/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.tutorial.demo.curves;
import static org.testng.AssertJUnit.assertEquals;
import java.io.File;
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.GeneratorYDCurve;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
import com.opengamma.analytics.financial.instrument.index.GeneratorAttribute;
import com.opengamma.analytics.financial.instrument.index.GeneratorAttributeIR;
import com.opengamma.analytics.financial.instrument.index.GeneratorInstrument;
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.index.IndexONMaster;
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.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.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.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.FileUtils;
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 MulticurveBuildingDiscountingDiscountUSDFFSDemoTest {
/** Curve calibration date */
private static final ZonedDateTime CALIBRATION_DATE = DateUtils.getUTCDate(2011, 9, 28);
/** Index and curve names */
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 IndexON FEDFUND = IndexONMaster.getInstance().getIndex("FED FUND");
private static final IborIndex USDLIBOR3M = IndexIborMaster.getInstance().getIndex("USDLIBOR3M");
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[] {0.0010,
0.0010, 0.0010, 0.0012, 0.0012, 0.0014, 0.0016,
0.0015, 0.0016, 0.0017, 0.0018, 0.0019 };
/** Generators for the dsc USD curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] DSC_USD_GENERATORS = CurveCalibrationConventionDataSets.generatorUsdOnOisFfs(1, 6, 5);
/** 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[] {0.0025, 0.0025, 0.0030, 0.0065, 0.0110, 0.0180, 0.0225, 0.0260 };
/** Generators for the Fwd 3M USD curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] FWD3_USD_GENERATORS = CurveCalibrationConventionDataSets.generatorUsdIbor3Fra3Irs3(1, 0, 7);
/** 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]);
}
}
/** 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 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 {
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<?>[][] {
getDefinitions(DSC_USD_MARKET_QUOTES, DSC_USD_GENERATORS, DSC_USD_ATTR),
getDefinitions(FWD3_USD_MARKET_QUOTES, FWD3_USD_GENERATORS, FWD3_USD_ATTR) };
final GeneratorYDCurve genIntLin = CurveCalibrationConventionDataSets.generatorYDMatNcs();
GENERATORS_UNITS[0][0] = new GeneratorYDCurve[] {genIntLin, genIntLin };
NAMES_UNITS[0][0] = new String[] {CURVE_NAME_DSC_USD, CURVE_NAME_FWD3_USD };
DSC_MAP.put(CURVE_NAME_DSC_USD, USD);
FWD_ON_MAP.put(CURVE_NAME_DSC_USD, new IndexON[] {FEDFUND });
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(CALIBRATION_DATE, marketQuotes[loopmv], 1.0, attribute[loopmv]);
}
return definitions;
}
private static List<Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle>> CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK = new ArrayList<>();
/** Calculators used in curve calibration and testing */
private static final PresentValueDiscountingCalculator PVDC = PresentValueDiscountingCalculator.getInstance();
private static final ParSpreadMarketQuoteDiscountingCalculator PSMQDC = ParSpreadMarketQuoteDiscountingCalculator.getInstance();
private static final ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator PSMQCSDC = ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator.getInstance();
private static final MulticurveDiscountBuildingRepository CURVE_BUILDING_REPOSITORY =
CurveCalibrationConventionDataSets.curveBuildingRepositoryMulticurve();
@BeforeSuite
/** Calibrate all the curves */
static void initClass() {
for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) {
CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.add(
CurveCalibrationTestsUtils.makeCurvesFromDefinitionsMulticurve(CALIBRATION_DATE,
DEFINITIONS_UNITS[loopblock], GENERATORS_UNITS[loopblock],
NAMES_UNITS[loopblock], KNOWN_DATA, PSMQDC, PSMQCSDC, 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_TODAY, TS_FIXED_IBOR_USD3M_WITHOUT_TODAY));
}
}
@Test
/** Tests that the curve calibrated are repricing the instrument to 0 within the tolerance */
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 static final double TOLERANCE_CAL = 1.0E-9;
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(PVDC, curves), USD).getAmount();
assertEquals("Curve construction: block " + block + ", unit " + loopblock + " - instrument " + loopins, 0, pv[loopcurve][loopins], TOLERANCE_CAL);
}
}
}
}
@Test(enabled = false)
/** Export the forward curve to a csv file. */
public void forwardAnalysis() {
CurveCalibrationTestsUtils.exportIborForwardIborCurve(
CALIBRATION_DATE,
CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).getFirst(),
USDLIBOR3M,
NYC,
new File(FileUtils.TEMP_DIR, "demo-test-fwd-usd-libor3m-ncs.csv"),
0,
350,
7);
}
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(CALIBRATION_DATE,
CurveCalibrationTestsUtils.getTSSwapFixedON(withToday, TS_FIXED_OIS_USD_WITH_TODAY, TS_FIXED_OIS_USD_WITHOUT_TODAY));
} else {
if (instrument instanceof SwapFixedIborDefinition) {
ird = ((SwapFixedIborDefinition) instrument).toDerivative(CALIBRATION_DATE,
CurveCalibrationTestsUtils.getTSSwapFixedIbor(withToday, TS_FIXED_IBOR_USD3M_WITH_TODAY, TS_FIXED_IBOR_USD3M_WITHOUT_TODAY));
} else {
ird = instrument.toDerivative(CALIBRATION_DATE);
}
}
instruments[loopcurve][loopins++] = ird;
}
}
return instruments;
}
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 };
}