/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew;
import static com.opengamma.financial.convention.businessday.BusinessDayDateUtils.addWorkDays;
import org.testng.annotations.Test;
import org.threeten.bp.LocalDate;
import org.threeten.bp.Period;
import cern.jet.random.engine.MersenneTwister;
import com.opengamma.analytics.financial.credit.StubType;
import com.opengamma.analytics.financial.credit.isdayieldcurve.ISDAInstrumentTypes;
import com.opengamma.analytics.math.FunctionUtils;
import com.opengamma.analytics.math.MathException;
import com.opengamma.analytics.math.linearalgebra.CholeskyDecompositionCommons;
import com.opengamma.analytics.math.linearalgebra.CholeskyDecompositionResult;
import com.opengamma.analytics.math.matrix.DoubleMatrix1D;
import com.opengamma.analytics.math.matrix.DoubleMatrix2D;
import com.opengamma.analytics.math.matrix.MatrixAlgebra;
import com.opengamma.analytics.math.matrix.OGMatrixAlgebra;
import com.opengamma.analytics.math.statistics.distribution.NormalDistribution;
import com.opengamma.analytics.math.statistics.distribution.ProbabilityDistribution;
import com.opengamma.financial.convention.businessday.BusinessDayConvention;
import com.opengamma.financial.convention.businessday.BusinessDayConventionFactory;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.convention.calendar.MondayToFridayCalendar;
import com.opengamma.financial.convention.daycount.DayCount;
import com.opengamma.financial.convention.daycount.DayCountFactory;
import com.opengamma.util.ArgumentChecker;
/**
*
*/
public class CalibrationTimingTest {
private static ProbabilityDistribution<Double> NORMAL = new NormalDistribution(0, 1, new MersenneTwister(MersenneTwister.DEFAULT_SEED));
private static final MatrixAlgebra MA = new OGMatrixAlgebra();
private static final CholeskyDecompositionCommons CHOLESKY = new CholeskyDecompositionCommons();
private static final FastCreditCurveBuilder CREDIT_CURVE_BUILDER = new FastCreditCurveBuilder();
private static final Calendar DEFAULT_CALENDAR = new MondayToFridayCalendar("Weekend_Only");
private static final DayCount ACT365 = DayCountFactory.INSTANCE.getDayCount("ACT/365");
private static final DayCount ACT360 = DayCountFactory.INSTANCE.getDayCount("ACT/360");
private static final DayCount D30360 = DayCountFactory.INSTANCE.getDayCount("30/360");
@SuppressWarnings("unused")
private static final BusinessDayConvention FOLLOWING = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
private static final BusinessDayConvention MOD_FOLLOWING = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
private static final int NUM_YIELD_CURVE_POINTS = 20;
private static final Period SWAP_INTERVAL = Period.ofMonths(6);
private static final ISDAInstrumentTypes[] YC_INST_TYPES;
private static final Period[] YC_INST_TENOR;
private static final double[] YC_MARKET_RATES = new double[] {0.00340055550701297, 0.00636929056400781, 0.0102617798438113, 0.0135851258907251, 0.0162809551414651, 0.020583125112332,
0.0227369218210212, 0.0251978805237614, 0.0273223815467694, 0.0310882447627048, 0.0358397743454067, 0.036047665095421, 0.0415916567616181, 0.044066373237682, 0.046708518178509,
0.0491196954851753, 0.0529297239911766, 0.0562025436376854, 0.0589772202773522, 0.0607471217692999 };
private static final DoubleMatrix2D YC_COVAR;
private static final DoubleMatrix2D YC_COVAR_SQR;
private static final int NUM_CREDIT_CURVE_POINTS = 11;
private static final LocalDate[] CC_DATES = new LocalDate[] {LocalDate.of(2013, 9, 20), LocalDate.of(2013, 12, 20), LocalDate.of(2014, 3, 20), LocalDate.of(2014, 6, 20), LocalDate.of(2014, 9, 20),
LocalDate.of(2015, 9, 20), LocalDate.of(2016, 9, 20), LocalDate.of(2017, 9, 20), LocalDate.of(2018, 9, 20), LocalDate.of(2020, 9, 20), LocalDate.of(2023, 9, 20) };
private static final DoubleMatrix2D CC_COVAR;
private static final DoubleMatrix2D CC_COVAR_SQR;
private static final LocalDate TODAY = LocalDate.of(2013, 6, 4);
private static final LocalDate STEPIN_DATE = TODAY.plusDays(1); // aka effective date
private static final LocalDate SPOTDATE = addWorkDays(TODAY, 3, DEFAULT_CALENDAR); // 3 working days on
private static final LocalDate VALUEDATE = SPOTDATE;
private static final LocalDate STARTDATE = TODAY; // have protection start now.
