/** * 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.EUR; 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.OvernightIndices.USD_FED_FUND; import static com.opengamma.strata.product.deposit.type.TermDepositConventions.USD_SHORT_DEPOSIT_T0; import static com.opengamma.strata.product.deposit.type.TermDepositConventions.USD_SHORT_DEPOSIT_T1; import static com.opengamma.strata.product.fx.type.FxSwapConventions.EUR_USD; 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.FxRate; 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.FxRateId; 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.CurveName; import com.opengamma.strata.market.curve.CurveNode; 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.FixedOvernightSwapCurveNode; import com.opengamma.strata.market.curve.node.FxSwapCurveNode; 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.PointSensitivities; import com.opengamma.strata.pricer.deposit.DiscountingTermDepositProductPricer; import com.opengamma.strata.pricer.fx.DiscountingFxSwapProductPricer; 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.ResolvedTermDepositTrade; import com.opengamma.strata.product.deposit.type.TermDepositTemplate; import com.opengamma.strata.product.fx.ResolvedFxSwapTrade; import com.opengamma.strata.product.fx.type.FxSwapTemplate; import com.opengamma.strata.product.swap.ResolvedSwapTrade; import com.opengamma.strata.product.swap.type.FixedOvernightSwapTemplate; /** * Test for curve calibration in USD and EUR. * The USD curve is obtained by OIS and the EUR one by FX Swaps from USD. */ @Test public class CalibrationZeroRateUsdEur2OisFxTest { private static final LocalDate VAL_DATE = LocalDate.of(2015, 11, 2); 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 names */ private static final String USD_DSCON_STR = "USD-DSCON-OIS"; private static final CurveName USD_DSCON_CURVE_NAME = CurveName.of(USD_DSCON_STR); private static final String EUR_DSC_STR = "EUR-DSC-FX"; private static final CurveName EUR_DSC_CURVE_NAME = CurveName.of(EUR_DSC_STR); /** 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(USD_DSCON_CURVE_NAME, USD); Set<Index> usdFedFundSet = new HashSet<>(); usdFedFundSet.add(USD_FED_FUND); IDX_NAMES.put(USD_DSCON_CURVE_NAME, usdFedFundSet); } /** Data FX **/ private static final FxRate FX_RATE_EUR_USD = FxRate.of(EUR, USD, 1.10); /** Data for USD-DSCON curve */ /* Market values */ private static final double[] USD_DSC_MARKET_QUOTES = new double[] { 0.0016, 0.0022, 0.0013, 0.0016, 0.0020, 0.0026, 0.0033, 0.0039, 0.0053, 0.0066, 0.0090, 0.0111}; private static final int USD_DSC_NB_NODES = USD_DSC_MARKET_QUOTES.length; private static final String[] USD_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"}; /* Nodes */ private static final CurveNode[] USD_DSC_NODES = new CurveNode[USD_DSC_NB_NODES]; /* Tenors */ private static final int[] USD_DSC_DEPO_OFFSET = new int[] {0, 1 }; private static final int USD_DSC_NB_DEPO_NODES = USD_DSC_DEPO_OFFSET.length; private static final Period[] USD_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) }; private static final int USD_DSC_NB_OIS_NODES = USD_DSC_OIS_TENORS.length; static { USD_DSC_NODES[0] = TermDepositCurveNode.of(TermDepositTemplate.of(Period.ofDays(1), USD_SHORT_DEPOSIT_T0), QuoteId.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[0]))); USD_DSC_NODES[1] = TermDepositCurveNode.of(TermDepositTemplate.of(Period.ofDays(1), USD_SHORT_DEPOSIT_T1), QuoteId.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[1]))); for (int i = 0; i < USD_DSC_NB_OIS_NODES; i++) { USD_DSC_NODES[USD_DSC_NB_DEPO_NODES + i] = FixedOvernightSwapCurveNode.of( FixedOvernightSwapTemplate.of(Period.ZERO, Tenor.of(USD_DSC_OIS_TENORS[i]), USD_FIXED_1Y_FED_FUND_OIS), QuoteId.