/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate;
import java.util.HashMap;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
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.SABRInterestRateParameters;
import com.opengamma.analytics.financial.model.volatility.smile.function.SABRFormulaData;
import com.opengamma.analytics.financial.model.volatility.smile.function.SABRHaganVolatilityFunction;
import com.opengamma.analytics.financial.model.volatility.smile.function.VolatilityFunctionProvider;
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.daycount.DayCount;
import com.opengamma.financial.convention.daycount.DayCountFactory;
import com.opengamma.util.money.Currency;
/**
* Sets of market data used in tests.
* @deprecated {@link YieldCurveBundle} is deprecated, as are the classes that use it.
*/
@Deprecated
public class TestsDataSetsSABR {
/**
* The linear interpolator/ flat extrapolator. Used for SABR parameters interpolation.
*/
private static final Interpolator1D LINEAR_FLAT = CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.LINEAR, Interpolator1DFactory.FLAT_EXTRAPOLATOR,
Interpolator1DFactory.FLAT_EXTRAPOLATOR);
private static final GridInterpolator2D INTERPOLATOR_2D = new GridInterpolator2D(LINEAR_FLAT, LINEAR_FLAT);
/**
* The standard day count 30/360 used in the data set.
*/
private static final DayCount DAY_COUNT = DayCountFactory.INSTANCE.getDayCount("30/360");
/**
* Create a set of SABR parameter surface (linearly interpolated) with a given SABR function. Expiry is between 0 and 10 years, maturity between 0 and 10 years.
* Beta is 0.5. Alpha 0.05 at 1Y and 0.06 at 10Y. Rho 0.50 at 1Y and 0.30 at 10Y. Nu -0.25 at 1Y and 0.00 at 10Y.
* @param sabrFunction The SABR function.
* @return The SABR parameters parameters.
*/
public static SABRInterestRateParameters createSABR1(final VolatilityFunctionProvider<SABRFormulaData> sabrFunction) {
final InterpolatedDoublesSurface alphaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10},
new double[] {0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10, 100, 100, 100, 100, 100, 100}, new double[] {0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05,
0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06}, INTERPOLATOR_2D);
final InterpolatedDoublesSurface betaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5,
10, 100}, new double[] {0, 0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10, 10, 100, 100, 100, 100, 100, 100, 100}, new double[] {0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5,
0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5}, INTERPOLATOR_2D);
final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5,
10, 100}, new double[] {0, 0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10, 10, 100, 100, 100, 100, 100, 100, 100}, new double[] {-0.25, -0.25, -0.25, -0.25, -0.25, -0.25,
-0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00}, INTERPOLATOR_2D);
final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5,
10, 100}, new double[] {0, 0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10, 10, 100, 100, 100, 100, 100, 100, 100}, new double[] {0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50,
0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30}, INTERPOLATOR_2D);
return new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, DAY_COUNT, sabrFunction);
}
/**
* Create a set of SABR parameter surface (linearly interpolated) with Hagan volatility function.
* @return The SABR parameters parameters.
*/
public static SABRInterestRateParameters createSABR1() {
return createSABR1(new SABRHaganVolatilityFunction());
}
/**
* Create a set of SABR parameter surface (linearly interpolated) with a given SABR function. Alpha data is bumped by a given shift with respect to SABR1.
* @param sabrFunction The SABR function.
* @param shift The shift.
* @return The SABR parameters parameters.
*/
public static SABRInterestRateParameters createSABR1AlphaBumped(final VolatilityFunctionProvider<SABRFormulaData> sabrFunction, final double shift) {
final InterpolatedDoublesSurface alphaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.05 + shift, 0.05 + shift, 0.05 + shift, 0.05 + shift, 0.05 + shift, 0.05 + shift, 0.05 + shift, 0.05 + shift, 0.05 + shift,
0.05 + shift, 0.05 + shift, 0.05 + shift, 0.06 + shift, 0.06 + shift, 0.06 + shift, 0.06 + shift, 0.06 + shift, 0.06 + shift}, INTERPOLATOR_2D);
final InterpolatedDoublesSurface betaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5}, INTERPOLATOR_2D);
final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {-0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00},
INTERPOLATOR_2D);
final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0, 1,
1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30}, INTERPOLATOR_2D);
return new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, DAY_COUNT, sabrFunction);
}
/**
* Create a set of SABR parameter surface (linearly interpolated) with a given SABR function. Alpha data is bumped by 0.0001 with respect to SABR1.