private static final double[] MARKET_CREDIT_SPREADS = new double[] {40, 45, 50, 55, 70, 90, 130, 130, 130, 120, 115, 105, 90 };
static {
// setup yield curve stuff
YC_INST_TYPES = new ISDAInstrumentTypes[NUM_YIELD_CURVE_POINTS];
YC_INST_TENOR = new Period[NUM_YIELD_CURVE_POINTS];
final int[] mmMonths = new int[] {1, 2, 3, 6, 9, 12 };
final int[] swapYears = new int[] {2, 3, 4, 5, 6, 7, 8, 9, 10, 12, 15, 20, 25, 30 };
final int nMoneyMarket = 6;
final int nSwaps = 14;
// check
ArgumentChecker.isTrue(mmMonths.length == nMoneyMarket, "mmMonths");
ArgumentChecker.isTrue(swapYears.length == nSwaps, "swapYears");
for (int i = 0; i < nMoneyMarket; i++) {
YC_INST_TYPES[i] = ISDAInstrumentTypes.MoneyMarket;
YC_INST_TENOR[i] = Period.ofMonths(mmMonths[i]);
}
for (int i = nMoneyMarket; i < NUM_YIELD_CURVE_POINTS; i++) {
YC_INST_TYPES[i] = ISDAInstrumentTypes.Swap;
YC_INST_TENOR[i] = Period.ofYears(swapYears[i - nMoneyMarket]);
}
final LocalDate[] ycMatDates = new LocalDate[NUM_YIELD_CURVE_POINTS];
final double[] ycMatTimes = new double[NUM_YIELD_CURVE_POINTS];
for (int i = 0; i < NUM_YIELD_CURVE_POINTS; i++) {
ycMatDates[i] = SPOTDATE.plus(YC_INST_TENOR[i]);
ycMatTimes[i] = ACT365.getDayCountFraction(SPOTDATE, ycMatDates[i]);
}
final double ycDecorrelation = -0.2;
final double ycVar = 1 / 36.;
double[][] temp = new double[NUM_YIELD_CURVE_POINTS][NUM_YIELD_CURVE_POINTS];
for (int i = 0; i < NUM_YIELD_CURVE_POINTS; i++) {
temp[i][i] = ycVar * FunctionUtils.square(YC_MARKET_RATES[i]);
for (int j = 0; j < i; j++) {
final double t1 = ycMatTimes[i];
final double t2 = ycMatTimes[j];
final double rho = t1 >= t2 ? Math.pow(t1 / t2, ycDecorrelation) : Math.pow(t2 / t1, ycDecorrelation);
temp[i][j] = rho * ycVar * YC_MARKET_RATES[i] * YC_MARKET_RATES[j];
}
}
for (int i = 0; i < NUM_YIELD_CURVE_POINTS; i++) {
for (int j = i + 1; j < NUM_YIELD_CURVE_POINTS; j++) {
temp[i][j] = temp[j][i];
}
}
YC_COVAR = new DoubleMatrix2D(temp);
CholeskyDecompositionResult res = CHOLESKY.evaluate(YC_COVAR);
YC_COVAR_SQR = res.getL();
// setup credit curve stuff
final double[] coupons = new double[NUM_CREDIT_CURVE_POINTS];
final int n = coupons.length;
for (int i = 0; i < n; i++) {
coupons[i] = MARKET_CREDIT_SPREADS[i] / 10000.0;
}
final double[] ccMatTimes = new double[NUM_CREDIT_CURVE_POINTS];
for (int i = 0; i < NUM_CREDIT_CURVE_POINTS; i++) {
ccMatTimes[i] = ACT365.getDayCountFraction(TODAY, CC_DATES[i]);
}
final double ccDecorrelation = -0.01;
final double ccVar = 1 / 50.;
temp = new double[NUM_CREDIT_CURVE_POINTS][NUM_CREDIT_CURVE_POINTS];
for (int i = 0; i < NUM_CREDIT_CURVE_POINTS; i++) {
temp[i][i] = ccVar * FunctionUtils.square(coupons[i]);
for (int j = 0; j < i; j++) {
final double t1 = ccMatTimes[i];
final double t2 = ccMatTimes[j];
final double rho = t1 >= t2 ? Math.pow(t1 / t2, ccDecorrelation) : Math.pow(t2 / t1, ccDecorrelation);
temp[i][j] = rho * ccVar * coupons[i] * coupons[j];
}
}
for (int i = 0; i < NUM_CREDIT_CURVE_POINTS; i++) {
for (int j = i + 1; j < NUM_CREDIT_CURVE_POINTS; j++) {
temp[i][j] = temp[j][i];
}
}
CC_COVAR = new DoubleMatrix2D(temp);
res = CHOLESKY.evaluate(CC_COVAR);
CC_COVAR_SQR = res.getL();
}
