/**
* Copyright (C) 2013 - 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 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.GeneratorDepositON;
import com.opengamma.analytics.financial.instrument.index.GeneratorInstrument;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedCompoundedONCompounded;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedCompoundedONCompoundedMaster;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.instrument.index.IndexON;
import com.opengamma.analytics.financial.instrument.swap.SwapFixedCompoundedONCompoundedDefinition;
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.discounting.PresentValueDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.generic.LastTimeCalculator;
import com.opengamma.analytics.financial.provider.curve.multicurve.MulticurveProviderForwardBuildingRepository;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderForward;
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.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;
/**
*
*/
@Test(groups = TestGroup.UNIT)
public class MulticurveBuildingDiscountingForwardBrazilianONTest {
private static final Interpolator1D INTERPOLATOR = CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.LOG_NATURAL_CUBIC_MONOTONE, 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 BRL = Currency.BRL;
private static final FXMatrix FX_MATRIX = new FXMatrix(BRL);
private static final double NOTIONAL = 1.0;
private static final GeneratorSwapFixedCompoundedONCompounded GENERATOR_OIS_BRL = GeneratorSwapFixedCompoundedONCompoundedMaster.getInstance().getGenerator("BRLCDI", NYC);
private static final IndexON INDEX_ON_BRL = GENERATOR_OIS_BRL.getIndex();
private static final GeneratorDepositON GENERATOR_DEPOSIT_ON_BRL = new GeneratorDepositON("BRL Deposit ON", BRL, NYC, INDEX_ON_BRL.getDayCount());
private static final ZonedDateTime NOW = DateUtils.getUTCDate(2013, 10, 7);
private static final ZonedDateTimeDoubleTimeSeries TS_EMPTY = ImmutableZonedDateTimeDoubleTimeSeries.ofEmptyUTC();
private static final ZonedDateTimeDoubleTimeSeries TS_ON_BRL_WITH_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2013, 8, 10),
DateUtils.getUTCDate(2013, 9, 10) }, new double[] {0.0881, 0.0881 });
private static final ZonedDateTimeDoubleTimeSeries TS_ON_BRL_WITHOUT_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2013, 8, 10),
DateUtils.getUTCDate(2013, 9, 10) }, new double[] {0.0881, 0.0881 });
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_CDI_BRL_WITH_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_EMPTY, TS_ON_BRL_WITH_TODAY };
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_CDI_BRL_WITHOUT_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_EMPTY, TS_ON_BRL_WITHOUT_TODAY };
private static final String CURVE_NAME_DSC_BRL = "BRL Dsc";
/** Market values for the dsc BRL curve */
private static final double[] DSC_BRL_MARKET_QUOTES = new double[] {0.092925, 0.09325, 0.09458, 0.09545, 0.09665, 0.09845, 0.1001, 0.10101, 0.10335, 0.10565, 0.10725, 0.10865, 0.1098, 0.11085,
0.1113, 0.11165, 0.11205, 0.1127 };
/** Generators for the dsc BRL curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] DSC_BRL_GENERATORS = new GeneratorInstrument<?>[] {GENERATOR_OIS_BRL, GENERATOR_OIS_BRL,
GENERATOR_OIS_BRL, GENERATOR_OIS_BRL, GENERATOR_OIS_BRL, GENERATOR_OIS_BRL, GENERATOR_OIS_BRL, GENERATOR_OIS_BRL, GENERATOR_OIS_BRL, GENERATOR_OIS_BRL, GENERATOR_OIS_BRL, GENERATOR_OIS_BRL,
GENERATOR_OIS_BRL, GENERATOR_OIS_BRL, GENERATOR_OIS_BRL, GENERATOR_OIS_BRL, GENERATOR_OIS_BRL, GENERATOR_OIS_BRL };
/** Tenors for the dsc BRL curve */
private static final Period[] DSC_BRL_TENOR = new Period[] {Period.ofDays(23), Period.ofDays(54), Period.ofDays(85),
Period.ofDays(117), Period.ofDays(174), Period.ofDays(267), Period.ofDays(357), Period.ofDays(450), Period.ofDays(539), Period.ofDays(630), Period.ofDays(722), Period.ofDays(817),
Period.ofDays(996), Period.ofDays(1090), Period.ofDays(1181), Period.ofDays(1272), Period.ofDays(1363), Period.ofDays(1454) };