* @param sabrFunction The SABR function.
* @return The SABR parameters parameters.
*/
public static SABRInterestRateParameters createSABR1AlphaBumped(final VolatilityFunctionProvider<SABRFormulaData> sabrFunction) {
final double shift = 0.0001;
return createSABR1AlphaBumped(sabrFunction, shift);
}
/**
* Create a set of SABR parameter surface (linearly interpolated) with Hagan volatility function. Alpha data is bumped by a given shift with respect to SABR1.
* @param shift The shift.
* @return The SABR parameters parameters.
*/
public static SABRInterestRateParameters createSABR1AlphaBumped(final double shift) {
return createSABR1AlphaBumped(new SABRHaganVolatilityFunction(), shift);
}
/**
* Create a set of SABR parameter surface (linearly interpolated) with Hagan volatility function. Alpha data is bumped by 0.0001 with respect to SABR1.
* @return The SABR parameters parameters.
*/
public static SABRInterestRateParameters createSABR1AlphaBumped() {
return createSABR1AlphaBumped(new SABRHaganVolatilityFunction());
}
/**
* Create a set of SABR parameter surface (linearly interpolated) with a given SABR function. Beta data is bumped by a given shift with respect to SABR1.
* @param sabrFunction The SABR function.
* @param shift The shift.
* @return The SABR parameters parameters.
*/
public static SABRInterestRateParameters createSABR1BetaBumped(final VolatilityFunctionProvider<SABRFormulaData> sabrFunction, final double shift) {
final InterpolatedDoublesSurface alphaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10},
new double[] {0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10, 100, 100, 100, 100, 100, 100}, new double[] {0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05,
0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06}, INTERPOLATOR_2D);
final InterpolatedDoublesSurface betaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5,
10, 100}, new double[] {0, 0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10, 10, 100, 100, 100, 100, 100, 100, 100}, new double[] {0.5 + shift, 0.5 + shift, 0.5 + shift,
0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift,
0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift}, INTERPOLATOR_2D);
final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5,
10, 100}, new double[] {0, 0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10, 10, 100, 100, 100, 100, 100, 100, 100}, new double[] {-0.25, -0.25, -0.25, -0.25, -0.25, -0.25,
-0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00}, INTERPOLATOR_2D);
final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5,
10, 100}, new double[] {0, 0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10, 10, 100, 100, 100, 100, 100, 100, 100}, new double[] {0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50,
0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30}, INTERPOLATOR_2D);
return new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, DAY_COUNT, sabrFunction);
}
/**
* Create a set of SABR parameter surface (linearly interpolated) with Hagan volatility function. Beta data is bumped by a given shift with respect to SABR1.
* @param shift The shift.
* @return The SABR parameters parameters.
*/
public static SABRInterestRateParameters createSABR1BetaBumped(final double shift) {
return createSABR1BetaBumped(new SABRHaganVolatilityFunction(), shift);
}
/**
* Create a set of SABR parameter surface (linearly interpolated) with a given SABR function. Rho data is bumped by the shift with respect to SABR1.
* @return The SABR parameters parameters.
*/
public static SABRInterestRateParameters createSABR1RhoBumped(final VolatilityFunctionProvider<SABRFormulaData> sabrFunction, final double shift) {
final InterpolatedDoublesSurface alphaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06}, INTERPOLATOR_2D);
final InterpolatedDoublesSurface betaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5}, INTERPOLATOR_2D);
final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {-0.25 + shift, -0.25 + shift, -0.25 + shift, -0.25 + shift, -0.25 + shift, -0.25 + shift, -0.25 + shift, -0.25 + shift, -0.25 + shift,
-0.25 + shift, -0.25 + shift, -0.25 + shift, 0.00 + shift, 0.00 + shift, 0.00 + shift, 0.00 + shift, 0.00 + shift, 0.00 + shift}, INTERPOLATOR_2D);
final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0, 1,
1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30}, INTERPOLATOR_2D);
return new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, DAY_COUNT, sabrFunction);
}
/**
* Create a set of SABR parameter surface (linearly interpolated) with a given SABR function. Rho data is bumped by 0.0001 with respect to SABR1.
