/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.provider.curve;
import static org.testng.AssertJUnit.assertEquals;
import java.io.FileWriter;
import java.io.IOException;
import java.util.ArrayList;
import java.util.LinkedHashMap;
import java.util.List;
import org.testng.annotations.BeforeSuite;
import org.testng.annotations.Test;
import org.threeten.bp.Period;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorCurveYieldInterpolated;
import com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorYDCurve;
import com.opengamma.analytics.financial.forex.definition.ForexDefinition;
import com.opengamma.analytics.financial.forex.derivative.Forex;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
import com.opengamma.analytics.financial.instrument.cash.CashDefinition;
import com.opengamma.analytics.financial.instrument.fra.ForwardRateAgreementDefinition;
import com.opengamma.analytics.financial.instrument.future.InterestRateFutureTransactionDefinition;
import com.opengamma.analytics.financial.instrument.index.GeneratorAttribute;
import com.opengamma.analytics.financial.instrument.index.GeneratorAttributeFX;
import com.opengamma.analytics.financial.instrument.index.GeneratorAttributeIR;
import com.opengamma.analytics.financial.instrument.index.GeneratorDepositIbor;
import com.opengamma.analytics.financial.instrument.index.GeneratorDepositON;
import com.opengamma.analytics.financial.instrument.index.GeneratorFRA;
import com.opengamma.analytics.financial.instrument.index.GeneratorForexSwap;
import com.opengamma.analytics.financial.instrument.index.GeneratorInstrument;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedIbor;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedIborMaster;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedON;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedONMaster;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapIborIbor;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapXCcyIborIbor;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.instrument.index.IndexIborMaster;
import com.opengamma.analytics.financial.instrument.index.IndexON;
import com.opengamma.analytics.financial.instrument.swap.SwapDefinition;
import com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition;
import com.opengamma.analytics.financial.instrument.swap.SwapFixedONDefinition;
import com.opengamma.analytics.financial.instrument.swap.SwapIborIborDefinition;
import com.opengamma.analytics.financial.instrument.swap.SwapXCcyIborIborDefinition;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve;
import com.opengamma.analytics.financial.provider.calculator.discounting.ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.discounting.ParSpreadMarketQuoteDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.discounting.PresentValueCurveSensitivityDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.discounting.PresentValueDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.generic.LastTimeCalculator;
import com.opengamma.analytics.financial.provider.calculator.generic.MarketQuoteSensitivityBlockCalculator;
import com.opengamma.analytics.financial.provider.curve.multicurve.MulticurveDiscountBuildingRepository;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderDiscount;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyParameterSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.parameter.ParameterSensitivityParameterCalculator;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
import com.opengamma.analytics.math.curve.InterpolatedDoublesCurve;
import com.opengamma.analytics.math.interpolation.CombinedInterpolatorExtrapolatorFactory;
import com.opengamma.analytics.math.interpolation.Interpolator1D;
import com.opengamma.analytics.math.interpolation.Interpolator1DFactory;
import com.opengamma.analytics.util.time.TimeCalculator;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.convention.calendar.MondayToFridayCalendar;
import com.opengamma.timeseries.precise.zdt.ImmutableZonedDateTimeDoubleTimeSeries;
import com.opengamma.timeseries.precise.zdt.ZonedDateTimeDoubleTimeSeries;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.MultipleCurrencyAmount;
import com.opengamma.util.time.DateUtils;
import com.opengamma.util.tuple.Pair;
/**
* Build of curve in several blocks with relevant Jacobian matrices.
* Multi-currency curve calibration process. Tests the difference between forward points interpolation and yield curve interpolation.
*/
public class MulticurveBuildingDiscountingDiscountXCcyPtIntTest {
private static final Interpolator1D INTERPOLATOR_LINEAR = CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.LINEAR, Interpolator1DFactory.FLAT_EXTRAPOLATOR,
Interpolator1DFactory.FLAT_EXTRAPOLATOR);
private static final LastTimeCalculator MATURITY_CALCULATOR = LastTimeCalculator.getInstance();
private static final double TOLERANCE_ROOT = 1.0E-10;
private static final int STEP_MAX = 100;
private static final Calendar TARGET = new MondayToFridayCalendar("TARGET");
private static final Calendar NYC = new MondayToFridayCalendar("NYC");
private static final Calendar TOKYO = new MondayToFridayCalendar("TOKYO");
private static final Currency EUR = Currency.EUR;
private static final Currency USD = Currency.USD;
