/** * 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; } }