/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.ircurve;
import java.util.ArrayList;
import java.util.Collection;
import java.util.Collections;
import java.util.HashMap;
import java.util.LinkedHashMap;
import java.util.Map;
import org.threeten.bp.Period;
import com.opengamma.analytics.math.interpolation.Interpolator1DFactory;
import com.opengamma.core.id.ExternalSchemes;
import com.opengamma.id.ExternalId;
import com.opengamma.id.ExternalScheme;
import com.opengamma.util.i18n.Country;
import com.opengamma.util.money.Currency;
import com.opengamma.util.time.Tenor;
/**
*
*/
public class CurveDefinitionAndSpecifications {
private static final String[] BBG_MONTH_CODES = new String[] {"A", "B", "C", "D", "E", "F", "G", "H", "I", "J", "K"};
public static YieldCurveDefinition buildUSDSwapOnlyCurveDefinition() {
final Collection<FixedIncomeStrip> strips = new ArrayList<>();
final int[] tenors = new int[] {1, 2, 3, 4, 5, 6, 7, 10, 15, 20, 25, 30};
for (final int i : tenors) {
strips.add(new FixedIncomeStrip(StripInstrumentType.SWAP_3M, Tenor.ofYears(i), "DEFAULT"));
}
final String interpolatorName = Interpolator1DFactory.DOUBLE_QUADRATIC;
final String leftExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final String rightExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final boolean interpolateYields = true;
final YieldCurveDefinition definition = new YieldCurveDefinition(Currency.USD, ExternalSchemes.countryRegionId(Country.US), "SWAP_ONLY", interpolatorName,
leftExtrapolatorName, rightExtrapolatorName, interpolateYields, strips);
return definition;
}
public static YieldCurveDefinition buildUSDSwapOnlyNo3YrCurveDefinition() {
final Collection<FixedIncomeStrip> strips = new ArrayList<>();
final int[] tenors = new int[] {1, 2, 4, 5, 6, 7, 10, 15, 20, 25, 30};
for (final int i : tenors) {
strips.add(new FixedIncomeStrip(StripInstrumentType.SWAP_3M, Tenor.ofYears(i), "DEFAULT"));
}
final String interpolatorName = Interpolator1DFactory.DOUBLE_QUADRATIC;
final String leftExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final String rightExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final boolean interpolateYields = true;
final YieldCurveDefinition definition = new YieldCurveDefinition(Currency.USD, ExternalSchemes.countryRegionId(Country.US), "SWAP_ONLY_NO3YR", interpolatorName,
leftExtrapolatorName, rightExtrapolatorName, interpolateYields, strips);
return definition;
}
public static YieldCurveDefinition buildUSDSwapOnly3YrCurveDefinition() {
final Collection<FixedIncomeStrip> strips = new ArrayList<>();
final int[] tenors = new int[] {3};
for (final int i : tenors) {
strips.add(new FixedIncomeStrip(StripInstrumentType.SWAP_3M, Tenor.ofYears(i), "DEFAULT"));
}
final String interpolatorName = Interpolator1DFactory.DOUBLE_QUADRATIC;
final String leftExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final String rightExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final boolean interpolateYields = true;
final YieldCurveDefinition definition = new YieldCurveDefinition(Currency.USD, ExternalSchemes.countryRegionId(Country.US), "SWAP_ONLY_3YR", interpolatorName,
leftExtrapolatorName, rightExtrapolatorName, interpolateYields, strips);
return definition;
}
public static YieldCurveDefinition buildUSDFundingCurveDefinition() {
final Collection<FixedIncomeStrip> strips = new ArrayList<>();
for (final int i : new int[] {2}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.CASH, Tenor.ofDays(i), "DEFAULT"));
}
for (final int i : new int[] {1, 2, 3, 4, 5, 6, 9}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.OIS_SWAP, Tenor.ofMonths(i), "DEFAULT"));
}
for (final int i : new int[] {1, 2, 3, 4, 5, 10}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.OIS_SWAP, Tenor.ofYears(i), "DEFAULT"));
}
final String leftExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final String rightExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final boolean interpolateYields = true;
return new YieldCurveDefinition(Currency.USD, ExternalSchemes.countryRegionId(Country.US), "Discounting", Interpolator1DFactory.DOUBLE_QUADRATIC,
leftExtrapolatorName, rightExtrapolatorName, interpolateYields, strips);
}
public static YieldCurveDefinition buildUSDThreeMonthForwardCurveDefinition() {
final Collection<FixedIncomeStrip> strips = new ArrayList<>();
for (final int i : new int[] {7, 14}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.LIBOR, Tenor.ofDays(i), "DEFAULT"));
}
for (final int i : new int[] {1, 2, 3}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.LIBOR, Tenor.ofMonths(i), "DEFAULT"));
}
for (final int i : new int[] {1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 15, 20, 25, 30}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.SWAP_3M, Tenor.ofYears(i), "DEFAULT"));
}
final String leftExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final String rightExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final boolean interpolateYields = true;
return new YieldCurveDefinition(Currency.USD, ExternalSchemes.countryRegionId(Country.US), "Forward3M", Interpolator1DFactory.DOUBLE_QUADRATIC,
leftExtrapolatorName, rightExtrapolatorName, interpolateYields, strips);
}
public static YieldCurveDefinition buildEURFundingCurveDefinition() {
final Collection<FixedIncomeStrip> strips = new ArrayList<>();
for (final int i : new int[] {7, 14, 21}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.CASH, Tenor.ofDays(i), "DEFAULT"));
}
for (final int i : new int[] {1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.OIS_SWAP, Tenor.ofMonths(i), "DEFAULT"));
}
for (final int i : new int[] {1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 15, 20, 25, 30}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.OIS_SWAP, Tenor.ofYears(i), "DEFAULT"));
}
final String leftExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final String rightExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final boolean interpolateYields = true;
return new YieldCurveDefinition(Currency.EUR, ExternalSchemes.financialRegionId("EU"), "Discounting", Interpolator1DFactory.DOUBLE_QUADRATIC,
leftExtrapolatorName, rightExtrapolatorName, interpolateYields, strips);
}
public static YieldCurveDefinition buildEURSixMonthForwardCurveDefinition() {
final Collection<FixedIncomeStrip> strips = new ArrayList<>();
strips.add(new FixedIncomeStrip(StripInstrumentType.EURIBOR, Tenor.ofMonths(6), "DEFAULT"));
for (final int i : new int[] {9, 12}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.FRA_6M, Tenor.ofMonths(i), "DEFAULT"));
}
for (final int i : new int[] {2, 3, 4, 5, 6, 7, 8, 9, 10, 12, 15, 20, 30}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.SWAP_6M, Tenor.ofYears(i), "DEFAULT"));
}
final String leftExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final String rightExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final boolean interpolateYields = true;
return new YieldCurveDefinition(Currency.EUR, ExternalSchemes.financialRegionId("EU"), "Forward6M", Interpolator1DFactory.DOUBLE_QUADRATIC,
leftExtrapolatorName, rightExtrapolatorName, interpolateYields, strips);
}
public static YieldCurveDefinition buildEURThreeMonthFutForwardCurveDefinition() {
final Collection<FixedIncomeStrip> strips = new ArrayList<>();
for (final int i : new int[] {1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.FUTURE, Tenor.of(Period.ZERO), i, "DEFAULT"));
}
strips.add(new FixedIncomeStrip(StripInstrumentType.EURIBOR, Tenor.ofMonths(3), "DEFAULT"));
for (final int i : new int[] {4, 5, 6, 7, 8, 9, 10, 12, 15, 20, 30}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.SWAP_3M, Tenor.ofYears(i), "DEFAULT"));
}
final String leftExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final String rightExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final boolean interpolateYields = true;
return new YieldCurveDefinition(Currency.EUR, ExternalSchemes.financialRegionId("EU"), "Forward3MFut", Interpolator1DFactory.DOUBLE_QUADRATIC,
leftExtrapolatorName, rightExtrapolatorName, interpolateYields, strips);
}
public static YieldCurveDefinition buildEURThreeMonthForwardCurveDefinition() {
final Collection<FixedIncomeStrip> strips = new ArrayList<>();
strips.add(new FixedIncomeStrip(StripInstrumentType.EURIBOR, Tenor.ofMonths(3), "DEFAULT"));
for (final int i : new int[] {6, 9, 12}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.FRA_3M, Tenor.ofMonths(i), "DEFAULT"));
}
for (final int i : new int[] {2, 3, 4, 5, 6, 7, 8, 9, 10, 12, 15, 20, 30}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.SWAP_3M, Tenor.ofYears(i), "DEFAULT"));
