/**
* Copyright (C) 2014 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.datasets;
import java.util.ArrayList;
import java.util.LinkedHashMap;
import java.util.List;
import org.threeten.bp.Period;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorCurveYieldInterpolated;
import com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorYDCurve;
import com.opengamma.analytics.financial.datasets.CalendarTarget;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
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.GeneratorDepositIbor;
import com.opengamma.analytics.financial.instrument.index.GeneratorDepositON;
import com.opengamma.analytics.financial.instrument.index.GeneratorFRA;
import com.opengamma.analytics.financial.instrument.index.GeneratorInstrument;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedIbor;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedIborMaster;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedON;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedONMaster;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.instrument.index.IndexIborMaster;
import com.opengamma.analytics.financial.instrument.index.IndexON;
import com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition;
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.provider.calculator.discounting.ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.discounting.ParSpreadMarketQuoteDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.generic.LastTimeCalculator;
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.multicurve.MulticurveDiscountBuildingRepository;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderDiscount;
import com.opengamma.analytics.financial.provider.description.interestrate.ParameterProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity;
import com.opengamma.analytics.math.interpolation.CombinedInterpolatorExtrapolatorFactory;
import com.opengamma.analytics.math.interpolation.Interpolator1D;
import com.opengamma.analytics.math.interpolation.Interpolator1DFactory;
import com.opengamma.financial.convention.calendar.Calendar;
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;
/**
* Curves calibration in EUR:
* 0) ONDSC-OIS/EURIBOR3M-FRAIRS
* Data stored in snapshots for comparison with platform.
*/
public class StandardDataSetsMulticurveEUR {
private static final ZonedDateTime[] REFERENCE_DATE = new ZonedDateTime[2];
static {
REFERENCE_DATE[0] = DateUtils.getUTCDate(2014, 2, 18);
}
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 Calendar TARGET = new CalendarTarget("TARGET");
private static final Currency EUR = Currency.EUR;
private static final FXMatrix FX_MATRIX = new FXMatrix(EUR);
private static final double NOTIONAL = 1.0;
private static final IndexIborMaster IBOR_MASTER = IndexIborMaster.getInstance();
private static final GeneratorSwapFixedONMaster GENERATOR_OIS_MASTER = GeneratorSwapFixedONMaster.getInstance();
private static final GeneratorSwapFixedIborMaster GENERATOR_IRS_MASTER = GeneratorSwapFixedIborMaster.getInstance();
private static final GeneratorSwapFixedON GENERATOR_OIS_EUR = GENERATOR_OIS_MASTER.getGenerator("EUR1YEONIA", TARGET);
private static final IndexON EUREONIA = GENERATOR_OIS_EUR.getIndex();
private static final GeneratorDepositON GENERATOR_DEPOSIT_ON_EUR = new GeneratorDepositON("EUR Deposit ON", EUR, TARGET, EUREONIA.getDayCount());
private static final GeneratorSwapFixedIbor EUR1YEURIBOR3M = GENERATOR_IRS_MASTER.getGenerator("EUR1YEURIBOR3M", TARGET);
private static final IborIndex EUREURIBOR3M = EUR1YEURIBOR3M.getIborIndex();
private static final IborIndex EUREURIBOR6M = IBOR_MASTER.getIndex("EURIBOR6M");
private static final GeneratorDepositIbor GENERATOR_EUREURIBOR3M = new GeneratorDepositIbor("GENERATOR_EUREURIBOR3M", EUREURIBOR3M, TARGET);
// private static final GeneratorDepositIbor GENERATOR_EUREURIBOR6M = new GeneratorDepositIbor("GENERATOR_EUREURIBOR6M", EUREURIBOR6M, TARGET);
private static final GeneratorFRA GENERATOR_FRA3M = new GeneratorFRA("GENERATOR_FRA", EUREURIBOR3M, TARGET);
// private static final GeneratorFRA GENERATOR_FRA6M = new GeneratorFRA("GENERATOR_FRA", EUREURIBOR6M, TARGET);
private static final ZonedDateTimeDoubleTimeSeries TS_EMPTY = ImmutableZonedDateTimeDoubleTimeSeries.ofEmptyUTC();
