/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.swaption.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.index.GeneratorSwapFixedIbor;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedIborMaster;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.instrument.index.IndexSwap;
import com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition;
import com.opengamma.analytics.financial.instrument.swaption.SwaptionPhysicalFixedIborDefinition;
import com.opengamma.analytics.financial.interestrate.swaption.derivative.SwaptionPhysicalFixedIbor;
import com.opengamma.analytics.financial.model.interestrate.definition.G2ppPiecewiseConstantParameters;
import com.opengamma.analytics.financial.model.option.definition.SABRInterestRateParameters;
import com.opengamma.analytics.financial.provider.calculator.sabrswaption.PresentValueSABRSwaptionCalculator;
import com.opengamma.analytics.financial.provider.description.MulticurveProviderDiscountDataSets;
import com.opengamma.analytics.financial.provider.description.SABRDataSets;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderDiscount;
import com.opengamma.analytics.financial.provider.description.interestrate.SABRSwaptionProviderDiscount;
import com.opengamma.analytics.financial.provider.description.interestrate.SABRSwaptionProviderInterface;
import com.opengamma.analytics.financial.provider.method.SuccessiveRootFinderG2ppCalibrationEngine;
import com.opengamma.analytics.financial.provider.method.SuccessiveRootFinderG2ppCalibrationObjective;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.convention.daycount.DayCount;
import com.opengamma.financial.convention.daycount.DayCountFactory;
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 Hull-White one factor calibration to European swaptions.
*/
public class SuccessiveRootFinderSwaptionPhysicalG2ppCalibrationObjectiveTest {
private static final MulticurveProviderDiscount MULTICURVES = MulticurveProviderDiscountDataSets.createMulticurveEurUsd();
private static final IborIndex EURIBOR3M = MulticurveProviderDiscountDataSets.getIndexesIborMulticurveEurUsd()[0];
private static final Currency EUR = EURIBOR3M.getCurrency();
private static final Calendar CALENDAR = MulticurveProviderDiscountDataSets.getEURCalendar();
private static final SABRInterestRateParameters SABR_PARAMETER = SABRDataSets.createSABR1();
private static final GeneratorSwapFixedIbor EUR1YEURIBOR3M = GeneratorSwapFixedIborMaster.getInstance().getGenerator("EUR1YEURIBOR3M", CALENDAR);
private static final SABRSwaptionProviderDiscount SABR_MULTICURVES = new SABRSwaptionProviderDiscount(MULTICURVES, SABR_PARAMETER, EUR1YEURIBOR3M);
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2011, 8, 18);
// Swaption description
private static final boolean IS_LONG = true;
// Swap 5Y description
private static final double NOTIONAL = 100000000; //100m
// Fixed leg: Semi-annual bond
private static final Period FIXED_PAYMENT_PERIOD = Period.ofMonths(6);
private static final DayCount FIXED_DAY_COUNT = DayCountFactory.INSTANCE.getDayCount("30/360");
private static final double RATE = 0.0325;
private static final boolean FIXED_IS_PAYER = true;
// Ibor leg: quarterly money
private static final int SWAP_TENOR_YEAR = 9;
private static final IndexSwap CMS_INDEX = new IndexSwap(FIXED_PAYMENT_PERIOD, FIXED_DAY_COUNT, EURIBOR3M, Period.ofYears(SWAP_TENOR_YEAR), CALENDAR);
private static final int[] EXPIRY_TENOR = new int[] {1, 2, 3, 4, 5 };
private static final ZonedDateTime[] EXPIRY_DATE = new ZonedDateTime[EXPIRY_TENOR.length];
private static final ZonedDateTime[] SETTLEMENT_DATE = new ZonedDateTime[EXPIRY_TENOR.length];
private static final SwapFixedIborDefinition[] SWAP_PAYER_DEFINITION = new SwapFixedIborDefinition[EXPIRY_TENOR.length];
private static final SwaptionPhysicalFixedIborDefinition[] SWAPTION_LONG_PAYER_DEFINITION = new SwaptionPhysicalFixedIborDefinition[EXPIRY_TENOR.length];
static {
for (int loopexp = 0; loopexp < EXPIRY_TENOR.length; loopexp++) {
EXPIRY_DATE[loopexp] = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, Period.ofYears(EXPIRY_TENOR[loopexp]), EURIBOR3M, CALENDAR);
SETTLEMENT_DATE[loopexp] = ScheduleCalculator.getAdjustedDate(EXPIRY_DATE[loopexp], EURIBOR3M.getSpotLag(), CALENDAR);
SWAP_PAYER_DEFINITION[loopexp] = SwapFixedIborDefinition.from(SETTLEMENT_DATE[loopexp], CMS_INDEX, NOTIONAL, RATE, FIXED_IS_PAYER, CALENDAR);
SWAPTION_LONG_PAYER_DEFINITION[loopexp] = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE[loopexp], SWAP_PAYER_DEFINITION[loopexp], IS_LONG);
}
}
// to derivatives
private static final SwaptionPhysicalFixedIbor[] SWAPTION_LONG_PAYER = new SwaptionPhysicalFixedIbor[EXPIRY_TENOR.length];
static {
for (int loopexp = 0; loopexp < EXPIRY_TENOR.length; loopexp++) {
SWAPTION_LONG_PAYER[loopexp] = SWAPTION_LONG_PAYER_DEFINITION[loopexp].toDerivative(REFERENCE_DATE);
}
}
private static final PresentValueSABRSwaptionCalculator PVSSC = PresentValueSABRSwaptionCalculator.getInstance();
private static final SwaptionPhysicalFixedIborG2ppApproximationMethod METHOD_G2PP = SwaptionPhysicalFixedIborG2ppApproximationMethod.getInstance();
private static final double TOLERANCE_PV = 1.0E-2;
@Test(enabled = false)
/**
* Tests the correctness of G2++ calibration to swaptions with SABR price.