}
final String leftExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final String rightExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final boolean interpolateYields = true;
return new YieldCurveDefinition(Currency.EUR, ExternalSchemes.financialRegionId("EU"), "Forward3M", Interpolator1DFactory.DOUBLE_QUADRATIC,
leftExtrapolatorName, rightExtrapolatorName, interpolateYields, strips);
}
public static YieldCurveDefinition buildGBPFundingCurveDefinition() {
final Collection<FixedIncomeStrip> strips = new ArrayList<>();
for (final int i : new int[] {2, 7, 14}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.CASH, Tenor.ofDays(i), "DEFAULT"));
}
for (final int i : new int[] {1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.OIS_SWAP, Tenor.ofMonths(i), "DEFAULT"));
}
for (final int i : new int[] {1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 15, 20, 25, 30}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.OIS_SWAP, Tenor.ofYears(i), "DEFAULT"));
}
final String leftExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final String rightExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final boolean interpolateYields = true;
return new YieldCurveDefinition(Currency.GBP, ExternalSchemes.countryRegionId(Country.GB), "Discounting", Interpolator1DFactory.DOUBLE_QUADRATIC,
leftExtrapolatorName, rightExtrapolatorName, interpolateYields, strips);
}
public static YieldCurveDefinition buildGBPThreeMonthForwardCurveDefinition() {
final Collection<FixedIncomeStrip> strips = new ArrayList<>();
for (final int i : new int[] {1, 2, 3}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.LIBOR, Tenor.ofMonths(i), "DEFAULT"));
}
strips.add(new FixedIncomeStrip(StripInstrumentType.FRA_3M, Tenor.ofMonths(6), "DEFAULT"));
strips.add(new FixedIncomeStrip(StripInstrumentType.FRA_3M, Tenor.ofMonths(9), "DEFAULT"));
for (final int i : new int[] {2, 3, 4, 5, 6, 7, 8, 9, 10, 15, 20, 25, 30}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.SWAP_3M, Tenor.ofYears(i), "DEFAULT"));
}
final String leftExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final String rightExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final boolean interpolateYields = true;
return new YieldCurveDefinition(Currency.GBP, ExternalSchemes.countryRegionId(Country.GB), "Forward3M", Interpolator1DFactory.DOUBLE_QUADRATIC,
leftExtrapolatorName, rightExtrapolatorName, interpolateYields, strips);
}
public static YieldCurveDefinition buildGBPSixMonthForwardCurveDefinition() {
final Collection<FixedIncomeStrip> strips = new ArrayList<>();
for (final int i : new int[] {1, 2, 3, 4, 5, 6}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.LIBOR, Tenor.ofMonths(i), "DEFAULT"));
}
for (final int i : new int[] {9, 12, 15}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.FRA_6M, Tenor.ofMonths(i), "DEFAULT"));
}
strips.add(new FixedIncomeStrip(StripInstrumentType.SWAP_6M, Tenor.ofMonths(18), "DEFAULT"));
for (final int i : new int[] {2, 3, 4, 5, 6, 7, 8, 9, 10, 15, 20, 25, 30}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.SWAP_6M, Tenor.ofYears(i), "DEFAULT"));
}
final String leftExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final String rightExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final boolean interpolateYields = true;
return new YieldCurveDefinition(Currency.GBP, ExternalSchemes.countryRegionId(Country.GB), "Forward6M", Interpolator1DFactory.DOUBLE_QUADRATIC,
leftExtrapolatorName, rightExtrapolatorName, interpolateYields, strips);
}
public static YieldCurveDefinition buildCHFFundingCurveDefinition() {
final Collection<FixedIncomeStrip> strips = new ArrayList<>();
for (final int i : new int[] {1, 2, 7, 14, 21}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.CASH, Tenor.ofDays(i), "DEFAULT"));
}
for (final int i : new int[] {1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.OIS_SWAP, Tenor.ofMonths(i), "DEFAULT"));
}
for (final int i : new int[] {1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 15, 20, 25, 30}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.OIS_SWAP, Tenor.ofYears(i), "DEFAULT"));
}
final String leftExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final String rightExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final boolean interpolateYields = true;
return new YieldCurveDefinition(Currency.CHF, ExternalSchemes.countryRegionId(Country.CH), "Discounting", Interpolator1DFactory.DOUBLE_QUADRATIC,
leftExtrapolatorName, rightExtrapolatorName, interpolateYields, strips);
}
public static YieldCurveDefinition buildCHFSixMonthForwardCurveDefinition() {
final Collection<FixedIncomeStrip> strips = new ArrayList<>();
for (final int i : new int[] {1}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.LIBOR, Tenor.ofDays(i), "DEFAULT"));
}
for (final int i : new int[] {1, 2, 3, 4, 5, 6}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.LIBOR, Tenor.ofMonths(i), "DEFAULT"));
}
for (final int i : new int[] {9, 12}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.FRA_6M, Tenor.ofMonths(i), "DEFAULT"));
}
for (final int i : new int[] {2, 3, 4, 5, 6, 7, 8, 9, 10, 15, 20, 25, 30}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.SWAP_6M, Tenor.ofYears(i), "DEFAULT"));
}
final String leftExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final String rightExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final boolean interpolateYields = true;
return new YieldCurveDefinition(Currency.CHF, ExternalSchemes.countryRegionId(Country.CH), "Forward6M", Interpolator1DFactory.DOUBLE_QUADRATIC,
leftExtrapolatorName, rightExtrapolatorName, interpolateYields, strips);
}
public static YieldCurveDefinition buildJPYFundingCurveDefinition() {
final Collection<FixedIncomeStrip> strips = new ArrayList<>();
for (final int i : new int[] {2, 7, 14, 21}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.CASH, Tenor.ofDays(i), "DEFAULT"));
}
for (final int i : new int[] {1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.OIS_SWAP, Tenor.ofMonths(i), "DEFAULT"));
}
for (final int i : new int[] {1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 15, 20, 25, 30}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.OIS_SWAP, Tenor.ofYears(i), "DEFAULT"));
}
final String leftExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final String rightExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final boolean interpolateYields = true;
return new YieldCurveDefinition(Currency.JPY, ExternalSchemes.countryRegionId(Country.JP), "Discounting", Interpolator1DFactory.DOUBLE_QUADRATIC,
leftExtrapolatorName, rightExtrapolatorName, interpolateYields, strips);
}
public static YieldCurveDefinition buildJPYSixMonthForwardCurveDefinition() {
final Collection<FixedIncomeStrip> strips = new ArrayList<>();
for (final int i : new int[] {1, 2, 3, 4, 5, 6}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.LIBOR, Tenor.ofMonths(i), "DEFAULT"));
}
for (final int i : new int[] {9, 12, 15}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.FRA_6M, Tenor.ofMonths(i), "DEFAULT"));
}
strips.add(new FixedIncomeStrip(StripInstrumentType.SWAP_6M, Tenor.ofMonths(18), "DEFAULT"));
for (final int i : new int[] {2, 3, 4, 5, 6, 7, 8, 9, 10, 15, 20, 25, 30}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.SWAP_6M, Tenor.ofYears(i), "DEFAULT"));
}
final String leftExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final String rightExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final boolean interpolateYields = true;
return new YieldCurveDefinition(Currency.JPY, ExternalSchemes.countryRegionId(Country.JP), "Forward6M", Interpolator1DFactory.DOUBLE_QUADRATIC,
leftExtrapolatorName, rightExtrapolatorName, interpolateYields, strips);
}
public static YieldCurveDefinition buildCADFundingCurveDefinition() {
final Collection<FixedIncomeStrip> strips = new ArrayList<>();
for (final int i : new int[] {1, 2, 7, 14, 21}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.CASH, Tenor.ofDays(i), "DEFAULT"));
}
for (final int i : new int[] {1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.OIS_SWAP, Tenor.ofMonths(i), "DEFAULT"));
}
for (final int i : new int[] {3, 4, 5}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.OIS_SWAP, Tenor.ofYears(i), "DEFAULT"));
}
final String leftExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final String rightExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final boolean interpolateYields = true;
return new YieldCurveDefinition(Currency.CAD, ExternalSchemes.countryRegionId(Country.CA), "Discounting", Interpolator1DFactory.DOUBLE_QUADRATIC,
