/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.provider.curve;
import static org.testng.AssertJUnit.assertEquals;
import java.io.FileWriter;
import java.io.IOException;
import java.util.ArrayList;
import java.util.LinkedHashMap;
import java.util.List;
import java.util.Map;
import java.util.Set;
import org.testng.annotations.BeforeSuite;
import org.testng.annotations.Test;
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.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.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.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.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve;
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.discounting.PresentValueDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.generic.LastTimeCalculator;
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.MulticurveProviderInterface;
import com.opengamma.analytics.financial.provider.description.interestrate.ParameterProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
import com.opengamma.analytics.math.interpolation.CombinedInterpolatorExtrapolatorFactory;
import com.opengamma.analytics.math.interpolation.Interpolator1D;
import com.opengamma.analytics.math.interpolation.Interpolator1DFactory;
import com.opengamma.analytics.math.matrix.DoubleMatrix2D;
import com.opengamma.analytics.util.time.TimeCalculator;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.convention.calendar.MondayToFridayCalendar;
import com.opengamma.timeseries.precise.zdt.ImmutableZonedDateTimeDoubleTimeSeries;
import com.opengamma.timeseries.precise.zdt.ZonedDateTimeDoubleTimeSeries;
import com.opengamma.util.money.Currency;
import com.opengamma.util.test.TestGroup;
import com.opengamma.util.time.DateUtils;
import com.opengamma.util.tuple.Pair;
/**
* Build of curve in several blocks with relevant Jacobian matrices.
*/
@Test(groups = TestGroup.UNIT)
public class MulticurveBuildingDiscountingDiscountSimpleTest {
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 NYC = new MondayToFridayCalendar("NYC");
private static final Currency USD = Currency.USD;
private static final FXMatrix FX_MATRIX = new FXMatrix(USD);
private static final double NOTIONAL = 1.0;
private static final GeneratorSwapFixedON GENERATOR_OIS_USD = GeneratorSwapFixedONMaster.getInstance().getGenerator("USD1YFEDFUND", NYC);
private static final IndexON INDEX_ON_USD = GENERATOR_OIS_USD.getIndex();
private static final GeneratorDepositON GENERATOR_DEPOSIT_ON_USD = new GeneratorDepositON("USD Deposit ON", USD, NYC, INDEX_ON_USD.getDayCount());
private static final GeneratorSwapFixedIborMaster GENERATOR_SWAP_MASTER = GeneratorSwapFixedIborMaster.getInstance();
private static final GeneratorSwapFixedIbor USD6MLIBOR3M = GENERATOR_SWAP_MASTER.getGenerator("USD6MLIBOR3M", NYC);
private static final IborIndex USDLIBOR3M = USD6MLIBOR3M.getIborIndex();
private static final GeneratorDepositIbor GENERATOR_USDLIBOR3M = new GeneratorDepositIbor("GENERATOR_USDLIBOR3M", USDLIBOR3M, NYC);
private static final ZonedDateTime NOW = DateUtils.getUTCDate(2011, 9, 28);
private static final ZonedDateTimeDoubleTimeSeries TS_EMPTY = ImmutableZonedDateTimeDoubleTimeSeries.ofEmptyUTC();
private static final ZonedDateTimeDoubleTimeSeries TS_ON_USD_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_USD_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_USD_WITH_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_EMPTY, TS_ON_USD_WITH_TODAY };
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_OIS_USD_WITHOUT_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_EMPTY, TS_ON_USD_WITHOUT_TODAY };
