/*
* (c) Copyright Christian P. Fries, Germany. All rights reserved. Contact: email@christian-fries.de.
*
* Created on 30.11.2012
*/
package net.finmath.marketdata.calibration;
import java.util.ArrayList;
import java.util.Collection;
import java.util.LinkedHashSet;
import java.util.List;
import java.util.Map;
import java.util.Set;
import java.util.Vector;
import java.util.regex.Matcher;
import java.util.regex.Pattern;
import net.finmath.marketdata.model.AnalyticModel;
import net.finmath.marketdata.model.AnalyticModelInterface;
import net.finmath.marketdata.model.curves.CurveInterface;
import net.finmath.marketdata.model.curves.DiscountCurve;
import net.finmath.marketdata.model.curves.DiscountCurveInterface;
import net.finmath.marketdata.model.curves.ForwardCurve;
import net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve;
import net.finmath.marketdata.model.curves.ForwardCurveInterface;
import net.finmath.marketdata.products.AnalyticProductInterface;
import net.finmath.marketdata.products.Deposit;
import net.finmath.marketdata.products.ForwardRateAgreement;
import net.finmath.marketdata.products.Swap;
import net.finmath.marketdata.products.SwapLeg;
import net.finmath.marketdata.products.SwapLegWithResetting;
import net.finmath.optimizer.SolverException;
import net.finmath.time.RegularSchedule;
import net.finmath.time.ScheduleInterface;
import net.finmath.time.TimeDiscretization;
/**
* Generate a collection of calibrated curves (discount curves, forward curves)
* from a vector of calibration products.
*
* An object of this class provides a calibration of curves (using multi-curves, forward curve, discount curve).
* Sometimes this is referred as curve bootstrapping, however the algorithm used here is not a bootstrap.
*
* The calibration products have to be provided via a vector of <code>CalibrationSpec</code>s.
*
* The products provides are
* <table summary="List of calibration products types">
* <tr>
* <td>Value of Type String</td>
* <td>Classes</td>
* <td>Note</td>
* </tr>
* <tr>
* <td>swap</td>
* <td>{@link net.finmath.marketdata.products.Swap}</td>
* <td></td>
* </tr>
* <tr>
* <td>swapleg</td>
* <td>{@link net.finmath.marketdata.products.SwapLeg}</td>
* <td>Only the receiver part of <code>CalibrationSpec</code> is used.</td>
* </tr>
* <tr>
* <td>swapwithresetonreceiver</td>
* <td>{@link net.finmath.marketdata.products.SwapLeg}, {@link net.finmath.marketdata.products.SwapLegWithResetting}</td>
* <td></td>
* </tr>
* <tr>
* <td>swapwithresetonpayer</td>
* <td>{@link net.finmath.marketdata.products.SwapLeg}, {@link net.finmath.marketdata.products.SwapLegWithResetting}</td>
* <td></td>
* </tr>
* <tr>
* <td>deposit</td>
* <td>{@link net.finmath.marketdata.products.Deposit}</td>
* <td>Only the receiver part of <code>CalibrationSpec</code> is used.</td>
* </tr>
* <tr>
* <td>fra</td>
* <td>{@link net.finmath.marketdata.products.ForwardRateAgreement}</td>
* <td>Only the receiver part of <code>CalibrationSpec</code> is used.</td>
* </tr>
* </table>
*
* For a demo spreadsheet using this class see <a href="http://finmath.net/topics/curvecalibration/">finmath.net/topics/curvecalibration/</a>.
*
* @author Christian Fries
*/
public class CalibratedCurves {
private static final boolean isUseForwardCurve;
static {
// Default value is true
isUseForwardCurve = Boolean.parseBoolean(System.getProperty("net.finmath.marketdata.calibration.CalibratedCurves.isUseForwardCurve","true"));
}
/**
* Specification of calibration product.
*
* @author Christian Fries
*/
public static class CalibrationSpec {
private String symbol;
private String type;
private ScheduleInterface swapTenorDefinitionReceiver;
private String forwardCurveReceiverName;
private double spreadReceiver;
private String discountCurveReceiverName;
private ScheduleInterface swapTenorDefinitionPayer;
private String forwardCurvePayerName;
private double spreadPayer;
private String discountCurvePayerName;
private String calibrationCurveName;
private double calibrationTime;
/**
* Calibration specification.
*
* @param symbol A string identifying the calibration product. This string can be used in sensitivity calculation, allowing to bump the spread in a finite difference approximation. See <code>getCloneShifted</code> method.
