/**
* 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.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.index.GeneratorAttribute;
import com.opengamma.analytics.financial.instrument.index.GeneratorAttributeIR;
import com.opengamma.analytics.financial.instrument.index.GeneratorDepositON;
import com.opengamma.analytics.financial.instrument.index.GeneratorInstrument;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedCompoundedONCompounded;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedCompoundedONCompoundedMaster;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.instrument.index.IndexON;
import com.opengamma.analytics.financial.instrument.swap.SwapFixedCompoundedONCompoundedDefinition;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.provider.calculator.discounting.ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.discounting.ParSpreadMarketQuoteDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.discounting.PresentValueDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.generic.LastTimeCalculator;
import com.opengamma.analytics.financial.provider.curve.multicurve.MulticurveDiscountBuildingRepository;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderDiscount;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity;
import com.opengamma.analytics.math.interpolation.CombinedInterpolatorExtrapolatorFactory;
import com.opengamma.analytics.math.interpolation.Interpolator1D;
import com.opengamma.analytics.math.interpolation.Interpolator1DFactory;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.convention.calendar.MondayToFridayCalendar;
import com.opengamma.timeseries.precise.zdt.ImmutableZonedDateTimeDoubleTimeSeries;
import com.opengamma.timeseries.precise.zdt.ZonedDateTimeDoubleTimeSeries;
import com.opengamma.util.money.Currency;
import com.opengamma.util.time.DateUtils;
import com.opengamma.util.tuple.Pair;
/**
* this example provide an example of curve construction using Brazilian swap.
*/
public class MulticurveBuildingDiscountingBrazilianONTest {
private static final Interpolator1D INTERPOLATOR_LINEAR = CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.LINEAR, Interpolator1DFactory.FLAT_EXTRAPOLATOR,
Interpolator1DFactory.FLAT_EXTRAPOLATOR);
private static final LastTimeCalculator MATURITY_CALCULATOR = LastTimeCalculator.getInstance();
private static final double TOLERANCE_ROOT = 1.0E-10;
private static final int STEP_MAX = 100;
private static final Calendar NYC = new MondayToFridayCalendar("NYC");
private static final Currency BRL = Currency.BRL;
private static final FXMatrix FX_MATRIX = new FXMatrix(BRL);
private static final double NOTIONAL = 1.0;
private static final GeneratorSwapFixedCompoundedONCompounded GENERATOR_OIS_BRL = GeneratorSwapFixedCompoundedONCompoundedMaster.getInstance().getGenerator("BRLCDI", NYC);
private static final IndexON INDEX_ON_BRL = GENERATOR_OIS_BRL.getIndex();
private static final GeneratorDepositON GENERATOR_DEPOSIT_ON_BRL = new GeneratorDepositON("BRL Deposit ON", BRL, NYC, INDEX_ON_BRL.getDayCount());
private static final ZonedDateTime NOW = DateUtils.getUTCDate(2011, 9, 28);
private static final ZonedDateTimeDoubleTimeSeries TS_EMPTY = ImmutableZonedDateTimeDoubleTimeSeries.ofEmptyUTC();
private static final ZonedDateTimeDoubleTimeSeries TS_ON_BRL_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_BRL_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_CDI_BRL_WITH_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_EMPTY, TS_ON_BRL_WITH_TODAY };
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_CDI_BRL_WITHOUT_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_EMPTY, TS_ON_BRL_WITHOUT_TODAY };
private static final String CURVE_NAME_DSC_BRL = "BRL Dsc";
/** Market values for the dsc BRL curve */
private static final double[] DSC_BRL_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 BRL curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] DSC_BRL_GENERATORS = new GeneratorInstrument<?>[] {GENERATOR_DEPOSIT_ON_BRL, GENERATOR_OIS_BRL, GENERATOR_OIS_BRL,
GENERATOR_OIS_BRL, GENERATOR_OIS_BRL, GENERATOR_OIS_BRL, GENERATOR_OIS_BRL, GENERATOR_OIS_BRL, GENERATOR_OIS_BRL, GENERATOR_OIS_BRL, GENERATOR_OIS_BRL, GENERATOR_OIS_BRL };
/** Tenors for the dsc BRL curve */
private static final Period[] DSC_BRL_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_BRL_ATTR = new GeneratorAttributeIR[DSC_BRL_TENOR.length];
static {
for (int loopins = 0; loopins < DSC_BRL_TENOR.length; loopins++) {
DSC_BRL_ATTR[loopins] = new GeneratorAttributeIR(DSC_BRL_TENOR[loopins]);
}
}
/** Standard BRL discounting curve instrument definitions */
private static final InstrumentDefinition<?>[] DEFINITIONS_DSC_BRL;
