/** * Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.analytics.financial.curve; import org.testng.annotations.Test; import com.opengamma.util.test.TestGroup; /** * Build of curve in several currencies in several blocks with relevant Jacobian matrices. * Currencies: USD (2 curves), EUR (2 curves), JPY (3 curves) * TODO: This is old code that has been commented. It should be removed at some point. */ @Test(groups = TestGroup.UNIT) public class CurveConstructionXCcyTest { // // private static final Interpolator1D INTERPOLATOR = CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.DOUBLE_QUADRATIC, // // Interpolator1DFactory.LINEAR_EXTRAPOLATOR, Interpolator1DFactory.FLAT_EXTRAPOLATOR); // private static final Interpolator1D INTERPOLATOR = CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.LINEAR, Interpolator1DFactory.LINEAR_EXTRAPOLATOR, // Interpolator1DFactory.FLAT_EXTRAPOLATOR); // private static final MatrixAlgebra MATRIX_ALGEBRA = new CommonsMatrixAlgebra(); // // private static final LastTimeCalculator MATURITY_CALCULATOR = LastTimeCalculator.getInstance(); // private static final double TOLERANCE_ROOT = 1.0E-10; // private static final BroydenVectorRootFinder ROOT_FINDER = new BroydenVectorRootFinder(TOLERANCE_ROOT, TOLERANCE_ROOT, 10000, // DecompositionFactory.getDecomposition(DecompositionFactory.SV_COLT_NAME)); // private static final Currency CCY_USD = Currency.USD; // private static final Currency CCY_EUR = Currency.EUR; // private static final Currency CCY_JPY = Currency.JPY; // private static final double FX_EURUSD = 1.40; // private static final double FX_USDJPY = 80.0; // private static final FXMatrix FX_MATRIX = new FXMatrix(CCY_USD); // private static final Calendar CALENDAR = new MondayToFridayCalendar("CAL"); // private static final int SPOT_LAG = 2; // private static final DayCount DAY_COUNT_CASH = DayCounts.ACT_360; // private static final DayCount DAY_COUNT_CASH_3 = DayCounts.ACT_365; // private static final double NOTIONAL = 1.0; // private static final BusinessDayConvention BDC = BusinessDayConventions.MODIFIED_FOLLOWING; // private static final IndexON INDEX_ON_1 = new IndexON("Fed Fund", CCY_USD, DAY_COUNT_CASH, 1, CALENDAR); // private static final GeneratorDepositON GENERATOR_DEPOSIT_ON_1 = new GeneratorDepositON("USD Deposit ON", CCY_USD, CALENDAR, DAY_COUNT_CASH); // private static final GeneratorDepositON GENERATOR_DEPOSIT_ON_2 = new GeneratorDepositON("EUR Deposit ON", CCY_EUR, CALENDAR, DAY_COUNT_CASH); // private static final GeneratorDepositON GENERATOR_DEPOSIT_ON_3 = new GeneratorDepositON("JPY Deposit ON", CCY_JPY, CALENDAR, DAY_COUNT_CASH_3); // private static final GeneratorSwapFixedON GENERATOR_OIS_1 = new GeneratorSwapFixedON("USD1YFEDFUND", INDEX_ON_1, Period.ofMonths(12), DAY_COUNT_CASH, BDC, true, SPOT_LAG, SPOT_LAG); // private static final GeneratorForexSwap GENERATOR_FX_EURUSD = new GeneratorForexSwap("EURUSD", CCY_EUR, CCY_USD, CALENDAR, SPOT_LAG, BDC, true); // private static final GeneratorForexSwap GENERATOR_FX_USDJPY = new GeneratorForexSwap("USDJPY", CCY_USD, CCY_JPY, CALENDAR, SPOT_LAG, BDC, true); // private static final GeneratorDeposit GENERATOR_DEPOSIT_USD = new GeneratorDeposit("USD Deposit", CCY_USD, CALENDAR, SPOT_LAG, DAY_COUNT_CASH, BDC, true); // private static final GeneratorDeposit GENERATOR_DEPOSIT_EUR = new GeneratorDeposit("EUR Deposit", CCY_EUR, CALENDAR, SPOT_LAG, DAY_COUNT_CASH, BDC, true); // private static final GeneratorDeposit GENERATOR_DEPOSIT_JPY = new GeneratorDeposit("JPY Deposit", CCY_JPY, CALENDAR, SPOT_LAG, DAY_COUNT_CASH, BDC, true); // private static final GeneratorSwapFixedIborMaster GENERATOR_SWAP_MASTER = GeneratorSwapFixedIborMaster.getInstance(); // private static final GeneratorSwapFixedIbor USD6MLIBOR3M = GENERATOR_SWAP_MASTER.getGenerator("USD6MLIBOR3M", CALENDAR); // private static final GeneratorSwapFixedIbor EUR1YEURIBOR3M = GENERATOR_SWAP_MASTER.getGenerator("EUR1YEURIBOR3M", CALENDAR); // private static final GeneratorSwapFixedIbor JPY6MLIBOR6M = GENERATOR_SWAP_MASTER.getGenerator("JPY6MLIBOR6M", CALENDAR); // private static final IborIndex USDLIBOR3M = USD6MLIBOR3M.getIborIndex(); // private static final IborIndex EURIBOR3M = EUR1YEURIBOR3M.getIborIndex(); // private static final IborIndex JPYLIBOR6M = JPY6MLIBOR6M.getIborIndex(); // private static final IborIndex JPYLIBOR3M = IndexIborMaster.getInstance().getIndex("JPYLIBOR3M", CALENDAR); // private static final GeneratorSwapXCcyIborIbor EURIBOR3MUSDLIBOR3M = new GeneratorSwapXCcyIborIbor("EURIBOR3MUSDLIBOR3M", EURIBOR3M, USDLIBOR3M); // Spread on EUR leg // private static final GeneratorSwapXCcyIborIbor JPYLIBOR3MUSDLIBOR3M = new GeneratorSwapXCcyIborIbor("JPYLIBOR3MUSDLIBOR3M", JPYLIBOR3M, USDLIBOR3M); // Spread on JPY leg // private static final GeneratorSwapXCcyIborIbor JPYLIBOR3MEURIBOR3M = new GeneratorSwapXCcyIborIbor("JPYLIBOR3MEURIBOR3M", JPYLIBOR3M, EURIBOR3M); // Spread on JPY leg // private static final GeneratorSwapIborIbor JPYLIBOR6MLIBOR3M = new GeneratorSwapIborIbor("JPYLIBOR6MLIBOR3M", JPYLIBOR3M, JPYLIBOR6M); // // private static final ZonedDateTime NOW = DateUtils.getUTCDate(2011, 9, 28); // // private static final ArrayZonedDateTimeDoubleTimeSeries TS_EMPTY = new ArrayZonedDateTimeDoubleTimeSeries(); // private static final ArrayZonedDateTimeDoubleTimeSeries TS_ON_USD_WITH_TODAY = new ArrayZonedDateTimeDoubleTimeSeries(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27), // DateUtils.getUTCDate(2011, 9, 28) }, new double[] {0.07, 0.08 }); // private static final ArrayZonedDateTimeDoubleTimeSeries TS_ON_USD_WITHOUT_TODAY = new ArrayZonedDateTimeDoubleTimeSeries(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27), // DateUtils.getUTCDate(2011, 9, 28) }, new double[] {0.07, 0.08 }); // @SuppressWarnings("rawtypes") // private static final DoubleTimeSeries[] TS_FIXED_OIS_USD_WITH_TODAY = new DoubleTimeSeries[] {TS_EMPTY, TS_ON_USD_WITH_TODAY }; // @SuppressWarnings("rawtypes") // private static final DoubleTimeSeries[] TS_FIXED_OIS_USD_WITHOUT_TODAY = new DoubleTimeSeries[] {TS_EMPTY, TS_ON_USD_WITHOUT_TODAY }; // // private static final ArrayZonedDateTimeDoubleTimeSeries TS_IBOR_USD3M_WITH_TODAY = new ArrayZonedDateTimeDoubleTimeSeries(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27), // DateUtils.getUTCDate(2011, 9, 28) }, new double[] {0.0035, 0.0036 }); // private static final ArrayZonedDateTimeDoubleTimeSeries TS_IBOR_USD3M_WITHOUT_TODAY = new