private static final ZonedDateTimeDoubleTimeSeries TS_IBOR_USD3M_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_USD3M_WITHOUT_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27) },
new double[] {0.0035 });
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_USD3M_WITH_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_IBOR_USD3M_WITH_TODAY };
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_USD3M_WITHOUT_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_IBOR_USD3M_WITHOUT_TODAY };
private static final String CURVE_NAME_DSC_USD = "USD Dsc";
private static final String CURVE_NAME_FWD3_USD = "USD Fwd 3M";
/** Market values for the dsc USD curve */
private static final double[] DSC_USD_MARKET_QUOTES = new double[] {0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400 };
/** Generators for the dsc USD curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] DSC_USD_GENERATORS = new GeneratorInstrument<?>[] {GENERATOR_DEPOSIT_ON_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD,
GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD };
/** Tenors for the dsc USD curve */
private static final Period[] DSC_USD_TENOR = new Period[] {Period.ofDays(0), 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) };
private static final GeneratorAttributeIR[] DSC_USD_ATTR = new GeneratorAttributeIR[DSC_USD_TENOR.length];
static {
for (int loopins = 0; loopins < DSC_USD_TENOR.length; loopins++) {
DSC_USD_ATTR[loopins] = new GeneratorAttributeIR(DSC_USD_TENOR[loopins]);
}
}
/** Market values for the Fwd 3M USD curve */
private static final double[] FWD3_USD_MARKET_QUOTES = new double[] {0.0420, 0.0420, 0.0420, 0.0430, 0.0470, 0.0540, 0.0570, 0.0600 };
/** Generators for the Fwd 3M USD curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] FWD3_USD_GENERATORS = new GeneratorInstrument<?>[] {GENERATOR_USDLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M,
USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M };
/** Tenors for the Fwd 3M USD curve */
private static final Period[] FWD3_USD_TENOR = new Period[] {Period.ofMonths(0), Period.ofMonths(6), Period.ofYears(1), Period.ofYears(2),
Period.ofYears(3), Period.ofYears(5), Period.ofYears(7),
Period.ofYears(10) };
private static final GeneratorAttributeIR[] FWD3_USD_ATTR = new GeneratorAttributeIR[FWD3_USD_TENOR.length];
static {
for (int loopins = 0; loopins < FWD3_USD_TENOR.length; loopins++) {
FWD3_USD_ATTR[loopins] = new GeneratorAttributeIR(FWD3_USD_TENOR[loopins]);
}
}
/** Standard USD discounting curve instrument definitions */
private static final InstrumentDefinition<?>[] DEFINITIONS_DSC_USD;
/** Standard USD Forward 3M curve instrument definitions */
private static final InstrumentDefinition<?>[] DEFINITIONS_FWD3_USD;
/** 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_USD = getDefinitions(DSC_USD_MARKET_QUOTES, DSC_USD_GENERATORS, DSC_USD_ATTR);
DEFINITIONS_FWD3_USD = getDefinitions(FWD3_USD_MARKET_QUOTES, FWD3_USD_GENERATORS, FWD3_USD_ATTR);
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_USD };
DEFINITIONS_UNITS[0][1] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD3_USD };
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_USD };
NAMES_UNITS[0][1] = new String[] {CURVE_NAME_FWD3_USD };
DSC_MAP.put(CURVE_NAME_DSC_USD, USD);
FWD_ON_MAP.put(CURVE_NAME_DSC_USD, new IndexON[] {INDEX_ON_USD });
FWD_IBOR_MAP.put(CURVE_NAME_FWD3_USD, new IborIndex[] {USDLIBOR3M });
}
@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(NOW, marketQuotes[loopmv], NOTIONAL, attribute[loopmv]);
