/**
* 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.basics.date.DayCounts.ACT_365F;
import static com.opengamma.strata.market.curve.interpolator.CurveInterpolators.LINEAR;
import java.time.LocalDate;
import java.time.Period;
import java.time.ZoneId;
import java.time.ZonedDateTime;
import java.util.ArrayList;
import java.util.List;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.date.BusinessDayAdjustment;
import com.opengamma.strata.basics.date.DayCount;
import com.opengamma.strata.basics.date.Tenor;
import com.opengamma.strata.collect.array.DoubleArray;
import com.opengamma.strata.market.ValueType;
import com.opengamma.strata.market.surface.DefaultSurfaceMetadata;
import com.opengamma.strata.market.surface.InterpolatedNodalSurface;
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.product.swap.type.FixedIborSwapConvention;
import com.opengamma.strata.product.swap.type.FixedIborSwapConventions;
/**
* Swaption cube data.
*/
public class SwaptionCubeData {
/** Normal volatility for EUR - Data from 29-February-2016*/
public static final LocalDate DATA_DATE = LocalDate.of(2016, 2, 29);
public static final ZonedDateTime DATA_TIME = DATA_DATE.atTime(10, 0).atZone(ZoneId.of("Europe/Berlin"));
public static final DayCount DAY_COUNT = ACT_365F;
private static final ReferenceData REF_DATA = ReferenceData.standard();
public static final FixedIborSwapConvention EUR_FIXED_1Y_EURIBOR_6M = FixedIborSwapConventions.EUR_FIXED_1Y_EURIBOR_6M;
public static final DoubleArray MONEYNESS =
DoubleArray.of(-0.0200, -0.0100, -0.0050, -0.0025, 0.0000, 0.0025, 0.0050, 0.0100, 0.0200);
public static final List<Period> EXPIRIES = new ArrayList<>();
public static final List<Tenor> TENORS = new ArrayList<>();
static {
EXPIRIES.add(Period.ofMonths(1));
EXPIRIES.add(Period.ofMonths(3));
EXPIRIES.add(Period.ofMonths(6));
EXPIRIES.add(Period.ofYears(1));
EXPIRIES.add(Period.ofYears(2));
EXPIRIES.add(Period.ofYears(5));
TENORS.add(Tenor.TENOR_1Y);
TENORS.add(Tenor.TENOR_2Y);
TENORS.add(Tenor.TENOR_5Y);
}
public static final double[][][] DATA_ARRAY_FULL = {
{{0.003998, 0.003145, 0.002245, 0.001741, 0.001394, 0.001781, 0.002393, 0.003589, 0.005804},
{0.004462, 0.003551, 0.002621, 0.002132, 0.001862, 0.002227, 0.002836, 0.004077, 0.006406},
{0.003918, 0.003098, 0.002411, 0.002104, 0.001982, 0.002185, 0.002563, 0.003409, 0.005046},
{0.003859, 0.003247, 0.002749, 0.002568, 0.002532, 0.002689, 0.00298, 0.003698, 0.005188},
{0.004848, 0.004276, 0.003843, 0.003722, 0.003738, 0.003913, 0.004212, 0.004986, 0.006688},
{0.005923, 0.006168, 0.006307, 0.006397, 0.006505, 0.00663, 0.00677, 0.007095, 0.007873}},
{{0.00471, 0.003704, 0.002744, 0.002253, 0.00201, 0.002384, 0.002995, 0.004249, 0.006605},
{0.004962, 0.003925, 0.002964, 0.002492, 0.00228, 0.002634, 0.003233, 0.004496, 0.006891},
{0.00446, 0.003534, 0.002833, 0.002542, 0.002439, 0.002627, 0.002993, 0.003854, 0.005565},
{0.004485, 0.003779, 0.003279, 0.003112, 0.003086, 0.003233, 0.00351, 0.004227, 0.005766},