* @param type The type of the calibration product.
* @param swapTenorDefinitionReceiver The schedule of periods of the receiver leg.
* @param forwardCurveReceiverName The forward curve of the receiver leg (may be null).
* @param spreadReceiver The spread or fixed coupon of the receiver leg.
* @param discountCurveReceiverName The discount curve of the receiver leg.
* @param swapTenorDefinitionPayer The schedule of periods of the payer leg.
* @param forwardCurvePayerName The forward curve of the payer leg (may be null).
* @param spreadPayer The spread or fixed coupon of the payer leg.
* @param discountCurvePayerName The discount curve of the payer leg.
* @param calibrationCurveName The curve to calibrate, by this product.
* @param calibrationTime The time point in calibrationCurveName used to calibrate, by this product.
*/
public CalibrationSpec(
String symbol,
String type,
ScheduleInterface swapTenorDefinitionReceiver,
String forwardCurveReceiverName, double spreadReceiver,
String discountCurveReceiverName,
ScheduleInterface swapTenorDefinitionPayer,
String forwardCurvePayerName, double spreadPayer,
String discountCurvePayerName,
String calibrationCurveName,
double calibrationTime) {
super();
this.symbol = symbol;
this.type = type;
this.swapTenorDefinitionReceiver = swapTenorDefinitionReceiver;
this.forwardCurveReceiverName = forwardCurveReceiverName;
this.spreadReceiver = spreadReceiver;
this.discountCurveReceiverName = discountCurveReceiverName;
this.swapTenorDefinitionPayer = swapTenorDefinitionPayer;
this.forwardCurvePayerName = forwardCurvePayerName;
this.spreadPayer = spreadPayer;
this.discountCurvePayerName = discountCurvePayerName;
this.calibrationCurveName = calibrationCurveName;
this.calibrationTime = calibrationTime;
}
/**
* Calibration specification.
*
* @param type The type of the calibration product.
* @param swapTenorDefinitionReceiver The schedule of periods of the receiver leg.
* @param forwardCurveReceiverName The forward curve of the receiver leg (may be null).
* @param spreadReceiver The spread or fixed coupon of the receiver leg.
* @param discountCurveReceiverName The discount curve of the receiver leg.
* @param swapTenorDefinitionPayer The schedule of periods of the payer leg.
* @param forwardCurvePayerName The forward curve of the payer leg (may be null).
* @param spreadPayer The spread or fixed coupon of the payer leg.
* @param discountCurvePayerName The discount curve of the payer leg.
* @param calibrationCurveName The curve to calibrate, by this product.
* @param calibrationTime The time point in calibrationCurveName used to calibrate, by this product.
*/
public CalibrationSpec(
String type,
ScheduleInterface swapTenorDefinitionReceiver,
String forwardCurveReceiverName, double spreadReceiver,
String discountCurveReceiverName,
ScheduleInterface swapTenorDefinitionPayer,
String forwardCurvePayerName, double spreadPayer,
String discountCurvePayerName,
String calibrationCurveName,
double calibrationTime) {
this(null, type, swapTenorDefinitionReceiver, forwardCurveReceiverName, spreadReceiver, discountCurveReceiverName, swapTenorDefinitionPayer, forwardCurvePayerName, spreadPayer, discountCurvePayerName, calibrationCurveName, calibrationTime);
}
/**
* Calibration specification.
*
* @param type The type of the calibration product.
* @param swapTenorDefinitionReceiver The schedule of periods of the receiver leg.
* @param forwardCurveReceiverName The forward curve of the receiver leg (may be null).
* @param spreadReceiver The spread or fixed coupon of the receiver leg.
* @param discountCurveReceiverName The discount curve of the receiver leg.
* @param swapTenorDefinitionPayer The schedule of periods of the payer leg.
* @param forwardCurvePayerName The forward curve of the payer leg (may be null).
* @param spreadPayer The spread or fixed coupon of the payer leg.
* @param discountCurvePayerName The discount curve of the payer leg.
* @param calibrationCurveName The curve to calibrate, by this product.
* @param calibrationTime The time point in calibrationCurveName used to calibrate, by this product.