}
return definitions;
}
private static List<Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle>> CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK = new ArrayList<>();
// Calculator
private static final PresentValueDiscountingCalculator PVC = PresentValueDiscountingCalculator.getInstance();
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 double TOLERANCE_CAL = 1.0E-9;
@BeforeSuite
static void initClass() {
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, PSMQC, PSMQCSC, false));
}
}
public List<Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle>> getCurvesWithBlock() {
initClass();
return CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK;
}
public MulticurveProviderDiscount getCurvesWithOnlyDiscount() {
initClass();
final MulticurveProviderDiscount curves = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).getFirst().copy();
final Map<IborIndex, YieldAndDiscountCurve> iborCurves = new LinkedHashMap<>();
final MulticurveProviderDiscount curve = new MulticurveProviderDiscount(curves.getDiscountingCurves(), iborCurves, curves.getForwardONCurves(), curves.getFxRates());
return curve;
}
public CurveBuildingBlockBundle getBundleWithOnlyDiscount() {
initClass();
final Map<String, Pair<CurveBuildingBlock, DoubleMatrix2D>> bundle = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).getSecond().getData();
final Map<String, Pair<CurveBuildingBlock, DoubleMatrix2D>> bundleWithoutFwd3M = new LinkedHashMap<>();
final Set<String> keySet = bundle.keySet();
for (final String name : keySet) {
if (name.equals(CURVE_NAME_DSC_USD)) {
bundleWithoutFwd3M.put(name, bundle.get(name));
}
}
final LinkedHashMap<String, Pair<CurveBuildingBlock, DoubleMatrix2D>> bundleToLinkedMap = new LinkedHashMap<>(bundleWithoutFwd3M);
return new CurveBuildingBlockBundle(bundleToLinkedMap);
}
@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(), false, loopblock);
}
}
private void curveConstructionTest(final InstrumentDefinition<?>[][][] definitions, final MulticurveProviderDiscount curves, final boolean withToday, final int block) {
final int nbBlocks = definitions.length;
for (int loopblock = 0; loopblock < nbBlocks; loopblock++) {
final InstrumentDerivative[][] instruments = convert(definitions[loopblock], loopblock, withToday);
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(PVC, curves), USD).getAmount();
assertEquals("Curve construction: block " + block + ", unit " + loopblock + " - instrument " + loopins, 0, pv[loopcurve][loopins], TOLERANCE_CAL);
}
}
}
}
@Test(enabled = true)
public void blockBundleDscFiniteDifferenceTest() {
final CurveBuildingBlockBundle blockBundles = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).getSecond();
final double[] DSC_USD_MARKET_QUOTES_BUMPED_PLUS = new double[] {0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400 };
final double[] DSC_USD_MARKET_QUOTES_BUMPED_MINUS = new double[] {0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400 };
final double bump = 10e-8;
for (int k = 0; k < DSC_USD_MARKET_QUOTES_BUMPED_MINUS.length; k++) {
DSC_USD_MARKET_QUOTES_BUMPED_PLUS[k] += bump;
DSC_USD_MARKET_QUOTES_BUMPED_MINUS[k] -= bump;
final List<Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle>> blockBundlesPlus = new ArrayList<>();
final List<Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle>> blockBundlesMinus = new ArrayList<>();
final InstrumentDefinition<?>[] DEFINITIONS_DSC_USD_PLUS = getDefinitions(DSC_USD_MARKET_QUOTES_BUMPED_PLUS, DSC_USD_GENERATORS, DSC_USD_ATTR);
final InstrumentDefinition<?>[] DEFINITIONS_DSC_USD_MINUS = getDefinitions(DSC_USD_MARKET_QUOTES_BUMPED_MINUS, DSC_USD_GENERATORS, DSC_USD_ATTR);