{0.005405, 0.004738, 0.004308, 0.004196, 0.004217, 0.004389, 0.004682, 0.005457, 0.007197},
{0.005993, 0.006223, 0.006366, 0.006459, 0.006568, 0.006694, 0.006835, 0.00716, 0.007933}},
{{0.004347, 0.003809, 0.003197, 0.002959, 0.002945, 0.00325, 0.003744, 0.004882, 0.007179},
{0.004648, 0.00427, 0.003745, 0.00358, 0.003633, 0.003958, 0.004459, 0.005644, 0.008099},
{0.004695, 0.004414, 0.004025, 0.003942, 0.004034, 0.004325, 0.00476, 0.005812, 0.008058},
{0.00454, 0.004436, 0.004312, 0.004344, 0.004474, 0.004707, 0.00502, 0.005789, 0.007517},
{0.005106, 0.005107, 0.005145, 0.005224, 0.005351, 0.005527, 0.005745, 0.006278, 0.007537},
{0.00657, 0.006702, 0.006825, 0.006911, 0.007016, 0.00714, 0.007281, 0.00761, 0.008408}}
};
public static final double[][][] DATA_ARRAY_SPARSE = {
{{Double.NaN, Double.NaN, 0.002245, 0.001741, 0.001394, 0.001781, 0.002393, Double.NaN, Double.NaN},
{Double.NaN, 0.003551, 0.002621, 0.002132, 0.001862, 0.002227, 0.002836, 0.004077, Double.NaN},
{0.003918, 0.003098, 0.002411, 0.002104, 0.001982, 0.002185, 0.002563, 0.003409, 0.005046},
{0.003859, 0.003247, Double.NaN, 0.002568, 0.002532, 0.002689, 0.00298, 0.003698, 0.005188},
{0.004848, 0.004276, 0.003843, 0.003722, 0.003738, 0.003913, 0.004212, 0.004986, 0.006688},
{0.005923, 0.006168, 0.006307, 0.006397, 0.006505, 0.00663, 0.00677, 0.007095, 0.007873}},
{{Double.NaN, 0.003704, 0.002744, 0.002253, 0.00201, 0.002384, 0.002995, Double.NaN, 0.006605},
{0.004962, 0.003925, 0.002964, 0.002492, 0.00228, 0.002634, 0.003233, 0.004496, Double.NaN},
{0.00446, 0.003534, 0.002833, 0.002542, 0.002439, 0.002627, 0.002993, 0.003854, 0.005565},
{0.004485, Double.NaN, 0.003279, 0.003112, 0.003086, 0.003233, 0.00351, 0.004227, 0.005766},
{0.005405, 0.004738, 0.004308, 0.004196, 0.004217, 0.004389, 0.004682, 0.005457, 0.007197},
{0.005993, 0.006223, 0.006366, 0.006459, 0.006568, 0.006694, 0.006835, 0.00716, 0.007933}},
{{Double.NaN, 0.003809, 0.003197, 0.002959, 0.002945, 0.00325, 0.003744, 0.004882, Double.NaN},
{Double.NaN, Double.NaN, 0.003745, Double.NaN, 0.003633, Double.NaN, 0.004459, Double.NaN, Double.NaN},
{0.004695, 0.004414, 0.004025, 0.003942, 0.004034, 0.004325, 0.00476, 0.005812, 0.008058},
{0.00454, 0.004436, 0.004312, 0.004344, 0.004474, 0.004707, 0.00502, 0.005789, 0.007517},
{0.005106, 0.005107, 0.005145, 0.005224, 0.005351, 0.005527, 0.005745, 0.006278, 0.007537},
{0.00657, 0.006702, 0.006825, 0.006911, 0.007016, 0.00714, 0.007281, Double.NaN, 0.008408}}
};
/** Normal volatility for EUR - Simplified data for testing purposes*/
public static final List<Period> EXPIRIES_SIMPLE = new ArrayList<>();
public static final List<Tenor> TENORS_SIMPLE = new ArrayList<>();
static {
EXPIRIES_SIMPLE.add(Period.ofMonths(1));
EXPIRIES_SIMPLE.add(Period.ofMonths(6));
EXPIRIES_SIMPLE.add(Period.ofYears(1));
TENORS_SIMPLE.add(Tenor.TENOR_1Y);
TENORS_SIMPLE.add(Tenor.TENOR_2Y);
}
public static final double[][][] DATA_NORMAL_SIMPLE = {
{{0.00446, 0.003534, 0.002833, 0.002542, 0.002439, 0.002627, 0.002993, 0.003854, 0.005565},
