USDTest.java example

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package com.opengamma.financial.analytics.test.unittest.dealstest;

import java.util.HashMap;
import java.util.List;

import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.springframework.core.io.Resource;
import org.testng.annotations.Test;
import org.threeten.bp.ZonedDateTime;

import com.google.common.collect.Lists;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.analytics.financial.instrument.cash.DepositZeroDefinition;
import com.opengamma.analytics.financial.instrument.fra.ForwardRateAgreementDefinition;
import com.opengamma.analytics.financial.instrument.swap.SwapDefinition;
import com.opengamma.analytics.financial.interestrate.PresentValueCalculator;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.model.interestrate.curve.DiscountCurve;
import com.opengamma.analytics.math.curve.InterpolatedDoublesCurve;
import com.opengamma.financial.analytics.conversion.FRASecurityConverterDeprecated;
import com.opengamma.financial.analytics.conversion.SwapSecurityConverterDeprecated;
import com.opengamma.financial.analytics.conversion.ZeroDepositConverter;
import com.opengamma.financial.analytics.test.IRCurveParser;
import com.opengamma.financial.analytics.test.IRSwapSecurity;
import com.opengamma.financial.analytics.test.IRSwapTradeParser;
import com.opengamma.financial.mock.AbstractMockSourcesTest;
import com.opengamma.util.ResourceUtils;
import com.opengamma.util.money.Currency;
import com.opengamma.util.test.TestGroup;
import com.opengamma.util.time.DateUtils;

/**
 * Unit tests for USD deals
 */
@Test(groups = TestGroup.UNIT)
public class USDTest extends AbstractMockSourcesTest {
  private static final Logger s_logger = LoggerFactory.getLogger(USDTest.class);
  private static final String CURRENCY = "USD";

  private static final ZonedDateTime TODAY = DateUtils.getUTCDate(2013, 10, 14);
  private static final String ON_NAME = "USD_FEDFUNDS_1D_ERS";
  private static final String ONE_MONTH_NAME = "USD_LIBOR_1M_ERS";
  private static final String THREE_MONTH_NAME = "USD_LIBOR_3M_ERS";
  private static final String SIX_MONTH_NAME = "USD_LIBOR_6M_ERS";
  final static String discountingCurvename = "Discounting";
  final static String forward1MCurveName = "Forward 1M";
  final static String forward3MCurveName = "Forward 3M";
  final static String forward6MCurveName = "Forward 6M";

  final static Currency ccy = Currency.USD;

  private static final String PAY_CURRENCY = "LEG1_CCY";

  private static final PresentValueCalculator PVC = PresentValueCalculator.getInstance();

  public void test() throws Exception {
    IRSwapTradeParser tradeParser = new IRSwapTradeParser();
    Resource resource = ResourceUtils.createResource("classpath:com/opengamma/financial/analytics/test/Trades14Oct.csv");
    List<IRSwapSecurity> trades = tradeParser.parseCSVFile(resource.getURL());
    List<IRSwapSecurity> tradesClean = Lists.newArrayList();
    for (IRSwapSecurity irSwapSecurity : trades) {

      String currency = irSwapSecurity.getRawInput().getString(PAY_CURRENCY);
      if (currency.equals(CURRENCY)) {
        tradesClean.add(irSwapSecurity);
      }

    }
    // Build the curve bundle
    final HashMap<String, Currency> ccyMap = new HashMap<>();
    ccyMap.put(discountingCurvename, ccy);
    ccyMap.put(forward3MCurveName, ccy);
    ccyMap.put(forward6MCurveName, ccy);
    final FXMatrix fx = new FXMatrix(ccy);
    final YieldCurveBundle curvesClean = new YieldCurveBundle(fx, ccyMap);