private static final Currency JPY = Currency.JPY;
private static final double FX_EURUSD = 1.40;
private static final double FX_USDJPY = 80.0;
private static final FXMatrix FX_MATRIX = new FXMatrix(USD);
static {
FX_MATRIX.addCurrency(EUR, USD, FX_EURUSD);
FX_MATRIX.addCurrency(JPY, USD, 1 / FX_USDJPY);
}
private static final double NOTIONAL = 1.0;
private static final GeneratorSwapFixedON GENERATOR_OIS_EUR = GeneratorSwapFixedONMaster.getInstance().getGenerator("EUR1YEONIA", TARGET);
private static final GeneratorSwapFixedON GENERATOR_OIS_USD_1 = GeneratorSwapFixedONMaster.getInstance().getGenerator("USD1YFEDFUND", TARGET);
private static final IndexON INDEX_ON_USD = GENERATOR_OIS_USD_1.getIndex();
private static final GeneratorSwapFixedON GENERATOR_OIS_USD = new GeneratorSwapFixedON("USD1YFEDFUND", INDEX_ON_USD, Period.ofMonths(12),
GENERATOR_OIS_USD_1.getFixedLegDayCount(), GENERATOR_OIS_USD_1.getBusinessDayConvention(), true, 2, 2, NYC); // To avoid mat discrepancy: 0 pay lag
private static final GeneratorSwapFixedON GENERATOR_OIS_JPY = GeneratorSwapFixedONMaster.getInstance().getGenerator("JPY1YTONAR", TARGET);
private static final IndexON INDEX_ON_EUR = GENERATOR_OIS_EUR.getIndex();
private static final IndexON INDEX_ON_JPY = GENERATOR_OIS_JPY.getIndex();
private static final GeneratorDepositON GENERATOR_DEPOSIT_ON_EUR = new GeneratorDepositON("EUR Deposit ON", EUR, TARGET, INDEX_ON_EUR.getDayCount());
private static final GeneratorDepositON GENERATOR_DEPOSIT_ON_USD = new GeneratorDepositON("USD Deposit ON", USD, TARGET, INDEX_ON_USD.getDayCount());
private static final GeneratorDepositON GENERATOR_DEPOSIT_ON_JPY = new GeneratorDepositON("JPY Deposit ON", JPY, TARGET, INDEX_ON_JPY.getDayCount());
private static final GeneratorSwapFixedIborMaster GENERATOR_SWAP_MASTER = GeneratorSwapFixedIborMaster.getInstance();
private static final GeneratorSwapFixedIbor EUR1YEURIBOR3M = GENERATOR_SWAP_MASTER.getGenerator("EUR1YEURIBOR3M", TARGET);
private static final GeneratorSwapFixedIbor USD6MLIBOR3M = GENERATOR_SWAP_MASTER.getGenerator("USD6MLIBOR3M", TARGET);
private static final GeneratorSwapFixedIbor JPY6MLIBOR6M = GENERATOR_SWAP_MASTER.getGenerator("JPY6MLIBOR6M", TARGET);
private static final IborIndex EURIBOR3M = EUR1YEURIBOR3M.getIborIndex();
private static final IborIndex USDLIBOR3M = USD6MLIBOR3M.getIborIndex();
private static final IborIndex JPYLIBOR6M = JPY6MLIBOR6M.getIborIndex();
private static final IborIndex JPYLIBOR3M = IndexIborMaster.getInstance().getIndex("JPYLIBOR3M");
private static final IborIndex EUROLIBOR3M = new IborIndex(EUR, Period.ofMonths(3), 2, EURIBOR3M.getDayCount(), EURIBOR3M.getBusinessDayConvention(), true, "EUROLIBOR3M");
private static final GeneratorFRA GENERATOR_USD_FRA_3M = new GeneratorFRA("GENERATOR USD FRA 3M", USDLIBOR3M, NYC);
private static final GeneratorDepositIbor GENERATOR_EURIBOR3M = new GeneratorDepositIbor("GENERATOR_EURIBOR3M", EURIBOR3M, TARGET);
private static final GeneratorDepositIbor GENERATOR_USDLIBOR3M = new GeneratorDepositIbor("GENERATOR_USDLIBOR3M", USDLIBOR3M, NYC);
private static final GeneratorDepositIbor GENERATOR_JPYLIBOR3M = new GeneratorDepositIbor("GENERATOR_JPYLIBOR3M", JPYLIBOR3M, TOKYO);
private static final GeneratorDepositIbor GENERATOR_JPYLIBOR6M = new GeneratorDepositIbor("GENERATOR_JPYLIBOR3M", JPYLIBOR6M, TOKYO);
private static final GeneratorSwapXCcyIborIbor EURIBOR3MUSDLIBOR3M = new GeneratorSwapXCcyIborIbor("EURIBOR3MUSDLIBOR3M", EURIBOR3M, USDLIBOR3M, TARGET, NYC); // Spread on EUR leg
private static final GeneratorSwapXCcyIborIbor JPYLIBOR3MUSDLIBOR3M = new GeneratorSwapXCcyIborIbor("JPYLIBOR3MUSDLIBOR3M", JPYLIBOR3M, USDLIBOR3M, TOKYO, NYC); // Spread on JPY leg
private static final GeneratorSwapXCcyIborIbor JPYLIBOR3MEURIBOR3M = new GeneratorSwapXCcyIborIbor("JPYLIBOR3MEURIBOR3M", JPYLIBOR3M, EURIBOR3M, TOKYO, TARGET); // Spread on JPY leg
private static final GeneratorSwapIborIbor JPYLIBOR6MLIBOR3M = new GeneratorSwapIborIbor("JPYLIBOR6MLIBOR3M", JPYLIBOR3M, JPYLIBOR6M, TOKYO, TOKYO);
private static final GeneratorForexSwap GENERATOR_FX_EURUSD = new GeneratorForexSwap("EURUSD", EUR, USD, TARGET, EURIBOR3M.getSpotLag(), EURIBOR3M.getBusinessDayConvention(), true);
private static final GeneratorForexSwap GENERATOR_FX_USDJPY = new GeneratorForexSwap("USDJPY", USD, JPY, TARGET, EURIBOR3M.getSpotLag(), EURIBOR3M.getBusinessDayConvention(), true);
private static final ZonedDateTime NOW = DateUtils.getUTCDate(2011, 9, 19);
private static final ZonedDateTimeDoubleTimeSeries TS_EMPTY = ImmutableZonedDateTimeDoubleTimeSeries.ofEmptyUTC();
private static final ZonedDateTimeDoubleTimeSeries TS_ON_USD_WITH_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27),
DateUtils.getUTCDate(2011, 9, 28) }, new double[] {0.07, 0.08 });
private static final ZonedDateTimeDoubleTimeSeries TS_ON_USD_WITHOUT_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27),
DateUtils.getUTCDate(2011, 9, 28) }, new double[] {0.07, 0.08 });
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_OIS_USD_WITH_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_EMPTY, TS_ON_USD_WITH_TODAY };
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_OIS_USD_WITHOUT_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_EMPTY, TS_ON_USD_WITHOUT_TODAY };