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[USD_DSC_NB_DEPO_NODES + i]))); } } /** Data for EUR-DSC curve */ /* Market values */ private static final double[] EUR_DSC_MARKET_QUOTES = new double[] { 0.0004, 0.0012, 0.0019, 0.0043, 0.0074, 0.0109, 0.0193, 0.0294, 0.0519, 0.0757}; private static final int EUR_DSC_NB_NODES = EUR_DSC_MARKET_QUOTES.length; private static final String[] EUR_DSC_ID_VALUE = new String[] { "EUR-USD-FX-1M", "EUR-USD-FX-2M", "EUR-USD-FX-3M", "EUR-USD-FX-6M", "EUR-USD-FX-9M", "EUR-USD-FX-1Y", "EUR-USD-FX-18M", "EUR-USD-FX-2Y", "EUR-USD-FX-3Y", "EUR-USD-FX-4Y"}; /* Nodes */ private static final CurveNode[] EUR_DSC_NODES = new CurveNode[EUR_DSC_NB_NODES]; /* Tenors */ private static final Period[] EUR_DSC_FX_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)}; private static final int EUR_DSC_NB_FX_NODES = EUR_DSC_FX_TENORS.length; static { for (int i = 0; i < EUR_DSC_NB_FX_NODES; i++) { EUR_DSC_NODES[i] = FxSwapCurveNode.of( FxSwapTemplate.of(EUR_DSC_FX_TENORS[i], EUR_USD), QuoteId.of(StandardId.of(SCHEME, EUR_DSC_ID_VALUE[i]))); } } /** All quotes for the curve calibration */ private static final ImmutableMarketData ALL_QUOTES; static { ImmutableMarketDataBuilder builder = ImmutableMarketData.builder(VAL_DATE); for (int i = 0; i < USD_DSC_NB_NODES; i++) { builder.addValue(QuoteId.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[i])), USD_DSC_MARKET_QUOTES[i]); } for (int i = 0; i < EUR_DSC_NB_NODES; i++) { builder.addValue(QuoteId.of(StandardId.of(SCHEME, EUR_DSC_ID_VALUE[i])), EUR_DSC_MARKET_QUOTES[i]); } builder.addValue(FxRateId.of(EUR, USD), FX_RATE_EUR_USD); ALL_QUOTES = builder.build(); } private static final DiscountingSwapProductPricer SWAP_PRICER = DiscountingSwapProductPricer.DEFAULT; private static final DiscountingTermDepositProductPricer DEPO_PRICER = DiscountingTermDepositProductPricer.DEFAULT; private static final DiscountingFxSwapProductPricer FX_PRICER = DiscountingFxSwapProductPricer.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-EUR-DSC"); private static final InterpolatedNodalCurveDefinition USD_DSC_CURVE_DEFN = InterpolatedNodalCurveDefinition.builder() .name(USD_DSCON_CURVE_NAME) .xValueType(ValueType.YEAR_FRACTION) .yValueType(ValueType.ZERO_RATE) .dayCount(CURVE_DC) .interpolator(INTERPOLATOR_LINEAR) .extrapolatorLeft(EXTRAPOLATOR_FLAT) .extrapolatorRight(EXTRAPOLATOR_FLAT) .nodes(USD_DSC_NODES).build(); private static final InterpolatedNodalCurveDefinition EUR_DSC_CURVE_DEFN = InterpolatedNodalCurveDefinition.builder() .name(EUR_DSC_CURVE_NAME) .xValueType(ValueType.YEAR_FRACTION) .yValueType(ValueType.ZERO_RATE) .dayCount(CURVE_DC) .interpolator(INTERPOLATOR_LINEAR) .extrapolatorLeft(EXTRAPOLATOR_FLAT) .extrapolatorRight(EXTRAPOLATOR_FLAT) .nodes(EUR_DSC_NODES).build(); private static final CurveGroupDefinition CURVE_GROUP_CONFIG = CurveGroupDefinition.builder() .name(CURVE_GROUP_NAME) .addCurve(USD_DSC_CURVE_DEFN, USD, USD_FED_FUND) .addDiscountCurve(EUR_DSC_CURVE_DEFN, EUR).build(); //------------------------------------------------------------------------- public void calibration_present_value_oneGroup() { RatesProvider result = CALIBRATOR.calibrate(CURVE_GROUP_CONFIG, ALL_QUOTES, REF_DATA); assertPresentValue(result); } private void assertPresentValue(RatesProvider result) { // Test PV USD; List<ResolvedTrade> usdTrades = new ArrayList<>(); for (int i = 0; i < USD_DSC_NODES.length; i++) { usdTrades.add(USD_DSC_NODES[i].resolvedTrade(1d, ALL_QUOTES, REF_DATA)); } // Depo for (int i = 0; i < USD_DSC_NB_DEPO_NODES; i++) { CurrencyAmount pvDep = DEPO_PRICER.presentValue( ((ResolvedTermDepositTrade) usdTrades.get(i)).getProduct(), result); assertEquals(pvDep.getAmount(), 