/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedIbor;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedIborMaster;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve;
import com.opengamma.analytics.financial.model.option.definition.YieldCurveWithBlackCubeBundle;
import com.opengamma.analytics.financial.model.option.parameters.BlackFlatSwaptionParameters;
import com.opengamma.analytics.math.curve.ConstantDoublesCurve;
import com.opengamma.analytics.math.curve.InterpolatedDoublesCurve;
import com.opengamma.analytics.math.interpolation.CombinedInterpolatorExtrapolatorFactory;
import com.opengamma.analytics.math.interpolation.GridInterpolator2D;
import com.opengamma.analytics.math.interpolation.Interpolator1D;
import com.opengamma.analytics.math.interpolation.Interpolator1DFactory;
import com.opengamma.analytics.math.surface.InterpolatedDoublesSurface;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.convention.calendar.MondayToFridayCalendar;
/**
* Sets of market data used in tests.
* @deprecated {@link YieldCurveBundle} is deprecated, as are the classes that use it.
*/
@Deprecated
public class TestsDataSetsInflation {
private static final Interpolator1D LINEAR_FLAT = CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.LINEAR, Interpolator1DFactory.FLAT_EXTRAPOLATOR,
Interpolator1DFactory.FLAT_EXTRAPOLATOR);
private static final GridInterpolator2D INTERPOLATOR_LINEAR_2D = new GridInterpolator2D(LINEAR_FLAT, LINEAR_FLAT);
private static final Calendar CALENDAR = new MondayToFridayCalendar("TARGET");
private static final GeneratorSwapFixedIborMaster GENERATOR_SWAP_MASTER = GeneratorSwapFixedIborMaster.getInstance();
private static final GeneratorSwapFixedIbor EUR1YEURIBOR6M = GENERATOR_SWAP_MASTER.getGenerator("EUR1YEURIBOR6M", CALENDAR);
private static final GeneratorSwapFixedIbor EUR1YEURIBOR3M = GENERATOR_SWAP_MASTER.getGenerator("EUR1YEURIBOR3M", CALENDAR);
private static final InterpolatedDoublesSurface BLACK_SURFACE_EXP_TEN = InterpolatedDoublesSurface.from(
new double[] {0.5, 1.0, 5.0, 0.5, 1.0, 5.0 },
new double[] {2, 2, 2, 10, 10, 10 },
new double[] {0.35, 0.34, 0.25, 0.30, 0.25, 0.20 },
INTERPOLATOR_LINEAR_2D);
private static final InterpolatedDoublesSurface BLACK_SURFACE_EXP_STR = InterpolatedDoublesSurface.from(
new double[] {0.5, 1.0, 5.0, 0.5, 1.0, 5.0, 0.5, 1.0, 5.0 },
new double[] {0.01, 0.01, 0.01, 0.02, 0.02, 0.02, 0.03, 0.03, 0.03 },
new double[] {0.35, 0.34, 0.25, 0.30, 0.25, 0.20, 0.28, 0.23, 0.18 },
INTERPOLATOR_LINEAR_2D);
private static final BlackFlatSwaptionParameters BLACK_SWAPTION_EUR6 = new BlackFlatSwaptionParameters(BLACK_SURFACE_EXP_TEN, EUR1YEURIBOR6M);
private static final BlackFlatSwaptionParameters BLACK_SWAPTION_EUR3 = new BlackFlatSwaptionParameters(BLACK_SURFACE_EXP_TEN, EUR1YEURIBOR3M);
public static InterpolatedDoublesSurface createBlackSurfaceExpiryTenor() {
return BLACK_SURFACE_EXP_TEN;
}
public static InterpolatedDoublesSurface createBlackSurfaceExpiryStrike() {
return BLACK_SURFACE_EXP_STR;
}
public static InterpolatedDoublesSurface createBlackSurfaceExpiryTenorShift(final double shift) {
return InterpolatedDoublesSurface.from(new double[] {0.5, 1.0, 5.0, 0.5, 1.0, 5.0 }, new double[] {2, 2, 2, 10, 10, 10 }, new double[] {0.35 + shift, 0.34 + shift, 0.25 + shift, 0.30 + shift,
0.25 + shift, 0.20 + shift }, INTERPOLATOR_LINEAR_2D);
}
public static BlackFlatSwaptionParameters createBlackSwaptionEUR6() {
return BLACK_SWAPTION_EUR6;
}
public static BlackFlatSwaptionParameters createBlackSwaptionEUR3() {
return BLACK_SWAPTION_EUR3;
}
/**
* Create the same surface as createBlackSwaptionEUR6() but with a given parallel shift.
* @param shift The shift.
* @return The surface.
*/
public static BlackFlatSwaptionParameters createBlackSwaptionEUR6Shift(final double shift) {
final InterpolatedDoublesSurface surfaceShift = createBlackSurfaceExpiryTenorShift(shift);
return new BlackFlatSwaptionParameters(surfaceShift, EUR1YEURIBOR6M);
}
/**
* Create the same surface as createBlackSwaptionEUR6() but with one volatility shifted.
* @param index The index of the shifted volatility.
* @param shift The shift.
* @return The surface.