final InstrumentDefinition<?>[][][] DEFINITIONS_UNITS_PLUS = new InstrumentDefinition<?>[2][][];
final InstrumentDefinition<?>[][][] DEFINITIONS_UNITS_MINUS = new InstrumentDefinition<?>[2][][];
DEFINITIONS_UNITS_PLUS[1] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD3_USD };
DEFINITIONS_UNITS_MINUS[1] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD3_USD };
DEFINITIONS_UNITS_PLUS[0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD_PLUS };
DEFINITIONS_UNITS_MINUS[0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD_MINUS };
blockBundlesPlus.add(makeCurvesFromDefinitions(DEFINITIONS_UNITS_PLUS, GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PSMQC, PSMQCSC, false));
final Double[] parametersPlus = ((YieldCurve) blockBundlesPlus.get(0).getFirst().getCurve(CURVE_NAME_DSC_USD)).getCurve().getYData();
blockBundlesMinus.add(makeCurvesFromDefinitions(DEFINITIONS_UNITS_MINUS, GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PSMQC, PSMQCSC, false));
final Double[] parametersMinus = ((YieldCurve) blockBundlesMinus.get(0).getFirst().getCurve(CURVE_NAME_DSC_USD)).getCurve().getYData();
final Double[] parametersSensi = new Double[parametersMinus.length];
DSC_USD_MARKET_QUOTES_BUMPED_PLUS[k] -= bump;
DSC_USD_MARKET_QUOTES_BUMPED_MINUS[k] += bump;
for (int j = 0; j < blockBundles.getBlock(CURVE_NAME_DSC_USD).getSecond().getData().length; j++) {
parametersSensi[j] = (parametersPlus[j] - parametersMinus[j]) / (2 * bump);
assertEquals("Curve construction: block " + CURVE_NAME_DSC_USD + ", column " + j + " - line " + k, blockBundles.getBlock(CURVE_NAME_DSC_USD).getSecond().getData()[j][k],
parametersSensi[j], 10e-6);
}
}
}
@Test(enabled = true)
public void blockBundleDFwd3MFiniteDifferenceTest() {
final double[] DSC_USD_MARKET_QUOTES_BUMPED_PLUS = new double[] {0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400 };
final double[] DSC_USD_MARKET_QUOTES_BUMPED_MINUS = new double[] {0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400 };
final double[] FWD3_USD_MARKET_QUOTES_PLUS = new double[] {0.0420, 0.0420, 0.0420, 0.0430, 0.0470, 0.0540, 0.0570, 0.0600 };
final double[] FWD3_USD_MARKET_QUOTES_MINUS = new double[] {0.0420, 0.0420, 0.0420, 0.0430, 0.0470, 0.0540, 0.0570, 0.0600 };
final CurveBuildingBlockBundle blockBundles = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).clone().getSecond();
final double bump = 10e-8;
for (int k = 0; k < DSC_USD_MARKET_QUOTES_BUMPED_MINUS.length; k++) {
DSC_USD_MARKET_QUOTES_BUMPED_PLUS[k] += bump;
DSC_USD_MARKET_QUOTES_BUMPED_MINUS[k] -= bump;
final List<Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle>> blockBundlesPlus = new ArrayList<>();
final List<Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle>> blockBundlesMinus = new ArrayList<>();
final InstrumentDefinition<?>[] DEFINITIONS_DSC_USD_PLUS = getDefinitions(DSC_USD_MARKET_QUOTES_BUMPED_PLUS, DSC_USD_GENERATORS, DSC_USD_ATTR);
final InstrumentDefinition<?>[] DEFINITIONS_DSC_USD_MINUS = getDefinitions(DSC_USD_MARKET_QUOTES_BUMPED_MINUS, DSC_USD_GENERATORS, DSC_USD_ATTR);
final InstrumentDefinition<?>[][][] DEFINITIONS_UNITS_PLUS = new InstrumentDefinition<?>[2][][];
final InstrumentDefinition<?>[][][] DEFINITIONS_UNITS_MINUS = new InstrumentDefinition<?>[2][][];
DEFINITIONS_UNITS_PLUS[1] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD3_USD };
DEFINITIONS_UNITS_MINUS[1] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD3_USD };
DEFINITIONS_UNITS_PLUS[0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD_PLUS };