private static final ZonedDateTimeDoubleTimeSeries TS_IBOR_USD3M_WITH_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27),
DateUtils.getUTCDate(2011, 9, 28) }, new double[] {0.0035, 0.0036 });
private static final ZonedDateTimeDoubleTimeSeries TS_IBOR_USD3M_WITHOUT_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27) },
new double[] {0.0035 });
private static final ZonedDateTimeDoubleTimeSeries TS_IBOR_EUR3M_WITH_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27),
DateUtils.getUTCDate(2011, 9, 28) }, new double[] {0.0060, 0.0061 });
private static final ZonedDateTimeDoubleTimeSeries TS_IBOR_EUR3M_WITHOUT_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27) },
new double[] {0.0060 });
private static final ZonedDateTimeDoubleTimeSeries TS_IBOR_JPY3M_WITH_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27),
DateUtils.getUTCDate(2011, 9, 28) }, new double[] {0.0060, 0.0061 });
private static final ZonedDateTimeDoubleTimeSeries TS_IBOR_JPY3M_WITHOUT_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27) },
new double[] {0.0060 });
private static final ZonedDateTimeDoubleTimeSeries TS_IBOR_JPY6M_WITH_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27),
DateUtils.getUTCDate(2011, 9, 28) }, new double[] {0.0060, 0.0061 });
private static final ZonedDateTimeDoubleTimeSeries TS_IBOR_JPY6M_WITHOUT_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27) },
new double[] {0.0060 });
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_EUR3M_WITH_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_IBOR_EUR3M_WITH_TODAY };
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_EUR3M_WITHOUT_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_IBOR_EUR3M_WITHOUT_TODAY };
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_EURUSD3M_WITH_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_IBOR_EUR3M_WITH_TODAY, TS_IBOR_USD3M_WITH_TODAY };
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_EURUSD3M_WITHOUT_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_IBOR_EUR3M_WITHOUT_TODAY, TS_IBOR_USD3M_WITHOUT_TODAY };
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_JPY3MJPY6M_WITH_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_IBOR_JPY3M_WITH_TODAY, TS_IBOR_JPY6M_WITH_TODAY };
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_JPY3MJPY6M_WITHOUT_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_IBOR_JPY3M_WITHOUT_TODAY, TS_IBOR_JPY6M_WITHOUT_TODAY };
private static final String CURVE_NAME_DSC_EUR = "EUR Dsc";
private static final String CURVE_NAME_FWD3_EUR = "EUR Fwd 3M";
private static final String CURVE_NAME_DSC_USD = "USD Dsc";
private static final String CURVE_NAME_FWD3_USD = "USD Fwd 3M";
private static final String CURVE_NAME_DSC_JPY = "JPY Dsc";
private static final String CURVE_NAME_FWD3_JPY = "JPY Fwd 3M";
private static final String CURVE_NAME_FWD6_JPY = "JPY Fwd 6M";
/** Market values for the dsc USD curve */
private static final double[] DSC_USD_MARKET_QUOTES = new double[] {0.0000, 0.0000, 0.0100, 0.0110, 0.0120, 0.0125, 0.0145, 0.0140, 0.0160, 0.0170, 0.0190, 0.0180, 0.0200, 0.0200 };
/** Generators for the dsc USD curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] DSC_USD_GENERATORS = new GeneratorInstrument<?>[] {GENERATOR_DEPOSIT_ON_USD, GENERATOR_DEPOSIT_ON_USD, GENERATOR_OIS_USD,
GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD,
GENERATOR_OIS_USD };
/** Tenors for the dsc USD curve */
private static final Period[] DSC_USD_TENOR = new Period[] {Period.ofDays(0), Period.ofDays(1), Period.ofMonths(1), Period.ofMonths(2), Period.ofMonths(3), Period.ofMonths(4),
Period.ofMonths(6), Period.ofMonths(9), Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(4), Period.ofYears(5), Period.ofYears(10) };
private static final GeneratorAttributeIR[] DSC_USD_ATTR = new GeneratorAttributeIR[DSC_USD_TENOR.length];
static {
for (int loopins = 0; loopins < 2; loopins++) {
DSC_USD_ATTR[loopins] = new GeneratorAttributeIR(DSC_USD_TENOR[loopins], Period.ZERO);
}
for (int loopins = 2; loopins < DSC_USD_TENOR.length; loopins++) {
DSC_USD_ATTR[loopins] = new GeneratorAttributeIR(DSC_USD_TENOR[loopins]);
}
}
/** Market values for the Fwd 3M USD curve */
private static final double[] FWD3_USD_MARKET_QUOTES = new double[] {0.0045, 0.0045, 0.0045, 0.0045, 0.0060, 0.0070, 0.0080, 0.0160 };
/** Generators for the Fwd 3M USD curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] FWD3_USD_GENERATORS = new GeneratorInstrument<?>[] {GENERATOR_USDLIBOR3M, GENERATOR_USD_FRA_3M, USD6MLIBOR3M, USD6MLIBOR3M,
USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M };
/** Tenors for the Fwd 3M USD curve */
private static final Period[] FWD3_USD_TENOR = new Period[] {Period.ofMonths(0), Period.ofMonths(6), Period.ofYears(1), Period.ofYears(2),
Period.ofYears(3), Period.ofYears(4), Period.ofYears(5),
Period.ofYears(10) };
private static final GeneratorAttributeIR[] FWD3_USD_ATTR = new GeneratorAttributeIR[FWD3_USD_TENOR.length];
static {
for (int loopins = 0; loopins < FWD3_USD_TENOR.length; loopins++) {
FWD3_USD_ATTR[loopins] = new GeneratorAttributeIR(FWD3_USD_TENOR[loopins]);
}
}
/** Market values for the dsc EUR curve */