    IRCurveParser curveParser = new IRCurveParser();
    Resource resourceCurve = ResourceUtils.createResource("classpath:com/opengamma/financial/analytics/test/Base_Curves_20131014_Clean.csv");
    List<InterpolatedDoublesCurve> curves = curveParser.parseCSVFile(resourceCurve.getURL());

    for (InterpolatedDoublesCurve interpolatedDoublesCurve : curves) {

      String name = interpolatedDoublesCurve.getName();
      if (name.equals(ON_NAME)) {
        curvesClean.setCurve(discountingCurvename, DiscountCurve.from(interpolatedDoublesCurve));
      }
      if (name.equals(ONE_MONTH_NAME)) {
        curvesClean.setCurve(forward1MCurveName, DiscountCurve.from(interpolatedDoublesCurve));
      }
      if (name.equals(THREE_MONTH_NAME)) {
        curvesClean.setCurve(forward3MCurveName, DiscountCurve.from(interpolatedDoublesCurve));
      }
      if (name.equals(SIX_MONTH_NAME)) {
        curvesClean.setCurve(forward6MCurveName, DiscountCurve.from(interpolatedDoublesCurve));
      }
    }

    // Convert the swap security into a swap definition 
    final SwapSecurityConverterDeprecated swapConverter = new SwapSecurityConverterDeprecated(_holidaySource, _conventionBundleSource, _regionSource, false);
    final FRASecurityConverterDeprecated fraConverter = new FRASecurityConverterDeprecated(_holidaySource, _regionSource, _conventionBundleSource);
    final ZeroDepositConverter ZeroCouponConverter = new ZeroDepositConverter(_conventionBundleSource, _holidaySource);
    List<SwapDefinition> swapsDefinition = Lists.newArrayList();
    List<ForwardRateAgreementDefinition> frasDefinition = Lists.newArrayList();
    List<DepositZeroDefinition> zcsDefinition = Lists.newArrayList();
    /*for (IRSwapSecurity irSwapSecurity : tradesClean) {
      switch (irSwapSecurity.getRawInput().getString("PRODUCT_TYPE")) {
        case "SWAP":
          swapsDefinition.add((SwapDefinition) swapConverter.visitSwapSecurity(irSwapSecurity.getSwapSecurity()));

          // we don't treat the fra case at the moment
          case "FRA":
            frasDefinition.add((ForwardRateAgreementDefinition) fraConverter.visitSwapSecurity(irSwapSecurity.getSwapSecurity()));
          case "OIS":
            swapsDefinition.add((SwapDefinition) swapConverter.visitSwapSecurity(irSwapSecurity.getSwapSecurity()));

          // we don't treat the fra case at the moment
           case "ZCS":
             zcsDefinition.add((DepositZeroDefinition) ZeroCouponConverter.visitSwapSecurity(irSwapSecurity.getSwapSecurity()));
      }
    }
    */
    // Load the historical time series from a csv file

    /* NonVersionedRedisHistoricalTimeSeriesSource source = new NonVersionedRedisHistoricalTimeSeriesSource(getJedisPool(), getRedisPrefix());
     CMECurveFixingTSLoader loader = new CMECurveFixingTSLoader(source);*/
    /*  loader.loadCurveFixingCSVFile("/vols/ogdev/CME/curve-fixing/sample-cme-curve-fixing.csv");

      HistoricalTimeSeries historicalTimeSeries = source.getHistoricalTimeSeries(UniqueId.of(ExternalSchemes.ISDA.getName(), "CHF-LIBOR-BBA-6M"));
      assertNotNull(historicalTimeSeries);
      LocalDateDoubleTimeSeries timeSeries = historicalTimeSeries.getTimeSeries();
      assertNotNull(timeSeries);
      assertEquals(5996, timeSeries.size());*/

    // convert the definition into a derivative
    /*   List<Swap> swapDerivatives = Lists.newArrayList();
       for (SwapDefinition swapDefinition : swapsDefinition) {
         swapDerivatives.add(swapDefinition.toDerivative(TODAY, data, curvesClean));
       }
       List<Swap> frasDerivatives = Lists.newArrayList();
       for (ForwardRateAgreementDefinition fraDefinition : frasDefinition) {
         frasDerivatives.add(fraDefinition.toDerivative(TODAY, data, curvesClean));
       }
       List<Swap> zcsDerivatives = Lists.newArrayList();
       for (DepositZeroDefinition zcDefinition : zcsDefinition) {
         zcsDerivatives.add(zcDefinition.toDerivative(TODAY, data, curvesClean));
       }*/

    // Check the npv

    s_logger.warn("Got {} trades", trades.size());
  }
}