/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.datasets;
import static org.testng.AssertJUnit.assertEquals;
import java.util.ArrayList;
import java.util.LinkedHashMap;
import java.util.List;
import org.testng.annotations.Test;
import org.threeten.bp.Period;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.curve.inflation.generator.GeneratorPriceIndexCurve;
import com.opengamma.analytics.financial.curve.inflation.generator.GeneratorPriceIndexCurveInterpolated;
import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
import com.opengamma.analytics.financial.instrument.cash.CashDefinition;
import com.opengamma.analytics.financial.instrument.fra.ForwardRateAgreementDefinition;
import com.opengamma.analytics.financial.instrument.index.GeneratorAttribute;
import com.opengamma.analytics.financial.instrument.index.GeneratorAttributeIR;
import com.opengamma.analytics.financial.instrument.index.GeneratorInstrument;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedInflationMaster;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedInflationZeroCoupon;
import com.opengamma.analytics.financial.instrument.index.IndexPrice;
import com.opengamma.analytics.financial.instrument.inflation.CouponInflationZeroCouponInterpolationDefinition;
import com.opengamma.analytics.financial.instrument.inflation.CouponInflationZeroCouponMonthlyDefinition;
import com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition;
import com.opengamma.analytics.financial.instrument.swap.SwapFixedInflationZeroCouponDefinition;
import com.opengamma.analytics.financial.instrument.swap.SwapFixedONDefinition;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.Annuity;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Payment;
import com.opengamma.analytics.financial.interestrate.swap.derivative.Swap;
import com.opengamma.analytics.financial.provider.calculator.generic.LastTimeCalculator;
import com.opengamma.analytics.financial.provider.calculator.inflation.ParSpreadInflationMarketQuoteCurveSensitivityDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.inflation.ParSpreadInflationMarketQuoteDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.inflation.PresentValueDiscountingInflationCalculator;
import com.opengamma.analytics.financial.provider.curve.CurveBuildingBlockBundle;
import com.opengamma.analytics.financial.provider.curve.MultiCurveBundle;
import com.opengamma.analytics.financial.provider.curve.SingleCurveBundle;
import com.opengamma.analytics.financial.provider.curve.inflation.InflationDiscountBuildingRepository;
import com.opengamma.analytics.financial.provider.description.inflation.InflationProviderDiscount;
import com.opengamma.analytics.financial.provider.description.inflation.ParameterInflationProviderInterface;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderDiscount;
import com.opengamma.analytics.financial.provider.sensitivity.inflation.InflationSensitivity;
import com.opengamma.analytics.math.interpolation.CombinedInterpolatorExtrapolatorFactory;
import com.opengamma.analytics.math.interpolation.Interpolator1D;
import com.opengamma.analytics.math.interpolation.Interpolator1DFactory;
import com.opengamma.timeseries.precise.zdt.ImmutableZonedDateTimeDoubleTimeSeries;
import com.opengamma.timeseries.precise.zdt.ZonedDateTimeDoubleTimeSeries;
import com.opengamma.util.money.Currency;
import com.opengamma.util.time.DateUtils;
import com.opengamma.util.tuple.Pair;
/**
*
*/
public class StandardDataSetsInflationGBP {
private static final ZonedDateTime CALIBRATION_DATE = DateUtils.getUTCDate(2014, 4, 11);
private static final Interpolator1D INTERPOLATOR_LINEAR = CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.LINEAR, Interpolator1DFactory.FLAT_EXTRAPOLATOR,