private static final double[] DSC_EUR_MARKET_QUOTES = new double[] {0.0000, 0.0000, 0.0004, 0.0009, 0.0015, 0.0020, 0.0036, 0.0050, -0.0050, -0.0050, -0.0050, -0.0045, -0.0040 };
/** Generators for the dsc EUR curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] DSC_EUR_GENERATORS = new GeneratorInstrument<?>[] {GENERATOR_DEPOSIT_ON_EUR, GENERATOR_DEPOSIT_ON_EUR, GENERATOR_FX_EURUSD,
GENERATOR_FX_EURUSD, GENERATOR_FX_EURUSD, GENERATOR_FX_EURUSD, GENERATOR_FX_EURUSD, GENERATOR_FX_EURUSD, EURIBOR3MUSDLIBOR3M, EURIBOR3MUSDLIBOR3M, EURIBOR3MUSDLIBOR3M, EURIBOR3MUSDLIBOR3M,
EURIBOR3MUSDLIBOR3M };
/** Tenors for the dsc EUR curve */
private static final Period[] DSC_EUR_TENOR = new Period[] {Period.ofDays(0), Period.ofDays(1), Period.ofMonths(1), Period.ofMonths(2), Period.ofMonths(3), Period.ofMonths(6), Period.ofMonths(9),
Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(4), Period.ofYears(5), Period.ofYears(10) };
private static final GeneratorAttribute[] DSC_EUR_ATTR = new GeneratorAttribute[DSC_EUR_TENOR.length];
static {
for (int loopins = 0; loopins < 2; loopins++) {
DSC_EUR_ATTR[loopins] = new GeneratorAttributeIR(DSC_EUR_TENOR[loopins], Period.ZERO);
}
for (int loopins = 2; loopins < DSC_EUR_TENOR.length; loopins++) {
DSC_EUR_ATTR[loopins] = new GeneratorAttributeFX(DSC_EUR_TENOR[loopins], FX_MATRIX);
}
}
/** Market values for the Fwd 3M EUR curve */
private static final double[] FWD3_EUR_MARKET_QUOTES = new double[] {0.0045, 0.0045, 0.0045, 0.0045, 0.0050, 0.0060, 0.0085, 0.0160 };
/** Generators for the Fwd 3M USD curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] FWD3_EUR_GENERATORS = new GeneratorInstrument<?>[] {GENERATOR_EURIBOR3M, EUR1YEURIBOR3M, EUR1YEURIBOR3M, EUR1YEURIBOR3M,
EUR1YEURIBOR3M, EUR1YEURIBOR3M, EUR1YEURIBOR3M, EUR1YEURIBOR3M };
/** Tenors for the Fwd 3M USD curve */
private static final Period[] FWD3_EUR_TENOR = new Period[] {Period.ofMonths(0), Period.ofMonths(6), Period.ofYears(1), Period.ofYears(2),
Period.ofYears(3), Period.ofYears(4), Period.ofYears(5),
Period.ofYears(10) };
private static final GeneratorAttributeIR[] FWD3_EUR_ATTR = new GeneratorAttributeIR[FWD3_EUR_TENOR.length];
static {
for (int loopins = 0; loopins < FWD3_EUR_TENOR.length; loopins++) {
FWD3_EUR_ATTR[loopins] = new GeneratorAttributeIR(FWD3_EUR_TENOR[loopins]);
}
}
/** Market values for the dsc JPY curve */
private static final double[] DSC_JPY_MARKET_QUOTES = new double[] {0.0005, 0.0005, -0.0004, -0.0008, -0.0012, -0.0024, -0.0036, -0.0048, -0.0030, -0.0040, -0.0040, -0.0045, -0.0050 };
/** Generators for the dsc EUR curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] DSC_JPY_GENERATORS = new GeneratorInstrument<?>[] {GENERATOR_DEPOSIT_ON_JPY, GENERATOR_DEPOSIT_ON_JPY, GENERATOR_FX_USDJPY,
GENERATOR_FX_USDJPY, GENERATOR_FX_USDJPY, GENERATOR_FX_USDJPY, GENERATOR_FX_USDJPY, GENERATOR_FX_USDJPY, JPYLIBOR3MUSDLIBOR3M, JPYLIBOR3MUSDLIBOR3M, JPYLIBOR3MUSDLIBOR3M, JPYLIBOR3MUSDLIBOR3M,
JPYLIBOR3MUSDLIBOR3M };
/** Tenors for the dsc EUR curve */
private static final Period[] DSC_JPY_TENOR = new Period[] {Period.ofDays(0), Period.ofDays(1), Period.ofMonths(1), Period.ofMonths(2),
Period.ofMonths(3), Period.ofMonths(6), Period.ofMonths(9),
Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(4), Period.ofYears(5), Period.ofYears(10) };
private static final GeneratorAttribute[] DSC_JPY_ATTR = new GeneratorAttribute[DSC_JPY_TENOR.length];
static {
for (int loopins = 0; loopins < 2; loopins++) {
DSC_JPY_ATTR[loopins] = new GeneratorAttributeIR(DSC_JPY_TENOR[loopins], Period.ZERO);
}
for (int loopins = 2; loopins < DSC_JPY_TENOR.length; loopins++) {
DSC_JPY_ATTR[loopins] = new GeneratorAttributeFX(DSC_JPY_TENOR[loopins], FX_MATRIX);
}
}
/** Market values for the Fwd 3M JPY curve */
private static final double[] FWD3_JPY_MARKET_QUOTES = new double[] {0.0020, 0.0010, 0.0010, 0.0010, 0.0010, 0.0015, 0.0015, 0.0015 };
/** Generators for the Fwd 3M JPY curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] FWD3_JPY_GENERATORS = new GeneratorInstrument<?>[] {GENERATOR_JPYLIBOR3M, JPYLIBOR6MLIBOR3M, JPYLIBOR6MLIBOR3M,
JPYLIBOR6MLIBOR3M, JPYLIBOR6MLIBOR3M, JPYLIBOR6MLIBOR3M, JPYLIBOR6MLIBOR3M, JPYLIBOR6MLIBOR3M };
/** Tenors for the Fwd 3M JPY curve */
private static final Period[] FWD3_JPY_TENOR = new Period[] {Period.ofMonths(0), Period.ofMonths(6), Period.ofYears(1), Period.ofYears(2),
Period.ofYears(3), Period.ofYears(4), Period.ofYears(5),
Period.ofYears(10) };
private static final GeneratorAttributeIR[] FWD3_JPY_ATTR = new GeneratorAttributeIR[FWD3_JPY_TENOR.length];
static {
for (int loopins = 0; loopins < FWD3_JPY_TENOR.length; loopins++) {
FWD3_JPY_ATTR[loopins] = new GeneratorAttributeIR(FWD3_JPY_TENOR[loopins]);
}
}
/** Market values for the Fwd 6M JPY curve */
private static final double[] FWD6_JPY_MARKET_QUOTES = new double[] {0.0035, 0.0035, 0.0035, 0.0040, 0.0040, 0.0040, 0.0075 };
/** Generators for the Fwd 6M JPY curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] FWD6_JPY_GENERATORS = new GeneratorInstrument<?>[] {GENERATOR_JPYLIBOR6M, JPY6MLIBOR6M, JPY6MLIBOR6M, JPY6MLIBOR6M,
JPY6MLIBOR6M, JPY6MLIBOR6M, JPY6MLIBOR6M };
/** Tenors for the Fwd 6M JPY curve */
