PRICER.presentValue(
((ResolvedTermDepositTrade) dscTrades.get(i)).getProduct(), result);
assertEquals(pvIrs.getAmount(), 0.0, TOLERANCE_PV);
}
// OIS
for (int i = 0; i < DSC_NB_OIS_NODES; i++) {
MultiCurrencyAmount pvIrs = SWAP_PRICER.presentValue(
((ResolvedSwapTrade) dscTrades.get(DSC_NB_DEPO_NODES + i)).getProduct(), result);
assertEquals(pvIrs.getAmount(USD).getAmount(), 0.0, TOLERANCE_PV);
}
// Test PV Fwd3
CurveNode[] fwd3Nodes = CURVES_NODES.get(1).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 pvFixing3 = FIXING_PRICER.presentValue(
((ResolvedIborFixingDepositTrade) fwd3Trades.get(0)).getProduct(), result);
assertEquals(pvFixing3.getAmount(), 0.0, TOLERANCE_PV);
// Futures
for (int i = 0; i < FWD3_NB_FUT_NODES; i++) {
CurrencyAmount pvFut = FUT_PRICER.presentValue(
((ResolvedIborFutureTrade) fwd3Trades.get(i + 1)), result, 0.0);
assertEquals(pvFut.getAmount(), 0.0, TOLERANCE_PV);
}
// IRS
for (int i = 0; i < FWD3_NB_IRS_NODES; i++) {
MultiCurrencyAmount pvIrs = SWAP_PRICER.presentValue(
((ResolvedSwapTrade) fwd3Trades.get(i + 1 + FWD3_NB_FUT_NODES)).getProduct(), result);
assertEquals(pvIrs.getAmount(USD).getAmount(), 0.0, TOLERANCE_PV);
}
}
//-------------------------------------------------------------------------
@SuppressWarnings("unused")
@Test(enabled = false)
void performance() {
long startTime, endTime;
int nbTests = 100;
int nbRep = 3;
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_CONFIG, ALL_QUOTES, REF_DATA);
count += result.getValuationDate().getDayOfMonth();
}
endTime = System.currentTimeMillis();
System.out.println("Performance: " + nbTests + " calibrations for 2 curves with 35 nodes in "
+ (endTime - startTime) + " ms.");
}
System.out.println("Avoiding hotspot: " + count);
// Previous run: 665 ms for 100 calibrations (2 curves simultaneous - 35 nodes)
}
}