DEFINITIONS_UNITS_MINUS[0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD_MINUS };
blockBundlesPlus.add(makeCurvesFromDefinitions(DEFINITIONS_UNITS_PLUS, GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PSMQC, PSMQCSC, false));
final Double[] parametersPlus = ((YieldCurve) blockBundlesPlus.get(0).getFirst().getCurve(CURVE_NAME_FWD3_USD)).getCurve().getYData();
blockBundlesMinus.add(makeCurvesFromDefinitions(DEFINITIONS_UNITS_MINUS, GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PSMQC, PSMQCSC, false));
final Double[] parametersMinus = ((YieldCurve) blockBundlesMinus.get(0).getFirst().getCurve(CURVE_NAME_FWD3_USD)).getCurve().getYData();
final Double[] parametersSensi = new Double[parametersMinus.length];
DSC_USD_MARKET_QUOTES_BUMPED_PLUS[k] -= bump;
DSC_USD_MARKET_QUOTES_BUMPED_MINUS[k] += bump;
for (int j = 0; j < blockBundles.getBlock(CURVE_NAME_FWD3_USD).getSecond().getData().length; j++) {
parametersSensi[j] = (parametersPlus[j] - parametersMinus[j]) / (2 * bump);
assertEquals("Curve construction: block " + CURVE_NAME_FWD3_USD + ", column " + j + " - line " + k, blockBundles.getBlock(CURVE_NAME_FWD3_USD).getSecond().getData()[j][k],
parametersSensi[j], 10e-6);
}
}
for (int k = 0; k < FWD3_USD_MARKET_QUOTES_PLUS.length; k++) {
FWD3_USD_MARKET_QUOTES_PLUS[k] += bump;
FWD3_USD_MARKET_QUOTES_MINUS[k] -= bump;
final List<Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle>> blockBundlesPlus = new ArrayList<>();
final List<Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle>> blockBundlesMinus = new ArrayList<>();
final InstrumentDefinition<?>[] DEFINITIONS_FWD_USD_PLUS = getDefinitions(FWD3_USD_MARKET_QUOTES_PLUS, FWD3_USD_GENERATORS, FWD3_USD_ATTR);
final InstrumentDefinition<?>[] DEFINITIONS_FWD_USD_MINUS = getDefinitions(FWD3_USD_MARKET_QUOTES_MINUS, FWD3_USD_GENERATORS, FWD3_USD_ATTR);
final InstrumentDefinition<?>[][][] DEFINITIONS_UNITS_PLUS = new InstrumentDefinition<?>[2][][];
final InstrumentDefinition<?>[][][] DEFINITIONS_UNITS_MINUS = new InstrumentDefinition<?>[2][][];
DEFINITIONS_UNITS_PLUS[0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD };
DEFINITIONS_UNITS_MINUS[0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD };
DEFINITIONS_UNITS_PLUS[1] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD_USD_PLUS };
DEFINITIONS_UNITS_MINUS[1] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD_USD_MINUS };
blockBundlesPlus.add(makeCurvesFromDefinitions(DEFINITIONS_UNITS_PLUS, GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PSMQC, PSMQCSC, false));
final Double[] parametersPlus = ((YieldCurve) blockBundlesPlus.get(0).getFirst().getCurve(CURVE_NAME_FWD3_USD)).getCurve().getYData();
blockBundlesMinus.add(makeCurvesFromDefinitions(DEFINITIONS_UNITS_MINUS, GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PSMQC, PSMQCSC, false));
final Double[] parametersMinus = ((YieldCurve) blockBundlesMinus.get(0).getFirst().getCurve(CURVE_NAME_FWD3_USD)).getCurve().getYData();
final Double[] parametersSensi = new Double[parametersMinus.length];
FWD3_USD_MARKET_QUOTES_PLUS[k] -= bump;
FWD3_USD_MARKET_QUOTES_MINUS[k] += bump;
for (int j = 0; j < blockBundles.getBlock(CURVE_NAME_FWD3_USD).getSecond().getData().length; j++) {
parametersSensi[j] = (parametersPlus[j] - parametersMinus[j]) / (2 * bump);
assertEquals("Curve construction: block " + CURVE_NAME_FWD3_USD + ", column " + j + " - line " + k, blockBundles.getBlock(CURVE_NAME_FWD3_USD).getSecond().getData()[j][k +
DSC_USD_MARKET_QUOTES_BUMPED_MINUS.length],
parametersSensi[j], 10e-6);
}
}
}
@Test(enabled = false)
/**
* Analyzes the shape of the forward curve.
