/**
* Copyright (C) 2014 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.tutorial.datasets;
import java.util.LinkedHashMap;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorCurveDiscountFactorInterpolated;
import com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorCurveYieldInterpolated;
import com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorYDCurve;
import com.opengamma.analytics.financial.datasets.CalendarUSD;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
import com.opengamma.analytics.financial.instrument.fra.ForwardRateAgreementDefinition;
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.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.ParSpreadRateCurveSensitivityDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.discounting.ParSpreadRateDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.generic.LastTimeCalculator;
import com.opengamma.analytics.financial.provider.curve.CurveBuildingBlockBundle;
import com.opengamma.analytics.financial.provider.curve.CurveCalibrationConventionDataSets;
import com.opengamma.analytics.financial.provider.curve.CurveCalibrationTestsUtils;
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 USD:
* ONDSC-OIS/LIBOR3M-FRAIRS/LIBOR1M-BS/LIBOR6M-BS
* Recent market data. Standard instruments with futures on LIBOR3M.
*/
public class UsdDatasetAug21 {
public static final Interpolator1D INTERPOLATOR_LINEAR =
CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.LINEAR,
Interpolator1DFactory.FLAT_EXTRAPOLATOR,
Interpolator1DFactory.FLAT_EXTRAPOLATOR);
public static final Interpolator1D INTERPOLATOR_LOG_LINEAR =
CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.LOG_LINEAR,
Interpolator1DFactory.EXPONENTIAL_EXTRAPOLATOR,
Interpolator1DFactory.EXPONENTIAL_EXTRAPOLATOR);
private static final LastTimeCalculator MATURITY_CALCULATOR = LastTimeCalculator.getInstance();
private static final Calendar NYC = new CalendarUSD("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 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_USD = GENERATOR_OIS_MASTER.getGenerator("USD1YFEDFUND", NYC);
private static final IndexON USDFEDFUND = GENERATOR_OIS_USD.getIndex();
private static final GeneratorSwapFixedIbor USD6MLIBOR3M = GENERATOR_IRS_MASTER.getGenerator("USD6MLIBOR3M", NYC);
private static final IborIndex USDLIBOR3M = USD6MLIBOR3M.getIborIndex();
private static final IborIndex USDLIBOR1M = IBOR_MASTER.getIndex("USDLIBOR1M");
private static final IborIndex USDLIBOR6M = IBOR_MASTER.getIndex("USDLIBOR6M");
private static final String CURVE_NAME_DSC_USD = "USD-DSCON-OIS";
private static final String CURVE_NAME_FWD3_USD = "USD-LIBOR3M-FRAIRS";
/** Units of curves */
private static final int NB_UNITS = 2;
private static final int NB_BLOCKS = 2;
private static final GeneratorYDCurve[][] ZERO_RATE_LINEAR_INTERPOLATION_GENERATORS =
new GeneratorYDCurve[NB_BLOCKS][NB_UNITS];
private static final GeneratorYDCurve[][] DISCOUNT_FACTOR_LOG_LINEAR_INTERPOLATION_GENERATORS =
new GeneratorYDCurve[NB_BLOCKS][NB_UNITS];
private static final String[][] NAMES_UNITS = new String[NB_BLOCKS][NB_UNITS];
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 {
final GeneratorYDCurve genIntLin = new GeneratorCurveYieldInterpolated(MATURITY_CALCULATOR, INTERPOLATOR_LINEAR);
ZERO_RATE_LINEAR_INTERPOLATION_GENERATORS[0][0] = genIntLin;
ZERO_RATE_LINEAR_INTERPOLATION_GENERATORS[0][1] = genIntLin;
ZERO_RATE_LINEAR_INTERPOLATION_GENERATORS[1][0] = genIntLin;
ZERO_RATE_LINEAR_INTERPOLATION_GENERATORS[1][1] = genIntLin;
final GeneratorYDCurve logLinInterpolationGenerator =
new GeneratorCurveDiscountFactorInterpolated(MATURITY_CALCULATOR, INTERPOLATOR_LOG_LINEAR);
DISCOUNT_FACTOR_LOG_LINEAR_INTERPOLATION_GENERATORS[0][0] = logLinInterpolationGenerator;
DISCOUNT_FACTOR_LOG_LINEAR_INTERPOLATION_GENERATORS[0][1] = logLinInterpolationGenerator;
DISCOUNT_FACTOR_LOG_LINEAR_INTERPOLATION_GENERATORS[1][0] = logLinInterpolationGenerator;
DISCOUNT_FACTOR_LOG_LINEAR_INTERPOLATION_GENERATORS[1][1] = logLinInterpolationGenerator;