@Test(enabled = false)
public void yieldCurvePeturbTest() {
System.out.println("CalibrationTimingTest - set enabled=false before push");
final DoubleMatrix1D base = new DoubleMatrix1D(YC_MARKET_RATES);
final int nSims = 50000;
final ISDACompliantYieldCurveBuild ycBuilder = new ISDACompliantYieldCurveBuild(SPOTDATE, YC_INST_TYPES, YC_INST_TENOR, ACT360, D30360, SWAP_INTERVAL, ACT365, MOD_FOLLOWING);
final long startTime = System.nanoTime();
int failed = 0;
for (int count = 0; count < nSims; count++) {
final double[] temp = new double[NUM_YIELD_CURVE_POINTS];
for (int i = 0; i < NUM_YIELD_CURVE_POINTS; i++) {
temp[i] = NORMAL.nextRandom();
}
final DoubleMatrix1D z = new DoubleMatrix1D(temp);
final DoubleMatrix1D w = (DoubleMatrix1D) MA.multiply(YC_COVAR_SQR, z);
final DoubleMatrix1D peturbedRates = (DoubleMatrix1D) MA.add(base, w);
// System.out.println(peturbedRates);
try {
@SuppressWarnings("unused")
final ISDACompliantCurve yieldCurve = ycBuilder.build(peturbedRates.getData());
} catch (final MathException e) {
failed++;
}
}
final double totalTime = (System.nanoTime() - startTime) / 1e9;
System.out.println("total time for " + nSims + " yield Curves: " + totalTime + "s. Failed to build " + failed + " curves (" + ((100. * failed) / nSims) + "%)");
}
@Test(enabled = false)
public void creditCurvePeturbTest() {
System.out.println("CalibrationTimingTest - set enabled=false before push");
final ISDACompliantYieldCurve yieldCurve = ISDACompliantYieldCurveBuild.build(SPOTDATE, YC_INST_TYPES, YC_INST_TENOR, YC_MARKET_RATES, ACT360, D30360, SWAP_INTERVAL, ACT365, MOD_FOLLOWING);
final Period tenor = Period.ofMonths(3);
final StubType stubType = StubType.FRONTSHORT;
final boolean payAccOndefault = true;
final boolean protectionStart = true;
final double recovery = 0.4;
final double[] coupons = new double[NUM_CREDIT_CURVE_POINTS];
final CDSAnalytic[] cds = new CDSAnalytic[NUM_CREDIT_CURVE_POINTS];
for (int i = 0; i < NUM_CREDIT_CURVE_POINTS; i++) {
cds[i] = new CDSAnalytic(TODAY, STEPIN_DATE, VALUEDATE, STARTDATE, CC_DATES[i], payAccOndefault, tenor, stubType, protectionStart, recovery);
coupons[i] = MARKET_CREDIT_SPREADS[i] / 10000.0;
}
final DoubleMatrix1D base = new DoubleMatrix1D(coupons);
final int nSims = 50000;
final long startTime = System.nanoTime();
int failed = 0;
for (int count = 0; count < nSims; count++) {
final double[] temp = new double[NUM_CREDIT_CURVE_POINTS];
for (int i = 0; i < NUM_CREDIT_CURVE_POINTS; i++) {
temp[i] = NORMAL.nextRandom();
}
final DoubleMatrix1D z = new DoubleMatrix1D(temp);
final DoubleMatrix1D w = (DoubleMatrix1D) MA.multiply(CC_COVAR_SQR, z);
final DoubleMatrix1D peturbedSpreads = (DoubleMatrix1D) MA.add(base, w);
// System.out.println(peturbedRates);
try {
@SuppressWarnings("unused")
final ISDACompliantCreditCurve creditCurve = CREDIT_CURVE_BUILDER.calibrateCreditCurve(cds, peturbedSpreads.getData(), yieldCurve);
} catch (final MathException e) {
failed++;
}
}
final double totalTime = (System.nanoTime() - startTime) / 1e9;
System.out.println("total time for " + nSims + " credit Curves: " + totalTime + "s. Failed to build " + failed + " curves (" + ((100. * failed) / nSims) + "%)");
}
}