{0.00446, 0.003534, 0.002833, 0.002542, 0.002439, 0.002627, 0.002993, 0.003854, 0.005565},
{0.00446, 0.003534, 0.002833, 0.002542, 0.002439, 0.002627, 0.002993, 0.003854, 0.005565}},
{{0.00446, 0.003534, 0.002833, 0.002542, 0.002439, 0.002627, 0.002993, 0.003854, 0.005565},
{0.00446, 0.003534, 0.002833, 0.002542, 0.002439, 0.002627, 0.002993, 0.003854, 0.005565},
{0.00446, 0.003534, 0.002833, 0.002542, 0.002439, 0.002627, 0.002993, 0.003854, 0.005565}}
};
public static final List<Period> EXPIRIES_SIMPLE_2 = new ArrayList<>();
static {
EXPIRIES_SIMPLE_2.add(Period.ofMonths(1));
EXPIRIES_SIMPLE_2.add(Period.ofMonths(3));
EXPIRIES_SIMPLE_2.add(Period.ofMonths(6));
EXPIRIES_SIMPLE_2.add(Period.ofYears(1));
}
public static final double[] DATA_NORMAL_ATM_SIMPLE =
{0.00265, 0.00270, 0.00260, 0.00265, 0.00255, 0.00260, 0.00250, 0.00255};
public static final double[] DATA_LOGNORMAL_ATM_SIMPLE =
{0.265, 0.270, 0.260, 0.265, 0.255, 0.260, 0.250, 0.255};
public static final double[] EXPIRIES_SIMPLE_2_TIME = new double[DATA_NORMAL_ATM_SIMPLE.length];
static {
for (int i = 0; i < EXPIRIES_SIMPLE_2.size(); i++) {
BusinessDayAdjustment bda = EUR_FIXED_1Y_EURIBOR_6M.getFloatingLeg().getStartDateBusinessDayAdjustment();
EXPIRIES_SIMPLE_2_TIME[2 * i] =
DAY_COUNT.relativeYearFraction(DATA_DATE, bda.adjust(DATA_DATE.plus(EXPIRIES_SIMPLE_2.get(i)), REF_DATA));
EXPIRIES_SIMPLE_2_TIME[2 * i + 1] = EXPIRIES_SIMPLE_2_TIME[2 * i];
}
}
public static final double[] TENOR_TIME = {1, 2, 1, 2, 1, 2, 1, 2};
private static final SurfaceMetadata METADATA_NORMAL = DefaultSurfaceMetadata.builder().surfaceName("ATM")
.xValueType(ValueType.YEAR_FRACTION)
.yValueType(ValueType.YEAR_FRACTION)
.zValueType(ValueType.NORMAL_VOLATILITY)
.dayCount(DAY_COUNT)
.build();
private static final SurfaceMetadata METADATA_LOGNORMAL = DefaultSurfaceMetadata.builder().surfaceName("ATM")
.xValueType(ValueType.YEAR_FRACTION)
.yValueType(ValueType.YEAR_FRACTION)
.zValueType(ValueType.BLACK_VOLATILITY)
.dayCount(DAY_COUNT)
.build();
private static final SurfaceInterpolator INTERPOLATOR_2D = GridSurfaceInterpolator.of(LINEAR, LINEAR);
public static final InterpolatedNodalSurface ATM_NORMAL_SIMPLE_SURFACE =
InterpolatedNodalSurface.of(METADATA_NORMAL, DoubleArray.ofUnsafe(EXPIRIES_SIMPLE_2_TIME),
DoubleArray.ofUnsafe(TENOR_TIME), DoubleArray.ofUnsafe(DATA_NORMAL_ATM_SIMPLE), INTERPOLATOR_2D);
public static final InterpolatedNodalSurface ATM_LOGNORMAL_SIMPLE_SURFACE =
InterpolatedNodalSurface.of(METADATA_LOGNORMAL, DoubleArray.ofUnsafe(EXPIRIES_SIMPLE_2_TIME),
DoubleArray.ofUnsafe(TENOR_TIME), DoubleArray.ofUnsafe(DATA_LOGNORMAL_ATM_SIMPLE), INTERPOLATOR_2D);
public static final SwaptionVolatilities ATM_NORMAL_SIMPLE =
NormalSwaptionExpiryTenorVolatilities.of(EUR_FIXED_1Y_EURIBOR_6M, DATA_TIME, ATM_NORMAL_SIMPLE_SURFACE);
public static final SwaptionVolatilities ATM_LOGNORMAL_SIMPLE =
BlackSwaptionExpiryTenorVolatilities.of(EUR_FIXED_1Y_EURIBOR_6M, DATA_TIME, ATM_LOGNORMAL_SIMPLE_SURFACE);
}