/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.inflation.provider;
import static org.testng.AssertJUnit.assertEquals;
import org.testng.annotations.Test;
import org.threeten.bp.Period;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.instrument.annuity.AnnuityCapFloorInflationYearOnYearMonthlyDefinition;
import com.opengamma.analytics.financial.instrument.index.IndexPrice;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.Annuity;
import com.opengamma.analytics.financial.interestrate.inflation.derivative.CapFloorInflationYearOnYearMonthly;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Payment;
import com.opengamma.analytics.financial.model.interestrate.definition.InflationYearOnYearCapFloorParameters;
import com.opengamma.analytics.financial.model.option.parameters.BlackSmileCapInflationYearOnYearParameters;
import com.opengamma.analytics.financial.provider.description.BlackDataSets;
import com.opengamma.analytics.financial.provider.description.MulticurveProviderDiscountDataSets;
import com.opengamma.analytics.financial.provider.description.inflation.BlackSmileCapInflationYearOnYearProvider;
import com.opengamma.analytics.financial.provider.description.inflation.BlackSmileCapInflationYearOnYearProviderDiscount;
import com.opengamma.analytics.financial.provider.description.inflation.InflationIssuerProviderDiscount;
import com.opengamma.analytics.financial.provider.description.inflation.InflationProviderDiscount;
import com.opengamma.analytics.financial.provider.description.inflation.InflationProviderInterface;
import com.opengamma.analytics.financial.provider.method.SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationEngine;
import com.opengamma.analytics.financial.provider.method.SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective;
import com.opengamma.analytics.math.interpolation.Interpolator2D;
import com.opengamma.analytics.math.surface.InterpolatedDoublesSurface;
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.util.money.Currency;
import com.opengamma.util.money.MultipleCurrencyAmount;
import com.opengamma.util.time.DateUtils;
/**
* Tests related to the calibration engine for inflation year on year cap/floor calibration.
*/
public class CapFloorYearOnYearCalibrationObjectiveTest {
//Cap/floor description
private static final Calendar CALENDAR = new MondayToFridayCalendar("A");
private static final BusinessDayConvention BUSINESS_DAY = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
private static final boolean IS_EOM = true;
private static final Currency CUR = Currency.EUR;
private static final ZonedDateTime SETTLEMENT_DATE = DateUtils.getUTCDate(2011, 9, 9);
private static final double NOTIONAL = 10000; //100m
private static final double[] STRIKES = {-.01, .00, .01, .02, .03, .04 };
private static final boolean IS_CAP = true;
private static final InflationIssuerProviderDiscount MARKET = MulticurveProviderDiscountDataSets.createMarket1();
private static final IndexPrice[] PRICE_INDEXES = MARKET.getPriceIndexes().toArray(new IndexPrice[MARKET.getPriceIndexes().size()]);
private static final IndexPrice PRICE_INDEX_EUR = PRICE_INDEXES[0];
private static final Period COUPON_PAYMENT_TENOR = Period.ofYears(1);
private static final int MONTH_LAG = 3;
private static final ZonedDateTime LAST_KNOWN_FIXING_DATE = DateUtils.getUTCDate(2008, 7, 01);
private static final InterpolatedDoublesSurface BLACK_SURF = BlackDataSets.createBlackSurfaceExpiryStrike();
