Package com.opengamma.analytics.financial.model.interestrate.curve

Examples of com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve

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  @Test
  public void testBuilders() {
    final ZonedDateTime newDate = DATE.plusDays(1);
    assertEquals(DATA.withDate(newDate), new OptionDataBundle(CURVE, SURFACE, newDate));
    final YieldCurve newCurve = YieldCurve.from(ConstantDoublesCurve.from(0.05));
    assertEquals(DATA.withInterestRateCurve(newCurve), new OptionDataBundle(newCurve, SURFACE, DATE));
    final VolatilitySurface newSurface = new VolatilitySurface(ConstantDoublesSurface.from(0.9));
    assertEquals(DATA.withVolatilitySurface(newSurface), new OptionDataBundle(CURVE, newSurface, DATE));
  }
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      @Override
      public Double evaluate(final DoubleMatrix1D x) {
        final YieldCurveBundle curves = interpolatedCurves.copy();
        int index2 = 0;
        for (final String name : interpolatedCurves.getAllNames()) {
          final YieldCurve curve = (YieldCurve) interpolatedCurves.getCurve(name);
          final Interpolator1DDataBundle dataBundle = ((InterpolatedDoublesCurve) curve.getCurve()).getDataBundle();
          final int numberOfNodes = dataBundle.size();
          final double[] yields1 = Arrays.copyOfRange(x.getData(), index2, index2 + numberOfNodes);
          index2 += numberOfNodes;
          final YieldAndDiscountCurve newCurve = YieldCurve.from(InterpolatedDoublesCurve.from(dataBundle.getKeys(), yields1, ((InterpolatedDoublesCurve) curve.getCurve()).getInterpolator()));
          curves.replaceCurve(name, newCurve);
        }
        if (fixedCurves != null) {
          curves.addAll(fixedCurves);
        }
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    final double q = 0.07;
    final double b = r - q;
    final double k = 120.0;
    final boolean isCall = true;
    final ForwardCurve fc = new ForwardCurve(spot, b);
    final YieldAndDiscountCurve discountCurve = new YieldCurve("test", ConstantDoublesCurve.from(r));
    final double[] w = new double[] {0.7, 0.25, 0.05 };
    final double[] sigma = new double[] {0.3, 0.6, 1.0 };
    final double[] mu = new double[] {0.0, 0.3, -0.5 };