ArrayZonedDateTimeDoubleTimeSeries(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27) }, // new double[] {0.0035 }); // // private static final ArrayZonedDateTimeDoubleTimeSeries TS_IBOR_EUR3M_WITH_TODAY = new ArrayZonedDateTimeDoubleTimeSeries(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27), // DateUtils.getUTCDate(2011, 9, 28) }, new double[] {0.0060, 0.0061 }); // private static final ArrayZonedDateTimeDoubleTimeSeries TS_IBOR_EUR3M_WITHOUT_TODAY = new ArrayZonedDateTimeDoubleTimeSeries(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27) }, // new double[] {0.0060 }); // // private static final ArrayZonedDateTimeDoubleTimeSeries TS_IBOR_JPY3M_WITH_TODAY = new ArrayZonedDateTimeDoubleTimeSeries(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27), // DateUtils.getUTCDate(2011, 9, 28) }, new double[] {0.0060, 0.0061 }); // private static final ArrayZonedDateTimeDoubleTimeSeries TS_IBOR_JPY3M_WITHOUT_TODAY = new ArrayZonedDateTimeDoubleTimeSeries(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27) }, // new double[] {0.0060 }); // private static final ArrayZonedDateTimeDoubleTimeSeries TS_IBOR_JPY6M_WITH_TODAY = new ArrayZonedDateTimeDoubleTimeSeries(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27), // DateUtils.getUTCDate(2011, 9, 28) }, new double[] {0.0060, 0.0061 }); // private static final ArrayZonedDateTimeDoubleTimeSeries TS_IBOR_JPY6M_WITHOUT_TODAY = new ArrayZonedDateTimeDoubleTimeSeries(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27) }, // new double[] {0.0060 }); // @SuppressWarnings("rawtypes") // private static final DoubleTimeSeries[] TS_FIXED_IBOR_USD3M_WITH_TODAY = new DoubleTimeSeries[] {TS_IBOR_USD3M_WITH_TODAY }; // @SuppressWarnings("rawtypes") // private static final DoubleTimeSeries[] TS_FIXED_IBOR_USD3M_WITHOUT_TODAY = new DoubleTimeSeries[] {TS_IBOR_USD3M_WITHOUT_TODAY }; // @SuppressWarnings("rawtypes") // private static final DoubleTimeSeries[] TS_FIXED_IBOR_EUR3M_WITH_TODAY = new DoubleTimeSeries[] {TS_IBOR_EUR3M_WITH_TODAY }; // @SuppressWarnings("rawtypes") // private static final DoubleTimeSeries[] TS_FIXED_IBOR_EUR3M_WITHOUT_TODAY = new DoubleTimeSeries[] {TS_IBOR_EUR3M_WITHOUT_TODAY }; // @SuppressWarnings("rawtypes") // private static final DoubleTimeSeries[] TS_FIXED_IBOR_EURUSD3M_WITH_TODAY = new DoubleTimeSeries[] {TS_IBOR_EUR3M_WITH_TODAY, TS_IBOR_USD3M_WITH_TODAY }; // @SuppressWarnings("rawtypes") // private static final DoubleTimeSeries[] TS_FIXED_IBOR_EURUSD3M_WITHOUT_TODAY = new DoubleTimeSeries[] {TS_IBOR_EUR3M_WITHOUT_TODAY, TS_IBOR_USD3M_WITHOUT_TODAY }; // @SuppressWarnings("rawtypes") // private static final DoubleTimeSeries[] TS_FIXED_IBOR_JPY3MJPY6M_WITH_TODAY = new DoubleTimeSeries[] {TS_IBOR_JPY3M_WITH_TODAY, TS_IBOR_JPY6M_WITH_TODAY }; // @SuppressWarnings("rawtypes") // private static final DoubleTimeSeries[] TS_FIXED_IBOR_JPY3MJPY6M_WITHOUT_TODAY = new DoubleTimeSeries[] {TS_IBOR_JPY3M_WITHOUT_TODAY, TS_IBOR_JPY6M_WITHOUT_TODAY }; // // private static final String CURVE_NAME_DSC_USD = "USD Dsc"; // private static final String CURVE_NAME_FWD3_USD = "USD Fwd 3M"; // private static final String CURVE_NAME_DSC_EUR = "EUR Dsc"; // private static final String CURVE_NAME_FWD3_EUR = "EUR Fwd 3M"; // private static final String CURVE_NAME_DSC_JPY = "JPY Dsc"; // private static final String CURVE_NAME_FWD3_JPY = "JPY Fwd 3M"; // private static final String CURVE_NAME_FWD6_JPY = "JPY Fwd 6M"; // private static final HashMap<String, Currency> CCY_MAP = new HashMap<String, Currency>(); // static { // CCY_MAP.put(CURVE_NAME_DSC_USD, CCY_USD); // CCY_MAP.put(CURVE_NAME_FWD3_USD, CCY_USD); // CCY_MAP.put(CURVE_NAME_DSC_EUR, CCY_EUR); // CCY_MAP.put(CURVE_NAME_FWD3_EUR, CCY_EUR); // CCY_MAP.put(CURVE_NAME_DSC_JPY, CCY_JPY); // CCY_MAP.put(CURVE_NAME_FWD3_JPY, CCY_JPY); // CCY_MAP.put(CURVE_NAME_FWD6_JPY, CCY_JPY); // FX_MATRIX.addCurrency(CCY_EUR, CCY_USD, FX_EURUSD); // FX_MATRIX.addCurrency(CCY_JPY, CCY_USD, 1 / FX_USDJPY); // } // // /** Market values for the dsc USD curve */ // public static final double[] DSC_1_MARKET_QUOTES = new double[] {0.0010, 0.0010, 0.0010, 0.0010, 0.0010, 0.0010, 0.0010, 0.0010, 0.0015, 0.0020, 0.0035, 0.0050, 0.0130 }; // /** Generators for the dsc USD curve */ // public static final GeneratorInstrument[] DSC_1_GENERATORS = new GeneratorInstrument[] {GENERATOR_DEPOSIT_ON_1, GENERATOR_DEPOSIT_ON_1, GENERATOR_OIS_1, GENERATOR_OIS_1, GENERATOR_OIS_1, // GENERATOR_OIS_1, GENERATOR_OIS_1, GENERATOR_OIS_1, GENERATOR_OIS_1, GENERATOR_OIS_1, GENERATOR_OIS_1, GENERATOR_OIS_1, GENERATOR_OIS_1}; // /** Tenors for the dsc USD curve */ // public static final Period[] DSC_1_TENOR = new Period[] {Period.ofDays(0), Period.ofDays(1), Period.ofMonths(1), Period.ofMonths(2), Period.ofMonths(3), Period.ofMonths(6), Period.ofMonths(9), // Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(4), Period.ofYears(5), Period.ofYears(10) }; // // /** Market values for the Fwd 3M USD curve */ // public static final double[] FWD_1_MARKET_QUOTES = new double[] {0.0045, 0.0045, 0.0045, 0.0045, 0.0060, 0.0070, 0.0080, 0.0160 }; // /** Generators for the Fwd 3M USD curve */ // public static final GeneratorInstrument[] FWD_1_GENERATORS = new GeneratorInstrument[] {GENERATOR_DEPOSIT_USD, USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M, // USD6MLIBOR3M}; // /** Tenors for the Fwd 3M USD curve */ // public static final Period[] FWD_1_TENOR = new Period[] {Period.ofMonths(3), Period.ofMonths(6), Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(4), Period.ofYears(5), // Period.ofYears(10) }; // // /** Market values for the dsc EUR curve */ // public static final double[] DSC_EUR_MARKET_QUOTES = new double[] {0.0010, 0.0010, 0.0004, 0.0009, 0.0015, 0.0035, 0.0050, 0.0060, -0.0050, -0.0050, -0.0050, -0.0045, -0.0040 }; // // public static final double[] DSC_EUR_MARKET_QUOTES = new double[] {0.0010, 0.0010, 0.0004 * FX_EURUSD, 0.0009 * FX_EURUSD, 0.0015 * FX_EURUSD, 0.0035 * FX_EURUSD, 0.0050 * FX_EURUSD, // // 0.0060 * FX_EURUSD, -0.0050, -0.0050, -0.0050, -0.0045, -0.0040}; // /** Generators for the dsc EUR curve */ // public static final GeneratorInstrument[] DSC_EUR_GENERATORS = new GeneratorInstrument[] {GENERATOR_DEPOSIT_ON_2, GENERATOR_DEPOSIT_ON_2, GENERATOR_FX_EURUSD, GENERATOR_FX_EURUSD, // GENERATOR_FX_EURUSD, GENERATOR_FX_EURUSD, GENERATOR_FX_EURUSD, GENERATOR_FX_EURUSD, EURIBOR3MUSDLIBOR3M, EURIBOR3MUSDLIBOR3M, EURIBOR3MUSDLIBOR3M, EURIBOR3MUSDLIBOR3M, EURIBOR3MUSDLIBOR3M}; // /** Tenors