private static final BlackSmileCapInflationYearOnYearParameters BLACK_PARAM = new BlackSmileCapInflationYearOnYearParameters(BLACK_SURF, PRICE_INDEX_EUR);
private static final BlackSmileCapInflationYearOnYearProviderDiscount BLACK_INFLATION = new BlackSmileCapInflationYearOnYearProviderDiscount(MARKET.getInflationProvider(), BLACK_PARAM);
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2011, 9, 7);
private static final CapFloorInflationYearOnYearMonthlyBlackNormalSmileMethod METHOD = CapFloorInflationYearOnYearMonthlyBlackNormalSmileMethod.getInstance();
private static double[] expiryTimes = new double[30];
private static final double[] strikes = {-.01, .00, .01, .02, .03, .04 };
private static final double[][] volatilities = { {.01, .01, .01, .01, .01, .01 }, {.01, .01, .01, .01, .01, .01 }, {.01, .01, .01, .01, .01, .01 }, {.01, .01, .01, .01, .01, .01 },
{.01, .01, .01, .01, .01, .01 }, {.01, .01, .01, .01, .01, .01 }, {.01, .01, .01, .01, .01, .01 }, {.01, .01, .01, .01, .01, .01 }, {.01, .01, .01, .01, .01, .01 },
{.01, .01, .01, .01, .01, .01 },
{.01, .01, .01, .01, .01, .01 }, {.01, .01, .01, .01, .01, .01 }, {.01, .01, .01, .01, .01, .01 }, {.01, .01, .01, .01, .01, .01 },
{.01, .01, .01, .01, .01, .01 }, {.01, .01, .01, .01, .01, .01 }, {.01, .01, .01, .01, .01, .01 }, {.01, .01, .01, .01, .01, .01 }, {.01, .01, .01, .01, .01, .01 },
{.01, .01, .01, .01, .01, .01 },
{.01, .01, .01, .01, .01, .01 }, {.01, .01, .01, .01, .01, .01 }, {.01, .01, .01, .01, .01, .01 }, {.01, .01, .01, .01, .01, .01 },
{.01, .01, .01, .01, .01, .01 }, {.01, .01, .01, .01, .01, .01 }, {.01, .01, .01, .01, .01, .01 }, {.01, .01, .01, .01, .01, .01 }, {.01, .01, .01, .01, .01, .01 },
{.01, .01, .01, .01, .01, .01 } };
private static final int[] availabelTenor = {1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 12, 15, 20, 25, 30 };
AnnuityCapFloorInflationYearOnYearMonthlyDefinition[][] CAP_DEFINITIONS = new AnnuityCapFloorInflationYearOnYearMonthlyDefinition[6][availabelTenor.length];
Annuity<? extends Payment>[][] CAPS = new Annuity<?>[strikes.length][availabelTenor.length];
double[][][] marketPrices = new double[strikes.length][availabelTenor.length][expiryTimes.length];
@Test
/**
* Tests the correctness of inflation year on year cap/floor calibration to market prices.
* Calibration basket: CAPLET i y, for i=1 to 30.
*/
public void calibrationWithAllInstrruments() {
for (int loop1 = 0; loop1 < strikes.length; loop1++) {
for (int loop2 = 0; loop2 < availabelTenor.length; loop2++) {
final Period tenor = Period.ofYears(availabelTenor[loop2]);
CAP_DEFINITIONS[loop1][loop2] = AnnuityCapFloorInflationYearOnYearMonthlyDefinition.from(PRICE_INDEX_EUR, SETTLEMENT_DATE, NOTIONAL,
tenor, COUPON_PAYMENT_TENOR, BUSINESS_DAY, CALENDAR, IS_EOM, MONTH_LAG, MONTH_LAG, LAST_KNOWN_FIXING_DATE, strikes[loop1], IS_CAP);
CAPS[loop1][loop2] = CAP_DEFINITIONS[loop1][loop2].toDerivative(REFERENCE_DATE);
}
}
for (int loopexp = 0; loopexp < CAPS[0][availabelTenor.length - 1].getNumberOfPayments(); loopexp++) {
final CapFloorInflationYearOnYearMonthly cap = (CapFloorInflationYearOnYearMonthly) CAPS[0][availabelTenor.length - 1].getNthPayment(loopexp);
expiryTimes[loopexp] = cap.getReferenceEndTime();
}
final InflationYearOnYearCapFloorParameters parameters = new InflationYearOnYearCapFloorParameters(expiryTimes, strikes, volatilities, PRICE_INDEX_EUR);
final SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective objective = new SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective(parameters, CUR);
final SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationEngine<InflationProviderInterface> calibrationEngine = new SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationEngine<>(
objective);
for (int loop1 = 0; loop1 < strikes.length; loop1++) {
for (int loop2 = 0; loop2 < availabelTenor.length; loop2++) {
for (int loop3 = 0; loop3 < CAPS[loop1][loop2].getNumberOfPayments(); loop3++) {
marketPrices[loop1][loop2][loop3] = METHOD.presentValue(CAPS[loop1][loop2].getNthPayment(loop3), BLACK_INFLATION).getAmount(CUR);
}
}
}
for (int loop1 = 0; loop1 < strikes.length; loop1++) {
for (int loop2 = 0; loop2 < availabelTenor.length; loop2++) {
for (int loop3 = 0; loop3 < CAPS[loop1][loop2].getNumberOfPayments(); loop3++) {
calibrationEngine.addInstrument(CAPS[loop1][loop2].getNthPayment(loop3), marketPrices[loop1][loop2][loop3]);
}
}
}
calibrationEngine.calibrate(MARKET.getInflationProvider());
final MultipleCurrencyAmount[][][] pvCapYearOnYear = new MultipleCurrencyAmount[STRIKES.length][availabelTenor.length][30];
for (int loop1 = 0; loop1 < strikes.length; loop1++) {
for (int loop2 = 0; loop2 < availabelTenor.length; loop2++) {
for (int loop3 = 0; loop3 < CAPS[loop1][loop2].getNumberOfPayments(); loop3++) {
final Interpolator2D interpolator = objective.getInflationCapYearOnYearProvider().getBlackParameters().getVolatilitySurface().getInterpolator();
final BlackSmileCapInflationYearOnYearParameters CalibratedBlackSmileCapInflationYearOnYearParameters = new BlackSmileCapInflationYearOnYearParameters(
objective.getInflationCapYearOnYearParameters(), interpolator);
final BlackSmileCapInflationYearOnYearProvider CalibratedBlackSmileCapInflationYearOnYearProvider = new BlackSmileCapInflationYearOnYearProvider(objective
.getInflationCapYearOnYearProvider().getInflationProvider(),
CalibratedBlackSmileCapInflationYearOnYearParameters);
pvCapYearOnYear[loop1][loop2][loop3] = METHOD.presentValue(CAPS[loop1][loop2].getNthPayment(loop3), CalibratedBlackSmileCapInflationYearOnYearProvider);
assertEquals("Inflaiton year on year calibration: cap/floor " + loop1, pvCapYearOnYear[loop1][loop2][loop3].getAmount(CUR), marketPrices[loop1][loop2][loop3], 1E-2);
}
}
}
}
private static double[] expiryTimes_AVAILABLE = new double[availabelTenor.length];
private static final double[] strikes_AVAILABLE = {-.01, .00, .01, .02, .03, .04 };
private static final double[][] volatilities_AVAILABLE = { {.01, .01, .01, .01, .01, .01 }, {.01, .01, .01, .01, .01, .01 }, {.01, .01, .01, .01, .01, .01 }, {.01, .01, .01, .01, .01, .01 },
{.01, .01, .01, .01, .01, .01 }, {.01, .01, .01, .01, .01, .01 }, {.01, .01, .01, .01, .01, .01 }, {.01, .01, .01, .01, .01, .01 }, {.01, .01, .01, .01, .01, .01 },
{.01, .01, .01, .01, .01, .01 },
{.01, .01, .01, .01, .01, .01 }, {.01, .01, .01, .01, .01, .01 }, {.01, .01, .01, .01, .01, .01 }, {.01, .01, .01, .01, .01, .01 },
{.01, .01, .01, .01, .01, .01 } };
AnnuityCapFloorInflationYearOnYearMonthlyDefinition[][] CAP_DEFINITIONS_AVAILABLE = new AnnuityCapFloorInflationYearOnYearMonthlyDefinition[6][availabelTenor.length];
Annuity<? extends Payment>[][] CAPS_AVAILABLE = new Annuity<?>[strikes_AVAILABLE.length][availabelTenor.length];
double[][] marketPrices_AVAILABLE = new double[strikes_AVAILABLE.length][availabelTenor.length];
@Test
/**
* Tests the correctness of inflation year on year cap/floor calibration to market prices.
