/**
* Copyright (C) 2013 - 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.util.ArrayList;
import java.util.HashMap;
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.method.FXMatrix;
import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
import com.opengamma.analytics.financial.instrument.bond.BillSecurityDefinition;
import com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinition;
import com.opengamma.analytics.financial.instrument.cash.CashDefinition;
import com.opengamma.analytics.financial.instrument.fra.ForwardRateAgreementDefinition;
import com.opengamma.analytics.financial.instrument.index.GeneratorAttribute;
import com.opengamma.analytics.financial.instrument.index.GeneratorAttributeIR;
import com.opengamma.analytics.financial.instrument.index.GeneratorBill;
import com.opengamma.analytics.financial.instrument.index.GeneratorBondFixed;
import com.opengamma.analytics.financial.instrument.index.GeneratorDepositON;
import com.opengamma.analytics.financial.instrument.index.GeneratorDepositONCounterpart;
import com.opengamma.analytics.financial.instrument.index.GeneratorInstrument;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedON;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedONMaster;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.instrument.index.IndexON;
import com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition;
import com.opengamma.analytics.financial.instrument.swap.SwapFixedONDefinition;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.financial.provider.calculator.generic.LastTimeCalculator;
import com.opengamma.analytics.financial.provider.calculator.issuer.ParSpreadMarketQuoteCurveSensitivityIssuerDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.issuer.ParSpreadMarketQuoteIssuerDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.issuer.PresentValueIssuerCalculator;
import com.opengamma.analytics.financial.provider.curve.issuer.IssuerDiscountBuildingRepository;
import com.opengamma.analytics.financial.provider.description.interestrate.IssuerProviderDiscount;
import com.opengamma.analytics.financial.provider.description.interestrate.IssuerProviderInterface;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderDiscount;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity;
import com.opengamma.analytics.math.interpolation.CombinedInterpolatorExtrapolatorFactory;
import com.opengamma.analytics.math.interpolation.Interpolator1D;
import com.opengamma.analytics.math.interpolation.Interpolator1DFactory;
import com.opengamma.financial.convention.businessday.BusinessDayConvention;
import com.opengamma.financial.convention.businessday.BusinessDayConventionFactory;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.convention.calendar.MondayToFridayCalendar;
import com.opengamma.financial.convention.daycount.DayCount;
import com.opengamma.financial.convention.daycount.DayCountFactory;
import com.opengamma.financial.convention.yield.YieldConvention;
import com.opengamma.financial.convention.yield.YieldConventionFactory;
import com.opengamma.timeseries.precise.zdt.ImmutableZonedDateTimeDoubleTimeSeries;
import com.opengamma.timeseries.precise.zdt.ZonedDateTimeDoubleTimeSeries;
import com.opengamma.util.money.Currency;
import com.opengamma.util.time.DateUtils;
import com.opengamma.util.tuple.ObjectsPair;
import com.opengamma.util.tuple.Pair;
/**
* Build of curve in several blocks with relevant Jacobian matrices.
* Here we build
*/
public class MulticurveBuildingDiscountingBillNoteBondUSDTest {
private static final ZonedDateTime NOW = DateUtils.getUTCDate(2012, 8, 22);
private static final Interpolator1D INTERPOLATOR = 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 NYC = new MondayToFridayCalendar("NYC");
private static final Currency USD = Currency.USD;
private static final FXMatrix FX_MATRIX = new FXMatrix(USD);
private static final double NOTIONAL = 1.0;
private static final GeneratorSwapFixedON GENERATOR_OIS_USD = GeneratorSwapFixedONMaster.getInstance().getGenerator("USD1YFEDFUND", NYC);