private static final GeneratorAttributeIR[] DSC_BRL_ATTR = new GeneratorAttributeIR[DSC_BRL_TENOR.length];
static {
for (int loopins = 0; loopins < DSC_BRL_TENOR.length; loopins++) {
DSC_BRL_ATTR[loopins] = new GeneratorAttributeIR(DSC_BRL_TENOR[loopins]);
}
}
/** Standard BRL discounting curve instrument definitions */
private static final InstrumentDefinition<?>[] DEFINITIONS_DSC_BRL;
/** 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 GeneratorYDCurve[][][] GENERATORS_UNITS = new GeneratorYDCurve[NB_BLOCKS][][];
private static final String[][][] NAMES_UNITS = new String[NB_BLOCKS][][];
private static final MulticurveProviderForward KNOWN_DATA = new MulticurveProviderForward(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_BRL = getDefinitions(DSC_BRL_MARKET_QUOTES, DSC_BRL_GENERATORS, DSC_BRL_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_BRL };
final GeneratorYDCurve genIntLin = new GeneratorCurveYieldInterpolated(MATURITY_CALCULATOR, INTERPOLATOR);
GENERATORS_UNITS[0][0] = new GeneratorYDCurve[] {genIntLin };
NAMES_UNITS[0][0] = new String[] {CURVE_NAME_DSC_BRL };
DSC_MAP.put(CURVE_NAME_DSC_BRL, BRL);
FWD_ON_MAP.put(CURVE_NAME_DSC_BRL, INDEX_ON_BRL);
}
@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<MulticurveProviderForward, 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 MulticurveProviderForwardBuildingRepository CURVE_BUILDING_REPOSITORY = new MulticurveProviderForwardBuildingRepository(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));
}
}
@Test(enabled = false)
public void performance() {
long startTime, endTime;
final int nbTest = 100;
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
makeCurvesFromDefinitions(DEFINITIONS_UNITS[0], GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PSMQC, PSMQCSC, false);
}
endTime = System.currentTimeMillis();
System.out.println("MulticurveBuidingDiscountingBrazilianONTest - " + nbTest + " curve construction Brazilian CDI EUR 1 units: " + (endTime - startTime) + " ms");
// Performance note: curve construction Price index EUR 1 units: 23-Aug-13: On Dell Precision T1850 3.5 GHz Quad-Core Intel Xeon: 3094 ms for 100 sets.
}
@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 MulticurveProviderForward 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), BRL).getAmount();
assertEquals("Curve construction: block " + block + ", unit " + loopblock + " - instrument " + loopins, 0, pv[loopcurve][loopins], TOLERANCE_CAL);
}
}
}
}
@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 = 1000;
ZonedDateTime startDate = ScheduleCalculator.getAdjustedDate(NOW, INDEX_ON_BRL.getPublicationLag() + startIndex * jump, NYC);
final double[] dscstart = new double[nbDate];
final double[] dscend = new double[nbDate];
final double[] rateDsc = new double[nbDate];
final double[] rateDsc2 = new double[nbDate];
final double[] rateDscNormal = new double[nbDate];
final double[] startTime = new double[nbDate];
final double[] startTime2 = new double[nbDate];
final double[] accrualFactor = new double[nbDate];
final double[] accrualFactorActAct = 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);
startTime2[loopdate] = INDEX_ON_BRL.getDayCount().getDayCountFraction(NOW, startDate, NYC);
final ZonedDateTime endDate = ScheduleCalculator.getAdjustedDate(startDate, INDEX_ON_BRL.getPublicationLag(), NYC);
final double endTime = TimeCalculator.getTimeBetween(NOW, endDate);
final double endTime2 = INDEX_ON_BRL.getDayCount().getDayCountFraction(NOW, endDate, NYC);
accrualFactor[loopdate] = INDEX_ON_BRL.getDayCount().getDayCountFraction(startDate, endDate, NYC);
accrualFactorActAct[loopdate] = TimeCalculator.getTimeBetween(startDate, endDate);
dscstart[loopdate] = marketDsc.getDiscountFactor(BRL, startTime2[loopdate]);
dscend[loopdate] = marketDsc.getDiscountFactor(BRL, endTime2);
rateDsc[loopdate] = marketDsc.getSimplyCompoundForwardRate(INDEX_ON_BRL, startTime2[loopdate], endTime2, accrualFactor[loopdate]);