NAMES_UNITS[0][0] = CURVE_NAME_DSC_USD;
NAMES_UNITS[0][1] = CURVE_NAME_FWD3_USD;
NAMES_UNITS[1][0] = CURVE_NAME_FWD3_USD;
NAMES_UNITS[1][1] = CURVE_NAME_DSC_USD;
DSC_MAP.put(CURVE_NAME_DSC_USD, USD);
FWD_ON_MAP.put(CURVE_NAME_DSC_USD, new IndexON[] {USDFEDFUND });
FWD_IBOR_MAP.put(CURVE_NAME_FWD3_USD, new IborIndex[] {USDLIBOR3M });
FWD_IBOR_MAP.put(CURVE_NAME_DSC_USD, new IborIndex[] {USDLIBOR6M });
}
public static ZonedDateTime[] s_startDates = new ZonedDateTime[] {
DateUtils.getUTCDate(2014, 9, 25),
DateUtils.getUTCDate(2014, 10, 27),
DateUtils.getUTCDate(2014, 11, 25),
DateUtils.getUTCDate(2014, 12, 29),
DateUtils.getUTCDate(2015, 1, 26),
DateUtils.getUTCDate(2015, 2, 25),
DateUtils.getUTCDate(2015, 8, 25),
DateUtils.getUTCDate(2016, 2, 25)
};
public static ZonedDateTime[] s_endDates = new ZonedDateTime[] {
DateUtils.getUTCDate(2015, 3, 25),
DateUtils.getUTCDate(2015, 4, 27),
DateUtils.getUTCDate(2015, 5, 25),
DateUtils.getUTCDate(2015, 6, 25),
DateUtils.getUTCDate(2015, 7, 27),
DateUtils.getUTCDate(2015, 8, 25),
DateUtils.getUTCDate(2016, 2, 25),
DateUtils.getUTCDate(2016, 8, 24)
};
static double[] s_fraQuotes = new double[] {
0.024899,
0.023569,
0.022321,
0.021698,
0.021365,
0.021050,
0.021380,
0.022698
};
public static InstrumentDefinition<?>[] getDefinitions() {
final InstrumentDefinition<?>[] definitions = new InstrumentDefinition<?>[s_fraQuotes.length];
for (int i = 0; i < s_fraQuotes.length; ++i) {
definitions[i] = ForwardRateAgreementDefinition.from(s_startDates[i], s_endDates[i], NOTIONAL, USDLIBOR6M,
s_fraQuotes[i], NYC);
}
return definitions;
}
/** Calculators */
private static final InstrumentDerivativeVisitor<ParameterProviderInterface, Double> PSMQDC =
ParSpreadMarketQuoteDiscountingCalculator.getInstance(); // Market quotes
private static final InstrumentDerivativeVisitor<ParameterProviderInterface, Double> PSRDC =
ParSpreadRateDiscountingCalculator.getInstance(); // Rate version of market quotes, in particular future price replaced by future rate sensitivity.
private static final InstrumentDerivativeVisitor<ParameterProviderInterface, MulticurveSensitivity> PSMQCSC =
ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator.getInstance(); // Market quotes
private static final InstrumentDerivativeVisitor<ParameterProviderInterface, MulticurveSensitivity> PSRCSC =
ParSpreadRateCurveSensitivityDiscountingCalculator.getInstance(); // Rate version of market quotes, in particular future price replaced by future rate sensitivity.
private static final MulticurveDiscountBuildingRepository CURVE_BUILDING_REPOSITORY =
CurveCalibrationConventionDataSets.curveBuildingRepositoryMulticurve();
public static Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> getFraCurve(
final ZonedDateTime calibrationDate, boolean marketQuoteRisk, final Interpolator1D interpolator) {
InstrumentDefinition<?>[][][] definitionsUnits = new InstrumentDefinition<?>[1][][];
InstrumentDefinition<?>[] definitions = getDefinitions();
definitionsUnits[0] = new InstrumentDefinition<?>[][] {definitions};
InstrumentDerivativeVisitor<ParameterProviderInterface, Double> target;
InstrumentDerivativeVisitor<ParameterProviderInterface, MulticurveSensitivity> targetSensitivity;
if (marketQuoteRisk) {
target = PSMQDC;
targetSensitivity = PSMQCSC;
} else {
target = PSRDC;
targetSensitivity = PSRCSC;
}
GeneratorYDCurve[][] generators = null;
if(interpolator == INTERPOLATOR_LINEAR) {
generators = ZERO_RATE_LINEAR_INTERPOLATION_GENERATORS;
} else if (interpolator == INTERPOLATOR_LOG_LINEAR) {
generators = DISCOUNT_FACTOR_LOG_LINEAR_INTERPOLATION_GENERATORS;
}
return CurveCalibrationTestsUtils.makeCurvesFromDefinitionsMulticurve(calibrationDate, definitionsUnits,
generators, NAMES_UNITS, KNOWN_DATA, target, targetSensitivity, false, DSC_MAP,
FWD_ON_MAP, FWD_IBOR_MAP, CURVE_BUILDING_REPOSITORY, TS_FIXED_OIS_USD_WITH_TODAY,
TS_FIXED_OIS_USD_WITHOUT_TODAY, TS_FIXED_IBOR_USD3M_WITH_LAST, TS_FIXED_IBOR_USD3M_WITHOUT_LAST);
}
/**
* Returns the array of Ibor index used in the curve data set.