leftExtrapolatorName, rightExtrapolatorName, interpolateYields, strips);
}
public static YieldCurveDefinition buildCADSixMonthForwardCurveDefinition() {
final Collection<FixedIncomeStrip> strips = new ArrayList<>();
for (final int i : new int[] {6}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.CDOR, Tenor.ofMonths(i), "DEFAULT"));
}
strips.add(new FixedIncomeStrip(StripInstrumentType.SWAP_6M, Tenor.ofYears(1), "DEFAULT"));
for (final int i : new int[] {15, 18}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.SWAP_6M, Tenor.ofMonths(i), "DEFAULT"));
}
for (final int i : new int[] {2, 3, 4, 5, 6, 7, 8, 9, 10, 15, 20, 25, 30}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.SWAP_6M, Tenor.ofYears(i), "DEFAULT"));
}
final String leftExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final String rightExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final boolean interpolateYields = true;
return new YieldCurveDefinition(Currency.CAD, ExternalSchemes.countryRegionId(Country.CA), "Forward6M", Interpolator1DFactory.DOUBLE_QUADRATIC,
leftExtrapolatorName, rightExtrapolatorName, interpolateYields, strips);
}
public static YieldCurveDefinition buildAUDFundingCurveDefinition() {
final Collection<FixedIncomeStrip> strips = new ArrayList<>();
for (final int i : new int[] {1}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.CASH, Tenor.ofDays(i), "DEFAULT"));
}
for (final int i : new int[] {1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.OIS_SWAP, Tenor.ofMonths(i), "DEFAULT"));
}
for (final int i : new int[] {1, 2, 3, 4, 5}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.OIS_SWAP, Tenor.ofYears(i), "DEFAULT"));
}
final String leftExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final String rightExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final boolean interpolateYields = true;
return new YieldCurveDefinition(Currency.AUD, ExternalSchemes.countryRegionId(Country.AU), "Discounting", Interpolator1DFactory.DOUBLE_QUADRATIC,
leftExtrapolatorName, rightExtrapolatorName, interpolateYields, strips);
}
public static YieldCurveDefinition buildAUDSixMonthForwardCurveDefinition() {
final Collection<FixedIncomeStrip> strips = new ArrayList<>();
for (final int i : new int[] {7}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.LIBOR, Tenor.ofDays(i), "DEFAULT"));
}
for (final int i : new int[] {1, 2, 3, 6}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.LIBOR, Tenor.ofMonths(i), "DEFAULT"));
}
for (final int i : new int[] {7, 8, 9, 10, 11}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.SWAP_6M, Tenor.ofMonths(i), "DEFAULT"));
}
for (final int i : new int[] {2, 3, 4, 5, 6, 7, 8, 9, 10, 15, 20, 25, 30}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.SWAP_6M, Tenor.ofYears(i), "DEFAULT"));
}
final String leftExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final String rightExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final boolean interpolateYields = true;
return new YieldCurveDefinition(Currency.AUD, ExternalSchemes.countryRegionId(Country.AU), "Forward6M", Interpolator1DFactory.DOUBLE_QUADRATIC,
leftExtrapolatorName, rightExtrapolatorName, interpolateYields, strips);
}
public static YieldCurveDefinition buildNZDFundingCurveDefinition() {
final Collection<FixedIncomeStrip> strips = new ArrayList<>();
for (final int i : new int[] {2}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.CASH, Tenor.ofDays(i), "DEFAULT"));
}
for (final int i : new int[] {1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.OIS_SWAP, Tenor.ofMonths(i), "DEFAULT"));
}
for (final int i : new int[] {1, 2, 3, 4, 5}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.OIS_SWAP, Tenor.ofYears(i), "DEFAULT"));
}
final String leftExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final String rightExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final boolean interpolateYields = true;
return new YieldCurveDefinition(Currency.NZD, ExternalSchemes.countryRegionId(Country.NZ), "Discounting", Interpolator1DFactory.DOUBLE_QUADRATIC,
leftExtrapolatorName, rightExtrapolatorName, interpolateYields, strips);
}
public static YieldCurveDefinition buildNZDThreeMonthForwardCurveDefinition() {
final Collection<FixedIncomeStrip> strips = new ArrayList<>();
for (final int i : new int[] {1, 2, 3, 6}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.LIBOR, Tenor.ofMonths(i), "DEFAULT"));
}
for (final int i : new int[] {7, 8, 9, 10, 11}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.SWAP_3M, Tenor.ofMonths(i), "DEFAULT"));
}
for (final int i : new int[] {2, 3, 4, 5, 6, 7, 8, 9, 10, 15, 20}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.SWAP_3M, Tenor.ofYears(i), "DEFAULT"));
}
final String leftExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final String rightExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final boolean interpolateYields = true;
return new YieldCurveDefinition(Currency.NZD, ExternalSchemes.countryRegionId(Country.NZ), "Forward3M", Interpolator1DFactory.DOUBLE_QUADRATIC,
leftExtrapolatorName, rightExtrapolatorName, interpolateYields, strips);
}
public static YieldCurveDefinition buildDKKFundingCurveDefinition() {
final Collection<FixedIncomeStrip> strips = new ArrayList<>();
for (final int i : new int[] {1, 2}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.CASH, Tenor.ofDays(i), "DEFAULT"));
}
for (final int i : new int[] {1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.OIS_SWAP, Tenor.ofMonths(i), "DEFAULT"));
}
for (final int i : new int[] {1}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.OIS_SWAP, Tenor.ofYears(i), "DEFAULT"));
}
final String leftExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final String rightExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final boolean interpolateYields = true;
return new YieldCurveDefinition(Currency.DKK, ExternalSchemes.countryRegionId(Country.DK), "Discounting", Interpolator1DFactory.DOUBLE_QUADRATIC,
leftExtrapolatorName, rightExtrapolatorName, interpolateYields, strips);
}
public static YieldCurveDefinition buildDKKSixMonthForwardCurveDefinition() {
final Collection<FixedIncomeStrip> strips = new ArrayList<>();
for (final int i : new int[] {1, 2, 3, 6}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.CIBOR, Tenor.ofMonths(i), "DEFAULT"));
}
for (final int i : new int[] {1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 15, 20}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.SWAP_6M, Tenor.ofYears(i), "DEFAULT"));
}
final String leftExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final String rightExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final boolean interpolateYields = true;
return new YieldCurveDefinition(Currency.DKK, ExternalSchemes.countryRegionId(Country.DK), "Forward6M", Interpolator1DFactory.DOUBLE_QUADRATIC,
leftExtrapolatorName, rightExtrapolatorName, interpolateYields, strips);
}
public static YieldCurveDefinition buildSecondaryDiscountingCurveDefinition(final Currency currency, final ExternalId region) {
final Collection<FixedIncomeStrip> strips = new ArrayList<>();
for (final int i : new int[] {2}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.CASH, Tenor.ofDays(i), "SECONDARY"));
}
for (final int i : new int[] {1, 2, 3, 4, 5, 6, 9}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.OIS_SWAP, Tenor.ofMonths(i), "SECONDARY"));
}
for (final int i : new int[] {1, 2, 3, 4, 5, 10}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.OIS_SWAP, Tenor.ofYears(i), "SECONDARY"));
}
final String leftExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final String rightExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final boolean interpolateYields = true;
return new YieldCurveDefinition(currency, region, "Discounting", Interpolator1DFactory.DOUBLE_QUADRATIC,
leftExtrapolatorName, rightExtrapolatorName, interpolateYields, strips);
}
public static YieldCurveDefinition buildSecondaryForward3MLiborCurveDefinition(final Currency currency, final ExternalId region) {
final Collection<FixedIncomeStrip> strips = new ArrayList<>();
for (final int i : new int[] {7}) { //, 14}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.LIBOR, Tenor.ofDays(i), "SECONDARY"));
}
for (final int i : new int[] {1, 2}) { //, 3}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.LIBOR, Tenor.ofMonths(i), "SECONDARY"));
}
for (final int i : new int[] {2, 3, 4, 5, 6, 7, 8, 9, 10, 15, 20, 25, 30}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.SWAP_3M, Tenor.ofYears(i), "SECONDARY"));