* Calibration basket: CAP 1y, 2y, 3y, 4y, 5y, 6y, 7y, 8y, 9y, 10y,12y, 15y, 20y, 25y, 30y
*/
public void calibrationWithOnlyAvailableMarketData() {
for (int loop1 = 0; loop1 < strikes_AVAILABLE.length; loop1++) {
for (int loop2 = 0; loop2 < availabelTenor.length; loop2++) {
final Period tenor = Period.ofYears(availabelTenor[loop2]);
CAP_DEFINITIONS_AVAILABLE[loop1][loop2] = AnnuityCapFloorInflationYearOnYearMonthlyDefinition.from(PRICE_INDEX_EUR, SETTLEMENT_DATE, NOTIONAL,
tenor, COUPON_PAYMENT_TENOR, BUSINESS_DAY, CALENDAR, IS_EOM, MONTH_LAG, MONTH_LAG, LAST_KNOWN_FIXING_DATE, strikes_AVAILABLE[loop1], IS_CAP);
CAPS_AVAILABLE[loop1][loop2] = CAP_DEFINITIONS_AVAILABLE[loop1][loop2].toDerivative(REFERENCE_DATE);
}
}
for (int loopexp = 0; loopexp < availabelTenor.length; loopexp++) {
final CapFloorInflationYearOnYearMonthly cap = (CapFloorInflationYearOnYearMonthly) CAPS_AVAILABLE[0][loopexp].getNthPayment(CAPS_AVAILABLE[0][loopexp].getNumberOfPayments() - 1);
expiryTimes_AVAILABLE[loopexp] = cap.getReferenceEndTime();
}
final InflationYearOnYearCapFloorParameters parameters = new InflationYearOnYearCapFloorParameters(expiryTimes_AVAILABLE, strikes_AVAILABLE, volatilities_AVAILABLE, PRICE_INDEX_EUR);
final SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective objective = new SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective(parameters, CUR);
final SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationEngine<InflationProviderDiscount> calibrationEngine = new SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationEngine<>(
objective);
for (int loop1 = 0; loop1 < strikes_AVAILABLE.length; loop1++) {
for (int loop2 = 0; loop2 < availabelTenor.length; loop2++) {
for (int loop3 = 0; loop3 < availabelTenor[loop2]; loop3++) {
marketPrices_AVAILABLE[loop1][loop2] = marketPrices_AVAILABLE[loop1][loop2] + METHOD.presentValue(CAPS_AVAILABLE[loop1][loop2].getNthPayment(loop3), BLACK_INFLATION).getAmount(CUR);
}
}
}
for (int loop1 = 0; loop1 < strikes.length; loop1++) {
for (int loop2 = 0; loop2 < availabelTenor.length; loop2++) {
calibrationEngine.addInstrument(CAPS_AVAILABLE[loop1][loop2], marketPrices_AVAILABLE[loop1][loop2]);
}
}
calibrationEngine.calibrate(MARKET.getInflationProvider());
final MultipleCurrencyAmount[][] pvCapYearOnYear = new MultipleCurrencyAmount[STRIKES.length][availabelTenor.length];
for (int loop1 = 0; loop1 < strikes.length; loop1++) {
for (int loop2 = 0; loop2 < availabelTenor.length; loop2++) {
final Interpolator2D interpolator = objective.getInflationCapYearOnYearProvider().getBlackParameters().getVolatilitySurface().getInterpolator();
final BlackSmileCapInflationYearOnYearParameters CalibratedBlackSmileCapInflationYearOnYearParameters = new BlackSmileCapInflationYearOnYearParameters(
objective.getInflationCapYearOnYearParameters(), interpolator);
final BlackSmileCapInflationYearOnYearProvider CalibratedBlackSmileCapInflationYearOnYearProvider = new BlackSmileCapInflationYearOnYearProvider(objective
.getInflationCapYearOnYearProvider().getInflationProvider(),
CalibratedBlackSmileCapInflationYearOnYearParameters);
pvCapYearOnYear[loop1][loop2] = METHOD.presentValue(CAPS_AVAILABLE[loop1][loop2].getNthPayment(0), CalibratedBlackSmileCapInflationYearOnYearProvider);
for (int loop3 = 1; loop3 < CAPS_AVAILABLE[loop1][loop2].getNumberOfPayments(); loop3++) {
pvCapYearOnYear[loop1][loop2] = pvCapYearOnYear[loop1][loop2]
.plus(METHOD.presentValue(CAPS_AVAILABLE[loop1][loop2].getNthPayment(loop3), CalibratedBlackSmileCapInflationYearOnYearProvider));
}
assertEquals("Inflaiton year on year calibration: cap/floor " + loop1, pvCapYearOnYear[loop1][loop2].getAmount(CUR), marketPrices_AVAILABLE[loop1][loop2], 1E-2);
}
}
}
@Test
/**
* Tests the correctness of inflation year on year cap/floor calibration to market prices.