for the dsc EUR curve */ // public static final Period[] DSC_EUR_TENOR = new Period[] {Period.ofDays(0), Period.ofDays(1), Period.ofMonths(1), Period.ofMonths(2), Period.ofMonths(3), Period.ofMonths(6), Period.ofMonths(9), // Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(4), Period.ofYears(5), Period.ofYears(10) }; // // /** FX rqtes for the dsc EUR curve */ // // public static final Double[] DSC_EUR_FX_RATE = new Double[] {FX_EURUSD, FX_EURUSD, FX_EURUSD, FX_EURUSD, FX_EURUSD, FX_EURUSD, FX_EURUSD, FX_EURUSD, FX_EURUSD, FX_EURUSD, FX_EURUSD, FX_EURUSD, // // FX_EURUSD}; // // /** Market values for the Fwd 3M EUR curve */ // public static final double[] FWD_EUR_MARKET_QUOTES = new double[] {0.0045, 0.0045, 0.0045, 0.0045, 0.0050, 0.0060, 0.0085, 0.0160 }; // /** Generators for the Fwd 3M USD curve */ // public static final GeneratorInstrument[] FWD_EUR_GENERATORS = new GeneratorInstrument[] {GENERATOR_DEPOSIT_EUR, EUR1YEURIBOR3M, EUR1YEURIBOR3M, EUR1YEURIBOR3M, EUR1YEURIBOR3M, EUR1YEURIBOR3M, // EUR1YEURIBOR3M, EUR1YEURIBOR3M}; // /** Tenors for the Fwd 3M USD curve */ // public static final Period[] FWD_EUR_TENOR = new Period[] {Period.ofMonths(3), Period.ofMonths(6), Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(4), Period.ofYears(5), // Period.ofYears(10) }; // // /** Market values for the dsc JPY curve */ // public static final double[] DSC_JPY_MARKET_QUOTES = new double[] {0.0005, 0.0005, -0.0004, -0.0008, -0.0012, -0.0024, -0.0036, -0.0048, -0.0030, -0.0040, -0.0040, -0.0045, -0.0050 }; // /** Generators for the dsc EUR curve */ // public static final GeneratorInstrument[] DSC_JPY_GENERATORS = new GeneratorInstrument[] {GENERATOR_DEPOSIT_ON_3, GENERATOR_DEPOSIT_ON_3, GENERATOR_FX_USDJPY, GENERATOR_FX_USDJPY, // GENERATOR_FX_USDJPY, GENERATOR_FX_USDJPY, GENERATOR_FX_USDJPY, GENERATOR_FX_USDJPY, JPYLIBOR3MUSDLIBOR3M, JPYLIBOR3MUSDLIBOR3M, JPYLIBOR3MUSDLIBOR3M, JPYLIBOR3MUSDLIBOR3M, JPYLIBOR3MUSDLIBOR3M}; // /** Tenors for the dsc EUR curve */ // public static final Period[] DSC_JPY_TENOR = new Period[] {Period.ofDays(0), Period.ofDays(1), Period.ofMonths(1), Period.ofMonths(2), Period.ofMonths(3), Period.ofMonths(6), Period.ofMonths(9), // Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(4), Period.ofYears(5), Period.ofYears(10) }; // // /** FX rqtes for the dsc EUR curve */ // // public static final Double[] DSC_JPY_FX_RATE = new Double[] {FX_USDJPY, FX_USDJPY, FX_USDJPY, FX_USDJPY, FX_USDJPY, FX_USDJPY, FX_USDJPY, FX_USDJPY, FX_USDJPY, FX_USDJPY, FX_USDJPY, FX_USDJPY, // // FX_USDJPY}; // // /** Market values for the Fwd 3M JPY curve */ // public static final double[] FWD3_JPY_MARKET_QUOTES = new double[] {0.0020, 0.0010, 0.0010, 0.0010, 0.0010, 0.0015, 0.0015, 0.0015 }; // /** Generators for the Fwd 3M JPY curve */ // public static final GeneratorInstrument[] FWD3_JPY_GENERATORS = new GeneratorInstrument[] {GENERATOR_DEPOSIT_JPY, JPYLIBOR6MLIBOR3M, JPYLIBOR6MLIBOR3M, JPYLIBOR6MLIBOR3M, JPYLIBOR6MLIBOR3M, // JPYLIBOR6MLIBOR3M, JPYLIBOR6MLIBOR3M, JPYLIBOR6MLIBOR3M}; // /** Tenors for the Fwd 3M JPY curve */ // public static final Period[] FWD3_JPY_TENOR = new Period[] {Period.ofMonths(3), Period.ofMonths(6), Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(4), Period.ofYears(5), // Period.ofYears(10) }; // // /** Market values for the Fwd 6M JPY curve */ // public static final double[] FWD6_JPY_MARKET_QUOTES = new double[] {0.0035, 0.0035, 0.0035, 0.0040, 0.0040, 0.0040, 0.0075 }; // /** Generators for the Fwd 6M JPY curve */ // public static final GeneratorInstrument[] FWD6_JPY_GENERATORS = new GeneratorInstrument[] {GENERATOR_DEPOSIT_JPY, JPY6MLIBOR6M, JPY6MLIBOR6M, JPY6MLIBOR6M, JPY6MLIBOR6M, JPY6MLIBOR6M, JPY6MLIBOR6M }; // /** Tenors for the Fwd 6M JPY curve */ // public static final Period[] FWD6_JPY_TENOR = new Period[] {Period.ofMonths(6), Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(4), Period.ofYears(5), Period.ofYears(10) }; // // /** Standard USD discounting curve instrument definitions */ // public static final InstrumentDefinition<?>[] DEFINITIONS_DSC_USD; // /** Standard USD Forward 3M curve instrument definitions */ // public static final InstrumentDefinition<?>[] DEFINITIONS_FWD3_USD; // /** Standard EUR discounting curve instrument definitions */ // public static final InstrumentDefinition<?>[] DEFINITIONS_DSC_EUR; // /** Standard EUR Forward 3M curve instrument definitions */ // public static final InstrumentDefinition<?>[] DEFINITIONS_FWD3_EUR; // /** Standard JPY discounting curve instrument definitions */ // public static final InstrumentDefinition<?>[] DEFINITIONS_DSC_JPY; // /** Standard JPY Forward 3M curve instrument definitions */ // public static final InstrumentDefinition<?>[] DEFINITIONS_FWD3_JPY; // /** Standard JPY Forward 6M curve instrument definitions */ // public static final InstrumentDefinition<?>[] DEFINITIONS_FWD6_JPY; // /** Units of curves */ // public static final int[] NB_UNITS = new int[] {3, 3, 1 }; // public static final int NB_BLOCKS = NB_UNITS.length; // public static final InstrumentDefinition<?>[][][][] DEFINITIONS_UNITS = new InstrumentDefinition<?>[NB_BLOCKS][][][]; // public static final GeneratorYDCurve[][][] GENERATORS_UNITS = new GeneratorYDCurve[NB_BLOCKS][][]; // public static final String[][][] NAMES_UNITS = new String[NB_BLOCKS][][]; // public static final YieldCurveBundle KNOWN_DATA = new YieldCurveBundle(FX_MATRIX, CCY_MAP); // // static { // DEFINITIONS_DSC_USD = getDefinitions(DSC_1_MARKET_QUOTES, DSC_1_GENERATORS, DSC_1_TENOR); // DEFINITIONS_FWD3_USD = getDefinitions(FWD_1_MARKET_QUOTES, FWD_1_GENERATORS, FWD_1_TENOR); // DEFINITIONS_DSC_EUR = getDefinitions(DSC_EUR_MARKET_QUOTES, DSC_EUR_GENERATORS, DSC_EUR_TENOR); // DEFINITIONS_FWD3_EUR = getDefinitions(FWD_EUR_MARKET_QUOTES, FWD_EUR_GENERATORS, FWD_EUR_TENOR); // DEFINITIONS_DSC_JPY = getDefinitions(DSC_JPY_MARKET_QUOTES, DSC_JPY_GENERATORS, DSC_JPY_TENOR); // DEFINITIONS_FWD3_JPY = getDefinitions(FWD3_JPY_MARKET_QUOTES, FWD3_JPY_GENERATORS, FWD3_JPY_TENOR); // DEFINITIONS_FWD6_JPY = getDefinitions(FWD6_JPY_MARKET_QUOTES, FWD6_JPY_GENERATORS, FWD6_JPY_TENOR); // DEFINITIONS_UNITS[0] = new InstrumentDefinition<?>[NB_UNITS[0]][][]; // DEFINITIONS_UNITS[1] = new InstrumentDefinition<?>[NB_UNITS[1]][][]; // DEFINITIONS_UNITS[2] = new InstrumentDefinition<?