private static final ZonedDateTimeDoubleTimeSeries TS_ON_EUR_WITH_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27),
DateUtils.getUTCDate(2011, 9, 28) }, new double[] {0.07, 0.08 });
private static final ZonedDateTimeDoubleTimeSeries TS_ON_EUR_WITHOUT_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27),
DateUtils.getUTCDate(2011, 9, 28) }, new double[] {0.07, 0.08 });
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_OIS_EUR_WITH_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_EMPTY, TS_ON_EUR_WITH_TODAY };
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_OIS_EUR_WITHOUT_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_EMPTY, TS_ON_EUR_WITHOUT_TODAY };
private static final ZonedDateTimeDoubleTimeSeries TS_IBOR_EUR3M_WITH_TODAY =
ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(
new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27), DateUtils.getUTCDate(2011, 9, 28) },
new double[] {0.0035, 0.0036 });
private static final ZonedDateTimeDoubleTimeSeries TS_IBOR_EUR3M_WITHOUT_TO =
ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(
new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27) },
new double[] {0.0035 });
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_EUR3M_WITH_TODAY =
new ZonedDateTimeDoubleTimeSeries[] {TS_IBOR_EUR3M_WITH_TODAY };
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_EUR3M_WITHOUT_TODAY =
new ZonedDateTimeDoubleTimeSeries[] {TS_IBOR_EUR3M_WITHOUT_TO };
private static final String CURVE_NAME_DSC_EUR = "EUR-DSCON-OIS";
private static final String CURVE_NAME_FWD3_EUR = "EUR-EURIBOR3M-FRAIRS";
private static final String CURVE_NAME_FWD6_EUR = "EUR-EURIBOR6M-FRAIRS";
/** Data for 2014-02-18 **/
/** Market values for the dsc EUR curve */
private static final double[] DSC_1_EUR_MARKET_QUOTES = new double[] {0.000975, 0.00225,
0.001665, 0.001535, 0.001425, 0.00119, 0.00112,
0.0010555, 0.00143, 0.00249, 0.00428, 0.006325,
0.01037, 0.01549, 0.0178, 0.020365 }; //16
/** Generators for the dsc EUR curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] DSC_1_EUR_GENERATORS =
new GeneratorInstrument<?>[] {GENERATOR_DEPOSIT_ON_EUR, GENERATOR_DEPOSIT_ON_EUR,
GENERATOR_OIS_EUR, GENERATOR_OIS_EUR, GENERATOR_OIS_EUR, GENERATOR_OIS_EUR, GENERATOR_OIS_EUR,
GENERATOR_OIS_EUR, GENERATOR_OIS_EUR, GENERATOR_OIS_EUR, GENERATOR_OIS_EUR, GENERATOR_OIS_EUR,
GENERATOR_OIS_EUR, GENERATOR_OIS_EUR, GENERATOR_OIS_EUR, GENERATOR_OIS_EUR };
/** Tenors for the dsc EUR curve */
private static final Period[] DSC_1_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(7), Period.ofYears(10), Period.ofYears(12), Period.ofYears(15) };
private static final GeneratorAttributeIR[] DSC_1_EUR_ATTR = new GeneratorAttributeIR[DSC_1_EUR_TENOR.length];
static {
for (int loopins = 0; loopins < 2; loopins++) {
DSC_1_EUR_ATTR[loopins] = new GeneratorAttributeIR(DSC_1_EUR_TENOR[loopins], Period.ofDays(0));
}
for (int loopins = 2; loopins < DSC_1_EUR_TENOR.length; loopins++) {
DSC_1_EUR_ATTR[loopins] = new GeneratorAttributeIR(DSC_1_EUR_TENOR[loopins]);
}
}
/** Market values for the Fwd 3M EUR curve */
private static final double[] FWD3_1_EUR_MARKET_QUOTES = new double[] {0.00287,
0.00242, 0.00244,
0.002604, 0.0030775, 0.0044555, 0.0064095, 0.0085545,
0.010655, 0.012655, 0.01448, 0.016122, 0.017565,
0.0199725, 0.022365, 0.0241245, 0.024807 }; // 17
/** Generators for the Fwd 3M EUR curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] FWD3_1_EUR_GENERATORS =
new GeneratorInstrument<?>[] {GENERATOR_EUREURIBOR3M,
GENERATOR_FRA3M, GENERATOR_FRA3M,
EUR1YEURIBOR3M, EUR1YEURIBOR3M, EUR1YEURIBOR3M, EUR1YEURIBOR3M, EUR1YEURIBOR3M,
EUR1YEURIBOR3M, EUR1YEURIBOR3M, EUR1YEURIBOR3M, EUR1YEURIBOR3M, EUR1YEURIBOR3M,
EUR1YEURIBOR3M, EUR1YEURIBOR3M, EUR1YEURIBOR3M, EUR1YEURIBOR3M };
/** Tenors for the Fwd 3M EUR curve */
private static final Period[] FWD3_1_EUR_TENOR = new Period[] {Period.ofMonths(0),
Period.ofMonths(6), Period.ofMonths(9),
Period.ofYears(1), 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(30) };
private static final GeneratorAttributeIR[] FWD3_1_USD_ATTR = new GeneratorAttributeIR[FWD3_1_EUR_TENOR.length];
static {
for (int loopins = 0; loopins < FWD3_1_EUR_TENOR.length; loopins++) {
FWD3_1_USD_ATTR[loopins] = new GeneratorAttributeIR(FWD3_1_EUR_TENOR[loopins]);