    final MultiHorizonMixedLogNormalModelData data = new MultiHorizonMixedLogNormalModelData(w, sigma, mu);
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        fxRates[i][j] = Math.random();
      }
    }
    final FXMatrix matrix = new FXMatrix(map, fxRates);
    final Map<Currency, YieldAndDiscountCurve> discounting = new LinkedHashMap<>();
    discounting.put(Currency.USD, new YieldCurve("A", ConstantDoublesCurve.from(0.06, "a")));
    discounting.put(Currency.EUR, new DiscountCurve("B", ConstantDoublesCurve.from(0.99, "b")));
    final Map<IborIndex, YieldAndDiscountCurve> ibor = new LinkedHashMap<>();
    ibor.put(new IborIndex(Currency.USD, Period.ofMonths(3), 0, DayCountFactory.INSTANCE.getDayCount("Act/360"),
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), false, "F"),
        new YieldCurve("C", ConstantDoublesCurve.from(0.03, "c")));
    ibor.put(new IborIndex(Currency.EUR, Period.ofMonths(6), 1, DayCountFactory.INSTANCE.getDayCount("Act/360"),
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), false, "D"),
        new YieldCurve("D", ConstantDoublesCurve.from(0.03, "d")));
    final Map<IndexON, YieldAndDiscountCurve> overnight = new LinkedHashMap<>();
    overnight.put(new IndexON("NAME1", Currency.USD, DayCountFactory.INSTANCE.getDayCount("Act/360"), 1), new YieldCurve("E", ConstantDoublesCurve.from(0.003, "e")));
    overnight.put(new IndexON("NAME2", Currency.EUR, DayCountFactory.INSTANCE.getDayCount("Act/360"), 0), new YieldCurve("F", ConstantDoublesCurve.from(0.006, "f")));
    final MulticurveProviderDiscount provider = new MulticurveProviderDiscount(discounting, ibor, overnight, matrix);
    assertEquals(provider, cycleObject(MulticurveProviderDiscount.class, provider));
  }
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        fxRates[i][j] = Math.random();
      }
    }
    final FXMatrix matrix = new FXMatrix(map, fxRates);
    final Map<Currency, YieldAndDiscountCurve> discounting = new LinkedHashMap<>();
    discounting.put(Currency.USD, new YieldCurve("A", ConstantDoublesCurve.from(0.06, "a")));
    discounting.put(Currency.EUR, new DiscountCurve("B", ConstantDoublesCurve.from(0.99, "b")));
    final Map<IborIndex, DoublesCurve> ibor = new LinkedHashMap<>();
    ibor.put(new IborIndex(Currency.USD, Period.ofMonths(3), 0, DayCountFactory.INSTANCE.getDayCount("Act/360"),
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), false, "F"),
        ConstantDoublesCurve.from(0.03, "c"));
    ibor.put(new IborIndex(Currency.EUR, Period.ofMonths(6), 1, DayCountFactory.INSTANCE.getDayCount("Act/360"),
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), false, "D"),
        ConstantDoublesCurve.from(0.03, "d"));
    final Map<IndexON, YieldAndDiscountCurve> overnight = new LinkedHashMap<>();
    overnight.put(new IndexON("NAME1", Currency.USD, DayCountFactory.INSTANCE.getDayCount("Act/360"), 1), new YieldCurve("E", ConstantDoublesCurve.from(0.003, "e")));
    overnight.put(new IndexON("NAME2", Currency.EUR, DayCountFactory.INSTANCE.getDayCount("Act/360"), 0), new YieldCurve("F", ConstantDoublesCurve.from(0.006, "f")));
    final MulticurveProviderForward provider = new MulticurveProviderForward(discounting, ibor, overnight, matrix);
    assertEquals(provider, cycleObject(MulticurveProviderForward.class, provider));
  }
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        fxRates[i][j] = Math.random();
      }
    }
    final FXMatrix matrix = new FXMatrix(map, fxRates);
    final Map<Currency, YieldAndDiscountCurve> discounting = new LinkedHashMap<>();
    discounting.put(Currency.USD, new YieldCurve("A", ConstantDoublesCurve.from(0.06, "a")));
    discounting.put(Currency.EUR, new DiscountCurve("B", ConstantDoublesCurve.from(0.99, "b")));
    final Map<IborIndex, YieldAndDiscountCurve> ibor = new LinkedHashMap<>();
    ibor.put(new IborIndex(Currency.USD, Period.ofMonths(3), 0, DayCountFactory.INSTANCE.getDayCount("Act/360"),
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), false, "L"),
        new YieldCurve("C", ConstantDoublesCurve.from(0.03, "c")));
    ibor.put(new IborIndex(Currency.EUR, Period.ofMonths(6), 1, DayCountFactory.INSTANCE.getDayCount("Act/360"),
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), false, "P"),
        new YieldCurve("D", ConstantDoublesCurve.from(0.03, "d")));
    final Map<IndexON, YieldAndDiscountCurve> overnight = new LinkedHashMap<>();
    overnight.put(new IndexON("NAME1", Currency.USD, DayCountFactory.INSTANCE.getDayCount("Act/360"), 1), new YieldCurve("E", ConstantDoublesCurve.from(0.003, "e")));
    overnight.put(new IndexON("NAME2", Currency.EUR, DayCountFactory.INSTANCE.getDayCount("Act/360"), 0), new YieldCurve("F", ConstantDoublesCurve.from(0.006, "f")));
    final MulticurveProviderDiscount provider = new MulticurveProviderDiscount(discounting, ibor, overnight, matrix);
    final Map<IndexPrice, PriceIndexCurve> curves = new LinkedHashMap<>();
    curves.put(new IndexPrice("CPI1", Currency.USD), new PriceIndexCurve(ConstantDoublesCurve.from(0.02, "A")));
    curves.put(new IndexPrice("CPI2", Currency.EUR), new PriceIndexCurve(ConstantDoublesCurve.from(0.03, "B")));
    final InflationProviderDiscount inflation = new InflationProviderDiscount(provider, curves);
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        fxRates[i][j] = Math.random();
      }
    }
    final FXMatrix matrix = new FXMatrix(map, fxRates);
    final Map<Currency, YieldAndDiscountCurve> discounting = new LinkedHashMap<>();