* @param sabrFunction The SABR function.
* @return The SABR parameters parameters.
*/
public static SABRInterestRateParameters createSABR1RhoBumped(final VolatilityFunctionProvider<SABRFormulaData> sabrFunction) {
final double shift = 0.0001;
return createSABR1RhoBumped(sabrFunction, shift);
}
/**
* Create a set of SABR parameter surface (linearly interpolated) with Hagan volatility function. Alpha data is bumped by a given shift with respect to SABR1.
* @param shift The shift.
* @return The SABR parameters parameters.
*/
public static SABRInterestRateParameters createSABR1RhoBumped(final double shift) {
return createSABR1RhoBumped(new SABRHaganVolatilityFunction(), shift);
}
/**
* Create a set of SABR parameter surface (linearly interpolated) with Hagan volatility function. Alpha data is bumped by 0.0001 with respect to SABR1.
* @return The SABR parameters parameters.
*/
public static SABRInterestRateParameters createSABR1RhoBumped() {
final double shift = 0.0001;
return createSABR1RhoBumped(new SABRHaganVolatilityFunction(), shift);
}
/**
* Create a set of SABR parameter surface (linearly interpolated) with a given SABR function. Nu data is bumped by 0.0001 with respect to SABR1.
* @return The SABR parameters parameters.
*/
public static SABRInterestRateParameters createSABR1NuBumped(final VolatilityFunctionProvider<SABRFormulaData> sabrFunction, final double shift) {
final InterpolatedDoublesSurface alphaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06}, INTERPOLATOR_2D);
final InterpolatedDoublesSurface betaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5}, INTERPOLATOR_2D);
final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {-0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00},
INTERPOLATOR_2D);
final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0, 1,
1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.50 + shift, 0.50 + shift, 0.50 + shift, 0.50 + shift, 0.50 + shift, 0.50 + shift, 0.50 + shift, 0.50 + shift, 0.50 + shift,
0.50 + shift, 0.50 + shift, 0.50 + shift, 0.30 + shift, 0.30 + shift, 0.30 + shift, 0.30 + shift, 0.30 + shift, 0.30 + shift}, INTERPOLATOR_2D);
return new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, DAY_COUNT, sabrFunction);
}
/**
* Create a set of SABR parameter surface (linearly interpolated) with a given SABR function. Nu data is bumped by 0.0001 with respect to SABR1.
* @param sabrFunction The SABR function.
* @return The SABR parameters parameters.
*/
public static SABRInterestRateParameters createSABR1NuBumped(final VolatilityFunctionProvider<SABRFormulaData> sabrFunction) {
final double shift = 0.0001;
return createSABR1NuBumped(sabrFunction, shift);
}
/**
* Create a set of SABR parameter surface (linearly interpolated) with Hagan volatility function. Nu data is bumped by a given shift with respect to SABR1.
* @param shift The shift.
* @return The SABR parameters parameters.
*/
public static SABRInterestRateParameters createSABR1NuBumped(final double shift) {
return createSABR1NuBumped(new SABRHaganVolatilityFunction(), shift);
}
/**
* Create a set of SABR parameter surface (linearly interpolated) with Hagan volatility function. Nu data is bumped by 0.0001 with respect to SABR1.
* @return The SABR parameters parameters.
*/
public static SABRInterestRateParameters createSABR1NuBumped() {
final double shift = 0.0001;
return createSABR1NuBumped(new SABRHaganVolatilityFunction(), shift);
}
public static SABRInterestRateParameters createSABR1ParameterBumped(final double shift, final int parameterNumber) {
switch (parameterNumber) {
case 0:
return createSABR1AlphaBumped(new SABRHaganVolatilityFunction(), shift);
case 1:
return createSABR1RhoBumped(new SABRHaganVolatilityFunction(), shift);
case 2:
return createSABR1NuBumped(new SABRHaganVolatilityFunction(), shift);
default:
return null;
}
}
/**
* Create a set of SABR parameter surface (linearly interpolated and flat extrapolated) with a given SABR function.