}
}
/** Standard EUR discounting curve instrument definitions */
private static final InstrumentDefinition<?>[] DEFINITIONS_DSC_1_EUR;
/** Standard EUR Forward 3M curve instrument definitions */
private static final InstrumentDefinition<?>[] DEFINITIONS_FWD3_1_EUR;
/** Units of curves */
private static final int[] NB_UNITS = new int[] {2 };
private static final int NB_BLOCKS = NB_UNITS.length;
private static final InstrumentDefinition<?>[][][][] DEFINITIONS_UNITS = new InstrumentDefinition<?>[NB_BLOCKS][][][];
private static final GeneratorYDCurve[][][] GENERATORS_UNITS = new GeneratorYDCurve[NB_BLOCKS][][];
private static final String[][][] NAMES_UNITS = new String[NB_BLOCKS][][];
private static final MulticurveProviderDiscount KNOWN_DATA = new MulticurveProviderDiscount(FX_MATRIX);
private static final LinkedHashMap<String, Currency> DSC_MAP = new LinkedHashMap<>();
private static final LinkedHashMap<String, IndexON[]> FWD_ON_MAP = new LinkedHashMap<>();
private static final LinkedHashMap<String, IborIndex[]> FWD_IBOR_MAP = new LinkedHashMap<>();
static {
DEFINITIONS_DSC_1_EUR = getDefinitions(DSC_1_EUR_MARKET_QUOTES, DSC_1_EUR_GENERATORS, DSC_1_EUR_ATTR, REFERENCE_DATE[0]);
DEFINITIONS_FWD3_1_EUR = getDefinitions(FWD3_1_EUR_MARKET_QUOTES, FWD3_1_EUR_GENERATORS, FWD3_1_USD_ATTR, REFERENCE_DATE[0]);
for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) {
DEFINITIONS_UNITS[loopblock] = new InstrumentDefinition<?>[NB_UNITS[loopblock]][][];
GENERATORS_UNITS[loopblock] = new GeneratorYDCurve[NB_UNITS[loopblock]][];
NAMES_UNITS[loopblock] = new String[NB_UNITS[loopblock]][];
}
DEFINITIONS_UNITS[0][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_1_EUR };
DEFINITIONS_UNITS[0][1] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD3_1_EUR };
final GeneratorYDCurve genIntLin = new GeneratorCurveYieldInterpolated(MATURITY_CALCULATOR, INTERPOLATOR_LINEAR);
GENERATORS_UNITS[0][0] = new GeneratorYDCurve[] {genIntLin };
GENERATORS_UNITS[0][1] = new GeneratorYDCurve[] {genIntLin };
NAMES_UNITS[0][0] = new String[] {CURVE_NAME_DSC_EUR };
NAMES_UNITS[0][1] = new String[] {CURVE_NAME_FWD3_EUR };
DSC_MAP.put(CURVE_NAME_DSC_EUR, EUR);
FWD_ON_MAP.put(CURVE_NAME_DSC_EUR, new IndexON[] {EUREONIA });
FWD_IBOR_MAP.put(CURVE_NAME_FWD3_EUR, new IborIndex[] {EUREURIBOR3M });
FWD_IBOR_MAP.put(CURVE_NAME_FWD6_EUR, new IborIndex[] {EUREURIBOR6M });
}
@SuppressWarnings({"unchecked", "rawtypes" })
public static InstrumentDefinition<?>[] getDefinitions(final double[] marketQuotes, final GeneratorInstrument[] generators, final GeneratorAttribute[] attribute,
final ZonedDateTime referenceDate) {
final InstrumentDefinition<?>[] definitions = new InstrumentDefinition<?>[marketQuotes.length];
for (int loopmv = 0; loopmv < marketQuotes.length; loopmv++) {
definitions[loopmv] = generators[loopmv].generateInstrument(referenceDate, marketQuotes[loopmv], NOTIONAL, attribute[loopmv]);
}
return definitions;
}
// Calculator
private static final ParSpreadMarketQuoteDiscountingCalculator PSMQC = ParSpreadMarketQuoteDiscountingCalculator.getInstance();
private static final ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator PSMQCSC = ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator.getInstance();
private static final MulticurveDiscountBuildingRepository CURVE_BUILDING_REPOSITORY = new MulticurveDiscountBuildingRepository(TOLERANCE_ROOT, TOLERANCE_ROOT, STEP_MAX);
private static final List<Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle>> CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK = new ArrayList<>();
static {
for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) {
CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.add(makeCurvesFromDefinitions(DEFINITIONS_UNITS[loopblock], REFERENCE_DATE[loopblock], GENERATORS_UNITS[loopblock], NAMES_UNITS[loopblock], KNOWN_DATA,
PSMQC, PSMQCSC, false));
}
}
public static Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> getCurvesEurOisE3() {
return CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0);
}
public static Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> getCurvesEurOisE1E3E6() {
return CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(1);
}
/**
* Returns the array of Ibor index used in the curve data set.