private static final Period[] FWD6_JPY_TENOR = new Period[] {Period.ofMonths(0), Period.ofYears(1), Period.ofYears(2), Period.ofYears(3),
Period.ofYears(4), Period.ofYears(5), Period.ofYears(10) };
private static final GeneratorAttributeIR[] FWD6_JPY_ATTR = new GeneratorAttributeIR[FWD6_JPY_TENOR.length];
static {
for (int loopins = 0; loopins < FWD6_JPY_TENOR.length; loopins++) {
FWD6_JPY_ATTR[loopins] = new GeneratorAttributeIR(FWD6_JPY_TENOR[loopins]);
}
}
/** Standard USD discounting curve instrument definitions */
private static final InstrumentDefinition<?>[] DEFINITIONS_DSC_USD;
/** Standard USD Forward 3M curve instrument definitions */
private static final InstrumentDefinition<?>[] DEFINITIONS_FWD3_USD;
/** Standard EUR discounting curve instrument definitions */
private static final InstrumentDefinition<?>[] DEFINITIONS_DSC_EUR;
/** Standard EUR Forward 3M curve instrument definitions */
private static final InstrumentDefinition<?>[] DEFINITIONS_FWD3_EUR;
/** Standard JPY discounting curve instrument definitions */
private static final InstrumentDefinition<?>[] DEFINITIONS_DSC_JPY;
/** Standard JPY Forward 3M curve instrument definitions */
private static final InstrumentDefinition<?>[] DEFINITIONS_FWD3_JPY;
/** Standard JPY Forward 6M curve instrument definitions */
private static final InstrumentDefinition<?>[] DEFINITIONS_FWD6_JPY;
/** Units of curves */
private static final int[] NB_UNITS = new int[] {3, 3, 1 };
private static final int NB_BLOCKS = NB_UNITS.length;
private static final InstrumentDefinition<?>[][][][] DEFINITIONS_UNITS = new InstrumentDefinition<?>[NB_BLOCKS][][][];
private static final GeneratorYDCurve[][][] GENERATORS_UNITS = new GeneratorYDCurve[NB_BLOCKS][][];
private static final String[][][] NAMES_UNITS = new String[NB_BLOCKS][][];
private static final MulticurveProviderDiscount MULTICURVE_KNOWN_DATA = new MulticurveProviderDiscount(FX_MATRIX);
private static final LinkedHashMap<String, Currency> DSC_MAP = new LinkedHashMap<>();
private static final LinkedHashMap<String, IndexON[]> FWD_ON_MAP = new LinkedHashMap<>();
private static final LinkedHashMap<String, IborIndex[]> FWD_IBOR_MAP = new LinkedHashMap<>();
static {
DEFINITIONS_DSC_USD = getDefinitions(DSC_USD_MARKET_QUOTES, DSC_USD_GENERATORS, DSC_USD_ATTR);
DEFINITIONS_FWD3_USD = getDefinitions(FWD3_USD_MARKET_QUOTES, FWD3_USD_GENERATORS, FWD3_USD_ATTR);
DEFINITIONS_DSC_EUR = getDefinitions(DSC_EUR_MARKET_QUOTES, DSC_EUR_GENERATORS, DSC_EUR_ATTR);
DEFINITIONS_FWD3_EUR = getDefinitions(FWD3_EUR_MARKET_QUOTES, FWD3_EUR_GENERATORS, FWD3_EUR_ATTR);
DEFINITIONS_DSC_JPY = getDefinitions(DSC_JPY_MARKET_QUOTES, DSC_JPY_GENERATORS, DSC_JPY_ATTR);
DEFINITIONS_FWD3_JPY = getDefinitions(FWD3_JPY_MARKET_QUOTES, FWD3_JPY_GENERATORS, FWD3_JPY_ATTR);
DEFINITIONS_FWD6_JPY = getDefinitions(FWD6_JPY_MARKET_QUOTES, FWD6_JPY_GENERATORS, FWD6_JPY_ATTR);
for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) {
DEFINITIONS_UNITS[loopblock] = new InstrumentDefinition<?>[NB_UNITS[loopblock]][][];
GENERATORS_UNITS[loopblock] = new GeneratorYDCurve[NB_UNITS[loopblock]][];
NAMES_UNITS[loopblock] = new String[NB_UNITS[loopblock]][];
}
DEFINITIONS_UNITS[0] = new InstrumentDefinition<?>[NB_UNITS[0]][][];
DEFINITIONS_UNITS[1] = new InstrumentDefinition<?>[NB_UNITS[1]][][];
DEFINITIONS_UNITS[2] = new InstrumentDefinition<?>[NB_UNITS[2]][][];
DEFINITIONS_UNITS[0][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD };
DEFINITIONS_UNITS[0][1] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD3_USD };
DEFINITIONS_UNITS[0][2] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_EUR, DEFINITIONS_FWD3_EUR };
DEFINITIONS_UNITS[1][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD };
DEFINITIONS_UNITS[1][1] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD3_USD };
DEFINITIONS_UNITS[1][2] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_JPY, DEFINITIONS_FWD3_JPY, DEFINITIONS_FWD6_JPY };
DEFINITIONS_UNITS[2][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD, DEFINITIONS_FWD3_USD, DEFINITIONS_DSC_JPY, DEFINITIONS_FWD3_JPY, DEFINITIONS_FWD6_JPY };
final GeneratorYDCurve genIntLin = new GeneratorCurveYieldInterpolated(MATURITY_CALCULATOR, INTERPOLATOR_LINEAR);
GENERATORS_UNITS[0] = new GeneratorYDCurve[NB_UNITS[0]][];
GENERATORS_UNITS[1] = new GeneratorYDCurve[NB_UNITS[1]][];
GENERATORS_UNITS[2] = new GeneratorYDCurve[NB_UNITS[2]][];
GENERATORS_UNITS[0][0] = new GeneratorYDCurve[] {genIntLin };
GENERATORS_UNITS[0][1] = new GeneratorYDCurve[] {genIntLin };
GENERATORS_UNITS[0][2] = new GeneratorYDCurve[] {genIntLin, genIntLin };
GENERATORS_UNITS[1][0] = new GeneratorYDCurve[] {genIntLin };
GENERATORS_UNITS[1][1] = new GeneratorYDCurve[] {genIntLin };
GENERATORS_UNITS[1][2] = new GeneratorYDCurve[] {genIntLin, genIntLin, genIntLin };
GENERATORS_UNITS[2][0] = new GeneratorYDCurve[] {genIntLin, genIntLin, genIntLin, genIntLin, genIntLin };
NAMES_UNITS[0] = new String[NB_UNITS[0]][];
NAMES_UNITS[1] = new String[NB_UNITS[1]][];
NAMES_UNITS[2] = new String[NB_UNITS[2]][];
NAMES_UNITS[0][0] = new String[] {CURVE_NAME_DSC_USD };
NAMES_UNITS[0][1] = new String[] {CURVE_NAME_FWD3_USD };
NAMES_UNITS[0][2] = new String[] {CURVE_NAME_DSC_EUR, CURVE_NAME_FWD3_EUR }; //TODO: the EUR USD with spread curve for EUR dsc (to avoid fwd pts spikes).