* The expirations and tenors are not on a full grid (short expiries with shorter tenors).
* @return The SABR parameters parameters.
*/
public static SABRInterestRateParameters createSABR2() {
final InterpolatedDoublesSurface alphaSurface = InterpolatedDoublesSurface.from(new double[] {0.25, 0.25, 0.25, 0.50, 0.50, 0.50, 0.50, 1.0, 1.0, 1.0, 1.0, 1.0, 5.0, 5.0, 5.0, 5.0, 10.0, 10.0,
10.0, 10.0, 20.0, 20.0, 20.0}, new double[] {1.0, 2.0, 5.0, 1.0, 2.0, 5.0, 10.0, 1.0, 2.0, 5.0, 10.0, 20, 2.0, 5.0, 10.0, 20.0, 2.0, 5.0, 10.0, 20.0, 5.0, 10.0, 20.0}, new double[] {0.05,
0.06, 0.07, 0.04, 0.05, 0.06, 0.07, 0.03, 0.04, 0.05, 0.06, 0.07, 0.03, 0.04, 0.05, 0.06, 0.03, 0.04, 0.05, 0.06, 0.04, 0.05, 0.06}, INTERPOLATOR_2D);
final InterpolatedDoublesSurface betaSurface = InterpolatedDoublesSurface.from(new double[] {0.25, 0.25, 0.25, 0.50, 0.50, 0.50, 0.50, 1.0, 1.0, 1.0, 1.0, 1.0, 5.0, 5.0, 5.0, 5.0, 10.0, 10.0,
10.0, 10.0, 20.0, 20.0, 20.0}, new double[] {1.0, 2.0, 5.0, 1.0, 2.0, 5.0, 10.0, 1.0, 2.0, 5.0, 10.0, 20, 2.0, 5.0, 10.0, 20.0, 2.0, 5.0, 10.0, 20.0, 5.0, 10.0, 20.0}, new double[] {0.5, 0.5,
0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5}, INTERPOLATOR_2D);
final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(new double[] {0.25, 0.25, 0.25, 0.50, 0.50, 0.50, 0.50, 1.0, 1.0, 1.0, 1.0, 1.0, 5.0, 5.0, 5.0, 5.0, 10.0, 10.0,
10.0, 10.0, 20.0, 20.0, 20.0}, new double[] {1.0, 2.0, 5.0, 1.0, 2.0, 5.0, 10.0, 1.0, 2.0, 5.0, 10.0, 20, 2.0, 5.0, 10.0, 20.0, 2.0, 5.0, 10.0, 20.0, 5.0, 10.0, 20.0}, new double[] {-0.25,
-0.25, -0.25, -0.10, -0.10, -0.10, -0.10, -0.10, -0.10, -0.10, -0.10, -0.10, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.10, 0.10, 0.10}, INTERPOLATOR_2D);
final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(new double[] {0.25, 0.25, 0.25, 0.50, 0.50, 0.50, 0.50, 1.0, 1.0, 1.0, 1.0, 1.0, 5.0, 5.0, 5.0, 5.0, 10.0, 10.0, 10.0,
10.0, 20.0, 20.0, 20.0}, new double[] {1.0, 2.0, 5.0, 1.0, 2.0, 5.0, 10.0, 1.0, 2.0, 5.0, 10.0, 20, 2.0, 5.0, 10.0, 20.0, 2.0, 5.0, 10.0, 20.0, 5.0, 10.0, 20.0}, new double[] {0.50, 0.50,
0.50, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.35, 0.35, 0.35, 0.35, 0.35, 0.35, 0.35}, INTERPOLATOR_2D);
return new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, DAY_COUNT, new SABRHaganVolatilityFunction());
}
/**
* Create a set of SABR parameter surface (linearly interpolated and flat extrapolated) with a given SABR function.
* The expirations and tenors are not on a full grid (short expiries with shorter tenors).
* @return The SABR parameters parameters.