* @return The array: EUREURIBOR3M
*/
public static IborIndex[] indexIborArrayEUROisE3() {
return new IborIndex[] {EUREURIBOR3M };
}
/**
* Returns the array of Ibor index used in the curve data set.
* @return The array: EUREURIBOR3M, EUREURIBOR6M
*/
public static IborIndex[] indexIborArrayEUROisE3E6() {
return new IborIndex[] {EUREURIBOR3M, EUREURIBOR6M };
}
/**
* Returns the array of overnight index used in the curve data set.
* @return The array: EUREONIA
*/
public static IndexON[] indexONArray() {
return new IndexON[] {EUREONIA };
}
/**
* Returns the array of calendars used in the curve data set.
* @return The array: TARGET
*/
public static Calendar[] calendarArray() {
return new Calendar[] {TARGET };
}
@SuppressWarnings("unchecked")
private static Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> makeCurvesFromDefinitions(final InstrumentDefinition<?>[][][] definitions,
final ZonedDateTime calibrationDate, final GeneratorYDCurve[][] curveGenerators,
final String[][] curveNames, final MulticurveProviderDiscount knownData, final InstrumentDerivativeVisitor<ParameterProviderInterface, Double> calculator,
final InstrumentDerivativeVisitor<ParameterProviderInterface, MulticurveSensitivity> sensitivityCalculator, final boolean withToday) {
final int nbUnits = curveGenerators.length;
final MultiCurveBundle<GeneratorYDCurve>[] curveBundles = new MultiCurveBundle[nbUnits];
for (int i = 0; i < nbUnits; i++) {
final int nCurves = definitions[i].length;
final SingleCurveBundle<GeneratorYDCurve>[] 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], calibrationDate, i, withToday);
initialGuess[k] = initialGuess(definitions[i][j][k]);
}
final GeneratorYDCurve 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, DSC_MAP, FWD_IBOR_MAP, FWD_ON_MAP, calculator,
sensitivityCalculator);
}
private static InstrumentDerivative convert(final InstrumentDefinition<?> definition, final ZonedDateTime date, final int unit, final boolean withToday) {
InstrumentDerivative ird;
if (definition instanceof SwapFixedONDefinition) {
ird = ((SwapFixedONDefinition) definition).toDerivative(date, getTSSwapFixedON(withToday, unit));
} else {
if (definition instanceof SwapFixedIborDefinition) {
ird = ((SwapFixedIborDefinition) definition).toDerivative(date, getTSSwapFixedIbor(withToday, unit));
} else {
ird = definition.toDerivative(date);
}
}
return ird;
}
private static ZonedDateTimeDoubleTimeSeries[] getTSSwapFixedON(final Boolean withToday, final Integer unit) {
switch (unit) {
case 0:
return withToday ? TS_FIXED_OIS_EUR_WITH_TODAY : TS_FIXED_OIS_EUR_WITHOUT_TODAY;
default:
throw new IllegalArgumentException(unit.toString());
}
}
private static ZonedDateTimeDoubleTimeSeries[] getTSSwapFixedIbor(final Boolean withToday, final Integer unit) {
switch (unit) {
case 0:
return withToday ? TS_FIXED_IBOR_EUR3M_WITH_TODAY : TS_FIXED_IBOR_EUR3M_WITHOUT_TODAY;
case 1:
return withToday ? TS_FIXED_IBOR_EUR3M_WITH_TODAY : TS_FIXED_IBOR_EUR3M_WITHOUT_TODAY;
default:
throw new IllegalArgumentException(unit.toString());
}
}
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;
}
}