>[NB_UNITS[2]][][]; // DEFINITIONS_UNITS[0][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD }; // DEFINITIONS_UNITS[0][1] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD3_USD }; // DEFINITIONS_UNITS[0][2] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_EUR, DEFINITIONS_FWD3_EUR }; // DEFINITIONS_UNITS[1][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD }; // DEFINITIONS_UNITS[1][1] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD3_USD }; // DEFINITIONS_UNITS[1][2] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_JPY, DEFINITIONS_FWD3_JPY, DEFINITIONS_FWD6_JPY }; // DEFINITIONS_UNITS[2][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD, DEFINITIONS_FWD3_USD, DEFINITIONS_DSC_JPY, DEFINITIONS_FWD3_JPY, DEFINITIONS_FWD6_JPY }; // final GeneratorYDCurve genInt = new GeneratorCurveYieldInterpolated(MATURITY_CALCULATOR, INTERPOLATOR); // GENERATORS_UNITS[0] = new GeneratorYDCurve[NB_UNITS[0]][]; // GENERATORS_UNITS[1] = new GeneratorYDCurve[NB_UNITS[1]][]; // GENERATORS_UNITS[2] = new GeneratorYDCurve[NB_UNITS[2]][]; // GENERATORS_UNITS[0][0] = new GeneratorYDCurve[] {genInt }; // GENERATORS_UNITS[0][1] = new GeneratorYDCurve[] {genInt }; // GENERATORS_UNITS[0][2] = new GeneratorYDCurve[] {genInt, genInt }; // GENERATORS_UNITS[1][0] = new GeneratorYDCurve[] {genInt }; // GENERATORS_UNITS[1][1] = new GeneratorYDCurve[] {genInt }; // GENERATORS_UNITS[1][2] = new GeneratorYDCurve[] {genInt, genInt, genInt }; // GENERATORS_UNITS[2][0] = new GeneratorYDCurve[] {genInt, genInt, genInt, genInt, genInt }; // NAMES_UNITS[0] = new String[NB_UNITS[0]][]; // NAMES_UNITS[1] = new String[NB_UNITS[1]][]; // NAMES_UNITS[2] = new String[NB_UNITS[2]][]; // NAMES_UNITS[0][0] = new String[] {CURVE_NAME_DSC_USD }; // NAMES_UNITS[0][1] = new String[] {CURVE_NAME_FWD3_USD }; // NAMES_UNITS[0][2] = new String[] {CURVE_NAME_DSC_EUR, CURVE_NAME_FWD3_EUR }; // NAMES_UNITS[1][0] = new String[] {CURVE_NAME_DSC_USD }; // NAMES_UNITS[1][1] = new String[] {CURVE_NAME_FWD3_USD }; // NAMES_UNITS[1][2] = new String[] {CURVE_NAME_DSC_JPY, CURVE_NAME_FWD3_JPY, CURVE_NAME_FWD6_JPY }; // NAMES_UNITS[2][0] = new String[] {CURVE_NAME_DSC_USD, CURVE_NAME_FWD3_USD, CURVE_NAME_DSC_JPY, CURVE_NAME_FWD3_JPY, CURVE_NAME_FWD6_JPY }; // } // // // Present Value // private static final PresentValueMCACalculator PV_CALCULATOR = PresentValueMCACalculator.getInstance(); // private static final PresentValueCurveSensitivityMCSCalculator PVCS_CALCULATOR = PresentValueCurveSensitivityMCSCalculator.getInstance(); // private static final Currency CCY_PV = CCY_USD; // private static final PresentValueConvertedCalculator PV_CONVERTED_CALCULATOR = new PresentValueConvertedCalculator(CCY_PV, PV_CALCULATOR); // private static final PresentValueCurveSensitivityConvertedCalculator PVCS_CONVERTED_CALCULATOR = new PresentValueCurveSensitivityConvertedCalculator(CCY_PV, PVCS_CALCULATOR); // // Par spread market quote // private static final ParSpreadMarketQuoteCalculator PSMQ_CALCULATOR = ParSpreadMarketQuoteCalculator.getInstance(); // private static final ParSpreadMarketQuoteCurveSensitivityCalculator PSMQCS_CALCULATOR = ParSpreadMarketQuoteCurveSensitivityCalculator.getInstance(); // // private static Pair<YieldCurveBundle, CurveBuildingBlockBundle> CURVES_PRESENT_VALUE_WITH_TODAY_BLOCK0; // private static Pair<YieldCurveBundle, CurveBuildingBlockBundle> CURVES_PAR_SPREAD_MQ_WITH_TODAY_BLOCK0; // private static Pair<YieldCurveBundle, CurveBuildingBlockBundle> CURVES_PRESENT_VALUE_WITHOUT_TODAY_BLOCK0; // private static Pair<YieldCurveBundle, CurveBuildingBlockBundle> CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK0; // private static Pair<YieldCurveBundle, CurveBuildingBlockBundle> CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK1; // private static Pair<YieldCurveBundle, CurveBuildingBlockBundle> CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK2; // private static Pair<YieldCurveBundle, CurveBuildingBlockBundle> CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_TOTAL; // // private static final double TOLERANCE_PV = 1.0E-10; // // @BeforeSuite // static void initClass() { // CURVES_PRESENT_VALUE_WITH_TODAY_BLOCK0 = makeCurves(DEFINITIONS_UNITS[0], GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PV_CONVERTED_CALCULATOR, PVCS_CONVERTED_CALCULATOR, true, 0); // CURVES_PAR_SPREAD_MQ_WITH_TODAY_BLOCK0 = makeCurves(DEFINITIONS_UNITS[0], GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PSMQ_CALCULATOR, PSMQCS_CALCULATOR, true, 0); // CURVES_PRESENT_VALUE_WITHOUT_TODAY_BLOCK0 = makeCurves(DEFINITIONS_UNITS[0], GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PV_CONVERTED_CALCULATOR, PVCS_CONVERTED_CALCULATOR, false, 0); // CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK0 = makeCurves(DEFINITIONS_UNITS[0], GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PSMQ_CALCULATOR, PSMQCS_CALCULATOR, false, 0); // CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK1 = makeCurves(DEFINITIONS_UNITS[1], GENERATORS_UNITS[1], NAMES_UNITS[1], KNOWN_DATA, PSMQ_CALCULATOR, PSMQCS_CALCULATOR, false, 1); // CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK2 = makeCurves(DEFINITIONS_UNITS[2], GENERATORS_UNITS[2], NAMES_UNITS[2], KNOWN_DATA, PSMQ_CALCULATOR, PSMQCS_CALCULATOR, false, 2); // final YieldCurveBundle ycbTotal = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK0.getFirst().copy(); // ycbTotal.addAll(CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK1.getFirst()); // final CurveBuildingBlockBundle cubTotal = new CurveBuildingBlockBundle(); // cubTotal.addAll(CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK0.getSecond()); // cubTotal.addAll(CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK1.getSecond()); // CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_TOTAL = new ObjectsPair<YieldCurveBundle, CurveBuildingBlockBundle>(ycbTotal, cubTotal); // } // // @Test // public void curveConstructionGeneratorBlock0() { // // Curve constructed with present value and today fixing // curveConstructionTest(NAMES_UNITS[0], DEFINITIONS_UNITS[0], CURVES_PRESENT_VALUE_WITH_TODAY_BLOCK0.getFirst(), true, 0); // // Curve constructed with par spread (market quote) and today fixing // curveConstructionTest(NAMES_UNITS[0], DEFINITIONS_UNITS[0], CURVES_PAR_SPREAD_MQ_WITH_TODAY_BLOCK0.getFirst(), true, 0); // // Curve constructed with present value and no today fixing // curveConstructionTest(NAMES_UNITS[0], DEFINITIONS_UNITS[0], CURVES_PRESENT_VALUE_WITHOUT_TODAY_BLOCK0.getFirst(), false, 0); // // Curve constructed with par spread (market quote) and no today fixing // curveConstructionTest(NAMES_UNITS[0], DEFINITIONS_UNITS[0], CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK0.getFirst(), false, 0); // } // // @Test // public void curveConstructionGeneratorAllBlocks() { // // Curve constructed with par spread (market quote) and today fixing // curveConstructionTest(NAMES_UNITS[0], DEFINITIONS_UNITS[0], CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_TOTAL.getFirst(), false, 0); // curveConstructionTest(NAMES_UNITS[1], DEFINITIONS_UNITS[1], CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_TOTAL.getFirst(), false, 1); // curveConstructionTest(NAMES_UNITS[2], DEFINITIONS_UNITS[2], CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK2.getFirst(), false, 2); // } // // @Test(enabled = true) // public void curveSensitivity() { // final ZonedDateTime settleDate = ScheduleCalculator.getAdjustedDate(NOW, Period.ofMonths(6), GENERATOR_DEPOSIT_JPY); // final SwapXCcyIborIborDefinition swapJpyEurDefinition = SwapXCcyIborIborDefinition.from(settleDate, Period.ofYears(5), JPYLIBOR3MEURIBOR3M, 1000000000, 10000000, -0.0020, true); // final Swap<Payment, Payment> swapJpyEur = swapJpyEurDefinition.toDerivative(NOW, new String[] {CURVE_NAME_DSC_JPY, CURVE_NAME_FWD3_JPY, CURVE_NAME_DSC_EUR, CURVE_NAME_FWD3_EUR }); // final ParameterSensitivityBlockCalculator psc = new ParameterSensitivityBlockCalculator(PVCS_CALCULATOR); // @SuppressWarnings("unused") // final // MultipleCurrencyParameterSensitivity ps = psc.calculateSensitivity(swapJpyEur, new HashSet<String>(), CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_TOTAL.getFirst()); // final MarketQuoteSensitivityBlockCalculator mqsc = new MarketQuoteSensitivityBlockCalculator(psc); // @SuppressWarnings("unused") // final // MultipleCurrencyParameterSensitivity mqs = mqsc.fromInstrument(swapJpyEur, new HashSet<String>(), CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_TOTAL.getFirst(), CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_TOTAL.getSecond()); // int t = 0; // t++; // } // // public void curveConstructionTest(final String[][] curveNames, final InstrumentDefinition<?>[][][] definitions, final YieldCurveBundle curves, final boolean withToday, final int block) { // final int nbBlocks = definitions.length; // for (int loopblock = 0; loopblock < nbBlocks; loopblock++) { // final InstrumentDerivative[] instruments = convert(curveNames, definitions[loopblock], loopblock, withToday, block); // final double[] pv = new double[instruments.length]; // for (int loopins = 0; loopins < instruments.length; loopins++) { // pv[loopins] = curves.getFxRates().convert(instruments[loopins].accept(PV_CALCULATOR, curves), CCY_USD).getAmount(); // assertEquals("Curve construction: node block " + loopblock + " - instrument " + loopins, 0, pv[loopins], TOLERANCE_PV); // } // } // } // // @Test(enabled = false) // public void performance() { // long startTime, endTime; // final int nbTest = 10; // @SuppressWarnings("unused") // Pair<YieldCurveBundle, CurveBuildingBlockBundle> curvePresentValue; // Pair<YieldCurveBundle, CurveBuildingBlockBundle> curveParSpreadMQ0; // Pair<YieldCurveBundle, CurveBuildingBlockBundle> curveParSpreadMQ1; // @SuppressWarnings("unused") // Pair<YieldCurveBundle, CurveBuildingBlockBundle> curveParSpreadMQ2; // @SuppressWarnings("unused") // Pair<YieldCurveBundle, CurveBuildingBlockBundle> curveParSpreadMQT; // final int nbIns0 = DEFINITIONS_DSC_USD.length + DEFINITIONS_FWD3_USD.length + DEFINITIONS_DSC_EUR.length + DEFINITIONS_FWD3_EUR.length; // final int nbIns1 = DEFINITIONS_DSC_USD.length + DEFINITIONS_FWD3_USD.length + DEFINITIONS_DSC_JPY.length + DEFINITIONS_FWD3_JPY.length + DEFINITIONS_FWD6_JPY.length; // final int nbInsT = DEFINITIONS_DSC_USD.length + DEFINITIONS_FWD3_USD.length + DEFINITIONS_DSC_EUR.length + DEFINITIONS_FWD3_EUR.length + DEFINITIONS_DSC_JPY.length + DEFINITIONS_FWD3_JPY.length // + DEFINITIONS_FWD6_JPY.length; // // startTime = System.currentTimeMillis(); // for (int looptest = 0; looptest < nbTest; looptest++) { // curvePresentValue = makeCurves(DEFINITIONS_UNITS[0], GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PV_CONVERTED_CALCULATOR, PVCS_CONVERTED_CALCULATOR, true, 0); // } // endTime = System.currentTimeMillis(); // System.out.println(nbTest + " curve construction Full (4 curves, 2 ccy and " + nbIns0 + " instruments in 3 units) - with present value: " + (endTime - startTime) + " ms"); // // Performance note: curve construction (with present value, 4 curves - 2 ccy and 42 instruments by units): 23-Jul-2012: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: xx ms for 100 bundles. // // startTime = System.currentTimeMillis(); // for (int looptest = 0; looptest < nbTest; looptest++) { // curveParSpreadMQ0 = makeCurves(DEFINITIONS_UNITS[0], GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PSMQ_CALCULATOR, PSMQCS_CALCULATOR, true, 0); // } // endTime = System.currentTimeMillis(); // System.out.println(nbTest + " curve construction Full (4 curves, 2 ccy and " + nbIns0 + " instruments in 3 units)- with par spread-market quote: " + (endTime - startTime) + " ms"); // // Performance note: curve construction (with par spread/market quote), 4 curves - 2 ccy and 49 instruments by units): 23-Jul-2012: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: x ms for 100 bundles. // // startTime = System.currentTimeMillis(); // for (int looptest = 0; looptest < nbTest; looptest++) { // curveParSpreadMQ1 = makeCurves(DEFINITIONS_UNITS[1], GENERATORS_UNITS[1], NAMES_UNITS[1], KNOWN_DATA, PSMQ_CALCULATOR, PSMQCS_CALCULATOR, true, 1); // } // endTime = System.currentTimeMillis(); // System.out.println(nbTest + " curve construction Full (5 curves, 2 ccy and " + nbIns1 + " instruments in 3 units) - with par spread-market quote: " + (endTime - startTime) + " ms"); // // Performance note: curve construction (with par spread/market quote), 4 curves - 2 ccy and 49 instruments by units): 23-Jul-2012: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: x ms for 100 bundles. // // startTime = System.currentTimeMillis(); // for (int looptest = 0; looptest < nbTest; looptest++) { // curveParSpreadMQ2 = makeCurves(DEFINITIONS_UNITS[2], GENERATORS_UNITS[2], NAMES_UNITS[2], KNOWN_DATA, PSMQ_CALCULATOR, PSMQCS_CALCULATOR, true, 2); // } // endTime = System.currentTimeMillis(); // System.out.println(nbTest + " curve construction Full (5 curves, 2 ccy and " + nbIns1 + " instruments