*/
public void calibration() {
final double[] meanReversion = new double[] {0.01, 0.30 };
final double ratio = 4.0;
final double correlation = -0.50;
final G2ppPiecewiseConstantParameters g2Parameters = new G2ppPiecewiseConstantParameters(meanReversion, new double[][] { {0.01 }, {0.01 / ratio } }, new double[0], correlation);
final SuccessiveRootFinderG2ppCalibrationObjective objective = new SuccessiveRootFinderG2ppCalibrationObjective(g2Parameters, EUR, ratio);
final SuccessiveRootFinderG2ppCalibrationEngine<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveRootFinderG2ppCalibrationEngine<>(objective);
for (int loopexp = 0; loopexp < EXPIRY_TENOR.length; loopexp++) {
calibrationEngine.addInstrument(SWAPTION_LONG_PAYER[loopexp], PVSSC);
}
calibrationEngine.calibrate(SABR_MULTICURVES);
final MultipleCurrencyAmount[] pvSabr = new MultipleCurrencyAmount[EXPIRY_TENOR.length];
final MultipleCurrencyAmount[] pvHw = new MultipleCurrencyAmount[EXPIRY_TENOR.length];
for (int loopexp = 0; loopexp < EXPIRY_TENOR.length; loopexp++) {
pvSabr[loopexp] = SWAPTION_LONG_PAYER[loopexp].accept(PVSSC, SABR_MULTICURVES);
pvHw[loopexp] = METHOD_G2PP.presentValue(SWAPTION_LONG_PAYER[loopexp], objective.getG2Provider());
assertEquals("G2++ calibration: swaption " + loopexp, pvSabr[loopexp].getAmount(EUR), pvHw[loopexp].getAmount(EUR), TOLERANCE_PV);
}
}
@Test(enabled = false)
/**
* Test of performance. In normal testing, "enabled = false".
*/
public void performance() {
final double[] meanReversion = new double[] {0.01, 0.30 };
final double ratio = 4.0;
final double correlation = -0.50;
long startTime, endTime;
final int nbTest = 100;
final MultipleCurrencyAmount[] pv = new MultipleCurrencyAmount[nbTest];
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
final G2ppPiecewiseConstantParameters g2Parameters = new G2ppPiecewiseConstantParameters(meanReversion, new double[][] { {0.01 }, {0.01 / ratio } }, new double[0], correlation);
final SuccessiveRootFinderG2ppCalibrationObjective objective = new SuccessiveRootFinderG2ppCalibrationObjective(g2Parameters, EUR, ratio);
final SuccessiveRootFinderG2ppCalibrationEngine<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveRootFinderG2ppCalibrationEngine<>(objective);
for (int loopexp = 0; loopexp < EXPIRY_TENOR.length; loopexp++) {
calibrationEngine.addInstrument(SWAPTION_LONG_PAYER[loopexp], PVSSC);
}
calibrationEngine.calibrate(SABR_MULTICURVES);
pv[looptest] = METHOD_G2PP.presentValue(SWAPTION_LONG_PAYER[EXPIRY_TENOR.length - 1], objective.getG2Provider());
}
endTime = System.currentTimeMillis();
System.out.println(nbTest + " G2++ calibration to swaption (5 swaptions) + price: " + (endTime - startTime) + " ms");
// Performance note: calibration: 12-Dec-2012: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 550 ms for 100 calibration with 5 swaptions.
// TODO: Why is the time 4x the one with "CurveBundle"?
}
}