}
final String leftExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final String rightExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final boolean interpolateYields = true;
return new YieldCurveDefinition(currency, region, "Forward3M", Interpolator1DFactory.DOUBLE_QUADRATIC,
leftExtrapolatorName, rightExtrapolatorName, interpolateYields, strips);
}
public static YieldCurveDefinition buildSecondaryForward6MLiborCurveDefinition(final Currency currency, final ExternalId region) {
final Collection<FixedIncomeStrip> strips = new ArrayList<>();
for (final int i : new int[] {7}) { //, 14}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.LIBOR, Tenor.ofDays(i), "SECONDARY"));
}
for (final int i : new int[] {1, 2}) { //, 3}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.LIBOR, Tenor.ofMonths(i), "SECONDARY"));
}
for (final int i : new int[] {2, 3, 4, 5, 6, 7, 8, 9, 10, 15, 20, 25, 30}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.SWAP_6M, Tenor.ofYears(i), "SECONDARY"));
}
final String leftExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final String rightExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final boolean interpolateYields = true;
return new YieldCurveDefinition(currency, region, "Forward6M", Interpolator1DFactory.DOUBLE_QUADRATIC,
leftExtrapolatorName, rightExtrapolatorName, interpolateYields, strips);
}
public static YieldCurveDefinition buildSecondaryEURSixMonthForwardCurveDefinition() {
final Collection<FixedIncomeStrip> strips = new ArrayList<>();
strips.add(new FixedIncomeStrip(StripInstrumentType.EURIBOR, Tenor.ofMonths(6), "SECONDARY"));
for (final int i : new int[] {9, 12}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.FRA_6M, Tenor.ofMonths(i), "SECONDARY"));
}
for (final int i : new int[] {2, 3, 4, 5, 6, 7, 8, 9, 10, 12, 15, 20, 30}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.SWAP_6M, Tenor.ofYears(i), "SECONDARY"));
}
final String leftExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final String rightExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final boolean interpolateYields = true;
return new YieldCurveDefinition(Currency.EUR, ExternalSchemes.financialRegionId("EU"), "Forward6M", Interpolator1DFactory.DOUBLE_QUADRATIC,
leftExtrapolatorName, rightExtrapolatorName, interpolateYields, strips);
}
public static YieldCurveDefinition buildSecondaryEURThreeMonthFutForwardCurveDefinition() {
final Collection<FixedIncomeStrip> strips = new ArrayList<>();
for (final int i : new int[] {1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.FUTURE, Tenor.of(Period.ZERO), i, "SECONDARY"));
}
strips.add(new FixedIncomeStrip(StripInstrumentType.EURIBOR, Tenor.ofMonths(3), "SECONDARY"));
for (final int i : new int[] {4, 5, 6, 7, 8, 9, 10, 12, 15, 20, 30}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.SWAP_3M, Tenor.ofYears(i), "SECONDARY"));
}
final String leftExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final String rightExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final boolean interpolateYields = true;
return new YieldCurveDefinition(Currency.EUR, ExternalSchemes.financialRegionId("EU"), "Forward3MFut", Interpolator1DFactory.DOUBLE_QUADRATIC,
leftExtrapolatorName, rightExtrapolatorName, interpolateYields, strips);
}
public static YieldCurveDefinition buildSecondaryEURThreeMonthForwardCurveDefinition() {
final Collection<FixedIncomeStrip> strips = new ArrayList<>();
strips.add(new FixedIncomeStrip(StripInstrumentType.EURIBOR, Tenor.ofMonths(3), "SECONDARY"));
for (final int i : new int[] {6, 9, 12}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.FRA_3M, Tenor.ofMonths(i), "SECONDARY"));
}
for (final int i : new int[] {2, 3, 4, 5, 6, 7, 8, 9, 10, 12, 15, 20, 30}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.SWAP_3M, Tenor.ofYears(i), "SECONDARY"));
}
final String leftExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final String rightExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final boolean interpolateYields = true;
return new YieldCurveDefinition(Currency.EUR, ExternalSchemes.financialRegionId("EU"), "Forward3M", Interpolator1DFactory.DOUBLE_QUADRATIC,
leftExtrapolatorName, rightExtrapolatorName, interpolateYields, strips);
}
public static YieldCurveDefinition buildSecondaryDiscountingAUDCurveDefinition() {
final Collection<FixedIncomeStrip> strips = new ArrayList<>();
strips.add(new FixedIncomeStrip(StripInstrumentType.CASH, Tenor.ONE_DAY, "SECONDARY"));
for (final int i : new int[] {1, 3, 6, 9}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.OIS_SWAP, Tenor.ofMonths(i), "SECONDARY"));
}
for (final int i : new int[] {1, 2, 3, 4, 5}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.OIS_SWAP, Tenor.ofYears(i), "SECONDARY"));
}
final String leftExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final String rightExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final boolean interpolateYields = true;
return new YieldCurveDefinition(Currency.AUD, ExternalSchemes.countryRegionId(Country.AU), "Discounting", Interpolator1DFactory.DOUBLE_QUADRATIC,
leftExtrapolatorName, rightExtrapolatorName, interpolateYields, strips);
}
public static YieldCurveDefinition buildSecondaryForward3MBasisAUDCurveDefinition() {
final Collection<FixedIncomeStrip> strips = new ArrayList<>();
strips.add(new FixedIncomeStrip(StripInstrumentType.LIBOR, Tenor.THREE_MONTHS, "SECONDARY"));
for (final int i : new int[] {1, 2, 3}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.SWAP_3M, Tenor.ofYears(i), "SECONDARY_3M"));
}
for (final int i : new int[] {4, 5}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.BASIS_SWAP, Tenor.ofYears(i), Tenor.THREE_MONTHS, Tenor.SIX_MONTHS, IndexType.BBSW, IndexType.BBSW, "SECONDARY_3M"));
}
final String leftExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final String rightExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final boolean interpolateYields = true;
return new YieldCurveDefinition(Currency.AUD, ExternalSchemes.countryRegionId(Country.AU), "ForwardBasis3M", Interpolator1DFactory.DOUBLE_QUADRATIC,
leftExtrapolatorName, rightExtrapolatorName, interpolateYields, strips);
}
public static YieldCurveDefinition buildSecondaryForward6MBasisAUDCurveDefinition() {
final Collection<FixedIncomeStrip> strips = new ArrayList<>();
strips.add(new FixedIncomeStrip(StripInstrumentType.LIBOR, Tenor.SIX_MONTHS, "SECONDARY"));
for (final int i : new int[] {4, 5, 10}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.SWAP_6M, Tenor.ofYears(i), "SECONDARY_6M"));
}
for (final int i : new int[] {1, 2, 3}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.BASIS_SWAP, Tenor.ofYears(i), Tenor.THREE_MONTHS, Tenor.SIX_MONTHS, IndexType.BBSW, IndexType.BBSW, "SECONDARY_6M"));
}
final String leftExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final String rightExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final boolean interpolateYields = true;
return new YieldCurveDefinition(Currency.AUD, ExternalSchemes.countryRegionId(Country.AU), "ForwardBasis6M", Interpolator1DFactory.DOUBLE_QUADRATIC,
leftExtrapolatorName, rightExtrapolatorName, interpolateYields, strips);
}
public static YieldCurveDefinition buildSecondarySingleAUDCurveDefinition() {
final Collection<FixedIncomeStrip> strips = new ArrayList<>();
strips.add(new FixedIncomeStrip(StripInstrumentType.CASH, Tenor.ONE_DAY, "SECONDARY"));
for (final int i : new int[] {1, 2, 3}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.CASH, Tenor.ofMonths(i), "SECONDARY"));
}
for (final int i : new int[] {1, 2, 3}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.SWAP_3M, Tenor.ofYears(i), "SECONDARY_3M"));
}
strips.add(new FixedIncomeStrip(StripInstrumentType.SWAP_3M, Tenor.ofYears(3), "SECONDARY_3M"));
for (final int i : new int[] {4, 5}) {
strips.add(new FixedIncomeStrip(StripInstrumentType.SWAP_6M, Tenor.ofYears(i), "SECONDARY_6M"));
}
final String leftExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final String rightExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
final boolean interpolateYields = true;
return new YieldCurveDefinition(Currency.AUD, ExternalSchemes.countryRegionId(Country.AU), "Single", Interpolator1DFactory.DOUBLE_QUADRATIC,
leftExtrapolatorName, rightExtrapolatorName, interpolateYields, strips);
}
public static Map<String, Map<Currency, YieldCurveDefinition>> buildNewCurveDefinitions() {
final Map<Currency, YieldCurveDefinition> forward3MDefinitions = new HashMap<>();
final Map<Currency, YieldCurveDefinition> forward6MDefinitions = new HashMap<>();