*/
public CalibrationSpec(
String type,
double[] swapTenorDefinitionReceiver,
String forwardCurveReceiverName, double spreadReceiver,
String discountCurveReceiverName,
double[] swapTenorDefinitionPayer,
String forwardCurvePayerName, double spreadPayer,
String discountCurvePayerName,
String calibrationCurveName,
double calibrationTime) {
super();
this.type = type;
this.swapTenorDefinitionReceiver = new RegularSchedule(new TimeDiscretization(swapTenorDefinitionReceiver[0] /* initial */, swapTenorDefinitionReceiver[1] /* numberOfTimeSteps */, swapTenorDefinitionReceiver[2] /* deltaT */, TimeDiscretization.ShortPeriodLocation.SHORT_PERIOD_AT_START));
this.forwardCurveReceiverName = forwardCurveReceiverName;
this.spreadReceiver = spreadReceiver;
this.discountCurveReceiverName = discountCurveReceiverName;
this.swapTenorDefinitionPayer = new RegularSchedule(new TimeDiscretization(swapTenorDefinitionPayer[0] /* initial */, swapTenorDefinitionPayer[1] /* numberOfTimeSteps */, swapTenorDefinitionPayer[2] /* deltaT */, TimeDiscretization.ShortPeriodLocation.SHORT_PERIOD_AT_START));
this.forwardCurvePayerName = forwardCurvePayerName;
this.spreadPayer = spreadPayer;
this.discountCurvePayerName = discountCurvePayerName;
this.calibrationCurveName = calibrationCurveName;
this.calibrationTime = calibrationTime;
}
/**
* Calibration specification.
*
* @param type The type of the calibration product.
* @param swapTenorDefinitionReceiver The schedule of periods of the receiver leg.
* @param forwardCurveReceiverName The forward curve of the receiver leg (may be null).
* @param spreadReceiver The spread or fixed coupon of the receiver leg.
* @param discountCurveReceiverName The discount curve of the receiver leg.
* @param calibrationCurveName The curve to calibrate, by this product.
* @param calibrationTime The time point in calibrationCurveName used to calibrate, by this product.
*/
public CalibrationSpec(
String type,
double[] swapTenorDefinitionReceiver,
String forwardCurveReceiverName, double spreadReceiver,
String discountCurveReceiverName,
String calibrationCurveName,
double calibrationTime) {
super();
this.type = type;
this.swapTenorDefinitionReceiver = new RegularSchedule(new TimeDiscretization(swapTenorDefinitionReceiver[0] /* initial */, swapTenorDefinitionReceiver[1] /* numberOfTimeSteps */, swapTenorDefinitionReceiver[2] /* deltaT */, TimeDiscretization.ShortPeriodLocation.SHORT_PERIOD_AT_START));
this.forwardCurveReceiverName = forwardCurveReceiverName;
this.spreadReceiver = spreadReceiver;
this.discountCurveReceiverName = discountCurveReceiverName;
this.calibrationCurveName = calibrationCurveName;
this.calibrationTime = calibrationTime;
}
public CalibrationSpec getCloneShifted(double shift) {
if(discountCurvePayerName == null || type.toLowerCase().equals("swapleg") || type.toLowerCase().equals("deposit") || type.toLowerCase().equals("fra")) {
return new CalibrationSpec(symbol, type, swapTenorDefinitionReceiver, forwardCurveReceiverName, spreadReceiver+shift, discountCurveReceiverName, swapTenorDefinitionPayer, forwardCurvePayerName, spreadPayer, discountCurvePayerName, calibrationCurveName, calibrationTime);
}
else {
return new CalibrationSpec(symbol, type, swapTenorDefinitionReceiver, forwardCurveReceiverName, spreadReceiver, discountCurveReceiverName, swapTenorDefinitionPayer, forwardCurvePayerName, spreadPayer+shift, discountCurvePayerName, calibrationCurveName, calibrationTime);
}
}
@Override
public String toString() {
return "CalibrationSpec [symbol=" + symbol + ", type=" + type + ", swapTenorDefinitionReceiver="
+ swapTenorDefinitionReceiver + ", forwardCurveReceiverName=" + forwardCurveReceiverName
+ ", spreadReceiver=" + spreadReceiver + ", discountCurveReceiverName=" + discountCurveReceiverName
+ ", swapTenorDefinitionPayer=" + swapTenorDefinitionPayer + ", forwardCurvePayerName="
+ forwardCurvePayerName + ", spreadPayer=" + spreadPayer + ", discountCurvePayerName="
+ discountCurvePayerName + ", calibrationCurveName=" + calibrationCurveName + ", calibrationTime="
+ calibrationTime + "]";
}
}
private AnalyticModelInterface model = new AnalyticModel();
private Set<ParameterObjectInterface> objectsToCalibrate = new LinkedHashSet<ParameterObjectInterface>();
private Vector<AnalyticProductInterface> calibrationProducts = new Vector<AnalyticProductInterface>();
private Vector<String> calibrationProductsSymbols = new Vector<String>();
private List<CalibrationSpec> calibrationSpecs = new ArrayList<CalibrationSpec>();
private final double evaluationTime;
private final double calibrationAccuracy;
private int lastNumberOfInterations;
private double lastAccuracy;
/**
* Generate a collection of calibrated curves (discount curves, forward curves)
* from a vector of calibration products and a given model.