in 1 units) - with par spread-market quote: " + (endTime - startTime) + " ms"); // // Performance note: curve construction (with par spread/market quote), 4 curves - 2 ccy and 49 instruments by units): 23-Jul-2012: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: x ms for 100 bundles. // // startTime = System.currentTimeMillis(); // for (int looptest = 0; looptest < nbTest; looptest++) { // curveParSpreadMQ0 = makeCurves(DEFINITIONS_UNITS[0], GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PSMQ_CALCULATOR, PSMQCS_CALCULATOR, true, 0); // curveParSpreadMQ1 = makeCurves(DEFINITIONS_UNITS[1], GENERATORS_UNITS[1], NAMES_UNITS[1], KNOWN_DATA, PSMQ_CALCULATOR, PSMQCS_CALCULATOR, true, 1); // final YieldCurveBundle ycbTotal = curveParSpreadMQ0.getFirst().copy(); // ycbTotal.addAll(curveParSpreadMQ0.getFirst()); // final CurveBuildingBlockBundle cubTotal = new CurveBuildingBlockBundle(); // cubTotal.addAll(curveParSpreadMQ1.getSecond()); // cubTotal.addAll(curveParSpreadMQ1.getSecond()); // curveParSpreadMQT = new ObjectsPair<YieldCurveBundle, CurveBuildingBlockBundle>(ycbTotal, cubTotal); // } // endTime = System.currentTimeMillis(); // System.out.println(nbTest + " curve construction Full (7 curves, 3 ccy and " + nbInsT + " instruments in 4 units) - with par spread-market quote: " + (endTime - startTime) + " ms"); // // Performance note: curve construction (with par spread/market quote), 7 curves - 3 ccy and 70 instruments by units): 23-Jul-2012: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: x ms for 100 bundles. // // startTime = System.currentTimeMillis(); // for (int looptest = 0; looptest < nbTest; looptest++) { // curvePresentValue = makeCurves(DEFINITIONS_UNITS[0], GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PV_CONVERTED_CALCULATOR, PVCS_CONVERTED_CALCULATOR, true, 0); // } // endTime = System.currentTimeMillis(); // System.out.println(nbTest + " curve construction Full (4 curves, 2 ccy and " + nbIns0 + " instruments in 3 units) - with present value: " + (endTime - startTime) + " ms"); // // Performance note: curve construction (with present value, 4 curves - 2 ccy and 42 instruments by units): 23-Jul-2012: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: xx ms for 100 bundles. // // startTime = System.currentTimeMillis(); // for (int looptest = 0; looptest < nbTest; looptest++) { // curveParSpreadMQ0 = makeCurves(DEFINITIONS_UNITS[0], GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PSMQ_CALCULATOR, PSMQCS_CALCULATOR, true, 0); // } // endTime = System.currentTimeMillis(); // System.out.println(nbTest + " curve construction Full (4 curves, 2 ccy and " + nbIns0 + " instruments in 3 units)- with par spread-market quote: " + (endTime - startTime) + " ms"); // // Performance note: curve construction (with par spread/market quote), 4 curves - 2 ccy and 49 instruments by units): 23-Jul-2012: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: x ms for 100 bundles. // // startTime = System.currentTimeMillis(); // for (int looptest = 0; looptest < nbTest; looptest++) { // curveParSpreadMQ1 = makeCurves(DEFINITIONS_UNITS[1], GENERATORS_UNITS[1], NAMES_UNITS[1], KNOWN_DATA, PSMQ_CALCULATOR, PSMQCS_CALCULATOR, true, 1); // } // endTime = System.currentTimeMillis(); // System.out.println(nbTest + " curve construction Full (5 curves, 2 ccy and " + nbIns1 + " instruments in 3 units) - with par spread-market quote: " + (endTime - startTime) + " ms"); // // Performance note: curve construction (with par spread/market quote), 4 curves - 2 ccy and 49 instruments by units): 23-Jul-2012: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: x ms for 100 bundles. // // startTime = System.currentTimeMillis(); // for (int looptest = 0; looptest < nbTest; looptest++) { // curveParSpreadMQ2 = makeCurves(DEFINITIONS_UNITS[2], GENERATORS_UNITS[2], NAMES_UNITS[2], KNOWN_DATA, PSMQ_CALCULATOR, PSMQCS_CALCULATOR, true, 2); // } // endTime = System.currentTimeMillis(); // System.out.println(nbTest + " curve construction Full (5 curves, 2 ccy and " + nbIns1 + " instruments in 1 units) - with par spread-market quote: " + (endTime - startTime) + " ms"); // // Performance note: curve construction (with par spread/market quote), 4 curves - 2 ccy and 49 instruments by units): 23-Jul-2012: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: x ms for 100 bundles. // // startTime = System.currentTimeMillis(); // for (int looptest = 0; looptest < nbTest; looptest++) { // curveParSpreadMQ0 = makeCurves(DEFINITIONS_UNITS[0], GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PSMQ_CALCULATOR, PSMQCS_CALCULATOR, true, 0); // curveParSpreadMQ1 = makeCurves(DEFINITIONS_UNITS[1], GENERATORS_UNITS[1], NAMES_UNITS[1], KNOWN_DATA, PSMQ_CALCULATOR, PSMQCS_CALCULATOR, true, 1); // final YieldCurveBundle ycbTotal = curveParSpreadMQ0.getFirst().copy(); // ycbTotal.addAll(curveParSpreadMQ0.getFirst()); // final CurveBuildingBlockBundle cubTotal = new CurveBuildingBlockBundle(); // cubTotal.addAll(curveParSpreadMQ1.getSecond()); // cubTotal.addAll(curveParSpreadMQ1.getSecond()); // curveParSpreadMQT = new ObjectsPair<YieldCurveBundle, CurveBuildingBlockBundle>(ycbTotal, cubTotal); // } // endTime = System.currentTimeMillis(); // System.out.println(nbTest + " curve construction Full (7 curves, 3 ccy and " + nbIns1 + " instruments in 4 units) - with par spread-market quote: " + (endTime - startTime) + " ms"); // // Performance note: curve construction (with par spread/market quote), 7 curves - 3 ccy and 70 instruments by units): 23-Jul-2012: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: x ms for 100 bundles. // // } // // public static InstrumentDefinition<?>[] getDefinitions(final double[] marketQuotes, final GeneratorInstrument[] generators, final Period[] tenors) { // final InstrumentDefinition<?>[] definitions = new InstrumentDefinition<?>[marketQuotes.length]; // for (int loopmv = 0; loopmv < marketQuotes.length; loopmv++) { // definitions[loopmv] = generators[loopmv].generateInstrument(NOW, tenors[loopmv], marketQuotes[loopmv], NOTIONAL, FX_MATRIX); // } // return definitions; // } // // private static Pair<YieldCurveBundle, Double[]> makeUnit(final InstrumentDerivative[] instruments, final double[] initGuess, final LinkedHashMap<String, GeneratorYDCurve> curveGenerators, // final YieldCurveBundle knownData, // final InstrumentDerivativeVisitor<YieldCurveBundle, Double> calculator, final InstrumentDerivativeVisitor<YieldCurveBundle, InterestRateCurveSensitivity> sensitivityCalculator) { // final MultipleYieldCurveFinderGeneratorDataBundle data = new MultipleYieldCurveFinderGeneratorDataBundle(instruments, knownData, curveGenerators); // final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new MultipleYieldCurveFinderGeneratorFunction(calculator, data); // final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MultipleYieldCurveFinderGeneratorJacobian(new ParameterSensitivityCalculator(sensitivityCalculator), data); // final double[] parameters = ROOT_FINDER.