final Map<Currency, YieldCurveDefinition> discountingDefinitions = new HashMap<>();
forward3MDefinitions.put(Currency.USD, buildSecondaryForward3MLiborCurveDefinition(Currency.USD, ExternalSchemes.countryRegionId(Country.US)));
forward6MDefinitions.put(Currency.EUR, buildSecondaryEURSixMonthForwardCurveDefinition());
forward3MDefinitions.put(Currency.EUR, buildSecondaryEURThreeMonthForwardCurveDefinition());
forward6MDefinitions.put(Currency.GBP, buildSecondaryForward6MLiborCurveDefinition(Currency.GBP, ExternalSchemes.countryRegionId(Country.GB)));
forward6MDefinitions.put(Currency.CHF, buildSecondaryForward6MLiborCurveDefinition(Currency.CHF, ExternalSchemes.countryRegionId(Country.CH)));
forward6MDefinitions.put(Currency.JPY, buildSecondaryForward6MLiborCurveDefinition(Currency.JPY, ExternalSchemes.countryRegionId(Country.JP)));
discountingDefinitions.put(Currency.USD, buildSecondaryDiscountingCurveDefinition(Currency.USD, ExternalSchemes.countryRegionId(Country.US)));
discountingDefinitions.put(Currency.EUR, buildSecondaryDiscountingCurveDefinition(Currency.EUR, ExternalSchemes.countryRegionId(Country.EU)));
discountingDefinitions.put(Currency.GBP, buildSecondaryDiscountingCurveDefinition(Currency.GBP, ExternalSchemes.countryRegionId(Country.GB)));
discountingDefinitions.put(Currency.CHF, buildSecondaryDiscountingCurveDefinition(Currency.CHF, ExternalSchemes.countryRegionId(Country.CH)));
discountingDefinitions.put(Currency.JPY, buildSecondaryDiscountingCurveDefinition(Currency.JPY, ExternalSchemes.countryRegionId(Country.JP)));
final Map<String, Map<Currency, YieldCurveDefinition>> definitions = new HashMap<>();
definitions.put("Forward3M", forward3MDefinitions);
definitions.put("Forward6M", forward6MDefinitions);
definitions.put("Discounting", discountingDefinitions);
definitions.put("Forward3MFut", Collections.singletonMap(Currency.EUR, buildSecondaryEURThreeMonthFutForwardCurveDefinition()));
return definitions;
}
public static Map<String, Map<Currency, YieldCurveDefinition>> buildNewBbgCurveDefinitions() {
final Map<Currency, YieldCurveDefinition> forward3MDefinitions = new HashMap<>();
final Map<Currency, YieldCurveDefinition> forward6MDefinitions = new HashMap<>();
final Map<Currency, YieldCurveDefinition> discountingDefinitions = new HashMap<>();
forward3MDefinitions.put(Currency.USD, buildUSDThreeMonthForwardCurveDefinition());
discountingDefinitions.put(Currency.USD, buildUSDFundingCurveDefinition());
forward6MDefinitions.put(Currency.EUR, buildEURSixMonthForwardCurveDefinition());
forward3MDefinitions.put(Currency.EUR, buildEURThreeMonthForwardCurveDefinition());
discountingDefinitions.put(Currency.EUR, buildEURFundingCurveDefinition());
forward6MDefinitions.put(Currency.GBP, buildGBPSixMonthForwardCurveDefinition());
discountingDefinitions.put(Currency.GBP, buildGBPFundingCurveDefinition());
forward6MDefinitions.put(Currency.JPY, buildJPYSixMonthForwardCurveDefinition());
discountingDefinitions.put(Currency.JPY, buildJPYFundingCurveDefinition());
forward6MDefinitions.put(Currency.CHF, buildCHFSixMonthForwardCurveDefinition());
discountingDefinitions.put(Currency.CHF, buildCHFFundingCurveDefinition());
forward6MDefinitions.put(Currency.CAD, buildCADSixMonthForwardCurveDefinition());
discountingDefinitions.put(Currency.CAD, buildCADFundingCurveDefinition());
forward6MDefinitions.put(Currency.AUD, buildAUDSixMonthForwardCurveDefinition());
discountingDefinitions.put(Currency.AUD, buildAUDFundingCurveDefinition());
forward3MDefinitions.put(Currency.NZD, buildNZDThreeMonthForwardCurveDefinition());
discountingDefinitions.put(Currency.NZD, buildNZDFundingCurveDefinition());
forward6MDefinitions.put(Currency.DKK, buildDKKSixMonthForwardCurveDefinition());
discountingDefinitions.put(Currency.DKK, buildDKKFundingCurveDefinition());
final Map<String, Map<Currency, YieldCurveDefinition>> definitions = new HashMap<>();
definitions.put("Forward3M", forward3MDefinitions);
definitions.put("Forward6M", forward6MDefinitions);
definitions.put("Discounting", discountingDefinitions);
definitions.put("Forward3MFut", Collections.singletonMap(Currency.EUR, buildEURThreeMonthFutForwardCurveDefinition()));
return definitions;
}
public static Map<Currency, CurveSpecificationBuilderConfiguration> buildStandardCurveSpecificationBuilderConfigurations() {
final Map<Currency, CurveSpecificationBuilderConfiguration> configurations = new HashMap<>();
final CurveSpecificationBuilderConfiguration usdConfig = new CurveSpecificationBuilderConfiguration(buildStandardBloombergDepositInstrumentProvider("US"),
buildStandardBloomberg3MFRAInstrumentProvider("US"), buildStandardBloomberg6MFRAInstrumentProvider("US"), buildStandardBloombergLiborInstrumentProvider("US", "O/N", "T/N"), null, null, null,
null, buildStandardBloombergFutureInstrumentProvider("ED"), null, buildStandardBloomberg3MSwapInstrumentProvider("US", ""), null, null,
buildStandardBloombergOISSwapInstrumentProvider("USSO"), null, null, null, null, null);
configurations.put(Currency.USD, usdConfig);
final CurveSpecificationBuilderConfiguration eurConfig = new CurveSpecificationBuilderConfiguration(buildStandardBloombergDepositInstrumentProvider("EU"),
buildStandardBloomberg3MFRAInstrumentProvider("EU"), buildStandardBloomberg6MFRAInstrumentProvider("EU"), buildStandardBloombergLiborInstrumentProvider("EU", "O/N", "T/N"),
buildStandardBloombergEuriborInstrumentProvider(), null, null, null, buildStandardBloombergFutureInstrumentProvider("ER"), buildStandardBloomberg6MSwapInstrumentProvider("EUSA"),
buildStandardBloomberg3MSwapInstrumentProvider("EU", "V3"), null, null, buildStandardBloombergOISSwapInstrumentProvider("EUSWE"), null, null, null, null, null);
configurations.put(Currency.EUR, eurConfig);
final CurveSpecificationBuilderConfiguration gbpConfig = new CurveSpecificationBuilderConfiguration(buildStandardBloombergDepositInstrumentProvider("BP"),
buildStandardBloomberg3MFRAInstrumentProvider("BP"), buildStandardBloomberg6MFRAInstrumentProvider("BP"), buildStandardBloombergLiborInstrumentProvider("BP", "O/N", "T/N"), null, null, null,
null, buildStandardBloombergFutureInstrumentProvider("L "), buildStandardBloomberg6MSwapInstrumentProvider("BPSW"), null, null, null, buildStandardBloombergOISSwapInstrumentProvider("BPSWS"),
null, null, null, null, null);
configurations.put(Currency.GBP, gbpConfig);
final CurveSpecificationBuilderConfiguration jpyConfig = new CurveSpecificationBuilderConfiguration(buildStandardBloombergDepositInstrumentProvider("JY"), null,
buildStandardBloombergJPY6MFRAInstrumentProvider(), buildStandardBloombergLiborInstrumentProvider("JY", "S/N", "T/N"), null, null, null, null,
buildStandardBloombergFutureInstrumentProvider("EF"), buildStandardBloomberg6MSwapInstrumentProvider("JYSW"), null, null, null, buildStandardBloombergOISSwapInstrumentProvider("JYSO"),
null, null, null, null, null);
configurations.put(Currency.JPY, jpyConfig);
final CurveSpecificationBuilderConfiguration chfConfig = new CurveSpecificationBuilderConfiguration(buildStandardBloombergDepositInstrumentProvider("SF"),
buildStandardBloomberg3MFRAInstrumentProvider("SF"), buildStandardBloomberg6MFRAInstrumentProvider("SF"), buildStandardBloombergLiborInstrumentProvider("SF", "S/N", "T/N"), null, null, null,
null, buildStandardBloombergFutureInstrumentProvider("ES"), buildStandardBloomberg6MSwapInstrumentProvider("SFSW"), null, null, null, buildStandardBloombergOISSwapInstrumentProvider("SFSWT"),
null, null, null, null, null);
configurations.put(Currency.CHF, chfConfig);
final CurveSpecificationBuilderConfiguration cadConfig = new CurveSpecificationBuilderConfiguration(buildStandardBloombergDepositInstrumentProvider("CD"),
buildStandardBloomberg3MFRAInstrumentProvider("CD"), buildStandardBloomberg6MFRAInstrumentProvider("CD"), null, null, buildStandardBloombergCDORInstrumentProvider(), null, null,
buildStandardBloombergFutureInstrumentProvider("BA"), buildStandardBloomberg6MSwapInstrumentProvider("CDSW"), null, null, null, buildStandardBloombergOISSwapInstrumentProvider("CDSO"),
null, null, null, null, null);
configurations.put(Currency.CAD, cadConfig);
final CurveSpecificationBuilderConfiguration audConfig = new CurveSpecificationBuilderConfiguration(buildStandardBloombergDepositInstrumentProvider("AD"),
buildStandardBloomberg3MFRAInstrumentProvider("AD"), buildStandardBloomberg6MFRAInstrumentProvider("AD"), buildStandardBloombergLiborInstrumentProvider("AU", "O/N", "T/N"), null, null, null,
null, null, buildStandardBloomberg6MSwapInstrumentProvider("ADSW"), null, null, null, buildStandardBloombergOISSwapInstrumentProvider("ADSO"),