*
* If the model already contains a curve referenced as calibration curve that
* curve is replaced by a clone, retaining the given curve information and
* adding a new calibration point.
*
* If the model does not contain the curve referenced as calibration curve, the
* curve will be added to the model.
*
* Use case: You already have a discount curve as part of the model and like
* to calibrate an additional curve to an additional set of instruments.
*
* @param calibrationSpecs Array of calibration specs.
* @param calibrationModel A given model used to value the calibration products.
* @param evaluationTime Evaluation time applied to the calibration products.
* @param calibrationAccuracy Error tolerance of the solver. Set to 0 if you need machine precision.
* @throws net.finmath.optimizer.SolverException May be thrown if the solver does not cannot find a solution of the calibration problem.
* @throws CloneNotSupportedException Thrown, when a curve could not be cloned.
*/
public CalibratedCurves(List<CalibrationSpec> calibrationSpecs, AnalyticModelInterface calibrationModel, double evaluationTime, double calibrationAccuracy) throws SolverException, CloneNotSupportedException {
if(calibrationModel != null) model = calibrationModel.getCloneForParameter(null);
this.evaluationTime = evaluationTime;
this.calibrationAccuracy = calibrationAccuracy;
for(CalibrationSpec calibrationSpec : calibrationSpecs) {
add(calibrationSpec);
}
lastNumberOfInterations = calibrate(calibrationAccuracy);
}
/**
* Generate a collection of calibrated curves (discount curves, forward curves)
* from a vector of calibration products and a given model.
*
* If the model already contains a curve referenced as calibration curve that
* curve is replaced by a clone, retaining the given curve information and
* adding a new calibration point.
*
* If the model does not contain the curve referenced as calibration curve, the
* curve will be added to the model.
*
* Use case: You already have a discount curve as part of the model and like
* to calibrate an additional curve to an additional set of instruments.
*
* @param calibrationSpecs Array of calibration specs.
* @param calibrationModel A given model used to value the calibration products.
* @param evaluationTime Evaluation time applied to the calibration products.
* @param calibrationAccuracy Error tolerance of the solver. Set to 0 if you need machine precision.
* @throws net.finmath.optimizer.SolverException May be thrown if the solver does not cannot find a solution of the calibration problem.
* @throws CloneNotSupportedException Thrown, when a curve could not be cloned.
*/
public CalibratedCurves(CalibrationSpec[] calibrationSpecs, AnalyticModel calibrationModel, double evaluationTime, double calibrationAccuracy) throws SolverException, CloneNotSupportedException {
if(calibrationModel != null) model = calibrationModel.getCloneForParameter(null);
this.evaluationTime = evaluationTime;
this.calibrationAccuracy = calibrationAccuracy;
for(CalibrationSpec calibrationSpec : calibrationSpecs) {
add(calibrationSpec);
}
lastNumberOfInterations = calibrate(calibrationAccuracy);
}
/**
* Generate a collection of calibrated curves (discount curves, forward curves)
* from a vector of calibration products and a given model.
*
* If the model already contains a curve referenced as calibration curve that
* curve is replaced by a clone, retaining the given curve information and
* adding a new calibration point.
*
* If the model does not contain the curve referenced as calibration curve, the
* curve will be added to the model.
*
* Use case: You already have a discount curve as part of the model and like
* to calibrate an additional curve to an additional set of instruments.
*
* @param calibrationSpecs Array of calibration specs.
* @param calibrationModel A given model used to value the calibration products.
* @param calibrationAccuracy Error tolerance of the solver. Set to 0 if you need machine precision.
* @throws net.finmath.optimizer.SolverException May be thrown if the solver does not cannot find a solution of the calibration problem.
* @throws CloneNotSupportedException Thrown, when a curve could not be cloned.