Interpolator1DFactory.FLAT_EXTRAPOLATOR);
private static final LastTimeCalculator MATURITY_CALCULATOR = LastTimeCalculator.getInstance();
private static final double TOLERANCE_ROOT = 1.0E-10;
private static final int STEP_MAX = 100;
private static final Currency GBP = Currency.GBP;
private static final double NOTIONAL = 1.0;
private static final GeneratorSwapFixedInflationZeroCoupon GENERATOR_INFLATION_SWAP =
GeneratorSwapFixedInflationMaster.getInstance().getGenerator("UKRPI");
private static final IndexPrice GBP_RPI = GENERATOR_INFLATION_SWAP.getIndexPrice();
private static final ZonedDateTimeDoubleTimeSeries TS_PRICE_INDEX_USD_WITH_TODAY =
ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2013, 12, 31),
DateUtils.getUTCDate(2014, 1, 31), DateUtils.getUTCDate(2014, 2, 28) }, new double[] {253.4, 252.6, 254.2 });
private static final String CURVE_NAME_RPI_GBP = "GBP RPI";
/** Market values for the RPI GBP curve */
public static final double[] RPI_GBP_MARKET_QUOTES = new double[] {
0.02163, 0.02262, 0.02371, 0.02463, 0.02522, 0.02581, 0.02634, 0.02698, 0.0249, 0.02844,
0.02991, 0.02810, 0.03175, 0.031915 };
/** Generators for the RPI GBP curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] RPI_GBP_GENERATORS = new GeneratorInstrument<?>[] {GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP, GENERATOR_INFLATION_SWAP, GENERATOR_INFLATION_SWAP, GENERATOR_INFLATION_SWAP, GENERATOR_INFLATION_SWAP, GENERATOR_INFLATION_SWAP, GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP, GENERATOR_INFLATION_SWAP, GENERATOR_INFLATION_SWAP, GENERATOR_INFLATION_SWAP, GENERATOR_INFLATION_SWAP, GENERATOR_INFLATION_SWAP };
/** Tenors for the RPI GBP curve */
private static final Period[] RPI_GBP_TENOR = new Period[] {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), Period.ofYears(12), Period.ofYears(15), Period.ofYears(20), Period.ofYears(25), Period.ofYears(30) };
private static final GeneratorAttributeIR[] RPI_GBP_ATTR = new GeneratorAttributeIR[RPI_GBP_TENOR.length];
static {
for (int loopins = 0; loopins < RPI_GBP_TENOR.length; loopins++) {
RPI_GBP_ATTR[loopins] = new GeneratorAttributeIR(RPI_GBP_TENOR[loopins]);
}
}
/** Standard RPI GBP curve instrument definitions */
private static final InstrumentDefinition<?>[] DEFINITIONS_RPI_GBP;
/** Units of curves */
private static final int[] NB_UNITS = new int[] {1 };
private static final int NB_BLOCKS = NB_UNITS.length;
private static final InstrumentDefinition<?>[][][][] DEFINITIONS_UNITS = new InstrumentDefinition<?>[NB_BLOCKS][][][];
private static final GeneratorPriceIndexCurve[][][] GENERATORS_UNITS = new GeneratorPriceIndexCurve[NB_BLOCKS][][];
private static final String[][][] NAMES_UNITS = new String[NB_BLOCKS][][];
private static final Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> MULTICURVE_PAIR =
StandardDataSetsMulticurveGBP.getCurvesGBPSonia(CALIBRATION_DATE);
private static final MulticurveProviderDiscount GBP_MULTICURVE = MULTICURVE_PAIR.getFirst();
private static final InflationProviderDiscount KNOWN_DATA = new InflationProviderDiscount(GBP_MULTICURVE);
private static final CurveBuildingBlockBundle KNOWN_BUNDLE = MULTICURVE_PAIR.getSecond();
private static final LinkedHashMap<String, IndexPrice[]> GBP_RPI_MAP = new LinkedHashMap<>();
static {
DEFINITIONS_RPI_GBP = getDefinitions(RPI_GBP_MARKET_QUOTES, RPI_GBP_GENERATORS, RPI_GBP_ATTR);
for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) {
DEFINITIONS_UNITS[loopblock] = new InstrumentDefinition<?>[NB_UNITS[loopblock]][][];
GENERATORS_UNITS[loopblock] = new GeneratorPriceIndexCurve[NB_UNITS[loopblock]][];
NAMES_UNITS[loopblock] = new String[NB_UNITS[loopblock]][];
}
