/**
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.pricer.swaption;
import static com.opengamma.strata.market.curve.interpolator.CurveInterpolators.LINEAR;
import static com.opengamma.strata.pricer.swaption.SwaptionCubeData.DATA_ARRAY_SPARSE;
import static com.opengamma.strata.pricer.swaption.SwaptionCubeData.DAY_COUNT;
import static com.opengamma.strata.pricer.swaption.SwaptionCubeData.EXPIRIES;
import static com.opengamma.strata.pricer.swaption.SwaptionCubeData.MONEYNESS;
import static com.opengamma.strata.pricer.swaption.SwaptionCubeData.TENORS;
import static com.opengamma.strata.product.swap.type.FixedIborSwapConventions.EUR_FIXED_1Y_EURIBOR_6M;
import static org.testng.Assert.assertEquals;
import java.time.LocalDate;
import java.time.ZoneId;
import java.time.ZonedDateTime;
import java.time.temporal.ChronoUnit;
import java.util.Map;
import org.testng.annotations.Test;
import com.google.common.collect.ImmutableList;
import com.opengamma.strata.basics.ReferenceData;
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.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.BlackFormulaRepository;
import com.opengamma.strata.pricer.impl.option.NormalFormulaRepository;
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.product.common.BuySell;
import com.opengamma.strata.product.common.PutCall;
import com.opengamma.strata.product.swap.SwapTrade;
/**
* Tests {@link SabrSwaptionCalibrator} for a cube. Realistic dimension and data.
*/
@Test
public class SabrSwaptionCalibratorCubeNormalTest {
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/test/resources/";
private static final String GROUPS_FILE = "curve-config/EUR-DSCONOIS-E3BS-E6IRS-group.csv";
private static final String SETTINGS_FILE = "curve-config/EUR-DSCONOIS-E3BS-E6IRS-settings.csv";
private static final String NODES_FILE = "curve-config/EUR-DSCONOIS-E3BS-E6IRS-nodes.csv";
private static final String QUOTES_FILE = "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 TenorRawOptionData DATA_SPARSE = SabrSwaptionCalibratorSmileTestUtils
.rawData(TENORS, EXPIRIES, ValueType.SIMPLE_MONEYNESS, MONEYNESS, ValueType.NORMAL_VOLATILITY, 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, DAY_COUNT, INTERPOLATOR_2D);
private static final double TOLERANCE_PRICE_CALIBRATION_LS = 5.0E-4; // Calibration Least Square; result not exact
@Test
public void normal_cube() {
double beta = 0.50;
Surface betaSurface = ConstantSurface.of("Beta", beta)
.withMetadata(DefaultSurfaceMetadata.builder()
.xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.YEAR_FRACTION)
.zValueType(ValueType.SABR_BETA).surfaceName("Beta").build());
double shift = 0.0300;
Surface shiftSurface = ConstantSurface.of("Shift", shift)
.withMetadata(DefaultSurfaceMetadata.builder()
.xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.YEAR_FRACTION).surfaceName("Shift").build());
SabrParametersSwaptionVolatilities calibrated = SABR_CALIBRATION.calibrateWithFixedBetaAndShift(
DEFINITION, CALIBRATION_TIME, DATA_SPARSE, MULTICURVE, betaSurface, shiftSurface);
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);
double parRate = 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 loopmoney = 0; loopmoney < MONEYNESS.size(); loopmoney++) {
if (!Double.isNaN(DATA_ARRAY_SPARSE[looptenor][loopexpiry][loopmoney])) {
double strike = parRate + MONEYNESS.get(loopmoney);
double volBlack = calibrated.volatility(expiryDateTime, tenor, strike, parRate);
double priceComputed = BlackFormulaRepository.price(parRate + shift, parRate + MONEYNESS.get(loopmoney) + shift,
time, volBlack, true);
double priceNormal = NormalFormulaRepository.price(parRate, parRate + MONEYNESS.get(loopmoney),
time, DATA_ARRAY_SPARSE[looptenor][loopexpiry][loopmoney], PutCall.CALL);
assertEquals(priceComputed, priceNormal, TOLERANCE_PRICE_CALIBRATION_LS);
}
}
}
}
}
}