null, null, null, null, null);
configurations.put(Currency.AUD, audConfig);
final CurveSpecificationBuilderConfiguration nzdConfig = new CurveSpecificationBuilderConfiguration(buildStandardBloombergDepositInstrumentProvider("ND"),
buildStandardBloomberg3MFRAInstrumentProvider("ND"), buildStandardBloomberg6MFRAInstrumentProvider("ND"), buildStandardBloombergLiborInstrumentProvider("NZ", "O/N", "T/N"), null, null, null,
null, null, null, buildStandardBloomberg3MSwapInstrumentProvider("ND", ""), null, null, buildStandardBloombergOISSwapInstrumentProvider("NDSO"),
null, null, null, null, null);
configurations.put(Currency.NZD, nzdConfig);
final CurveSpecificationBuilderConfiguration dkkConfig = new CurveSpecificationBuilderConfiguration(buildStandardBloombergDepositInstrumentProvider("DK"), null, null, null, null, null,
buildStandardBloombergCiborInstrumentProvider(), null, null, buildStandardBloomberg6MSwapInstrumentProvider("DKSW"), null, null, null,
buildStandardBloombergOISSwapInstrumentProvider("DKSWTN"), null, null, null, null, null);
configurations.put(Currency.DKK, dkkConfig);
return configurations;
}
public static Map<Currency, CurveSpecificationBuilderConfiguration> buildSyntheticCurveSpecificationBuilderConfigurations() {
final Map<Currency, CurveSpecificationBuilderConfiguration> configurations = new HashMap<>();
final ExternalScheme scheme = ExternalSchemes.OG_SYNTHETIC_TICKER;
configurations.put(Currency.EUR, buildSyntheticCurveSpecificationBuilderConfiguration(Currency.EUR, scheme, "ER"));
configurations.put(Currency.DKK, buildSyntheticCurveSpecificationBuilderConfiguration(Currency.DKK, scheme));
configurations.put(Currency.DEM, buildSyntheticCurveSpecificationBuilderConfiguration(Currency.DEM, scheme));
configurations.put(Currency.CZK, buildSyntheticCurveSpecificationBuilderConfiguration(Currency.CZK, scheme));
configurations.put(Currency.CAD, buildSyntheticCurveSpecificationBuilderConfiguration(Currency.CAD, scheme));
configurations.put(Currency.AUD, buildSyntheticCurveSpecificationBuilderConfiguration(Currency.AUD, scheme));
configurations.put(Currency.USD, buildSyntheticCurveSpecificationBuilderConfiguration(Currency.USD, scheme));
configurations.put(Currency.SKK, buildSyntheticCurveSpecificationBuilderConfiguration(Currency.SKK, scheme));
configurations.put(Currency.SEK, buildSyntheticCurveSpecificationBuilderConfiguration(Currency.SEK, scheme));
configurations.put(Currency.NOK, buildSyntheticCurveSpecificationBuilderConfiguration(Currency.NOK, scheme));
configurations.put(Currency.JPY, buildSyntheticCurveSpecificationBuilderConfiguration(Currency.JPY, scheme));
configurations.put(Currency.ITL, buildSyntheticCurveSpecificationBuilderConfiguration(Currency.ITL, scheme));
configurations.put(Currency.HUF, buildSyntheticCurveSpecificationBuilderConfiguration(Currency.HUF, scheme));
configurations.put(Currency.HKD, buildSyntheticCurveSpecificationBuilderConfiguration(Currency.HKD, scheme));
configurations.put(Currency.GBP, buildSyntheticCurveSpecificationBuilderConfiguration(Currency.GBP, scheme));
configurations.put(Currency.FRF, buildSyntheticCurveSpecificationBuilderConfiguration(Currency.FRF, scheme));
configurations.put(Currency.NZD, buildSyntheticCurveSpecificationBuilderConfiguration(Currency.NZD, scheme));
configurations.put(Currency.CHF, buildSyntheticCurveSpecificationBuilderConfiguration(Currency.CHF, scheme));
return configurations;
}
public static CurveSpecificationBuilderConfiguration buildSyntheticAUD3MCurveSpecification() {
final ExternalScheme scheme = ExternalSchemes.OG_SYNTHETIC_TICKER;
final Tenor[] tenors = new Tenor[] {Tenor.ONE_YEAR, Tenor.TWO_YEARS, Tenor.THREE_YEARS, Tenor.FOUR_YEARS, Tenor.FIVE_YEARS, Tenor.ofYears(6), Tenor.ofYears(7), Tenor.ofYears(8), Tenor.ofYears(9),
Tenor.ofYears(10), Tenor.ofYears(11), Tenor.ofYears(12), Tenor.ofYears(15), Tenor.ofYears(20), Tenor.ofYears(25), Tenor.ofYears(30), Tenor.ofYears(40), Tenor.ofYears(50), Tenor.ofYears(80)};
final Map<Tenor, CurveInstrumentProvider> fraInstrumentProviders = new HashMap<>();
final Map<Tenor, CurveInstrumentProvider> swapInstrumentProviders = new HashMap<>();
final Map<Tenor, CurveInstrumentProvider> basisSwapInstrumentProviders = new HashMap<>();
for (final Tenor tenor : tenors) {
fraInstrumentProviders.put(tenor, new SyntheticIdentifierCurveInstrumentProvider(Currency.AUD, StripInstrumentType.FRA_3M, scheme));
swapInstrumentProviders.put(tenor, new SyntheticIdentifierCurveInstrumentProvider(Currency.AUD, StripInstrumentType.SWAP_3M, scheme));
basisSwapInstrumentProviders.put(tenor, new SyntheticIdentifierCurveInstrumentProvider(Currency.AUD, StripInstrumentType.BASIS_SWAP, scheme));
}
return new CurveSpecificationBuilderConfiguration(null, fraInstrumentProviders, null, null, null, null, null, null, null, null,
swapInstrumentProviders, basisSwapInstrumentProviders, null, null, null, null, null, null, null);
}
public static CurveSpecificationBuilderConfiguration buildSyntheticAUD6MCurveSpecification() {
final ExternalScheme scheme = ExternalSchemes.OG_SYNTHETIC_TICKER;
final Tenor[] tenors = new Tenor[] {Tenor.ONE_YEAR, Tenor.TWO_YEARS, Tenor.THREE_YEARS, Tenor.FOUR_YEARS, Tenor.FIVE_YEARS, Tenor.ofYears(6), Tenor.ofYears(7), Tenor.ofYears(8), Tenor.ofYears(9),
Tenor.ofYears(10), Tenor.ofYears(11), Tenor.ofYears(12), Tenor.ofYears(15), Tenor.ofYears(20), Tenor.ofYears(25), Tenor.ofYears(30), Tenor.ofYears(40), Tenor.ofYears(50), Tenor.ofYears(80)};
final Map<Tenor, CurveInstrumentProvider> fraInstrumentProviders = new HashMap<>();
final Map<Tenor, CurveInstrumentProvider> swapInstrumentProviders = new HashMap<>();
final Map<Tenor, CurveInstrumentProvider> basisSwapInstrumentProviders = new HashMap<>();
for (final Tenor tenor : tenors) {
fraInstrumentProviders.put(tenor, new SyntheticIdentifierCurveInstrumentProvider(Currency.AUD, StripInstrumentType.FRA_6M, scheme));
swapInstrumentProviders.put(tenor, new SyntheticIdentifierCurveInstrumentProvider(Currency.AUD, StripInstrumentType.SWAP_6M, scheme));
basisSwapInstrumentProviders.put(tenor, new SyntheticIdentifierCurveInstrumentProvider(Currency.AUD, StripInstrumentType.BASIS_SWAP, scheme));
}
return new CurveSpecificationBuilderConfiguration(null, null, fraInstrumentProviders, null, null, null, null, null, null,
swapInstrumentProviders, null, basisSwapInstrumentProviders, null, null, null, null, null, null, null);
}
private static CurveSpecificationBuilderConfiguration buildSyntheticCurveSpecificationBuilderConfiguration(final Currency ccy, final ExternalScheme scheme) {
final Map<Tenor, CurveInstrumentProvider> cashInstrumentProviders = new HashMap<>();
final Map<Tenor, CurveInstrumentProvider> fra3MInstrumentProviders = new HashMap<>();
final Map<Tenor, CurveInstrumentProvider> fra6MInstrumentProviders = new HashMap<>();
final Map<Tenor, CurveInstrumentProvider> liborInstrumentProviders = new HashMap<>();
final Map<Tenor, CurveInstrumentProvider> euriborInstrumentProviders = new HashMap<>();
final Map<Tenor, CurveInstrumentProvider> cdorInstrumentProviders = new HashMap<>();
final Map<Tenor, CurveInstrumentProvider> ciborInstrumentProviders = new HashMap<>();
final Map<Tenor, CurveInstrumentProvider> stiborInstrumentProviders = new HashMap<>();
final Map<Tenor, CurveInstrumentProvider> swap6MInstrumentProviders = new HashMap<>();
final Map<Tenor, CurveInstrumentProvider> swap3MInstrumentProviders = new HashMap<>();
final Map<Tenor, CurveInstrumentProvider> basisSwapInstrumentProviders = new HashMap<>();
final Map<Tenor, CurveInstrumentProvider> tenorSwapInstrumentProviders = new HashMap<>();
final Map<Tenor, CurveInstrumentProvider> oisSwapInstrumentProviders = new HashMap<>();
final Tenor[] tenors = new Tenor[] {Tenor.DAY, Tenor.TWO_DAYS, Tenor.THREE_DAYS, Tenor.ONE_WEEK, Tenor.TWO_WEEKS, Tenor.THREE_WEEKS, Tenor.ONE_MONTH, Tenor.TWO_MONTHS,
Tenor.THREE_MONTHS, Tenor.FOUR_MONTHS, Tenor.FIVE_MONTHS, Tenor.SIX_MONTHS, Tenor.SEVEN_MONTHS, Tenor.EIGHT_MONTHS, Tenor.NINE_MONTHS, Tenor.TEN_MONTHS, Tenor.ELEVEN_MONTHS,
Tenor.TWELVE_MONTHS, Tenor.ONE_YEAR, Tenor.TWO_YEARS, Tenor.THREE_YEARS, Tenor.FOUR_YEARS, Tenor.FIVE_YEARS, Tenor.ofYears(6), Tenor.ofYears(7), Tenor.ofYears(8), Tenor.ofYears(9),
Tenor.ofYears(10), Tenor.ofYears(11), Tenor.ofYears(12), Tenor.ofYears(15), Tenor.ofYears(20), Tenor.ofYears(25), Tenor.ofYears(30), Tenor.ofYears(40), Tenor.ofYears(50), Tenor.ofYears(80)};
for (final Tenor tenor : tenors) {
cashInstrumentProviders.put(tenor, new SyntheticIdentifierCurveInstrumentProvider(ccy, StripInstrumentType.CASH, scheme));