DEFINITIONS_UNITS[0][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_RPI_GBP };
final GeneratorPriceIndexCurve genIntLin = new GeneratorPriceIndexCurveInterpolated(MATURITY_CALCULATOR, INTERPOLATOR_LINEAR);
GENERATORS_UNITS[0][0] = new GeneratorPriceIndexCurve[] {genIntLin };
NAMES_UNITS[0][0] = new String[] {CURVE_NAME_RPI_GBP };
GBP_RPI_MAP.put(CURVE_NAME_RPI_GBP, new IndexPrice[] {GBP_RPI });
}
@SuppressWarnings({"rawtypes", "unchecked" })
public static InstrumentDefinition<?>[] getDefinitions(final double[] marketQuotes, final GeneratorInstrument[] generators, final GeneratorAttribute[] attribute) {
final InstrumentDefinition<?>[] definitions = new InstrumentDefinition<?>[marketQuotes.length];
for (int loopmv = 0; loopmv < marketQuotes.length; loopmv++) {
definitions[loopmv] = generators[loopmv].generateInstrument(CALIBRATION_DATE, marketQuotes[loopmv], NOTIONAL, attribute[loopmv]);
}
return definitions;
}
private static List<Pair<InflationProviderDiscount, CurveBuildingBlockBundle>> CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK = new ArrayList<>();
// Calculator
private static final PresentValueDiscountingInflationCalculator PVIC = PresentValueDiscountingInflationCalculator.getInstance();
private static final ParSpreadInflationMarketQuoteDiscountingCalculator PSIMQC = ParSpreadInflationMarketQuoteDiscountingCalculator.getInstance();
private static final ParSpreadInflationMarketQuoteCurveSensitivityDiscountingCalculator PSIMQCSC = ParSpreadInflationMarketQuoteCurveSensitivityDiscountingCalculator.getInstance();
private static final InflationDiscountBuildingRepository CURVE_BUILDING_REPOSITORY = new InflationDiscountBuildingRepository(TOLERANCE_ROOT, TOLERANCE_ROOT, STEP_MAX);
private static final double TOLERANCE_CAL = 1.0E-9;
static {
for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) {
CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.add(makeCurvesFromDefinitions(DEFINITIONS_UNITS[loopblock], GENERATORS_UNITS[loopblock], NAMES_UNITS[loopblock], KNOWN_DATA, KNOWN_BUNDLE, PSIMQC,
PSIMQCSC));
}
}
@Test
public void curveConstructionGeneratorOtherBlocks() {
for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) {
curveConstructionTest(DEFINITIONS_UNITS[loopblock], CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getFirst(), loopblock);
}
}
public static Pair<InflationProviderDiscount, CurveBuildingBlockBundle> getCurvesGBPRpiAndSonia() {
return CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0);
}
/**
* Returns the array of overnight index used in the curve data set.
* @return The array: USDFEDFUND
*/
public static IndexPrice[] indexONArray() {
return new IndexPrice[] {GBP_RPI };
}
private void curveConstructionTest(final InstrumentDefinition<?>[][][] definitions, final InflationProviderDiscount curves, final int block) {
final int nbBlocks = definitions.length;
for (int loopblock = 0; loopblock < nbBlocks; loopblock++) {
final InstrumentDerivative[][] instruments = convert(definitions[loopblock]);
final double[][] pv = new double[instruments.length][];
for (int loopcurve = 0; loopcurve < instruments.length; loopcurve++) {
pv[loopcurve] = new double[instruments[loopcurve].length];
for (int loopins = 0; loopins < instruments[loopcurve].length; loopins++) {
pv[loopcurve][loopins] = curves.getFxRates().convert(instruments[loopcurve][loopins].accept(PVIC, curves), GBP).getAmount();
assertEquals("Curve construction: block " + block + ", unit " + loopblock + " - instrument " + loopins, 0, pv[loopcurve][loopins], TOLERANCE_CAL);
}
}
}
}
@SuppressWarnings("unchecked")
private static Pair<InflationProviderDiscount, CurveBuildingBlockBundle> makeCurvesFromDefinitions(final InstrumentDefinition<?>[][][] definitions,