0.0, TOLERANCE_PV); } // OIS for (int i = 0; i < USD_DSC_NB_OIS_NODES; i++) { MultiCurrencyAmount pvOis = SWAP_PRICER.presentValue( ((ResolvedSwapTrade) usdTrades.get(USD_DSC_NB_DEPO_NODES + i)).getProduct(), result); assertEquals(pvOis.getAmount(USD).getAmount(), 0.0, TOLERANCE_PV); } // Test PV EUR; List<ResolvedTrade> eurTrades = new ArrayList<>(); for (int i = 0; i < EUR_DSC_NODES.length; i++) { eurTrades.add(EUR_DSC_NODES[i].resolvedTrade(1d, ALL_QUOTES, REF_DATA)); } // Depo for (int i = 0; i < EUR_DSC_NB_FX_NODES; i++) { MultiCurrencyAmount pvFx = FX_PRICER.presentValue( ((ResolvedFxSwapTrade) eurTrades.get(i)).getProduct(), result); assertEquals(pvFx.convertedTo(USD, result).getAmount(), 0.0, TOLERANCE_PV); } } public void calibration_market_quote_sensitivity_one_group() { double shift = 1.0E-6; Function<MarketData, RatesProvider> f = ov -> CALIBRATOR.calibrate(CURVE_GROUP_CONFIG, ov, 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 fx = 1.1111; double fxPts = 0.0012; ResolvedFxSwapTrade trade = EUR_USD .createTrade(VAL_DATE, Period.ofWeeks(6), Period.ofMonths(5), BuySell.BUY, notional, fx, fxPts, REF_DATA) .resolve(REF_DATA); RatesProvider result = CALIBRATOR.calibrate(CURVE_GROUP_CONFIG, ALL_QUOTES, REF_DATA); PointSensitivities pts = FX_PRICER.presentValueSensitivity(trade.getProduct(), result); CurrencyParameterSensitivities ps = result.parameterSensitivity(pts); CurrencyParameterSensitivities mqs = MQC.sensitivity(ps, result); double pvUsd = FX_PRICER.presentValue(trade.getProduct(), result).getAmount(USD).getAmount(); double pvEur = FX_PRICER.presentValue(trade.getProduct(), result).getAmount(EUR).getAmount(); double[] mqsUsd1Computed = mqs.getSensitivity(USD_DSCON_CURVE_NAME, USD).getSensitivity().toArray(); for (int i = 0; i < USD_DSC_NB_NODES; i++) { Map<MarketDataId<?>, Object> map = new HashMap<>(ALL_QUOTES.getValues()); map.put(QuoteId.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[i])), USD_DSC_MARKET_QUOTES[i] + shift); ImmutableMarketData marketData = ImmutableMarketData.of(VAL_DATE, map); RatesProvider rpShifted = calibrator.apply(marketData); double pvS = FX_PRICER.presentValue(trade.getProduct(), rpShifted).getAmount(USD).getAmount(); assertEquals(mqsUsd1Computed[i], (pvS - pvUsd) / shift, TOLERANCE_PV_DELTA); } double[] mqsUsd2Computed = mqs.getSensitivity(USD_DSCON_CURVE_NAME, EUR).getSensitivity().toArray(); for (int i = 0; i < USD_DSC_NB_NODES; i++) { Map<MarketDataId<?>, Object> map = new HashMap<>(ALL_QUOTES.getValues()); map.put(QuoteId.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[i])), USD_DSC_MARKET_QUOTES[i] + shift); ImmutableMarketData ov = ImmutableMarketData.of(VAL_DATE, map); RatesProvider rpShifted = calibrator.apply(ov); double pvS = FX_PRICER.presentValue(trade.getProduct(), rpShifted).getAmount(EUR).getAmount(); assertEquals(mqsUsd2Computed[i], (pvS - pvEur) / shift, TOLERANCE_PV_DELTA); } double[] mqsEur1Computed = mqs.getSensitivity(EUR_DSC_CURVE_NAME, USD).getSensitivity().toArray(); for (int i = 0; i < EUR_DSC_NB_NODES; i++) { assertEquals(mqsEur1Computed[i], 0.0 , TOLERANCE_PV_DELTA); } double[] mqsEur2Computed = mqs.getSensitivity(EUR_DSC_CURVE_NAME, EUR).getSensitivity().toArray(); for (int i = 0; i < EUR_DSC_NB_NODES; i++) { Map<MarketDataId<?>, Object> map = new HashMap<>(ALL_QUOTES.getValues()); map.put(QuoteId.of(StandardId.of(SCHEME, EUR_DSC_ID_VALUE[i])), EUR_DSC_MARKET_QUOTES[i] + shift); ImmutableMarketData marketData = ImmutableMarketData.of(VAL_DATE, map); RatesProvider rpShifted = calibrator.apply(marketData); double pvS = FX_PRICER.presentValue(trade.getProduct(), rpShifted).getAmount(EUR).getAmount(); assertEquals(mqsEur2Computed[i], (pvS - pvEur) / shift, TOLERANCE_PV_DELTA, "Node " + i); } } }