fra3MInstrumentProviders.put(tenor, new SyntheticIdentifierCurveInstrumentProvider(ccy, StripInstrumentType.FRA_3M, scheme));
fra6MInstrumentProviders.put(tenor, new SyntheticIdentifierCurveInstrumentProvider(ccy, StripInstrumentType.FRA_6M, scheme));
liborInstrumentProviders.put(tenor, new SyntheticIdentifierCurveInstrumentProvider(ccy, StripInstrumentType.LIBOR, scheme));
euriborInstrumentProviders.put(tenor, new SyntheticIdentifierCurveInstrumentProvider(ccy, StripInstrumentType.EURIBOR, scheme));
cdorInstrumentProviders.put(tenor, new SyntheticIdentifierCurveInstrumentProvider(ccy, StripInstrumentType.CDOR, scheme));
ciborInstrumentProviders.put(tenor, new SyntheticIdentifierCurveInstrumentProvider(ccy, StripInstrumentType.CIBOR, scheme));
stiborInstrumentProviders.put(tenor, new SyntheticIdentifierCurveInstrumentProvider(ccy, StripInstrumentType.STIBOR, scheme));
tenorSwapInstrumentProviders.put(tenor, new SyntheticIdentifierCurveInstrumentProvider(ccy, StripInstrumentType.TENOR_SWAP, scheme));
swap6MInstrumentProviders.put(tenor, new SyntheticIdentifierCurveInstrumentProvider(ccy, StripInstrumentType.SWAP_6M, scheme));
swap3MInstrumentProviders.put(tenor, new SyntheticIdentifierCurveInstrumentProvider(ccy, StripInstrumentType.SWAP_3M, scheme));
basisSwapInstrumentProviders.put(tenor, new SyntheticIdentifierCurveInstrumentProvider(ccy, StripInstrumentType.BASIS_SWAP, scheme));
oisSwapInstrumentProviders.put(tenor, new SyntheticIdentifierCurveInstrumentProvider(ccy, StripInstrumentType.OIS_SWAP, scheme));
}
final CurveSpecificationBuilderConfiguration config = new CurveSpecificationBuilderConfiguration(cashInstrumentProviders, fra3MInstrumentProviders, fra6MInstrumentProviders,
liborInstrumentProviders, euriborInstrumentProviders, cdorInstrumentProviders, ciborInstrumentProviders, stiborInstrumentProviders, null, swap6MInstrumentProviders,
swap3MInstrumentProviders, basisSwapInstrumentProviders, tenorSwapInstrumentProviders, oisSwapInstrumentProviders, null, null, null, null, null);
return config;
}
private static CurveSpecificationBuilderConfiguration buildSyntheticCurveSpecificationBuilderConfiguration(final Currency ccy, final ExternalScheme scheme,
final String futurePrefix) {
final Map<Tenor, CurveInstrumentProvider> cashInstrumentProviders = new HashMap<>();
final Map<Tenor, CurveInstrumentProvider> fra3MInstrumentProviders = new HashMap<>();
final Map<Tenor, CurveInstrumentProvider> fra6MInstrumentProviders = new HashMap<>();
final Map<Tenor, CurveInstrumentProvider> liborInstrumentProviders = new HashMap<>();
final Map<Tenor, CurveInstrumentProvider> euriborInstrumentProviders = new HashMap<>();
final Map<Tenor, CurveInstrumentProvider> cdorInstrumentProviders = new HashMap<>();
final Map<Tenor, CurveInstrumentProvider> ciborInstrumentProviders = new HashMap<>();
final Map<Tenor, CurveInstrumentProvider> stiborInstrumentProviders = new HashMap<>();
final Map<Tenor, CurveInstrumentProvider> futureInstrumentProviders = new HashMap<>();
final Map<Tenor, CurveInstrumentProvider> swap6MInstrumentProviders = new HashMap<>();
final Map<Tenor, CurveInstrumentProvider> swap3MInstrumentProviders = new HashMap<>();
final Map<Tenor, CurveInstrumentProvider> basisSwapInstrumentProviders = new HashMap<>();
final Map<Tenor, CurveInstrumentProvider> tenorSwapInstrumentProviders = new HashMap<>();
final Map<Tenor, CurveInstrumentProvider> oisSwapInstrumentProviders = new HashMap<>();
final Tenor[] tenors = new Tenor[] {Tenor.of(Period.ZERO), Tenor.DAY, Tenor.TWO_DAYS, Tenor.THREE_DAYS, Tenor.ONE_WEEK, Tenor.TWO_WEEKS, Tenor.THREE_WEEKS, Tenor.ONE_MONTH, Tenor.TWO_MONTHS,
Tenor.THREE_MONTHS, Tenor.FOUR_MONTHS, Tenor.FIVE_MONTHS, Tenor.SIX_MONTHS, Tenor.SEVEN_MONTHS, Tenor.EIGHT_MONTHS, Tenor.NINE_MONTHS, Tenor.TEN_MONTHS, Tenor.ELEVEN_MONTHS,
Tenor.TWELVE_MONTHS, Tenor.ONE_YEAR, Tenor.TWO_YEARS, Tenor.THREE_YEARS, Tenor.FOUR_YEARS, Tenor.FIVE_YEARS, Tenor.ofYears(6), Tenor.ofYears(7), Tenor.ofYears(8), Tenor.ofYears(9),
Tenor.ofYears(10), Tenor.ofYears(11), Tenor.ofYears(12), Tenor.ofYears(15), Tenor.ofYears(20), Tenor.ofYears(25), Tenor.ofYears(30), Tenor.ofYears(40), Tenor.ofYears(50), Tenor.ofYears(80)};
for (final Tenor tenor : tenors) {
cashInstrumentProviders.put(tenor, new SyntheticIdentifierCurveInstrumentProvider(ccy, StripInstrumentType.CASH, scheme));
fra3MInstrumentProviders.put(tenor, new SyntheticIdentifierCurveInstrumentProvider(ccy, StripInstrumentType.FRA_3M, scheme));
fra6MInstrumentProviders.put(tenor, new SyntheticIdentifierCurveInstrumentProvider(ccy, StripInstrumentType.FRA_6M, scheme));
liborInstrumentProviders.put(tenor, new SyntheticIdentifierCurveInstrumentProvider(ccy, StripInstrumentType.LIBOR, scheme));
euriborInstrumentProviders.put(tenor, new SyntheticIdentifierCurveInstrumentProvider(ccy, StripInstrumentType.EURIBOR, scheme));
cdorInstrumentProviders.put(tenor, new SyntheticIdentifierCurveInstrumentProvider(ccy, StripInstrumentType.CDOR, scheme));
ciborInstrumentProviders.put(tenor, new SyntheticIdentifierCurveInstrumentProvider(ccy, StripInstrumentType.CIBOR, scheme));
stiborInstrumentProviders.put(tenor, new SyntheticIdentifierCurveInstrumentProvider(ccy, StripInstrumentType.STIBOR, scheme));
futureInstrumentProviders.put(tenor, new SyntheticFutureCurveInstrumentProvider(futurePrefix));
tenorSwapInstrumentProviders.put(tenor, new SyntheticIdentifierCurveInstrumentProvider(ccy, StripInstrumentType.TENOR_SWAP, scheme));
swap6MInstrumentProviders.put(tenor, new SyntheticIdentifierCurveInstrumentProvider(ccy, StripInstrumentType.SWAP_6M, scheme));
swap3MInstrumentProviders.put(tenor, new SyntheticIdentifierCurveInstrumentProvider(ccy, StripInstrumentType.SWAP_3M, scheme));
basisSwapInstrumentProviders.put(tenor, new SyntheticIdentifierCurveInstrumentProvider(ccy, StripInstrumentType.BASIS_SWAP, scheme));
oisSwapInstrumentProviders.put(tenor, new SyntheticIdentifierCurveInstrumentProvider(ccy, StripInstrumentType.OIS_SWAP, scheme));
}
final CurveSpecificationBuilderConfiguration config = new CurveSpecificationBuilderConfiguration(cashInstrumentProviders, fra3MInstrumentProviders, fra6MInstrumentProviders,
liborInstrumentProviders, euriborInstrumentProviders, cdorInstrumentProviders, ciborInstrumentProviders, stiborInstrumentProviders, futureInstrumentProviders, swap6MInstrumentProviders,
swap3MInstrumentProviders, basisSwapInstrumentProviders, tenorSwapInstrumentProviders, oisSwapInstrumentProviders, null, null, null, null, null);
return config;
}
public static Map<Tenor, CurveInstrumentProvider> buildStandardBloombergDepositInstrumentProvider(final String prefix) {
final Map<Tenor, CurveInstrumentProvider> provider = new LinkedHashMap<>();
provider.put(Tenor.ofDays(1), new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId(prefix + "DR1T Curncy")));
provider.put(Tenor.ofDays(2), new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId(prefix + "DR2T Curncy")));
provider.put(Tenor.ofDays(3), new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId(prefix + "DR3T Curncy")));
for (int i = 1; i < 4; i++) {
provider.put(Tenor.ofDays(i * 7), new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId(prefix + "DR" + i + "Z Curncy")));
}
for (int i = 1; i < 12; i++) {
provider.put(Tenor.ofMonths(i), new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId(prefix + "DR" + BBG_MONTH_CODES[i - 1] + " Curncy")));
}
for (int i = 1; i < 51; i++) {
provider.put(Tenor.ofYears(i), new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId(prefix + "DR" + i + " Curncy")));
}
return provider;
}
public static Map<Tenor, CurveInstrumentProvider> buildStandardBloombergLiborInstrumentProvider(final String prefix, final String overnightString, final String twoDayString) {
final Map<Tenor, CurveInstrumentProvider> provider = new LinkedHashMap<>();
provider.put(Tenor.ofDays(1), new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId(prefix + "00" + overnightString + " Index")));
provider.put(Tenor.ofDays(2), new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId(prefix + "00" + twoDayString + " Index")));
for (int i = 1; i < 4; i++) {
provider.put(Tenor.ofDays(i * 7), new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId(prefix + "000" + i + "W Index")));
}
for (int i = 1; i < 10; i++) {
provider.put(Tenor.ofMonths(i), new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId(prefix + "000" + i + "M Index")));
}
for (int i = 10; i < 13; i++) {
provider.put(Tenor.ofMonths(i), new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId(prefix + "00" + i + "M Index")));
}
return provider;