final GeneratorPriceIndexCurve[][] curveGenerators,
final String[][] curveNames, final InflationProviderDiscount knownData, final CurveBuildingBlockBundle knownBundle,
final InstrumentDerivativeVisitor<ParameterInflationProviderInterface, Double> calculator,
final InstrumentDerivativeVisitor<ParameterInflationProviderInterface, InflationSensitivity> sensitivityCalculator) {
final int nUnits = definitions.length;
final MultiCurveBundle<GeneratorPriceIndexCurve>[] curveBundles = new MultiCurveBundle[nUnits];
for (int i = 0; i < nUnits; i++) {
final int nCurves = definitions[i].length;
final SingleCurveBundle<GeneratorPriceIndexCurve>[] singleCurves = new SingleCurveBundle[nCurves];
for (int j = 0; j < nCurves; j++) {
final int nInstruments = definitions[i][j].length;
final InstrumentDerivative[] derivatives = new InstrumentDerivative[nInstruments];
final double[] initialGuess = new double[nInstruments];
for (int k = 0; k < nInstruments; k++) {
derivatives[k] = convert(definitions[i][j][k]);
initialGuess[k] = initialGuess(definitions[i][j][k]);
}
final GeneratorPriceIndexCurve generator = curveGenerators[i][j].finalGenerator(derivatives);
singleCurves[j] = new SingleCurveBundle<>(curveNames[i][j], derivatives, initialGuess, generator);
}
curveBundles[i] = new MultiCurveBundle<>(singleCurves);
}
return CURVE_BUILDING_REPOSITORY.makeCurvesFromDerivatives(curveBundles, knownData, knownBundle,
GBP_RPI_MAP, calculator, sensitivityCalculator);
}
private static InstrumentDerivative[][] convert(final InstrumentDefinition<?>[][] definitions) {
final InstrumentDerivative[][] instruments = new InstrumentDerivative[definitions.length][];
for (int loopcurve = 0; loopcurve < definitions.length; loopcurve++) {
instruments[loopcurve] = new InstrumentDerivative[definitions[loopcurve].length];
int loopins = 0;
for (final InstrumentDefinition<?> instrument : definitions[loopcurve]) {
InstrumentDerivative ird;
if (instrument instanceof SwapFixedInflationZeroCouponDefinition) {
final Annuity<? extends Payment> ird1 = ((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg().toDerivative(CALIBRATION_DATE);
final Annuity<? extends Payment> ird2 = ((SwapFixedInflationZeroCouponDefinition) instrument).getSecondLeg().toDerivative(CALIBRATION_DATE, TS_PRICE_INDEX_USD_WITH_TODAY);
ird = new Swap<>(ird1, ird2);
}
else {
ird = instrument.toDerivative(CALIBRATION_DATE);
}
instruments[loopcurve][loopins++] = ird;
}
}
return instruments;
}
private static InstrumentDerivative convert(final InstrumentDefinition<?> instrument) {
InstrumentDerivative ird;
if (instrument instanceof SwapFixedInflationZeroCouponDefinition) {
final Annuity<? extends Payment> ird1 = ((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg().toDerivative(CALIBRATION_DATE);
final Annuity<? extends Payment> ird2 = ((SwapFixedInflationZeroCouponDefinition) instrument).getSecondLeg().toDerivative(CALIBRATION_DATE, TS_PRICE_INDEX_USD_WITH_TODAY);
ird = new Swap<>(ird1, ird2);
}
else {
ird = instrument.toDerivative(CALIBRATION_DATE);
}
return ird;
}
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 SwapFixedInflationZeroCouponDefinition) {
if (((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg().getNthPayment(0) instanceof CouponInflationZeroCouponMonthlyDefinition) {
return 100.0;
}
if (((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg().getNthPayment(0) instanceof CouponInflationZeroCouponInterpolationDefinition) {
return 100.0;
}
return 100;
}
if (instrument instanceof ForwardRateAgreementDefinition) {
return ((ForwardRateAgreementDefinition) instrument).getRate();
}
if (instrument instanceof CashDefinition) {
return ((CashDefinition) instrument).getRate();
}
return 1;
}
}