*/
public static SABRInterestRateParameters createSABR3() {
final InterpolatedDoublesSurface alphaSurface = InterpolatedDoublesSurface.from(new double[] {0.25, 0.25, 0.25, 0.50, 0.50, 0.50, 0.50, 1.0, 1.0, 1.0, 1.0, 1.0, 5.0, 5.0, 5.0, 5.0, 10.0, 10.0,
10.0, 10.0, 20.0, 20.0, 20.0}, new double[] {1.0, 2.0, 5.0, 1.0, 2.0, 5.0, 10.0, 1.0, 2.0, 5.0, 10.0, 20, 2.0, 5.0, 10.0, 20.0, 2.0, 5.0, 10.0, 20.0, 5.0, 10.0, 20.0}, new double[] {0.03,
0.03, 0.03, 0.03, 0.03, 0.03, 0.03, 0.03, 0.03, 0.03, 0.03, 0.03, 0.026, 0.026, 0.022, 0.020, 0.029, 0.028, 0.027, 0.026, 0.03, 0.031, 0.032}, INTERPOLATOR_2D);
final InterpolatedDoublesSurface betaSurface = InterpolatedDoublesSurface.from(new double[] {0.25, 0.25, 0.25, 0.50, 0.50, 0.50, 0.50, 1.0, 1.0, 1.0, 1.0, 1.0, 5.0, 5.0, 5.0, 5.0, 10.0, 10.0,
10.0, 10.0, 20.0, 20.0, 20.0}, new double[] {1.0, 2.0, 5.0, 1.0, 2.0, 5.0, 10.0, 1.0, 2.0, 5.0, 10.0, 20, 2.0, 5.0, 10.0, 20.0, 2.0, 5.0, 10.0, 20.0, 5.0, 10.0, 20.0}, new double[] {0.25,
0.25, 0.25, 0.25, 0.25, 0.25, 0.25, 0.25, 0.25, 0.25, 0.25, 0.25, 0.25, 0.25, 0.25, 0.25, 0.25, 0.25, 0.25, 0.25, 0.25, 0.25, 0.25}, INTERPOLATOR_2D);
final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(new double[] {0.25, 0.25, 0.25, 0.50, 0.50, 0.50, 0.50, 1.0, 1.0, 1.0, 1.0, 1.0, 5.0, 5.0, 5.0, 5.0, 10.0, 10.0,
10.0, 10.0, 20.0, 20.0, 20.0}, new double[] {1.0, 2.0, 5.0, 1.0, 2.0, 5.0, 10.0, 1.0, 2.0, 5.0, 10.0, 20, 2.0, 5.0, 10.0, 20.0, 2.0, 5.0, 10.0, 20.0, 5.0, 10.0, 20.0}, new double[] {-0.15,
-0.15, -0.15, -0.10, -0.10, -0.10, -0.10, -0.10, -0.10, -0.10, -0.10, -0.10, -0.00, 0.25, 0.10, 0.40, 0.00, 0.00, 0.00, 0.00, 0.10, 0.10, 0.10}, INTERPOLATOR_2D);
final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(new double[] {0.25, 0.25, 0.25, 0.50, 0.50, 0.50, 0.50, 1.0, 1.0, 1.0, 1.0, 1.0, 5.0, 5.0, 5.0, 5.0, 10.0, 10.0, 10.0,
10.0, 20.0, 20.0, 20.0}, new double[] {1.0, 2.0, 5.0, 1.0, 2.0, 5.0, 10.0, 1.0, 2.0, 5.0, 10.0, 20, 2.0, 5.0, 10.0, 20.0, 2.0, 5.0, 10.0, 20.0, 5.0, 10.0, 20.0}, new double[] {0.50, 0.50,
0.50, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.45, 0.25, 0.25, 0.40, 0.35, 0.35, 0.35, 0.35, 0.35, 0.35, 0.35}, INTERPOLATOR_2D);
return new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, DAY_COUNT, new SABRHaganVolatilityFunction());
}
/**
* Create a yield curve bundle with two curves. One called "Funding" with a constant rate of 5% and one called "Forward" with a constant rate of 4%;
* @return The yield curve bundle.