* Calibration basket: CAP 1y, 2y, 3y, 4y, 5y, 6y, 7y, 8y, 9y, 10y,12y, 15y, 20y, 25y, 30y for strikes 2%, 3%, 4%
* and Floor 1y, 2y, 3y, 4y, 5y, 6y, 7y, 8y, 9y, 10y,12y, 15y, 20y, 25y, 30y for strikes -1%, 0%, 1%
*/
public void calibrationWithOnlyAvailableMarketDataCapAndFloor() {
for (int loop1 = 0; loop1 < strikes_AVAILABLE.length; loop1++) {
for (int loop2 = 0; loop2 < availabelTenor.length; loop2++) {
final Period tenor = Period.ofYears(availabelTenor[loop2]);
boolean isCap = true;
if (loop1 == 0 || loop1 == 1 || loop1 == 2) {
isCap = false;
}
CAP_DEFINITIONS_AVAILABLE[loop1][loop2] = AnnuityCapFloorInflationYearOnYearMonthlyDefinition.from(PRICE_INDEX_EUR, SETTLEMENT_DATE, NOTIONAL,
tenor, COUPON_PAYMENT_TENOR, BUSINESS_DAY, CALENDAR, IS_EOM, MONTH_LAG, MONTH_LAG, LAST_KNOWN_FIXING_DATE, strikes_AVAILABLE[loop1], isCap);
CAPS_AVAILABLE[loop1][loop2] = CAP_DEFINITIONS_AVAILABLE[loop1][loop2].toDerivative(REFERENCE_DATE);
}
}
for (int loopexp = 0; loopexp < availabelTenor.length; loopexp++) {
final CapFloorInflationYearOnYearMonthly cap = (CapFloorInflationYearOnYearMonthly) CAPS_AVAILABLE[0][loopexp].getNthPayment(CAPS_AVAILABLE[0][loopexp].getNumberOfPayments() - 1);
expiryTimes_AVAILABLE[loopexp] = cap.getReferenceEndTime();
}
final InflationYearOnYearCapFloorParameters parameters = new InflationYearOnYearCapFloorParameters(expiryTimes_AVAILABLE, strikes_AVAILABLE, volatilities_AVAILABLE, PRICE_INDEX_EUR);
final SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective objective = new SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective(parameters, CUR);
final SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationEngine<InflationProviderDiscount> calibrationEngine = new SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationEngine<>(
objective);
for (int loop1 = 0; loop1 < strikes_AVAILABLE.length; loop1++) {
for (int loop2 = 0; loop2 < availabelTenor.length; loop2++) {
for (int loop3 = 0; loop3 < availabelTenor[loop2]; loop3++) {
marketPrices_AVAILABLE[loop1][loop2] = marketPrices_AVAILABLE[loop1][loop2] + METHOD.presentValue(CAPS_AVAILABLE[loop1][loop2].getNthPayment(loop3), BLACK_INFLATION).getAmount(CUR);
}
}
}
for (int loop1 = 0; loop1 < strikes.length; loop1++) {
for (int loop2 = 0; loop2 < availabelTenor.length; loop2++) {
calibrationEngine.addInstrument(CAPS_AVAILABLE[loop1][loop2], marketPrices_AVAILABLE[loop1][loop2]);
}
}
calibrationEngine.calibrate(MARKET.getInflationProvider());
final MultipleCurrencyAmount[][] pvCapYearOnYear = new MultipleCurrencyAmount[STRIKES.length][availabelTenor.length];
for (int loop1 = 0; loop1 < strikes.length; loop1++) {
for (int loop2 = 0; loop2 < availabelTenor.length; loop2++) {
final Interpolator2D interpolator = objective.getInflationCapYearOnYearProvider().getBlackParameters().getVolatilitySurface().getInterpolator();
final BlackSmileCapInflationYearOnYearParameters CalibratedBlackSmileCapInflationYearOnYearParameters = new BlackSmileCapInflationYearOnYearParameters(
objective.getInflationCapYearOnYearParameters(), interpolator);
final BlackSmileCapInflationYearOnYearProvider CalibratedBlackSmileCapInflationYearOnYearProvider = new BlackSmileCapInflationYearOnYearProvider(objective
.getInflationCapYearOnYearProvider().getInflationProvider(),