private static final IndexON INDEX_ON_USD = GENERATOR_OIS_USD.getIndex();
private static final GeneratorDepositON GENERATOR_DEPOSIT_ON_USD = new GeneratorDepositON("USD Deposit ON", USD, NYC, INDEX_ON_USD.getDayCount());
private static final String NAME_COUNTERPART = "US GOVT";
private static final Pair<String, Currency> US_USD = new ObjectsPair<>(NAME_COUNTERPART, USD);
private static final DayCount DAY_COUNT_ON = DayCountFactory.INSTANCE.getDayCount("Actual/360");
private static final GeneratorDepositONCounterpart GENERATOR_DEPOSIT_ON_USGOVT = new GeneratorDepositONCounterpart("US GOVT Deposit ON", USD, NYC, DAY_COUNT_ON, NAME_COUNTERPART);
private static final YieldConvention YIELD_BILL_USGOVT = YieldConventionFactory.INSTANCE.getYieldConvention("INTEREST@MTY");
private static final DayCount DAY_COUNT_BILL_USGOVT = DayCountFactory.INSTANCE.getDayCount("Actual/360");
private static final int SPOT_LAG_BILL = 1;
private static final ZonedDateTime[] BILL_MATURITY = new ZonedDateTime[] {DateUtils.getUTCDate(2012, 9, 28), DateUtils.getUTCDate(2012, 11, 30), DateUtils.getUTCDate(2013, 2, 28) };
private static final int NB_BILL = BILL_MATURITY.length;
private static final BillSecurityDefinition[] BILL_SECURITY = new BillSecurityDefinition[NB_BILL];
private static final GeneratorBill[] GENERATOR_BILL = new GeneratorBill[NB_BILL];
static {
for (int loopbill = 0; loopbill < BILL_MATURITY.length; loopbill++) {
BILL_SECURITY[loopbill] = new BillSecurityDefinition(USD, BILL_MATURITY[loopbill], NOTIONAL, SPOT_LAG_BILL, NYC, YIELD_BILL_USGOVT, DAY_COUNT_BILL_USGOVT, NAME_COUNTERPART);
GENERATOR_BILL[loopbill] = new GeneratorBill("GeneratorBill" + loopbill, BILL_SECURITY[loopbill]);
}
}
// Here we define US NOTES and US BONDS, we are no doing no distinction between notes and bonds because the instrument is exactly the same.
// typically US NOTES are short maturity interest rate bonds(ie under 10Y) and US BONDS are long maturity interest rate bonds (ie more than 10y but mostly 30y in practice).
// To build the curve we choose six bonds, the most recent 2y, 3y, 5y, 7y, 10yand 30y bond :
// USA, Note 0.125 31jul2014 2Y (ISIN US912828TF73)
// USA, Note 0.25 15aug2015 3Y (ISIN US912828TK68)
// USA, Note 0.5 31jul2017 5Y (ISIN US912828TG56)
// USA, Note 0.875 31jul2019 7Y (ISIN US912828TH30)
// USA, Note 1.625 15aug2022 10Y (ISIN US912828TJ95)
// USA, Bond 2.75 15aug2042 30Y (ISIN US912810QX90)
private static final YieldConvention YIELD_BOND_USGOVT = YieldConventionFactory.INSTANCE.getYieldConvention("INTEREST@MTY");
private static final DayCount DAY_COUNT_BOND_USGOVT = DayCountFactory.INSTANCE.getDayCount("Actual/360");
private static final Period BOND_PAYMENT_TENOR = Period.ofMonths(6);
private static final ZonedDateTime[] BOND_START_ACCRUAL_DATE = new ZonedDateTime[] {DateUtils.getUTCDate(2012, 07, 31), DateUtils.getUTCDate(2012, 8, 15), DateUtils.getUTCDate(2012, 07, 31),
DateUtils.getUTCDate(2012, 07, 31), DateUtils.getUTCDate(2012, 8, 15), DateUtils.getUTCDate(2012, 8, 15) };
private static final ZonedDateTime[] BOND_MATURITY = new ZonedDateTime[] {DateUtils.getUTCDate(2014, 07, 31), DateUtils.getUTCDate(2015, 05, 15), DateUtils.getUTCDate(2017, 07, 31),
DateUtils.getUTCDate(2019, 07, 31), DateUtils.getUTCDate(2022, 8, 15), DateUtils.getUTCDate(2042, 8, 15) };
private static final double[] RATE_FIXED = new double[] {0.00125, 0.00250, 0.00500, 0.00875, 0.01625, 0.02750 };
private static final int NB_BOND = BOND_MATURITY.length;
private static final int SETTLEMENT_DAYS_US = 3;
private static final boolean IS_EOM_FIXED = false;
private static final String REPO_TYPE = "General collateral";
private static final BusinessDayConvention BOND_BUSINESS_DAY = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
private static final BondFixedSecurityDefinition[] BOND_SECURITY = new BondFixedSecurityDefinition[NB_BOND];
private static final GeneratorBondFixed[] GENERATOR_BOND = new GeneratorBondFixed[NB_BOND];