*/
public static YieldCurveBundle createCurves1() {
final String FUNDING_CURVE_NAME = "Funding";
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 YieldCurveBundle curves = new YieldCurveBundle();
curves.setCurve(FUNDING_CURVE_NAME, CURVE_5);
curves.setCurve(FORWARD_CURVE_NAME, CURVE_4);
return curves;
}
public static String[] curves1Names() {
final String FUNDING_CURVE_NAME = "Funding";
final String FORWARD_CURVE_NAME = "Forward";
return new String[] {FUNDING_CURVE_NAME, FORWARD_CURVE_NAME};
}
/**
* Creates a yield curve bundle with 3 interpolated curves: Discounting, Forward 3M, and Forward 6M.
* @return The bundle.
*/
public static YieldCurveBundle createCurves2() {
return createCurves2(Currency.EUR);
}
/**
* Creates a yield curve bundle with 3 interpolated curves: Discounting, Forward 3M, and Forward 6M.
* @return The bundle.
*/
public static YieldCurveBundle createCurves2(final Currency ccy) {
final String discountingCurvename = "Discounting";
final String forward3MCurveName = "Forward 3M";
final String forward6MCurveName = "Forward 6M";
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 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, "Curve dsc");
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, "Curve fwd3");
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, "Curve fwd6");
final YieldCurveBundle curves = new YieldCurveBundle(fx, ccyMap);
curves.setCurve(discountingCurvename, YieldCurve.from(dscC));
curves.setCurve(forward3MCurveName, YieldCurve.from(fwd3C));
curves.setCurve(forward6MCurveName, YieldCurve.from(fwd6C));
return curves;
}
public static String[] curves2Names() {
final String discountingCurvename = "Discounting";
final String forward3MCurveName = "Forward 3M";
final String forward6MCurveName = "Forward 6M";
return new String[] {discountingCurvename, forward3MCurveName, forward6MCurveName};
}
/**
* 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 createCurvesBond1() {
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;
}
/**
* Create a yield curve bundle with three curves. One called "Credit" with a constant rate of 6%, one called "Discounting" with a constant rate of 5%,
* and one called "Forward" with a constant rate of 5.5%.
* @return The yield curve bundle.
*/
public static YieldCurveBundle createCurvesBond2() {
final String CREDIT_CURVE_NAME = "Credit";
final String DISCOUNTING_CURVE_NAME = "Repo";
final String FORWARD_CURVE_NAME = "Forward";
final YieldAndDiscountCurve CURVE_6 = YieldCurve.from(ConstantDoublesCurve.from(0.06));
final YieldAndDiscountCurve CURVE_5 = YieldCurve.from(ConstantDoublesCurve.from(0.05));
final YieldAndDiscountCurve CURVE_55 = YieldCurve.from(ConstantDoublesCurve.from(0.0550));
final YieldCurveBundle curves = new YieldCurveBundle();
curves.setCurve(CREDIT_CURVE_NAME, CURVE_6);
curves.setCurve(DISCOUNTING_CURVE_NAME, CURVE_5);
curves.setCurve(FORWARD_CURVE_NAME, CURVE_55);
return curves;
}
/**
* Create a yield curve bundle with three curves. One called "EUR Credit" with a constant rate of 5%, one called "EUR Discounting" with a constant rate of 4%.
* @return The yield curve bundle.
*/
public static YieldCurveBundle createCurvesBond3() {
final String DISCOUNTING_CURVE_NAME = "EUR Discounting";
final String CREDIT_CURVE_NAME = "EUR Credit";
final YieldAndDiscountCurve CURVE_5 = YieldCurve.from(ConstantDoublesCurve.from(0.05));
final YieldAndDiscountCurve CURVE_4 = YieldCurve.from(ConstantDoublesCurve.from(0.04));
final YieldCurveBundle curves = new YieldCurveBundle();
curves.setCurve(CREDIT_CURVE_NAME, CURVE_5);
curves.setCurve(DISCOUNTING_CURVE_NAME, CURVE_4);
return curves;
}
public static String[] nameCurvesBond3() {
final String DISCOUNTING_CURVE_NAME = "EUR Discounting";
final String CREDIT_CURVE_NAME = "EUR Credit";
return new String[] {DISCOUNTING_CURVE_NAME, CREDIT_CURVE_NAME};
}
}