CalibratedBlackSmileCapInflationYearOnYearParameters);
pvCapYearOnYear[loop1][loop2] = METHOD.presentValue(CAPS_AVAILABLE[loop1][loop2].getNthPayment(0), CalibratedBlackSmileCapInflationYearOnYearProvider);
for (int loop3 = 1; loop3 < CAPS_AVAILABLE[loop1][loop2].getNumberOfPayments(); loop3++) {
pvCapYearOnYear[loop1][loop2] = pvCapYearOnYear[loop1][loop2]
.plus(METHOD.presentValue(CAPS_AVAILABLE[loop1][loop2].getNthPayment(loop3), CalibratedBlackSmileCapInflationYearOnYearProvider));
}
assertEquals("Inflaiton year on year calibration: cap/floor " + loop1, pvCapYearOnYear[loop1][loop2].getAmount(CUR), marketPrices_AVAILABLE[loop1][loop2], 1E-2);
}
}
}
@Test(enabled = false)
public void performance() {
for (int loop1 = 0; loop1 < strikes_AVAILABLE.length; loop1++) {
for (int loop2 = 0; loop2 < availabelTenor.length; loop2++) {
final Period tenor = Period.ofYears(availabelTenor[loop2]);
CAP_DEFINITIONS_AVAILABLE[loop1][loop2] = AnnuityCapFloorInflationYearOnYearMonthlyDefinition.from(PRICE_INDEX_EUR, SETTLEMENT_DATE, NOTIONAL,
tenor, COUPON_PAYMENT_TENOR, BUSINESS_DAY, CALENDAR, IS_EOM, MONTH_LAG, MONTH_LAG, LAST_KNOWN_FIXING_DATE, strikes_AVAILABLE[loop1], IS_CAP);
CAPS_AVAILABLE[loop1][loop2] = CAP_DEFINITIONS_AVAILABLE[loop1][loop2].toDerivative(REFERENCE_DATE);
}
}
for (int loopexp = 0; loopexp < availabelTenor.length; loopexp++) {
final CapFloorInflationYearOnYearMonthly cap = (CapFloorInflationYearOnYearMonthly) CAPS_AVAILABLE[0][loopexp].getNthPayment(CAPS_AVAILABLE[0][loopexp].getNumberOfPayments() - 1);
expiryTimes_AVAILABLE[loopexp] = cap.getReferenceEndTime();
}
final InflationYearOnYearCapFloorParameters parameters = new InflationYearOnYearCapFloorParameters(expiryTimes_AVAILABLE, strikes_AVAILABLE, volatilities_AVAILABLE, PRICE_INDEX_EUR);
final SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective objective = new SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective(parameters, CUR);
final SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationEngine<InflationProviderDiscount> calibrationEngine = new SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationEngine<>(
objective);
for (int loop1 = 0; loop1 < strikes_AVAILABLE.length; loop1++) {
for (int loop2 = 0; loop2 < availabelTenor.length; loop2++) {
for (int loop3 = 0; loop3 < availabelTenor[loop2]; loop3++) {
marketPrices_AVAILABLE[loop1][loop2] = marketPrices_AVAILABLE[loop1][loop2] + METHOD.presentValue(CAPS_AVAILABLE[loop1][loop2].getNthPayment(loop3), BLACK_INFLATION).getAmount(CUR);
}
}
}
for (int loop1 = 0; loop1 < strikes.length; loop1++) {
for (int loop2 = 0; loop2 < availabelTenor.length; loop2++) {
calibrationEngine.addInstrument(CAPS_AVAILABLE[loop1][loop2], marketPrices_AVAILABLE[loop1][loop2]);
}
}
long startTime, endTime;
final int nbTest = 100;
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
calibrationEngine.calibrate(MARKET.getInflationProvider());
}
endTime = System.currentTimeMillis();
System.out.println("CapFloorYearOnYearInterpolationCalibrationObjectiveTest - " + nbTest + " volatility matrix construction year on year cap/floor: " + (endTime - startTime) + " ms");
// Performance note:volatility matrix construction year on year cap/floor: 28-Aug-13: On Dell Precision T1850 3.5 GHz Quad-Core Intel Xeon: 4999 ms for 100 sets.
}
}