*/
public CalibratedCurves(CalibrationSpec[] calibrationSpecs, AnalyticModel calibrationModel, double calibrationAccuracy) throws SolverException, CloneNotSupportedException {
this(calibrationSpecs, calibrationModel, 0.0, calibrationAccuracy);
}
/**
* Generate a collection of calibrated curves (discount curves, forward curves)
* from a vector of calibration products and a given model.
*
* If the model already contains a curve referenced as calibration curve that
* curve is replaced by a clone, retaining the given curve information and
* adding a new calibration point.
*
* If the model does not contain the curve referenced as calibration curve, the
* curve will be added to the model.
*
* Use case: You already have a discount curve as part of the model and like
* to calibrate an additional curve to an additional set of instruments.
*
* @param calibrationSpecs Array of calibration specs.
* @param calibrationModel A given model used to value the calibration products.
* @throws net.finmath.optimizer.SolverException May be thrown if the solver does not cannot find a solution of the calibration problem.
* @throws CloneNotSupportedException Thrown, when a curve could not be cloned.
*/
public CalibratedCurves(CalibrationSpec[] calibrationSpecs, AnalyticModel calibrationModel) throws SolverException, CloneNotSupportedException {
this(calibrationSpecs, calibrationModel, 0.0);
}
/**
* Generate a collection of calibrated curves (discount curves, forward curves)
* from a vector of calibration products.
*
* @param calibrationSpecs Array of calibration specs.
* @throws net.finmath.optimizer.SolverException May be thrown if the solver does not cannot find a solution of the calibration problem.
* @throws CloneNotSupportedException Thrown, when a curve could not be cloned.
*/
public CalibratedCurves(Collection<CalibrationSpec> calibrationSpecs) throws SolverException, CloneNotSupportedException {
this(calibrationSpecs.toArray(new CalibrationSpec[calibrationSpecs.size()]), null);
}
/**
* Generate a collection of calibrated curves (discount curves, forward curves)
* from a vector of calibration products.
*
* @param calibrationSpecs Array of calibration specs.
* @throws net.finmath.optimizer.SolverException May be thrown if the solver does not cannot find a solution of the calibration problem.
* @throws CloneNotSupportedException Thrown, when a curve could not be cloned.
*/
public CalibratedCurves(CalibrationSpec[] calibrationSpecs) throws SolverException, CloneNotSupportedException {
this(calibrationSpecs, null, 0.0);
}
public AnalyticProductInterface getCalibrationProductForSpec(CalibrationSpec calibrationSpec) {
createDiscountCurve(calibrationSpec.discountCurveReceiverName);
createDiscountCurve(calibrationSpec.discountCurvePayerName);
String forwardCurveReceiverName = createForwardCurve(calibrationSpec.swapTenorDefinitionReceiver, calibrationSpec.forwardCurveReceiverName);
String forwardCurvePayerName = createForwardCurve(calibrationSpec.swapTenorDefinitionPayer, calibrationSpec.forwardCurvePayerName);
ScheduleInterface tenorReceiver = calibrationSpec.swapTenorDefinitionReceiver;
ScheduleInterface tenorPayer = calibrationSpec.swapTenorDefinitionPayer;
AnalyticProductInterface product = null;
if(calibrationSpec.type.toLowerCase().equals("swap")) {
product = new Swap(tenorReceiver, forwardCurveReceiverName, calibrationSpec.spreadReceiver, calibrationSpec.discountCurveReceiverName, tenorPayer, forwardCurvePayerName, calibrationSpec.spreadPayer, calibrationSpec.discountCurvePayerName);
}
else if(calibrationSpec.type.toLowerCase().equals("swapleg")) {
product = new SwapLeg(tenorReceiver, forwardCurveReceiverName, calibrationSpec.spreadReceiver, calibrationSpec.discountCurveReceiverName, true);
}
else if(calibrationSpec.type.toLowerCase().equals("swapwithresetonreceiver")) {
String discountCurveForNotionalResetName = calibrationSpec.discountCurvePayerName;
SwapLegWithResetting legReceiver = new SwapLegWithResetting(tenorReceiver, forwardCurveReceiverName, calibrationSpec.spreadReceiver, calibrationSpec.discountCurveReceiverName, discountCurveForNotionalResetName, true);
SwapLeg legPayer = new SwapLeg(tenorPayer, forwardCurvePayerName, calibrationSpec.spreadPayer, calibrationSpec.discountCurvePayerName, true);
product = new Swap(legReceiver, legPayer);