NAMES_UNITS[1][0] = new String[] {CURVE_NAME_DSC_USD };
NAMES_UNITS[1][1] = new String[] {CURVE_NAME_FWD3_USD };
NAMES_UNITS[1][2] = new String[] {CURVE_NAME_DSC_JPY, CURVE_NAME_FWD3_JPY, CURVE_NAME_FWD6_JPY };
NAMES_UNITS[2][0] = new String[] {CURVE_NAME_DSC_USD, CURVE_NAME_FWD3_USD, CURVE_NAME_DSC_JPY, CURVE_NAME_FWD3_JPY, CURVE_NAME_FWD6_JPY };
// Note: the sensitivity is computed in the order of the curve names. The names order should be in line with the units definition order.
DSC_MAP.put(CURVE_NAME_DSC_USD, USD);
DSC_MAP.put(CURVE_NAME_DSC_EUR, EUR);
DSC_MAP.put(CURVE_NAME_DSC_JPY, JPY);
FWD_ON_MAP.put(CURVE_NAME_DSC_USD, new IndexON[] {INDEX_ON_USD });
FWD_IBOR_MAP.put(CURVE_NAME_FWD3_USD, new IborIndex[] {USDLIBOR3M });
FWD_IBOR_MAP.put(CURVE_NAME_FWD3_EUR, new IborIndex[] {EURIBOR3M, EUROLIBOR3M });
FWD_IBOR_MAP.put(CURVE_NAME_FWD3_JPY, new IborIndex[] {JPYLIBOR3M });
FWD_IBOR_MAP.put(CURVE_NAME_FWD6_JPY, new IborIndex[] {JPYLIBOR6M });
}
@SuppressWarnings("unchecked")
public static InstrumentDefinition<?>[] getDefinitions(final double[] marketQuotes, @SuppressWarnings("rawtypes") final GeneratorInstrument[] generators, final GeneratorAttribute[] attribute) {
final InstrumentDefinition<?>[] definitions = new InstrumentDefinition<?>[marketQuotes.length];
for (int loopmv = 0; loopmv < marketQuotes.length; loopmv++) {
definitions[loopmv] = generators[loopmv].generateInstrument(NOW, marketQuotes[loopmv], NOTIONAL, attribute[loopmv]);
}
return definitions;
}
private static List<Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle>> CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK = new ArrayList<>();
// Calculators
private static final PresentValueDiscountingCalculator PVDC = PresentValueDiscountingCalculator.getInstance();
private static final PresentValueCurveSensitivityDiscountingCalculator PVCSDC = PresentValueCurveSensitivityDiscountingCalculator.getInstance();
private static final ParSpreadMarketQuoteDiscountingCalculator PSMQDC = ParSpreadMarketQuoteDiscountingCalculator.getInstance();
private static final ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator PSMQCSDC = ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator.getInstance();
private static final MulticurveDiscountBuildingRepository CURVE_BUILDING_REPOSITORY = new MulticurveDiscountBuildingRepository(TOLERANCE_ROOT, TOLERANCE_ROOT, STEP_MAX);
private static final double TOLERANCE_CAL = 1.0E-9;
@BeforeSuite
static void initClass() {
for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) {
CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.add(makeCurvesFromDefinitions(DEFINITIONS_UNITS[loopblock], GENERATORS_UNITS[loopblock], NAMES_UNITS[loopblock], MULTICURVE_KNOWN_DATA, PSMQDC,
PSMQCSDC, false));
}
}
@Test
public void curveConstruction() {
for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) {
curveConstructionTest(DEFINITIONS_UNITS[loopblock], CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getFirst(), false, loopblock);
}
}
@Test(enabled = false)
public void performance() {
long startTime, endTime;
final int nbTest = 10;
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
makeCurvesFromDefinitions(DEFINITIONS_UNITS[0], GENERATORS_UNITS[0], NAMES_UNITS[0], MULTICURVE_KNOWN_DATA, PSMQDC, PSMQCSDC, false);
}
endTime = System.currentTimeMillis();
System.out.println("MulticurveBuildingDiscountingDiscountXCcyTest - " + nbTest + " curve construction / USD/EUR 3 units: " + (endTime - startTime) + " ms");
// Performance note: Curve construction USD/EUR 3 units: 06-Nov-12: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 160 ms for 10 sets.
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
makeCurvesFromDefinitions(DEFINITIONS_UNITS[1], GENERATORS_UNITS[1], NAMES_UNITS[1], MULTICURVE_KNOWN_DATA, PSMQDC, PSMQCSDC, false);
}
endTime = System.currentTimeMillis();
System.out.println("MulticurveBuildingDiscountingDiscountXCcyTest - " + nbTest + " curve construction / USD/JPY 3 unit: " + (endTime - startTime) + " ms");
// Performance note: Curve construction USD/JPY 3 unit: 06-Nov-12: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 200 ms for 10 sets.
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
makeCurvesFromDefinitions(DEFINITIONS_UNITS[2], GENERATORS_UNITS[2], NAMES_UNITS[2], MULTICURVE_KNOWN_DATA, PSMQDC, PSMQCSDC, false);
}
endTime = System.currentTimeMillis();
System.out.println("MulticurveBuildingDiscountingDiscountXCcyTest - " + nbTest + " curve construction / USD/JPY 1 unit: " + (endTime - startTime) + " ms");
// Performance note: Curve construction USD/JPY 1 unit: 06-Nov-12: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 265 ms for 10 sets.
}
public void curveConstructionTest(final InstrumentDefinition<?>[][][] definitions, final MulticurveProviderDiscount curves, final boolean withToday, final int block) {
final int nbBlocks = definitions.length;
for (int loopblock = 0; loopblock < nbBlocks; loopblock++) {
final InstrumentDerivative[][] instruments = convert(definitions[loopblock], withToday);
final double[][] pv = new double[instruments.length][];
for (int loopcurve = 0; loopcurve < instruments.length; loopcurve++) {
pv[loopcurve] = new double[instruments[loopcurve].length];
for (int loopins = 0; loopins < instruments[loopcurve].length; loopins++) {
pv[loopcurve][loopins] = curves.getFxRates().convert(instruments[loopcurve][loopins].accept(PVDC, curves), EUR).getAmount();
assertEquals("Curve construction: block " + block + ", unit " + loopblock + " - instrument " + loopins, 0, pv[loopcurve][loopins], TOLERANCE_CAL);
}
}
}
}
@Test(enabled = true)
/**
* Analyzes incoherence between curve inerpolation and forward points interpolation.