static {
for (int loopbill = 0; loopbill < BOND_MATURITY.length; loopbill++) {
BOND_SECURITY[loopbill] = BondFixedSecurityDefinition.from(USD, BOND_MATURITY[loopbill], BOND_START_ACCRUAL_DATE[loopbill], BOND_PAYMENT_TENOR, RATE_FIXED[loopbill], SETTLEMENT_DAYS_US,
NOTIONAL, NYC,
DAY_COUNT_BOND_USGOVT, BOND_BUSINESS_DAY, YIELD_BOND_USGOVT, IS_EOM_FIXED, NAME_COUNTERPART, REPO_TYPE);
GENERATOR_BOND[loopbill] = new GeneratorBondFixed("GeneratorBond" + loopbill, BOND_SECURITY[loopbill]);
}
}
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 String CURVE_NAME_DSC_USD = "USD Dsc";
private static final String CURVE_NAME_GOVTUS_USD = "USD GOVT US";
/** Market values for the dsc USD curve */
private static final double[] DSC_USD_MARKET_QUOTES = new double[] {0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400 };
/** Generators for the dsc USD curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] DSC_USD_GENERATORS = new GeneratorInstrument<?>[] {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 };
/** Tenors for the dsc USD curve */
private static final Period[] DSC_USD_TENOR = new Period[] {Period.ofDays(0), 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 GeneratorAttributeIR[] DSC_USD_ATTR = new GeneratorAttributeIR[DSC_USD_TENOR.length];
static {
for (int loopins = 0; loopins < DSC_USD_TENOR.length; loopins++) {
DSC_USD_ATTR[loopins] = new GeneratorAttributeIR(DSC_USD_TENOR[loopins]);
}
}
/** Market values for the govt USD bill curve */
private static final double[] GOVTUS_USD_MARKET_QUOTES = new double[] {0.0010, 0.0015, 0.0020, 0.0015, 0.99642, 0.9981, 0.99587, 0.99466, 0.99496, 0.98489 };
/** Generators for the govt USD curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] GOVTUS_USD_GENERATORS = new GeneratorInstrument<?>[] {GENERATOR_DEPOSIT_ON_USGOVT, GENERATOR_BILL[0], GENERATOR_BILL[1],
GENERATOR_BILL[2], GENERATOR_BOND[0], GENERATOR_BOND[1], GENERATOR_BOND[2], GENERATOR_BOND[3], GENERATOR_BOND[4], GENERATOR_BOND[5] };
/** Tenors for the govt USD curve */
private static final Period[] GOVTUS_USD_TENOR = new Period[] {Period.ofDays(0), Period.ofDays(0), Period.ofDays(0), Period.ofDays(0), Period.ofDays(0), Period.ofDays(0), Period.ofDays(0),
Period.ofDays(0), Period.ofDays(0), Period.ofDays(0), Period.ofDays(0) };
private static final GeneratorAttributeIR[] GOVTUS_USD_ATTR = new GeneratorAttributeIR[GOVTUS_USD_TENOR.length];
static {
for (int loopins = 0; loopins < GOVTUS_USD_TENOR.length; loopins++) {
GOVTUS_USD_ATTR[loopins] = new GeneratorAttributeIR(GOVTUS_USD_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_GOVTUS_USD;
/** Units of curves */
/** Units of curves */
private static final int[] NB_UNITS = new int[] {2 };
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 KNOWN_MULTICURVES = new MulticurveProviderDiscount(FX_MATRIX);
private static final IssuerProviderDiscount KNOWN_DATA = new IssuerProviderDiscount(KNOWN_MULTICURVES, new HashMap<Pair<String, Currency>, YieldAndDiscountCurve>());
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<>();
private static final LinkedHashMap<String, Pair<String, Currency>> DSC_ISS_MAP = new LinkedHashMap<>();
static {
DEFINITIONS_DSC_USD = getDefinitions(DSC_USD_MARKET_QUOTES, DSC_USD_GENERATORS, DSC_USD_ATTR);
DEFINITIONS_GOVTUS_USD = getDefinitions(GOVTUS_USD_MARKET_QUOTES, GOVTUS_USD_GENERATORS, GOVTUS_USD_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][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD };
DEFINITIONS_UNITS[0][1] = new InstrumentDefinition<?>[][] {DEFINITIONS_GOVTUS_USD };
final GeneratorYDCurve genIntLin = new GeneratorCurveYieldInterpolated(MATURITY_CALCULATOR, INTERPOLATOR);
GENERATORS_UNITS[0][0] = new GeneratorYDCurve[] {genIntLin };
GENERATORS_UNITS[0][1] = new GeneratorYDCurve[] {genIntLin };
NAMES_UNITS[0][0] = new String[] {CURVE_NAME_DSC_USD };
NAMES_UNITS[0][1] = new String[] {CURVE_NAME_GOVTUS_USD };
DSC_MAP.put(CURVE_NAME_DSC_USD, USD);