*/
public void forwardAnalysis() {
final MulticurveProviderInterface marketDsc = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).getFirst();
final int jump = 1;
final int startIndex = 0;
final int nbDate = 2750;
ZonedDateTime startDate = ScheduleCalculator.getAdjustedDate(NOW, USDLIBOR3M.getSpotLag() + startIndex * jump, NYC);
final double[] rateDsc = new double[nbDate];
final double[] startTime = new double[nbDate];
try {
final FileWriter writer = new FileWriter("fwd-dsc.csv");
for (int loopdate = 0; loopdate < nbDate; loopdate++) {
startTime[loopdate] = TimeCalculator.getTimeBetween(NOW, startDate);
final ZonedDateTime endDate = ScheduleCalculator.getAdjustedDate(startDate, USDLIBOR3M, NYC);
final double endTime = TimeCalculator.getTimeBetween(NOW, endDate);
final double accrualFactor = USDLIBOR3M.getDayCount().getDayCountFraction(startDate, endDate, NYC);
rateDsc[loopdate] = marketDsc.getSimplyCompoundForwardRate(USDLIBOR3M, startTime[loopdate], endTime, accrualFactor);
startDate = ScheduleCalculator.getAdjustedDate(startDate, jump, NYC);
writer.append(0.0 + "," + startTime[loopdate] + "," + rateDsc[loopdate] + "\n");
}
writer.flush();
writer.close();
} catch (final IOException e) {
e.printStackTrace();
}
}
@SuppressWarnings("unchecked")
private static Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> makeCurvesFromDefinitions(final InstrumentDefinition<?>[][][] definitions, final GeneratorYDCurve[][] curveGenerators,
final String[][] curveNames, final MulticurveProviderDiscount knownData, final InstrumentDerivativeVisitor<ParameterProviderInterface, Double> calculator,
final InstrumentDerivativeVisitor<ParameterProviderInterface, MulticurveSensitivity> sensitivityCalculator, final boolean withToday) {
final int nUnits = definitions.length;
final MultiCurveBundle<GeneratorYDCurve>[] curveBundles = new MultiCurveBundle[nUnits];
for (int i = 0; i < nUnits; 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], 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<?> instrument, final int unit, final boolean withToday) {
InstrumentDerivative ird;
if (instrument instanceof SwapFixedONDefinition) {
ird = ((SwapFixedONDefinition) instrument).toDerivative(NOW, getTSSwapFixedON(withToday, unit));
} else {
if (instrument instanceof SwapFixedIborDefinition) {
ird = ((SwapFixedIborDefinition) instrument).toDerivative(NOW, getTSSwapFixedIbor(withToday, unit));
} else {
ird = instrument.toDerivative(NOW);
}
}
return ird;
}
private static InstrumentDerivative[][] convert(final InstrumentDefinition<?>[][] definitions, final int unit, final boolean withToday) {
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 SwapFixedONDefinition) {
ird = ((SwapFixedONDefinition) instrument).toDerivative(NOW, getTSSwapFixedON(withToday, unit));
} else {
if (instrument instanceof SwapFixedIborDefinition) {
ird = ((SwapFixedIborDefinition) instrument).toDerivative(NOW, getTSSwapFixedIbor(withToday, unit));
} else {
ird = instrument.toDerivative(NOW);
}
}
instruments[loopcurve][loopins++] = ird;
}
}
return instruments;
}
private static ZonedDateTimeDoubleTimeSeries[] 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());
}
}
private static ZonedDateTimeDoubleTimeSeries[] getTSSwapFixedIbor(final Boolean withToday, final Integer unit) {
switch (unit) {
case 0:
return withToday ? TS_FIXED_IBOR_USD3M_WITH_TODAY : TS_FIXED_IBOR_USD3M_WITHOUT_TODAY;
case 1:
return withToday ? TS_FIXED_IBOR_USD3M_WITH_TODAY : TS_FIXED_IBOR_USD3M_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;
}
}