*/
public void forwardPointsInterpolation() {
final MulticurveProviderDiscount multicurves = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).getFirst();
// FX swap description
final double notionalEUR = 1E8; //100m
final double fxEURUSDFwdInit = FX_EURUSD + 0.0010; // Should have no impact
final Period startTenor = Period.ofMonths(0);
final Period endTenor = Period.ofMonths(12);
final ZonedDateTime spot = ScheduleCalculator.getAdjustedDate(NOW, USDLIBOR3M.getSpotLag(), TARGET);
final ZonedDateTime startDate = ScheduleCalculator.getAdjustedDate(spot, startTenor, USDLIBOR3M, NYC);
final ZonedDateTime endDate = ScheduleCalculator.getAdjustedDate(spot, endTenor, USDLIBOR3M, NYC);
final double[] points = DSC_EUR_MARKET_QUOTES;
final double[] time = ((InterpolatedDoublesCurve) ((YieldCurve) multicurves.getCurve(EUR)).getCurve()).getXDataAsPrimitive();
final InterpolatedDoublesCurve pointsCurve = new InterpolatedDoublesCurve(time, points, INTERPOLATOR_LINEAR, true, "Points curve");
ZonedDateTime loopdate = startDate;
final List<Double> pvUSDCurve = new ArrayList<>();
final List<Double> pvUSDPts = new ArrayList<>();
final List<Double> pvUSDDiff = new ArrayList<>();
final List<Double> ptsCurve = new ArrayList<>();
final List<Double> ptsInt = new ArrayList<>();
final List<Double> ptsDiff = new ArrayList<>();
final List<Double> payTime = new ArrayList<>();
while (!loopdate.isAfter(endDate)) {
final ForexDefinition fxSwapDefinition = new ForexDefinition(EUR, USD, loopdate, notionalEUR, fxEURUSDFwdInit);
final Forex fxSwap = fxSwapDefinition.toDerivative(NOW);
final MultipleCurrencyAmount pvFxSwap = fxSwap.accept(PVDC, multicurves);
final double pvUSDCurved = FX_MATRIX.convert(pvFxSwap, USD).getAmount();
pvUSDCurve.add(pvUSDCurved);
final double pvUSDPtsd = -(fxEURUSDFwdInit - FX_EURUSD - pointsCurve.getYValue(fxSwap.getPaymentTime()))
* multicurves.getDiscountFactor(USD, fxSwap.getPaymentTime()) * notionalEUR;
pvUSDPts.add(pvUSDPtsd);
pvUSDDiff.add(pvUSDCurved - pvUSDPtsd);
// double testUSDI = (fxEURUSDFwdInit)
// * multicurves.getDiscountFactor(USD, fxSwap.getPaymentTime()) * notionalEUR;
// double testUSDC = (FX_EURUSD + pointsCurve.getYValue(fxSwap.getPaymentTime()))
// * multicurves.getDiscountFactor(USD, fxSwap.getPaymentTime()) * notionalEUR;
// double testEURUSD = pvFxSwap.getAmount(EUR) * FX_EURUSD;
final double ptC = (multicurves.getDiscountFactor(EUR, fxSwap.getPaymentTime()) / multicurves.getDiscountFactor(USD, fxSwap.getPaymentTime()) - 1) * FX_EURUSD;
ptsCurve.add(ptC);
ptsInt.add(pointsCurve.getYValue(fxSwap.getPaymentTime()));
ptsDiff.add((ptC - pointsCurve.getYValue(fxSwap.getPaymentTime())) * 10000);
payTime.add(fxSwap.getPaymentTime());
loopdate = ScheduleCalculator.getAdjustedDate(loopdate, 1, TARGET);
}
}
@Test(enabled = false)
/**
* Analyzes the shape of the forward curve.
*/
public void marketQuoteSensitivityAnalysis() {
// Create a 3 currencies provider
final int indexEur = 4;
final MulticurveProviderDiscount multicurves7 = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(indexEur).getFirst();
multicurves7.setAll(CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(1).getFirst());
final CurveBuildingBlockBundle blocks7 = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(indexEur).getSecond();
blocks7.addAll(CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(1).getSecond());
final double spreadJPYEUR = 0.0010; // 10bps
final GeneratorAttributeFX attr6Mx5Y = new GeneratorAttributeFX(Period.ofMonths(6), Period.ofYears(5), FX_MATRIX); //TODO Check dates swap
final double notional = 100000;
final SwapDefinition swapDefinition = JPYLIBOR3MEURIBOR3M.generateInstrument(NOW, spreadJPYEUR, notional, attr6Mx5Y);
final InstrumentDerivative swap = swapDefinition.toDerivative(NOW);
final ParameterSensitivityParameterCalculator<MulticurveProviderInterface> PSC = new ParameterSensitivityParameterCalculator<>(PVCSDC);
final MarketQuoteSensitivityBlockCalculator<MulticurveProviderInterface> MQSC = new MarketQuoteSensitivityBlockCalculator<>(PSC);
@SuppressWarnings("unused")
final MultipleCurrencyParameterSensitivity mqs = MQSC.fromInstrument(swap, multicurves7, blocks7);
// int t = 0;
// t++;
}
@Test(enabled = false)
/**
* Analyzes the shape of the forward curve.