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(initGuess)).getData(); // final YieldCurveBundle newCurves = data.getBuildingFunction().evaluate(new DoubleMatrix1D(parameters)); // return new ObjectsPair<YieldCurveBundle, Double[]>(newCurves, ArrayUtils.toObject(parameters)); // } // // private static DoubleMatrix2D[] makeCurveMatrix(final InstrumentDerivative[] instrumentsTotal, final LinkedHashMap<String, GeneratorYDCurve> curveGeneratorsTotal, final int startBlock, // final int[] nbParameters, // final Double[] parametersTotal, final YieldCurveBundle knownData, final InstrumentDerivativeVisitor<YieldCurveBundle, InterestRateCurveSensitivity> sensitivityCalculator) { // final MultipleYieldCurveFinderGeneratorDataBundle data = new MultipleYieldCurveFinderGeneratorDataBundle(instrumentsTotal, knownData, curveGeneratorsTotal); // final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MultipleYieldCurveFinderGeneratorJacobian(new ParameterSensitivityCalculator(sensitivityCalculator), data); // final DoubleMatrix2D jacobian = jacobianCalculator.evaluate(new DoubleMatrix1D(parametersTotal)); // final DoubleMatrix2D inverseJacobian = MATRIX_ALGEBRA.getInverse(jacobian); // final double[][] matrixTotal = inverseJacobian.getData(); // final DoubleMatrix2D[] result = new DoubleMatrix2D[nbParameters.length]; // int startCurve = 0; // for (int loopmat = 0; loopmat < nbParameters.length; loopmat++) { // final double[][] matrixCurve = new double[nbParameters[loopmat]][matrixTotal.length]; // for (int loopparam = 0; loopparam < nbParameters[loopmat]; loopparam++) { // matrixCurve[loopparam] = matrixTotal[startBlock + startCurve + loopparam].clone(); // } // result[loopmat] = new DoubleMatrix2D(matrixCurve); // startCurve += nbParameters[loopmat]; // } // return result; // } // // private static Pair<YieldCurveBundle, CurveBuildingBlockBundle> makeCurves(final InstrumentDefinition<?>[][][] definitions, final GeneratorYDCurve[][] curveGenerators, final String[][] curveNames, // final YieldCurveBundle knownData, final InstrumentDerivativeVisitor<YieldCurveBundle, Double> calculator, // final InstrumentDerivativeVisitor<YieldCurveBundle, InterestRateCurveSensitivity> sensitivityCalculator, final boolean withToday, final int block) { // final int nbBlocks = curveGenerators.length; // final YieldCurveBundle knownSoFarData = knownData.copy(); // final List<InstrumentDerivative> instrumentsSoFar = new ArrayList<InstrumentDerivative>(); // final LinkedHashMap<String, GeneratorYDCurve> generatorsSoFar = new LinkedHashMap<String, GeneratorYDCurve>(); // final LinkedHashMap<String, Pair<CurveBuildingBlock, DoubleMatrix2D>> unitBundleSoFar = new LinkedHashMap<String, Pair<CurveBuildingBlock, DoubleMatrix2D>>(); // final List<Double> parametersSoFar = new ArrayList<Double>(); // final LinkedHashMap<String, Pair<Integer, Integer>> unitMap = new LinkedHashMap<String, Pair<Integer, Integer>>(); // int start = 0; // for (int loopunit = 0; loopunit < nbBlocks; loopunit++) { // int startBlock = 0; // final InstrumentDerivative[] instruments = convert(curveNames, definitions[loopunit], loopunit, withToday, block); // instrumentsSoFar.addAll(Arrays.asList(instruments)); // final InstrumentDerivative[] instrumentsSoFarArray = instrumentsSoFar.toArray(new InstrumentDerivative[0]); // final double[] initGuess = initialGuess(definitions[loopunit]); // final LinkedHashMap<String, GeneratorYDCurve> gen = new LinkedHashMap<String, GeneratorYDCurve>(); // final int[] nbIns = new int[curveGenerators[loopunit].length]; // for (int loopcurve = 0; loopcurve < curveGenerators[loopunit].length; loopcurve++) { // nbIns[loopcurve] = definitions[loopunit][loopcurve].length; // final InstrumentDerivative[] insCurve = new InstrumentDerivative[nbIns[loopcurve]]; // System.arraycopy(instruments, startBlock, insCurve, 0, nbIns[loopcurve]); // final GeneratorYDCurve tmp = curveGenerators[loopunit][loopcurve].finalGenerator(insCurve); // gen.put(curveNames[loopunit][loopcurve], tmp); // generatorsSoFar.put(curveNames[loopunit][loopcurve], tmp); // unitMap.put(curveNames[loopunit][loopcurve], new ObjectsPair<Integer, Integer>(start + startBlock, nbIns[loopcurve])); // startBlock += nbIns[loopcurve]; // } // final Pair<YieldCurveBundle, Double[]> unitCal = makeUnit(instruments, initGuess, gen, knownSoFarData, calculator, sensitivityCalculator); // parametersSoFar.addAll(Arrays.asList(unitCal.getSecond())); // final DoubleMatrix2D[] mat = makeCurveMatrix(instrumentsSoFarArray, generatorsSoFar, start, nbIns, parametersSoFar.toArray(new Double[0]), knownData, sensitivityCalculator); // for (int loopcurve = 0; loopcurve < curveGenerators[loopunit].length; loopcurve++) { // unitBundleSoFar.put(curveNames[loopunit][loopcurve], new ObjectsPair<CurveBuildingBlock, DoubleMatrix2D>(new CurveBuildingBlock(unitMap), mat[loopcurve])); // } // knownSoFarData.addAll(unitCal.getFirst()); // start = start + startBlock; // } // return new ObjectsPair<YieldCurveBundle, CurveBuildingBlockBundle>(knownSoFarData, new CurveBuildingBlockBundle(unitBundleSoFar)); // } // // @SuppressWarnings("unchecked") // private static InstrumentDerivative[] convert(final String[][] curveNames, final InstrumentDefinition<?>[][] definitions, final int unit, final boolean withToday, final int block) { // int nbDef = 0; // for (final InstrumentDefinition<?>[] definition : definitions) { // nbDef += definition.length; // } // final InstrumentDerivative[] instruments = new InstrumentDerivative[nbDef]; // int loopins = 0; // for (int loopcurve = 0; loopcurve < definitions.length; loopcurve++) { // for (final InstrumentDefinition<?