    discounting.put(Currency.USD, new YieldCurve("A", ConstantDoublesCurve.from(0.06, "a")));
    discounting.put(Currency.EUR, new DiscountCurve("B", ConstantDoublesCurve.from(0.99, "b")));
    final Map<IborIndex, YieldAndDiscountCurve> ibor = new LinkedHashMap<>();
    ibor.put(new IborIndex(Currency.USD, Period.ofMonths(3), 0, DayCountFactory.INSTANCE.getDayCount("Act/360"),
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), false, "L"),
        new YieldCurve("C", ConstantDoublesCurve.from(0.03, "c")));
    ibor.put(new IborIndex(Currency.EUR, Period.ofMonths(6), 1, DayCountFactory.INSTANCE.getDayCount("Act/360"),
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), false, "P"),
        new YieldCurve("D", ConstantDoublesCurve.from(0.03, "d")));
    final Map<IndexON, YieldAndDiscountCurve> overnight = new LinkedHashMap<>();
    overnight.put(new IndexON("NAME1", Currency.USD, DayCountFactory.INSTANCE.getDayCount("Act/360"), 1), new YieldCurve("E", ConstantDoublesCurve.from(0.003, "e")));
    overnight.put(new IndexON("NAME2", Currency.EUR, DayCountFactory.INSTANCE.getDayCount("Act/360"), 0), new YieldCurve("F", ConstantDoublesCurve.from(0.006, "f")));
    final MulticurveProviderDiscount provider = new MulticurveProviderDiscount(discounting, ibor, overnight, matrix);
    final Map<Pair<String, Currency>, YieldAndDiscountCurve> curves = new HashMap<>();
    curves.put(Pair.of("E", Currency.USD), new YieldCurve("L", ConstantDoublesCurve.from(0.1234, "l")));
    curves.put(Pair.of("F", Currency.EUR), new YieldCurve("P", ConstantDoublesCurve.from(0.1234, "p")));
    final IssuerProviderDiscount issuer = new IssuerProviderDiscount(provider, curves);
    assertEquals(issuer, cycleObject(IssuerProviderDiscount.class, issuer));
  }
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        fxRates[i][j] = Math.random();
      }
    }
    final FXMatrix matrix = new FXMatrix(map, fxRates);
    final Map<Currency, YieldAndDiscountCurve> discounting = new LinkedHashMap<>();
    discounting.put(Currency.USD, new YieldCurve("A", ConstantDoublesCurve.from(0.06, "a")));
    discounting.put(Currency.EUR, new DiscountCurve("B", ConstantDoublesCurve.from(0.99, "b")));
    final Map<IborIndex, YieldAndDiscountCurve> ibor = new LinkedHashMap<>();
    ibor.put(new IborIndex(Currency.USD, Period.ofMonths(3), 0, DayCountFactory.INSTANCE.getDayCount("Act/360"),
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), false, "T"),
        new YieldCurve("C", ConstantDoublesCurve.from(0.03, "c")));
    ibor.put(new IborIndex(Currency.EUR, Period.ofMonths(6), 1, DayCountFactory.INSTANCE.getDayCount("Act/360"),
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), false, "U"),
        new YieldCurve("D", ConstantDoublesCurve.from(0.03, "d")));
    final Map<IndexON, YieldAndDiscountCurve> overnight = new LinkedHashMap<>();
    overnight.put(new IndexON("NAME1", Currency.USD, DayCountFactory.INSTANCE.getDayCount("Act/360"), 1), new YieldCurve("E", ConstantDoublesCurve.from(0.003, "e")));
    overnight.put(new IndexON("NAME2", Currency.EUR, DayCountFactory.INSTANCE.getDayCount("Act/360"), 0), new YieldCurve("F", ConstantDoublesCurve.from(0.006, "f")));
    final MulticurveProviderDiscount multicurve = new MulticurveProviderDiscount(discounting, ibor, overnight, matrix);
    final HullWhiteOneFactorPiecewiseConstantParameters parameters = new HullWhiteOneFactorPiecewiseConstantParameters(0.04, new double[] {0.1, 0.2, 0.3, 0.4, 0.5}, new double[] {1, 2, 3, 4, 5});
    final HullWhiteOneFactorProviderDiscount provider = new HullWhiteOneFactorProviderDiscount(multicurve, parameters, Currency.USD);
    assertEquals(provider, cycleObject(HullWhiteOneFactorProviderDiscount.class, provider));
  }
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  @Test
  public void testBuilders() {
    final ZonedDateTime newDate = DATE.plusDays(1);
    assertEquals(DATA.withDate(newDate), new GeneralNormalOptionDataBundle(YIELD, DRIFT_SURFACE, VOLATILITY_SURFACE, SPOT, newDate));
    final YieldCurve newCurve = YieldCurve.from(ConstantDoublesCurve.from(0.05));
    assertEquals(DATA.withInterestRateCurve(newCurve), new GeneralNormalOptionDataBundle(newCurve, DRIFT_SURFACE, VOLATILITY_SURFACE, SPOT, DATE));
    final VolatilitySurface newSurface = new VolatilitySurface(ConstantDoublesSurface.from(0.9));
    assertEquals(DATA.withVolatilitySurface(newSurface), new GeneralNormalOptionDataBundle(YIELD, DRIFT_SURFACE, newSurface, SPOT, DATE));
    final DriftSurface newDrift = new DriftSurface(ConstantDoublesSurface.from(0.9));
    assertEquals(DATA.withDriftSurface(newDrift), new GeneralNormalOptionDataBundle(YIELD, newDrift, VOLATILITY_SURFACE, SPOT, DATE));
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    final double kVol = Math.sqrt(-2 * (res.getFunctionValue(n / 2) - Math.log(ft)) / EXPIRY);
    //  System.out.println("expected:" + FLAT_VOL + " actual:" + kVol);
    assertEquals(FLAT_VOL, kVol, 1e-6);

    //test the new backwards local vol method for expected variance
    final YieldAndDiscountCurve yieldCurve = new YieldCurve("test", ConstantDoublesCurve.from(DRIFT));
    final AffineDividends ad = AffineDividends.noDividends();

    final EquityVarianceSwapBackwardsPurePDE backSolver = new EquityVarianceSwapBackwardsPurePDE();
    final PureLocalVolatilitySurface plv = new PureLocalVolatilitySurface(ConstantDoublesSurface.from(FLAT_VOL));

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