}
else if(calibrationSpec.type.toLowerCase().equals("swapwithresetonpayer")) {
String discountCurveForNotionalResetName = calibrationSpec.discountCurveReceiverName;
SwapLeg legReceiver = new SwapLeg(tenorReceiver, forwardCurveReceiverName, calibrationSpec.spreadReceiver, calibrationSpec.discountCurveReceiverName, true);
SwapLegWithResetting legPayer = new SwapLegWithResetting(tenorPayer, forwardCurvePayerName, calibrationSpec.spreadPayer, calibrationSpec.discountCurvePayerName, discountCurveForNotionalResetName, true);
product = new Swap(legReceiver, legPayer);
}
else if(calibrationSpec.type.toLowerCase().equals("deposit")){
product = new Deposit(tenorReceiver, calibrationSpec.spreadReceiver, calibrationSpec.discountCurveReceiverName);
}
else if(calibrationSpec.type.toLowerCase().equals("fra")){
product = new ForwardRateAgreement(tenorReceiver, calibrationSpec.spreadReceiver, forwardCurveReceiverName, calibrationSpec.discountCurveReceiverName);
}
else {
throw new RuntimeException("Product of type " + calibrationSpec.type + " unknown.");
}
return product;
}
/**
* Return the calibrated model, i.e., the model maintaining a collection of curves calibrated to the
* given calibration specifications.
*
* @return The calibrated model.
*/
public AnalyticModelInterface getModel() {
return model;
}
/**
* Get a curve for a given name.
*
* @param name Name of the curve
* @return The curve model.
*/
public CurveInterface getCurve(String name) {
return model.getCurve(name);
}
/**
* Return the number of iterations needed to calibrate the model.
*
* @return The number of iterations needed to calibrate the model.
*/
public int getLastNumberOfInterations() {
return lastNumberOfInterations;
}
/**
* Returns the set curves calibrated to "shifted" market data, that is,
* the market date of <code>this</code> object, modified by the shifts
* provided to this methods.
*
* @param symbol The symbol to shift. All other symbols remain unshifted.
* @param shift The shift to apply to the symbol.
* @return A new set of calibrated curves, calibrated to shifted market data.
* @throws SolverException The likely cause of this exception is a failure of the solver used in the calibration.
* @throws CloneNotSupportedException The likely cause of this exception is the inability to clone or modify a curve.
*/
public CalibratedCurves getCloneShifted(String symbol, double shift) throws SolverException, CloneNotSupportedException {
// Clone calibration specs, shifting the desired symbol
List<CalibrationSpec> calibrationSpecsShifted = new ArrayList<CalibrationSpec>();
for(CalibrationSpec calibrationSpec : calibrationSpecs) {
if(calibrationSpec.symbol.equals(symbol)) {
calibrationSpecsShifted.add(calibrationSpec.getCloneShifted(shift));
}
else {
calibrationSpecsShifted.add(calibrationSpec);
}
}
return new CalibratedCurves(calibrationSpecsShifted, model, evaluationTime, calibrationAccuracy);
}
/**
* Returns the set curves calibrated to "shifted" market data, that is,
* the market date of <code>this</code> object, modified by the shifts
* provided to this methods.
*
* @param shifts A map of shifts associating each symbol with a shifts. If symbols are not part of this map, they remain unshifted.
* @return A new set of calibrated curves, calibrated to shifted market data.
* @throws SolverException The likely cause of this exception is a failure of the solver used in the calibration.
* @throws CloneNotSupportedException The likely cause of this exception is the inability to clone or modify a curve.
*/
public CalibratedCurves getCloneShifted(Map<String,Double> shifts) throws SolverException, CloneNotSupportedException {
// Clone calibration specs, shifting the desired symbol
List<CalibrationSpec> calibrationSpecsShifted = new ArrayList<CalibrationSpec>();
for(CalibrationSpec calibrationSpec : calibrationSpecs) {
if(shifts.containsKey(calibrationSpec)) {
calibrationSpecsShifted.add(calibrationSpec.getCloneShifted(shifts.get(calibrationSpec)));
}
else {
calibrationSpecsShifted.add(calibrationSpec);
}
}
return new CalibratedCurves(calibrationSpecsShifted, model, evaluationTime, calibrationAccuracy);
}
/**
* Returns the set curves calibrated to "shifted" market data, that is,
* the market date of <code>this</code> object, modified by the shifts
* provided to this methods.