rateDsc2[loopdate] = marketDsc.getSimplyCompoundForwardRate(INDEX_ON_BRL, startTime[loopdate], endTime, accrualFactor[loopdate]);
rateDscNormal[loopdate] = marketDsc.getSimplyCompoundForwardRate(INDEX_ON_BRL, startTime[loopdate], endTime, accrualFactorActAct[loopdate]);
startDate = ScheduleCalculator.getAdjustedDate(startDate, jump, NYC);
writer.append(0.0 + "," + startTime[loopdate] + "," + dscstart[loopdate] + "," + dscend[loopdate] + "," + rateDsc[loopdate] + "," + rateDsc2[loopdate] + "," + rateDscNormal[loopdate] + "\n");
}
writer.flush();
writer.close();
} catch (final IOException e) {
e.printStackTrace();
}
}
@SuppressWarnings("unchecked")
private static Pair<MulticurveProviderForward, CurveBuildingBlockBundle> makeCurvesFromDefinitions(final InstrumentDefinition<?>[][][] definitions, final GeneratorYDCurve[][] curveGenerators,
final String[][] curveNames, final MulticurveProviderForward knownData, final InstrumentDerivativeVisitor<ParameterProviderInterface, Double> calculator,
final InstrumentDerivativeVisitor<ParameterProviderInterface, MulticurveSensitivity> sensitivityCalculator, final boolean withToday) {
final int nUnits = definitions.length;
final double[][] parametersGuess = new double[nUnits][];
final GeneratorYDCurve[][] generatorFinal = new GeneratorYDCurve[nUnits][];
final InstrumentDerivative[][][] instruments = new InstrumentDerivative[nUnits][][];
for (int loopunit = 0; loopunit < nUnits; loopunit++) {
generatorFinal[loopunit] = new GeneratorYDCurve[curveGenerators[loopunit].length];
int nbInsUnit = 0;
for (int loopcurve = 0; loopcurve < curveGenerators[loopunit].length; loopcurve++) {
nbInsUnit += definitions[loopunit][loopcurve].length;
}
parametersGuess[loopunit] = new double[nbInsUnit];
int startCurve = 0; // First parameter index of the curve in the unit.
instruments[loopunit] = convert(definitions[loopunit], loopunit, withToday);
for (int loopcurve = 0; loopcurve < curveGenerators[loopunit].length; loopcurve++) {
generatorFinal[loopunit][loopcurve] = curveGenerators[loopunit][loopcurve].finalGenerator(instruments[loopunit][loopcurve]);
final double[] guessCurve = generatorFinal[loopunit][loopcurve].initialGuess(initialGuess(definitions[loopunit][loopcurve]));
System.arraycopy(guessCurve, 0, parametersGuess[loopunit], startCurve, instruments[loopunit][loopcurve].length);
startCurve += instruments[loopunit][loopcurve].length;
}
}
return CURVE_BUILDING_REPOSITORY.makeCurvesFromDerivatives(instruments, generatorFinal, curveNames, parametersGuess, knownData, DSC_MAP, FWD_IBOR_MAP, FWD_ON_MAP, calculator,
sensitivityCalculator);
}
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 SwapFixedCompoundedONCompoundedDefinition) {
ird = ((SwapFixedCompoundedONCompoundedDefinition) instrument).toDerivative(NOW, getTSSwapFixedON(withToday, unit));
} else {
ird = instrument.toDerivative(NOW);
}
instruments[loopcurve][loopins++] = ird;
}
}
return instruments;
}
private static InstrumentDerivative convert(final InstrumentDefinition<?> instrument, final int unit, final boolean withToday) {
InstrumentDerivative ird;
if (instrument instanceof SwapFixedCompoundedONCompoundedDefinition) {
ird = ((SwapFixedCompoundedONCompoundedDefinition) instrument).toDerivative(NOW, getTSSwapFixedON(withToday, unit));
} else {
ird = instrument.toDerivative(NOW);
}
return ird;
}
private static ZonedDateTimeDoubleTimeSeries[] getTSSwapFixedON(final Boolean withToday, final Integer unit) {
switch (unit) {
case 0:
return withToday ? TS_FIXED_CDI_BRL_WITH_TODAY : TS_FIXED_CDI_BRL_WITHOUT_TODAY;
default:
throw new IllegalArgumentException(unit.toString());
}
}
private static double[] initialGuess(final InstrumentDefinition<?>[] definitions) {
final double[] result = new double[definitions.length];
int loopr = 0;
for (final InstrumentDefinition<?> definition : definitions) {
result[loopr++] = initialGuess(definition);
}
return result;
}
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 0.1;
}
private static double initialGuess() {
return 0.01;
}
}