}
public static Map<Tenor, CurveInstrumentProvider> buildStandardBloombergEuriborInstrumentProvider() {
final Map<Tenor, CurveInstrumentProvider> provider = new LinkedHashMap<>();
for (int i = 1; i < 4; i++) {
provider.put(Tenor.ofDays(i * 7), new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("EUR00" + i + "W Index")));
}
for (int i = 1; i < 10; i++) {
provider.put(Tenor.ofMonths(i), new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("EUR00" + i + "M Index")));
}
return provider;
}
public static Map<Tenor, CurveInstrumentProvider> buildStandardBloombergCDORInstrumentProvider() {
final Map<Tenor, CurveInstrumentProvider> provider = new LinkedHashMap<>();
for (int i = 1; i < 7; i++) {
provider.put(Tenor.ofMonths(i), new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("CDOR0" + i + " RBC Index")));
}
return provider;
}
public static Map<Tenor, CurveInstrumentProvider> buildStandardBloombergCiborInstrumentProvider() {
final Map<Tenor, CurveInstrumentProvider> provider = new LinkedHashMap<>();
for (int i = 1; i < 4; i++) {
provider.put(Tenor.ofDays(i * 7), new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("CIBO0" + i + "W Index")));
}
for (int i = 1; i < 10; i++) {
provider.put(Tenor.ofMonths(i), new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("CIBO0" + i + "M Index")));
}
return provider;
}
public static Map<Tenor, CurveInstrumentProvider> buildStandardBloombergStiborInstrumentProvider() {
final Map<Tenor, CurveInstrumentProvider> provider = new LinkedHashMap<>();
provider.put(Tenor.ofDays(1), new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("STIB1D Index")));
for (int i = 1; i < 4; i++) {
provider.put(Tenor.ofDays(i * 7), new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("STIB" + i + "W Index")));
}
for (int i = 1; i < 10; i++) {
provider.put(Tenor.ofMonths(i), new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("STIB" + i + "M Index")));
}
return provider;
}
public static Map<Tenor, CurveInstrumentProvider> buildStandardBloomberg3MFRAInstrumentProvider(final String prefix) {
final Map<Tenor, CurveInstrumentProvider> provider = new LinkedHashMap<>();
provider.put(Tenor.ofMonths(3), new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId(prefix + "FR00C Curncy")));
for (int i = 1; i < 22; i++) {
final int year = i / 12;
final int month = i % 12;
String startTenor, endTenor3M;
if (month == 0) {
startTenor = "0" + String.valueOf(year);
} else {
startTenor = String.valueOf(year) + BBG_MONTH_CODES[month - 1];
}
final int endYear3M = (i + 3) / 12;
final int endMonth3M = (i + 3) % 12;
if (endMonth3M == 0) {
endTenor3M = String.valueOf(endYear3M);
} else {
endTenor3M = (endYear3M > 0 ? String.valueOf(endYear3M) : "") + BBG_MONTH_CODES[endMonth3M - 1];
}
provider.put(Tenor.ofMonths(i + 3), new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId(prefix + "FR" + startTenor + endTenor3M + " Curncy")));
}
return provider;
}
public static Map<Tenor, CurveInstrumentProvider> buildStandardBloomberg6MFRAInstrumentProvider(final String prefix) {
final Map<Tenor, CurveInstrumentProvider> provider = new LinkedHashMap<>();
provider.put(Tenor.ofMonths(6), new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId(prefix + "FR00F Curncy")));
for (int i = 1; i < 22; i++) {
final int year = i / 12;
final int month = i % 12;
String startTenor, endTenor6M;
if (month == 0) {
startTenor = "0" + String.valueOf(year);
} else {
startTenor = String.valueOf(year) + BBG_MONTH_CODES[month - 1];
}
final int endYear6M = (i + 6) / 12;
final int endMonth6M = (i + 6) % 12;
if (endMonth6M == 0) {
endTenor6M = String.valueOf(endYear6M);
} else {
endTenor6M = (endYear6M > 0 ? String.valueOf(endYear6M) : "") + BBG_MONTH_CODES[endMonth6M - 1];
}
provider.put(Tenor.ofMonths(i + 6), new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId(prefix + "FR" + startTenor + endTenor6M + " Curncy")));
}
return provider;
}
public static Map<Tenor, CurveInstrumentProvider> buildStandardBloombergJPY6MFRAInstrumentProvider() {
final Map<Tenor, CurveInstrumentProvider> provider = new LinkedHashMap<>();
for (int i = 0; i < 22; i++) {
provider.put(Tenor.ofMonths(i + 6), new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("JYFR" + i + "/" + (i + 6) + " Curncy")));
}
return provider;
}
public static Map<Tenor, CurveInstrumentProvider> buildStandardBloombergFutureInstrumentProvider(final String futurePrefix) {
final Map<Tenor, CurveInstrumentProvider> provider = new LinkedHashMap<>();
provider.put(Tenor.ofYears(0), new BloombergFutureCurveInstrumentProvider(futurePrefix, "Comdty"));
// note that these are start points, so 1 yr + (as many quarterly futures as you want)
provider.put(Tenor.ofYears(1), new BloombergFutureCurveInstrumentProvider(futurePrefix, "Comdty"));
// note that these are start points, so 1 yr + (as many quarterly futures as you want)
provider.put(Tenor.ofMonths(12), new BloombergFutureCurveInstrumentProvider(futurePrefix, "Comdty"));
provider.put(Tenor.ofMonths(18), new BloombergFutureCurveInstrumentProvider(futurePrefix, "Comdty"));
provider.put(Tenor.ofYears(2), new BloombergFutureCurveInstrumentProvider(futurePrefix, "Comdty"));
provider.put(Tenor.ofMonths(24), new BloombergFutureCurveInstrumentProvider(futurePrefix, "Comdty"));
provider.put(Tenor.ofYears(3), new BloombergFutureCurveInstrumentProvider(futurePrefix, "Comdty"));
provider.put(Tenor.ofMonths(36), new BloombergFutureCurveInstrumentProvider(futurePrefix, "Comdty"));
return provider;
}
public static Map<Tenor, CurveInstrumentProvider> buildStandardBloomberg6MSwapInstrumentProvider(final String prefix) {
final Map<Tenor, CurveInstrumentProvider> provider = new LinkedHashMap<>();
for (int i = 1; i < 12; i++) {
provider.put(Tenor.ofMonths(i), new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId(prefix + BBG_MONTH_CODES[i - 1] + " Curncy")));
}
for (int i = 12; i < 60; i += 3) {
final int year = i / 12;
final int month = i % 12;
if (month == 0) {
provider.put(Tenor.ofYears(year), new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId(prefix + year + " Curncy")));
} else {
final String code = year + BBG_MONTH_CODES[month - 1];
provider.put(Tenor.ofMonths(i), new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId(prefix + code + " Curncy")));
}
}
for (int i = 5; i < 61; i++) {
provider.put(Tenor.ofYears(i), new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId(prefix + i + " Curncy")));
}
return provider;
}
public static Map<Tenor, CurveInstrumentProvider> buildStandardBloomberg3MSwapInstrumentProvider(final String prefix, final String postfix) {
final Map<Tenor, CurveInstrumentProvider> provider = new LinkedHashMap<>();
for (int i = 1; i < 12; i++) {
provider.put(Tenor.ofMonths(i), new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId(prefix + "SW" + BBG_MONTH_CODES[i - 1] + postfix + " Curncy")));
}
for (int i = 12; i < 34; i += 3) {
final int year = i / 12;
final int month = i % 12;
if (month == 0) {
provider.put(Tenor.ofYears(year), new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId(prefix + "SW" + year + postfix + " Curncy")));
} else {
final String code = year + BBG_MONTH_CODES[month - 1];
provider.put(Tenor.ofMonths(i), new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId(prefix + "SW" + code + postfix + " Curncy")));
}
}
for (int i = 3; i < 51; i++) {
provider.put(Tenor.ofYears(i), new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId(prefix + "SW" + i + postfix + " Curncy")));
}
return provider;
}
public static Map<Tenor, CurveInstrumentProvider> buildStandardBloombergOISSwapInstrumentProvider(final String prefix) {
final Map<Tenor, CurveInstrumentProvider> provider = new LinkedHashMap<>();
for (int i = 1; i < 4; i++) {
provider.put(Tenor.ofDays(i * 7), new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId(prefix + i + "Z Curncy")));
}
for (int i = 1; i < 12; i++) {
provider.put(Tenor.ofMonths(i), new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId(prefix + BBG_MONTH_CODES[i - 1] + " Curncy")));
}
for (int i = 12; i < 36; i += 3) {
final int year = i / 12;
final int month = i % 12;
if (month == 0) {
provider.put(Tenor.ofYears(year), new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId(prefix + year + " Curncy")));
} else {
final String code = year + BBG_MONTH_CODES[month - 1];
provider.put(Tenor.ofMonths(i), new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId(prefix + code + " Curncy")));
}
}
for (int i = 3; i < 51; i++) {
provider.put(Tenor.ofYears(i), new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId(prefix + i + " Curncy")));
}
return provider;
}
}