*
* This method will shift all symbols matching a given regular expression <code>Pattern</code>.
*
* @see java.util.regex.Pattern
*
* @param symbolRegExp A pattern, identifying the symbols to shift.
* @param shift The shift to apply to the symbol(s).
* @return A new set of calibrated curves, calibrated to shifted market data.
* @throws SolverException The likely cause of this exception is a failure of the solver used in the calibration.
* @throws CloneNotSupportedException The likely cause of this exception is the inability to clone or modify a curve.
*/
public CalibratedCurves getCloneShifted(Pattern symbolRegExp, double shift) throws SolverException, CloneNotSupportedException {
// Clone calibration specs, shifting the desired symbol
List<CalibrationSpec> calibrationSpecsShifted = new ArrayList<CalibrationSpec>();
for(CalibrationSpec calibrationSpec : calibrationSpecs) {
Matcher matcher = symbolRegExp.matcher(calibrationSpec.symbol);
if(matcher.matches()) {
calibrationSpecsShifted.add(calibrationSpec.getCloneShifted(shift));
}
else {
calibrationSpecsShifted.add(calibrationSpec);
}
}
return new CalibratedCurves(calibrationSpecsShifted, model, evaluationTime, calibrationAccuracy);
}
/**
* Returns the set curves calibrated to "shifted" market data, that is,
* the market date of <code>this</code> object, modified by the shifts
* provided to this methods.
*
* This method will shift all symbols matching a given regular expression.
*
* @see java.util.regex.Pattern
*
* @param symbolRegExp A string representing a regular expression, identifying the symbols to shift.
* @param shift The shift to apply to the symbol(s).
* @return A new set of calibrated curves, calibrated to shifted market data.
* @throws SolverException The likely cause of this exception is a failure of the solver used in the calibration.
* @throws CloneNotSupportedException The likely cause of this exception is the inability to clone or modify a curve.
*/
public CalibratedCurves getCloneShiftedForRegExp(String symbolRegExp, double shift) throws SolverException, CloneNotSupportedException {
return getCloneShifted(Pattern.compile(symbolRegExp), shift);
}
/**
* Return the accuracy achieved in the last calibration.
*
* @return The accuracy achieved in the last calibration.
*/
public double getLastAccuracy() {
return lastAccuracy;
}
/**
* Returns the first product found in the vector of calibration products
* which matches the given symbol, where symbol is the String set in
* the calibrationSpecs.
*
* @param symbol A given symbol string.
* @return The product associated with that symbol.
*/
public AnalyticProductInterface getCalibrationProductForSymbol(String symbol) {
/*
* The internal data structure is not optimal here (a map would make more sense here),
* if the user does not require access to the products, we would allow non-unique symbols.
* Hence we store both in two side by side vectors.
*/
for(int i=0; i<calibrationProductsSymbols.size(); i++) {
String calibrationProductSymbol = calibrationProductsSymbols.get(i);
if(calibrationProductSymbol.equals(symbol)) return calibrationProducts.get(i);
}
return null;
}
private int calibrate(double accuracy) throws SolverException {
Solver solver = new Solver(model, calibrationProducts, evaluationTime, accuracy);
model = solver.getCalibratedModel(objectsToCalibrate);
lastAccuracy = solver.getAccuracy();
return solver.getIterations();
}
/**
* Add a calibration product to the set of calibration instruments.
*
* @param calibrationSpec The spec of the calibration product.
* @throws CloneNotSupportedException Thrown if a curve could not be cloned / created.
