final Date[] jumpDates1 = new Date[0];
final double tolerance1 = 1.0e-15;
final LogLinear interpolator = null;
final IterativeBootstrap bootstrap = null;
final YieldTermStructure bondDiscountingTermStructur =
new PiecewiseYieldCurve<Discount,LogLinear,IterativeBootstrap>(
Discount.class, LogLinear.class, IterativeBootstrap.class,
settlementDate,
instruments1,
termStructureDayCounter,
jumps1,
jumpDates1,
tolerance1,
interpolator,
bootstrap){/* anonymous */};
// Building of the Libor forecasting curve
// deposits
final double d1wQuote = 0.043375;
final double d1mQuote = 0.031875;
final double d3mQuote = 0.0320375;
final double d6mQuote = 0.03385;
final double d9mQuote = 0.0338125;
final double d1yQuote = 0.0335125;
// swaps
final double s2yQuote = 0.0295;
final double s3yQuote = 0.0323;
final double s5yQuote = 0.0359;
final double s10yQuote = 0.0412;
final double s15yQuote = 0.0433;
/********************
*** QUOTES ***
********************/
// SimpleQuote stores a value which can be manually changed;
// other Quote subclasses could read the value from a database
// or some kind of data feed.
// deposits
final Quote d1wRate = (new SimpleQuote(d1wQuote));
final Quote d1mRate = (new SimpleQuote(d1mQuote));
final Quote d3mRate = (new SimpleQuote(d3mQuote));
final Quote d6mRate = (new SimpleQuote(d6mQuote));
final Quote d9mRate = (new SimpleQuote(d9mQuote));
final Quote d1yRate = (new SimpleQuote(d1yQuote));
// swaps
final Quote s2yRate = (new SimpleQuote(s2yQuote));
final Quote s3yRate = (new SimpleQuote(s3yQuote));
final Quote s5yRate = (new SimpleQuote(s5yQuote));
final Quote s10yRate = (new SimpleQuote(s10yQuote));
final Quote s15yRate = (new SimpleQuote(s15yQuote));
/*********************
*** RATE HELPERS ***
*********************/
// RateHelpers are built from the above quotes together with
// other instrument dependant infos. Quotes are passed in
// relinkable handles which could be relinked to some other
// data source later.
// deposits
final DayCounter depositDayCounter = new Actual360();
final RateHelper d1w = new DepositRateHelper(
new Handle<Quote>(d1wRate),
new Period(1, TimeUnit.Weeks),
fixingDays, calendar,
BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
final RateHelper d1m = new DepositRateHelper(
new Handle<Quote>(d1mRate),
new Period(1, TimeUnit.Months),
fixingDays, calendar,
BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
final RateHelper d3m = new DepositRateHelper(
new Handle<Quote>(d3mRate),
new Period(3, TimeUnit.Months),
fixingDays, calendar,
BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
final RateHelper d6m = new DepositRateHelper(
new Handle<Quote>(d6mRate),
new Period(6, TimeUnit.Months),
fixingDays, calendar,
BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
final RateHelper d9m = new DepositRateHelper(
new Handle<Quote>(d9mRate),
new Period(9, TimeUnit.Months),
fixingDays, calendar,
BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
final RateHelper d1y = new DepositRateHelper(
new Handle<Quote>(d1yRate),
new Period(1, TimeUnit.Years),
fixingDays, calendar,
BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
// setup swaps
final Frequency swFixedLegFrequency = Frequency.Annual;
final BusinessDayConvention swFixedLegConvention = BusinessDayConvention.Unadjusted;
final DayCounter swFixedLegDayCounter = new Thirty360(Convention.European);
final IborIndex swFloatingLegIndex = new Euribor6M(new Handle<YieldTermStructure>());
// TODO and FIXME: not sure whether the class stuff works properly
// final IborIndex swFloatingLegIndex = Euribor.getEuribor6M(new Handle<YieldTermStructure>(YieldTermStructure.class)); //FIXME::RG::Handle
// final YieldTermStructure nullYieldTermStructure = new AbstractYieldTermStructure() {
// @Override
// protected double discountImpl(final double t) {
// throw new UnsupportedOperationException();
// }
// @Override
// public Date maxDate() {
// throw new UnsupportedOperationException();
// }
// };
// final IborIndex swFloatingLegIndex = new Euribor6M(new Handle<YieldTermStructure>(nullYieldTermStructure));
final Period forwardStart = new Period(1, TimeUnit.Days);
final RateHelper s2y = new SwapRateHelper(
new Handle<Quote>(s2yRate),
new Period(2, TimeUnit.Years),
calendar,
swFixedLegFrequency,
swFixedLegConvention,
swFixedLegDayCounter,
swFloatingLegIndex,
new Handle<Quote>(),
forwardStart);
final RateHelper s3y = new SwapRateHelper(
new Handle<Quote>(s3yRate),
new Period(3, TimeUnit.Years),
calendar,
swFixedLegFrequency,
swFixedLegConvention,
swFixedLegDayCounter,
swFloatingLegIndex,
new Handle<Quote>(),
forwardStart);
final RateHelper s5y = new SwapRateHelper(
new Handle<Quote>(s5yRate),
new Period(5, TimeUnit.Years),
calendar,
swFixedLegFrequency,
swFixedLegConvention,
swFixedLegDayCounter,
swFloatingLegIndex,
new Handle<Quote>(),
forwardStart);
final RateHelper s10y = new SwapRateHelper(
new Handle<Quote>(s10yRate),
new Period(10, TimeUnit.Years),
calendar,
swFixedLegFrequency,
swFixedLegConvention,
swFixedLegDayCounter,
swFloatingLegIndex,
new Handle<Quote>(),
forwardStart);
final RateHelper s15y = new SwapRateHelper(
new Handle<Quote>(s15yRate),
new Period(15, TimeUnit.Years),
calendar,
swFixedLegFrequency,
swFixedLegConvention,
swFixedLegDayCounter,
swFloatingLegIndex,
new Handle<Quote>(),
forwardStart);
/*********************
** CURVE BUILDING **
*********************/
// Any DayCounter would be fine.
// ActualActual::ISDA ensures that 30 years is 30.0
// A depo-swap curve
final List<RateHelper> depoSwapInstruments = new ArrayList<RateHelper>();
depoSwapInstruments.add(d1w);
depoSwapInstruments.add(d1m);
depoSwapInstruments.add(d3m);
depoSwapInstruments.add(d6m);
depoSwapInstruments.add(d9m);
depoSwapInstruments.add(d1y);
depoSwapInstruments.add(s2y);
depoSwapInstruments.add(s3y);
depoSwapInstruments.add(s5y);
depoSwapInstruments.add(s10y);
depoSwapInstruments.add(s15y);
final RateHelper[] instruments = new RateHelper[depoSwapInstruments.size()];
depoSwapInstruments.toArray(instruments);
final Handle[] jumps= new Handle[0];//]<Quote>[]) new ArrayList<Handle<Quote>>().toArray();
final Date[] jumpDates = new Date[0];// new ArrayList<Date>().toArray();
final YieldTermStructure depoSwapTermStructure =
new PiecewiseYieldCurve<Discount,LogLinear,IterativeBootstrap>(
Discount.class, LogLinear.class, IterativeBootstrap.class,
settlementDate,
instruments,
termStructureDayCounter,