* @return The array: USDLIBOR1M, USDLIBOR3M, USDLIBOR6M
*/
public static IborIndex[] indexIborArrayUSDOisL1L3L6() {
return new IborIndex[] {USDLIBOR1M, USDLIBOR3M, USDLIBOR6M };
}
/**
* Returns the array of overnight index used in the curve data set.
* @return The array: USDFEDFUND
*/
public static IndexON[] indexONArray() {
return new IndexON[] {USDFEDFUND };
}
/**
* Returns the array of calendars used in the curve data set.
* @return The array: NYC
*/
public static Calendar[] calendarArray() {
return new Calendar[] {NYC };
}
/**
* Returns an array with one time series corresponding to the USD LIBOR3M fixing up to and including the last date.
* @return
*/
public static ZonedDateTimeDoubleTimeSeries fixingUsdLibor3MWithLast() {
return TS_IBOR_USD3M_WITH_LAST;
}
/**
* Returns an array with one time series corresponding to the USD LIBOR3M fixing up to and including the last date.
* @return
*/
public static ZonedDateTimeDoubleTimeSeries fixingUsdLibor3MWithoutLast() {
return TS_IBOR_USD3M_WITHOUT_LAST;
}
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_LAST = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(
new ZonedDateTime[] {DateUtils.getUTCDate(2014, 7, 1), DateUtils.getUTCDate(2014, 7, 2), DateUtils.getUTCDate(2014, 7, 3), DateUtils.getUTCDate(2014, 7, 4),
DateUtils.getUTCDate(2014, 7, 7), DateUtils.getUTCDate(2014, 7, 8), DateUtils.getUTCDate(2014, 7, 9), DateUtils.getUTCDate(2014, 7, 10), DateUtils.getUTCDate(2014, 7, 11),
DateUtils.getUTCDate(2014, 7, 14), DateUtils.getUTCDate(2014, 7, 15), DateUtils.getUTCDate(2014, 7, 16), DateUtils.getUTCDate(2014, 7, 17), DateUtils.getUTCDate(2014, 7, 18),
DateUtils.getUTCDate(2014, 7, 21), DateUtils.getUTCDate(2014, 7, 22), DateUtils.getUTCDate(2014, 7, 23), DateUtils.getUTCDate(2014, 7, 24), DateUtils.getUTCDate(2014, 7, 25),
DateUtils.getUTCDate(2014, 7, 28) },
new double[] {0.002318, 0.002346, 0.002321, 0.002331,
0.002341, 0.002336, 0.002341, 0.002336, 0.002336,
0.002326, 0.002331, 0.002336, 0.002336, 0.002316,
0.002331, 0.002326, 0.002341, 0.002351, 0.002341,
0.002341 });
private static final ZonedDateTimeDoubleTimeSeries TS_IBOR_USD3M_WITHOUT_LAST = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(
new ZonedDateTime[] {DateUtils.getUTCDate(2014, 7, 1), DateUtils.getUTCDate(2014, 7, 2), DateUtils.getUTCDate(2014, 7, 3), DateUtils.getUTCDate(2014, 7, 4),
DateUtils.getUTCDate(2014, 7, 7), DateUtils.getUTCDate(2014, 7, 8), DateUtils.getUTCDate(2014, 7, 9), DateUtils.getUTCDate(2014, 7, 10), DateUtils.getUTCDate(2014, 7, 11),
DateUtils.getUTCDate(2014, 7, 14), DateUtils.getUTCDate(2014, 7, 15), DateUtils.getUTCDate(2014, 7, 16), DateUtils.getUTCDate(2014, 7, 17), DateUtils.getUTCDate(2014, 7, 18),
DateUtils.getUTCDate(2014, 7, 21), DateUtils.getUTCDate(2014, 7, 22), DateUtils.getUTCDate(2014, 7, 23), DateUtils.getUTCDate(2014, 7, 24), DateUtils.getUTCDate(2014, 7, 25) },
new double[] {0.002318, 0.002346, 0.002321, 0.002331,
0.002341, 0.002336, 0.002341, 0.002336, 0.002336,
0.002326, 0.002331, 0.002336, 0.002336, 0.002316,
0.002331, 0.002326, 0.002341, 0.002351, 0.002341 });
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_USD3M_WITH_LAST = new ZonedDateTimeDoubleTimeSeries[] {TS_IBOR_USD3M_WITH_LAST };
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_USD3M_WITHOUT_LAST = new ZonedDateTimeDoubleTimeSeries[] {TS_IBOR_USD3M_WITHOUT_LAST };
}