> instrument : definitions[loopcurve]) { // InstrumentDerivative ird; // if (instrument instanceof SwapFixedONDefinition) { // final String[] names = getCurvesNameSwapFixedON(curveNames, unit); // ird = ((SwapFixedONDefinition) instrument).toDerivative(NOW, getTSSwapFixedON(withToday, unit), names); // } else { // if (instrument instanceof SwapFixedIborDefinition) { // final String[] names = getCurvesNameSwapFixedIbor(curveNames, unit, loopcurve, block); // ird = ((SwapFixedIborDefinition) instrument).toDerivative(NOW, getTSSwapFixedIbor(withToday, unit), names); // } else { // if (instrument instanceof SwapXCcyIborIborDefinition) { // final String[] names = getCurvesNameSwapXCcyIborIbor(curveNames, block); // ird = ((SwapXCcyIborIborDefinition) instrument).toDerivative(NOW, getTSSwapXCcyIborIbor(withToday, unit), names); // } else { // if (instrument instanceof SwapIborIborDefinition) { // final String[] names = getCurvesNameSwapIborIbor(curveNames, unit, block); // ird = ((SwapIborIborDefinition) instrument).toDerivative(NOW, getTSSwapIborIbor(withToday, unit), names); // } else { // final String[] names; // if (instrument instanceof ForexSwapDefinition) { // names = getCurvesNameFXSwap(curveNames, block); // } else { // // Cash // names = getCurvesNameCash(curveNames, unit, loopcurve, block); // } // ird = instrument.toDerivative(NOW, names); // } // } // } // } // instruments[loopins++] = ird; // } // } // return instruments; // } // // private static double initialGuess(final InstrumentDefinition<?> instrument) { // if (instrument instanceof SwapFixedONDefinition) { // return ((SwapFixedONDefinition) instrument).getFixedLeg().getNthPayment(0).getRate(); // } // if (instrument instanceof SwapFixedIborDefinition) { // return ((SwapFixedIborDefinition) instrument).getFixedLeg().getNthPayment(0).getRate(); // } // if (instrument instanceof ForwardRateAgreementDefinition) { // return ((ForwardRateAgreementDefinition) instrument).getRate(); // } // if (instrument instanceof CashDefinition) { // return ((CashDefinition) instrument).getRate(); // } // return 0.01; // } // // private static double[] initialGuess(final InstrumentDefinition<?>[][] definitions) { // int nbDef = 0; // for (final InstrumentDefinition<?>[] definition : definitions) { // nbDef += definition.length; // } // final double[] result = new double[nbDef]; // int loopr = 0; // for (final InstrumentDefinition<?>[] definition : definitions) { // for (final InstrumentDefinition<?> element : definition) { // result[loopr++] = initialGuess(element); // } // } // return result; // } // // private static String[] getCurvesNameSwapFixedON(final String[][] curveNames, final Integer unit) { // switch (unit) { // case 0: // return new String[] {curveNames[0][0], curveNames[0][0] }; // case 2: // return new String[] {curveNames[2][0], curveNames[2][0] }; // default: // throw new IllegalArgumentException(unit.toString()); // } // } // // private static String[] getCurvesNameSwapFixedIbor(final String[][] curveNames, final Integer unit, final Integer curve, final int block) { // if (block != 2) { // switch (unit) { // case 1: // return new String[] {curveNames[0][0], curveNames[1][0] }; // case 2: // return new String[] {curveNames[2][0], curveNames[2][1] }; // default: // throw new IllegalArgumentException(unit.toString()); // } // } // switch (curve) { // case 1: // return new String[] {curveNames[0][0], curveNames[0][1] }; // case 4: // return new String[] {curveNames[0][2], curveNames[0][4] }; // default: // throw new IllegalArgumentException(unit.toString()); // } // } // // private static String[] getCurvesNameSwapXCcyIborIbor(final String[][] curveNames, final int block) { // switch (block) { // case 2: // return new String[] {curveNames[0][2], curveNames[0][3], curveNames[0][0], curveNames[0][1] }; // default: // return new String[] {curveNames[2][0], curveNames[2][1], curveNames[0][0], curveNames[1][0] }; // } // } // // private static String[] getCurvesNameSwapIborIbor(final String[][] curveNames, final Integer unit, final int block) { // if (block != 2) { // switch (unit) { // case 2: // return new String[] {curveNames[2][0], curveNames[2][1], curveNames[2][2] }; // default: // throw new IllegalArgumentException(unit.toString()); // } // } // return new String[] {curveNames[0][2], curveNames[0][3], curveNames[0][4] }; // } // // private static String[] getCurvesNameCash(final String[][] curveNames, final Integer unit, final Integer curve, final int block) { // if (block != 2) { // switch (unit) { // case 0: // return new String[] {curveNames[0][0] }; // case 1: // return new String[] {curveNames[1][0] }; // case 2: // return new String[] {curveNames[2][curve] }; // default: // throw new IllegalArgumentException(unit.toString()); // } // } // return new String[] {curveNames[0][curve] }; // // } // // private static String[] getCurvesNameFXSwap(final String[][] curveNames, final int block) { // switch (block) { // case 2: // return new String[] {curveNames[0][2], curveNames[0][0] }; // default: // return new String[] {curveNames[2][0], curveNames[0][0] }; // } // } // // @SuppressWarnings("rawtypes") // private static DoubleTimeSeries[] getTSSwapFixedON(final Boolean withToday, final Integer unit) { // switch (unit) { // case 0: // return withToday ? TS_FIXED_OIS_USD_WITH_TODAY : TS_FIXED_OIS_USD_WITHOUT_TODAY; // default: // throw new IllegalArgumentException(unit.toString()); // } // } // // @SuppressWarnings("rawtypes") // private static DoubleTimeSeries[] getTSSwapFixedIbor(final Boolean withToday, final Integer unit) { // switch (unit) { // case 0: // return TS_FIXED_IBOR_USD3M_WITHOUT_TODAY; // case 1: // return withToday ? TS_FIXED_IBOR_USD3M_WITH_TODAY : TS_FIXED_IBOR_USD3M_WITHOUT_TODAY; // case 2: // return withToday ? TS_FIXED_IBOR_EUR3M_WITH_TODAY : TS_FIXED_IBOR_EUR3M_WITHOUT_TODAY; // default: // throw new IllegalArgumentException(unit.toString()); // } // } // // @SuppressWarnings("rawtypes") // private static DoubleTimeSeries[] getTSSwapXCcyIborIbor(final Boolean withToday, final Integer unit) { // switch (unit) { // case 0: // return TS_FIXED_IBOR_EURUSD3M_WITHOUT_TODAY; // case 2: // return withToday ? TS_FIXED_IBOR_EURUSD3M_WITH_TODAY : TS_FIXED_IBOR_EURUSD3M_WITHOUT_TODAY; // default: // throw new IllegalArgumentException(unit.toString()); // } // } // // @SuppressWarnings("rawtypes") // private static DoubleTimeSeries[] getTSSwapIborIbor(final Boolean withToday, final Integer unit) { // switch (unit) { // case 0: // return TS_FIXED_IBOR_JPY3MJPY6M_WITHOUT_TODAY; // case 2: // return withToday ? TS_FIXED_IBOR_JPY3MJPY6M_WITH_TODAY : TS_FIXED_IBOR_JPY3MJPY6M_WITHOUT_TODAY; // default: // throw new IllegalArgumentException(unit.toString()); // } // } }