*/
public static BlackFlatSwaptionParameters createBlackSwaptionEUR6Shift(final int index, final double shift) {
final double[] vol = new double[] {0.35, 0.34, 0.25, 0.30, 0.25, 0.20 };
vol[index] += shift;
final InterpolatedDoublesSurface surfaceShift = InterpolatedDoublesSurface.from(new double[] {0.5, 1.0, 5.0, 0.5, 1.0, 5.0 }, new double[] {2, 2, 2, 10, 10, 10 }, vol, INTERPOLATOR_LINEAR_2D);
return new BlackFlatSwaptionParameters(surfaceShift, EUR1YEURIBOR6M);
}
public static YieldCurveBundle createCurvesEUR() {
final String discountingCurvename = "EUR Discounting";
final String forward3MCurveName = "Forward EURIBOR3M";
final String forward6MCurveName = "Forward EURIBOR6M";
final InterpolatedDoublesCurve dscC = new InterpolatedDoublesCurve(new double[] {0.05, 1.0, 2.0, 5.0, 10.0, 20.0 }, new double[] {0.0050, 0.0100, 0.0150, 0.0200, 0.0200, 0.0300 },
CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.DOUBLE_QUADRATIC, Interpolator1DFactory.LINEAR_EXTRAPOLATOR), true, discountingCurvename);
final InterpolatedDoublesCurve fwd3C = new InterpolatedDoublesCurve(new double[] {0.05, 1.0, 2.0, 5.0, 10.0, 25.0 }, new double[] {0.0070, 0.0120, 0.0165, 0.0215, 0.0210, 0.0310 },
CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.DOUBLE_QUADRATIC, Interpolator1DFactory.LINEAR_EXTRAPOLATOR), true, forward3MCurveName);
final InterpolatedDoublesCurve fwd6C = new InterpolatedDoublesCurve(new double[] {0.05, 1.0, 2.0, 5.0, 10.0, 30.0 }, new double[] {0.0075, 0.0125, 0.0170, 0.0220, 0.0212, 0.0312 },
CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.DOUBLE_QUADRATIC, Interpolator1DFactory.LINEAR_EXTRAPOLATOR), true, forward6MCurveName);
final YieldCurveBundle curves = new YieldCurveBundle();
curves.setCurve(discountingCurvename, YieldCurve.from(dscC));
curves.setCurve(forward3MCurveName, YieldCurve.from(fwd3C));
curves.setCurve(forward6MCurveName, YieldCurve.from(fwd6C));
return curves;
}
public static String[] curvesEURNames() {
final String discountingCurvename = "EUR Discounting";
final String forward3MCurveName = "Forward EURIBOR3M";
final String forward6MCurveName = "Forward EURIBOR6M";
return new String[] {discountingCurvename, forward3MCurveName, forward6MCurveName };
}
public static YieldCurveBundle createCurvesUSD() {
final String discountingCurvename = "USD Discounting";
final String forward3MCurveName = "Forward USDLIBOR3M";
final String forward6MCurveName = "Forward USDLIBOR6M";
final InterpolatedDoublesCurve dscC = new InterpolatedDoublesCurve(new double[] {0.05, 1.0, 2.0, 5.0, 10.0, 20.0 }, new double[] {0.0050, 0.0100, 0.0150, 0.0200, 0.0200, 0.0300 },
CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.DOUBLE_QUADRATIC, Interpolator1DFactory.LINEAR_EXTRAPOLATOR), true, discountingCurvename);
final InterpolatedDoublesCurve fwd3C = new InterpolatedDoublesCurve(new double[] {0.05, 1.0, 2.0, 5.0, 10.0, 25.0 }, new double[] {0.0070, 0.0120, 0.0165, 0.0215, 0.0210, 0.0310 },
CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.DOUBLE_QUADRATIC, Interpolator1DFactory.LINEAR_EXTRAPOLATOR), true, forward3MCurveName);
final InterpolatedDoublesCurve fwd6C = new InterpolatedDoublesCurve(new double[] {0.05, 1.0, 2.0, 5.0, 10.0, 30.0 }, new double[] {0.0075, 0.0125, 0.0170, 0.0220, 0.0212, 0.0312 },
CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.DOUBLE_QUADRATIC, Interpolator1DFactory.LINEAR_EXTRAPOLATOR), true, forward6MCurveName);
final YieldCurveBundle curves = new YieldCurveBundle();
curves.setCurve(discountingCurvename, YieldCurve.from(dscC));
curves.setCurve(forward3MCurveName, YieldCurve.from(fwd3C));
curves.setCurve(forward6MCurveName, YieldCurve.from(fwd6C));
return curves;
}
/**
* Create a yield curve bundle with three curves. One called "Credit" with a constant rate of 5%, one called "Discounting" with a constant rate of 4%,
* and one called "Forward" with a constant rate of 4.5%.
* @return The yield curve bundle.
*/
public static YieldCurveBundle createCurvesBond() {
final String CREDIT_CURVE_NAME = "Credit";
final String DISCOUNTING_CURVE_NAME = "Repo";
final String FORWARD_CURVE_NAME = "Forward";
final YieldAndDiscountCurve CURVE_5 = YieldCurve.from(ConstantDoublesCurve.from(0.05));
final YieldAndDiscountCurve CURVE_4 = YieldCurve.from(ConstantDoublesCurve.from(0.04));
final YieldAndDiscountCurve CURVE_45 = YieldCurve.from(ConstantDoublesCurve.from(0.045));
final YieldCurveBundle curves = new YieldCurveBundle();
curves.setCurve(CREDIT_CURVE_NAME, CURVE_5);
curves.setCurve(DISCOUNTING_CURVE_NAME, CURVE_4);
curves.setCurve(FORWARD_CURVE_NAME, CURVE_45);
return curves;
}
public static YieldCurveWithBlackCubeBundle createCubesBondFutureOption() {
return new YieldCurveWithBlackCubeBundle(BLACK_SURFACE_EXP_TEN, createCurvesBond());
}
}