*/
public void forwardAnalysis() {
final MulticurveProviderInterface marketDsc = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).getFirst();
final int jump = 1;
final int startIndex = 0;
final int nbDate = 2750;
ZonedDateTime startDate = ScheduleCalculator.getAdjustedDate(NOW, EURIBOR3M.getSpotLag() + startIndex * jump, TARGET);
final double[] rateDsc = new double[nbDate];
final double[] startTime = new double[nbDate];
try {
final FileWriter writer = new FileWriter("fwd-dsc.csv");
for (int loopdate = 0; loopdate < nbDate; loopdate++) {
startTime[loopdate] = TimeCalculator.getTimeBetween(NOW, startDate);
final ZonedDateTime endDate = ScheduleCalculator.getAdjustedDate(startDate, EURIBOR3M, TARGET);
final double endTime = TimeCalculator.getTimeBetween(NOW, endDate);
final double accrualFactor = EURIBOR3M.getDayCount().getDayCountFraction(startDate, endDate);
rateDsc[loopdate] = marketDsc.getForwardRate(EURIBOR3M, startTime[loopdate], endTime, accrualFactor);
startDate = ScheduleCalculator.getAdjustedDate(startDate, jump, TARGET);
writer.append(0.0 + "," + startTime[loopdate] + "," + rateDsc[loopdate] + "\n");
}
writer.flush();
writer.close();
} catch (final IOException e) {
e.printStackTrace();
}
}
@SuppressWarnings("unchecked")
private static Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> makeCurvesFromDefinitions(final InstrumentDefinition<?>[][][] definitions, final GeneratorYDCurve[][] curveGenerators,
final String[][] curveNames, final MulticurveProviderDiscount knownData, final InstrumentDerivativeVisitor<MulticurveProviderInterface, Double> calculator,
final InstrumentDerivativeVisitor<MulticurveProviderInterface, MulticurveSensitivity> sensitivityCalculator, final boolean withToday) {
final int nUnits = definitions.length;
final MultiCurveBundle<GeneratorYDCurve>[] curveBundles = new MultiCurveBundle[nUnits];
for (int i = 0; i < nUnits; i++) {
final int nCurves = definitions[i].length;
final SingleCurveBundle<GeneratorYDCurve>[] singleCurves = new SingleCurveBundle[nCurves];
for (int j = 0; j < nCurves; j++) {
final int nInstruments = definitions[i][j].length;
final InstrumentDerivative[] derivatives = new InstrumentDerivative[nInstruments];
final double[] rates = new double[nInstruments];
for(int k = 0; k < nInstruments; k++) {
derivatives[k] = convert(definitions[i][j][k], withToday);
rates[k] = initialGuess(definitions[i][j][k]);
}
final GeneratorYDCurve generator = curveGenerators[i][j].finalGenerator(derivatives);
final double[] initialGuess = generator.initialGuess(rates);
singleCurves[j] = new SingleCurveBundle<>(curveNames[i][j], derivatives, initialGuess, generator);
}
curveBundles[i] = new MultiCurveBundle<>(singleCurves);
}
return CURVE_BUILDING_REPOSITORY.makeCurvesFromDerivatives(curveBundles, knownData, DSC_MAP, FWD_IBOR_MAP, FWD_ON_MAP, calculator, sensitivityCalculator);
}
private static InstrumentDerivative[][] convert(final InstrumentDefinition<?>[][] definitions, final boolean withToday) {
final InstrumentDerivative[][] instruments = new InstrumentDerivative[definitions.length][];
for (int loopcurve = 0; loopcurve < definitions.length; loopcurve++) {
instruments[loopcurve] = new InstrumentDerivative[definitions[loopcurve].length];
int loopins = 0;
for (final InstrumentDefinition<?> instrument : definitions[loopcurve]) {
InstrumentDerivative ird;
if (instrument instanceof SwapFixedONDefinition) {
ird = ((SwapFixedONDefinition) instrument).toDerivative(NOW, getTSSwapFixedON(withToday));
} else {
if (instrument instanceof SwapFixedIborDefinition) {
ird = ((SwapFixedIborDefinition) instrument).toDerivative(NOW, getTSSwapFixedIbor(withToday));
} else {
if (instrument instanceof SwapIborIborDefinition) {
ird = ((SwapIborIborDefinition) instrument).toDerivative(NOW, getTSSwapIborIbor(withToday));
} else {
if (instrument instanceof SwapXCcyIborIborDefinition) {
ird = ((SwapXCcyIborIborDefinition) instrument).toDerivative(NOW, getTSSwapXCcyIborIbor(withToday));
} else {
ird = instrument.toDerivative(NOW);
}
}
}
}
instruments[loopcurve][loopins++] = ird;
}
}
return instruments;
}
private static InstrumentDerivative convert(final InstrumentDefinition<?> instrument, final boolean withToday) {
InstrumentDerivative ird;
if (instrument instanceof SwapFixedONDefinition) {
ird = ((SwapFixedONDefinition) instrument).toDerivative(NOW, getTSSwapFixedON(withToday));
} else {
if (instrument instanceof SwapFixedIborDefinition) {
ird = ((SwapFixedIborDefinition) instrument).toDerivative(NOW, getTSSwapFixedIbor(withToday));
} else {
if (instrument instanceof SwapIborIborDefinition) {
ird = ((SwapIborIborDefinition) instrument).toDerivative(NOW, getTSSwapIborIbor(withToday));
} else {
if (instrument instanceof SwapXCcyIborIborDefinition) {
ird = ((SwapXCcyIborIborDefinition) instrument).toDerivative(NOW, getTSSwapXCcyIborIbor(withToday));
} else {
ird = instrument.toDerivative(NOW);
}
}
}
}
return ird;
}
private static ZonedDateTimeDoubleTimeSeries[] getTSSwapFixedON(final Boolean withToday) {
return withToday ? TS_FIXED_OIS_USD_WITH_TODAY : TS_FIXED_OIS_USD_WITHOUT_TODAY;
}
private static ZonedDateTimeDoubleTimeSeries[] getTSSwapFixedIbor(final Boolean withToday) { // TODO: different fixing by currency and for 3 and 6 m
return withToday ? TS_FIXED_IBOR_EUR3M_WITH_TODAY : TS_FIXED_IBOR_EUR3M_WITHOUT_TODAY;
}
private static ZonedDateTimeDoubleTimeSeries[] getTSSwapIborIbor(final Boolean withToday) {
return withToday ? TS_FIXED_IBOR_JPY3MJPY6M_WITH_TODAY : TS_FIXED_IBOR_JPY3MJPY6M_WITHOUT_TODAY;
}
private static ZonedDateTimeDoubleTimeSeries[] getTSSwapXCcyIborIbor(final Boolean withToday) { // TODO: different currencies
return withToday ? TS_FIXED_IBOR_EURUSD3M_WITH_TODAY : TS_FIXED_IBOR_EURUSD3M_WITHOUT_TODAY;
}
private static double initialGuess(final InstrumentDefinition<?> instrument) {
if (instrument instanceof SwapFixedONDefinition) {
return ((SwapFixedONDefinition) instrument).getFixedLeg().getNthPayment(0).getRate();
}
if (instrument instanceof SwapFixedIborDefinition) {
return ((SwapFixedIborDefinition) instrument).getFixedLeg().getNthPayment(0).getRate();
}
if (instrument instanceof ForwardRateAgreementDefinition) {
return ((ForwardRateAgreementDefinition) instrument).getRate();
}
if (instrument instanceof CashDefinition) {
return ((CashDefinition) instrument).getRate();
}
if (instrument instanceof InterestRateFutureTransactionDefinition) {
return 1 - ((InterestRateFutureTransactionDefinition) instrument).getTransactionPrice();
}
return 0.01;
}
}