FWD_ON_MAP.put(CURVE_NAME_DSC_USD, new IndexON[] {INDEX_ON_USD });
DSC_ISS_MAP.put(CURVE_NAME_GOVTUS_USD, US_USD);
}
@SuppressWarnings({"unchecked", "rawtypes" })
public static InstrumentDefinition<?>[] getDefinitions(final double[] marketQuotes, 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<IssuerProviderDiscount, CurveBuildingBlockBundle>> CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK = new ArrayList<>();
// Calculator
private static final PresentValueIssuerCalculator PVIC = PresentValueIssuerCalculator.getInstance();
private static final ParSpreadMarketQuoteIssuerDiscountingCalculator PSMQIC = ParSpreadMarketQuoteIssuerDiscountingCalculator.getInstance();
private static final ParSpreadMarketQuoteCurveSensitivityIssuerDiscountingCalculator PSMQCSIC = ParSpreadMarketQuoteCurveSensitivityIssuerDiscountingCalculator.getInstance();
private static final IssuerDiscountBuildingRepository CURVE_BUILDING_REPOSITORY = new IssuerDiscountBuildingRepository(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], KNOWN_DATA, PSMQIC, PSMQCSIC, 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 = 100;
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
makeCurvesFromDefinitions(DEFINITIONS_UNITS[0], GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PSMQIC, PSMQCSIC, false);
}
endTime = System.currentTimeMillis();
System.out.println(nbTest + " curve construction / 2 units: " + (endTime - startTime) + " ms");
// Performance note: Curve construction 2 units: 16-Aygust-13: On Dell Precision T1850 3.5 GHz Quad-Core Intel Xeon: 270 (no Jac)/951 ms for 100 sets.
}
public void curveConstructionTest(final InstrumentDefinition<?>[][][] definitions, final IssuerProviderDiscount 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], 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.getMulticurveProvider().getFxRates().convert(instruments[loopcurve][loopins].accept(PVIC, curves), USD).getAmount();
assertEquals("Curve construction: block " + block + ", unit " + loopblock + " - instrument " + loopins, 0, pv[loopcurve][loopins], TOLERANCE_CAL);
}
}
}
}
@SuppressWarnings("unchecked")
private static Pair<IssuerProviderDiscount, CurveBuildingBlockBundle> makeCurvesFromDefinitions(final InstrumentDefinition<?>[][][] definitions, final GeneratorYDCurve[][] curveGenerators,
final String[][] curveNames, final IssuerProviderDiscount knownData, final InstrumentDerivativeVisitor<IssuerProviderInterface, Double> calculator,
final InstrumentDerivativeVisitor<IssuerProviderInterface, 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[] initialGuess = new double[nInstruments];
for (int k = 0; k < nInstruments; k++) {
derivatives[k] = convert(definitions[i][j][k], i, withToday);
initialGuess[k] = initialGuess(definitions[i][j][k]);
}
final GeneratorYDCurve generator = curveGenerators[i][j].finalGenerator(derivatives);
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, DSC_ISS_MAP, calculator,
sensitivityCalculator);
}
private static InstrumentDerivative[][] convert(final InstrumentDefinition<?>[][] definitions, final int unit, 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, unit));
} else {
ird = instrument.toDerivative(NOW);
}
instruments[loopcurve][loopins++] = ird;
}
}
return instruments;
}
private static InstrumentDerivative convert(final InstrumentDefinition<?> instrument, final int unit, final boolean withToday) {
InstrumentDerivative ird;
if (instrument instanceof SwapFixedONDefinition) {
ird = ((SwapFixedONDefinition) instrument).toDerivative(NOW, getTSSwapFixedON(withToday, unit));
} else {
ird = instrument.toDerivative(NOW);
}
return ird;
}
private static ZonedDateTimeDoubleTimeSeries[] getTSSwapFixedON(final Boolean withToday, final Integer unit) {
switch (unit) {
case 0:
return withToday ? TS_FIXED_OIS_USD_WITH_TODAY : TS_FIXED_OIS_USD_WITHOUT_TODAY;
default:
throw new IllegalArgumentException(unit.toString());
}
}
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();
}
return 0.01;
}
}