*/
private String add(CalibrationSpec calibrationSpec) throws CloneNotSupportedException
{
calibrationSpecs.add(calibrationSpec);
/*
* Add one point to the calibration curve and one new objective function
*/
// Create calibration product (will also create the curve if necessary)
calibrationProducts.add(getCalibrationProductForSpec(calibrationSpec));
calibrationProductsSymbols.add(calibrationSpec.symbol);
// Create parameter to calibrate
// Fetch old curve
CurveInterface calibrationCurveOld = model.getCurve(calibrationSpec.calibrationCurveName);
if(calibrationCurveOld == null) throw new IllegalArgumentException("Calibration curve " + calibrationSpec.calibrationCurveName + " does not exist. This should not happen. Possible reason: The given calibration product does not depend on the given calibration curve.");
// Remove old curve
objectsToCalibrate.remove(calibrationCurveOld);
// Create and add new curve
CurveInterface calibrationCurve = null;
if(DiscountCurveInterface.class.isInstance(calibrationCurveOld)) {
@SuppressWarnings("unused")
double paymentTime = calibrationSpec.swapTenorDefinitionReceiver.getPayment(calibrationSpec.swapTenorDefinitionReceiver.getNumberOfPeriods()-1);
// Build new curve with one additional point
calibrationCurve = calibrationCurveOld
.getCloneBuilder()
.addPoint(calibrationSpec.calibrationTime, 1.0, true)
.build();
}
else if(ForwardCurveInterface.class.isInstance(calibrationCurveOld)) {
// Build new curve with one additional point
calibrationCurve = calibrationCurveOld
.getCloneBuilder()
.addPoint(calibrationSpec.calibrationTime, 0.1, true)
.build();
}
else {
// Build new curve with one additional point
calibrationCurve = calibrationCurveOld
.getCloneBuilder()
.addPoint(calibrationSpec.calibrationTime, 1.0, true)
.build();
}
model = model.addCurves(calibrationCurve);
objectsToCalibrate.add(calibrationCurve);
return calibrationSpec.type;
}
/**
* Get a discount curve from the model, if not existing create a discount curve.
*
* @param discountCurveName The name of the discount curve to create.
* @return The discount factor curve associated with the given name.
*/
private DiscountCurveInterface createDiscountCurve(String discountCurveName) {
DiscountCurveInterface discountCurve = model.getDiscountCurve(discountCurveName);
if(discountCurve == null) {
discountCurve = DiscountCurve.createDiscountCurveFromDiscountFactors(discountCurveName, new double[] { 0.0 }, new double[] { 1.0 });
model = model.addCurves(discountCurve);
}
return discountCurve;
}
/**
* Get a forward curve from the model, if not existing create a forward curve.
*
* @param swapTenorDefinition The swap tenor associated with the forward curve.
* @param forwardCurveName The name of the forward curve to create.
* @return The forward curve associated with the given name.
*/
private String createForwardCurve(ScheduleInterface swapTenorDefinition, String forwardCurveName) {
/*
* Temporary "hack" - we try to infer index maturity codes from curve name.
*/
String indexMaturityCode = null;
if(forwardCurveName.contains("_12M") || forwardCurveName.contains("-12M") || forwardCurveName.contains(" 12M")) indexMaturityCode = "12M";
if(forwardCurveName.contains("_1M") || forwardCurveName.contains("-1M") || forwardCurveName.contains(" 1M")) indexMaturityCode = "1M";
if(forwardCurveName.contains("_6M") || forwardCurveName.contains("-6M") || forwardCurveName.contains(" 6M")) indexMaturityCode = "6M";
if(forwardCurveName.contains("_3M") || forwardCurveName.contains("-3M") || forwardCurveName.contains(" 3M")) indexMaturityCode = "3M";
if(forwardCurveName == null || forwardCurveName.isEmpty()) return null;
// Check if the curves exists, if not create it
CurveInterface curve = model.getCurve(forwardCurveName);
CurveInterface forwardCurve = null;
if(curve == null) {
// Create a new forward curve
if(isUseForwardCurve) {
curve = new ForwardCurve(forwardCurveName, swapTenorDefinition.getReferenceDate(), indexMaturityCode, ForwardCurve.InterpolationEntityForward.FORWARD, null);
}
else {
// Alternative: Model the forward curve through an underlying discount curve.
curve = DiscountCurve.createDiscountCurveFromDiscountFactors(forwardCurveName, new double[] { 0.0 }, new double[] { 1.0 });
model = model.addCurves(curve);
}
}
// Check if the curve is a discount curve, if yes - create a forward curve wrapper.
if(DiscountCurveInterface.class.isInstance(curve)) {
/*
* If the specified forward curve exits as a discount curve, we generate a forward curve
* by wrapping the discount curve and calculating the
* forward from discount factors using the formula (df(T)/df(T+Delta T) - 1) / Delta T).
*
* If no index maturity is used, the forward curve is interpreted "single curve", i.e.
* T+Delta T is always the payment.
*/
forwardCurve = new ForwardCurveFromDiscountCurve(curve.getName(), swapTenorDefinition.getReferenceDate(), indexMaturityCode);
}
else {
// Use a given forward curve
forwardCurve = curve;
}
model = model.addCurves(forwardCurve);
return forwardCurve.getName();
}
}