/** Units of curves */
private static final int[] NB_UNITS = new int[] {1 };
private static final int NB_BLOCKS = NB_UNITS.length;
private static final InstrumentDefinition<?>[][][][] DEFINITIONS_UNITS = new InstrumentDefinition<?>[NB_BLOCKS][][][];
private static final GeneratorYDCurve[][][] GENERATORS_UNITS = new GeneratorYDCurve[NB_BLOCKS][][];
private static final String[][][] NAMES_UNITS = new String[NB_BLOCKS][][];
private static final MulticurveProviderDiscount KNOWN_DATA = new MulticurveProviderDiscount(FX_MATRIX);
private static final LinkedHashMap<String, Currency> DSC_MAP = new LinkedHashMap<>();
private static final LinkedHashMap<String, IndexON[]> FWD_ON_MAP = new LinkedHashMap<>();
private static final LinkedHashMap<String, IborIndex[]> FWD_IBOR_MAP = new LinkedHashMap<>();
static {
DEFINITIONS_DSC_BRL = getDefinitions(DSC_BRL_MARKET_QUOTES, DSC_BRL_GENERATORS, DSC_BRL_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_BRL };
final GeneratorYDCurve genIntLin = new GeneratorCurveYieldInterpolated(MATURITY_CALCULATOR, INTERPOLATOR_LINEAR);
GENERATORS_UNITS[0][0] = new GeneratorYDCurve[] {genIntLin };
NAMES_UNITS[0][0] = new String[] {CURVE_NAME_DSC_BRL };
DSC_MAP.put(CURVE_NAME_DSC_BRL, BRL);
FWD_ON_MAP.put(CURVE_NAME_DSC_BRL, new IndexON[] {INDEX_ON_BRL });
}
@SuppressWarnings({"rawtypes", "unchecked" })
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<MulticurveProviderDiscount, CurveBuildingBlockBundle>> CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK = new ArrayList<>();
// Calculator
private static final PresentValueDiscountingCalculator PVC = PresentValueDiscountingCalculator.getInstance();
private static final ParSpreadMarketQuoteDiscountingCalculator PSMQC = ParSpreadMarketQuoteDiscountingCalculator.getInstance();
private static final ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator PSMQCSC = ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator.getInstance();
private static final MulticurveDiscountBuildingRepository CURVE_BUILDING_REPOSITORY = new MulticurveDiscountBuildingRepository(TOLERANCE_ROOT, TOLERANCE_ROOT, STEP_MAX);
private static final double TOLERANCE_CAL = 1.0E-9;
@BeforeSuite
static void initClass() {
for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) {
CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.add(makeCurvesFromDefinitions(DEFINITIONS_UNITS[loopblock], GENERATORS_UNITS[loopblock], NAMES_UNITS[loopblock], KNOWN_DATA, PSMQC, PSMQCSC, false));
}
}
@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, PSMQC, PSMQCSC, false);
}
endTime = System.currentTimeMillis();
System.out.println("MulticurveBuidingDiscountingBrazilianONTest - " + nbTest + " curve construction Brazilian CDI EUR 1 units: " + (endTime - startTime) + " ms");
// Performance note: curve construction Price index EUR 1 units: 23-Aug-13: On Dell Precision T1850 3.5 GHz Quad-Core Intel Xeon: 3094 ms for 100 sets.
}
@Test
public void curveConstructionGeneratorOtherBlocks() {
for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) {
curveConstructionTest(DEFINITIONS_UNITS[loopblock], CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getFirst(), false, loopblock);
}
}
public void curveConstructionTest(final InstrumentDefinition<?>[][][] definitions, final MulticurveProviderDiscount curves, final boolean withToday, final int block) {
final int nbBlocks = definitions.length;
for (int loopblock = 0; loopblock < nbBlocks; loopblock++) {
final InstrumentDerivative[][] instruments = convert(definitions[loopblock], loopblock, withToday);
final double[][] pv = new double[instruments.length][];
for (int loopcurve = 0; loopcurve < instruments.length; loopcurve++) {
pv[loopcurve] = new double[instruments[loopcurve].length];
for (int loopins = 0; loopins < instruments[loopcurve].length; loopins++) {
pv[loopcurve][loopins] = curves.getFxRates().convert(instruments[loopcurve][loopins].accept(PVC, curves), BRL).getAmount();
assertEquals("Curve construction: block " + block + ", unit " + loopblock + " - instrument " + loopins, 0, pv[loopcurve][loopins], TOLERANCE_CAL);
}
}
}
}
@SuppressWarnings("unchecked")
private static Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> makeCurvesFromDefinitions(final InstrumentDefinition<?>[][][] definitions, final GeneratorYDCurve[][] curveGenerators,
final String[][] curveNames, final MulticurveProviderDiscount knownData, final InstrumentDerivativeVisitor<MulticurveProviderInterface, Double> calculator,
final InstrumentDerivativeVisitor<MulticurveProviderInterface, MulticurveSensitivity> sensitivityCalculator, final boolean withToday) {
final int nUnits = definitions.length;
final MultiCurveBundle<GeneratorYDCurve>[] curveBundles = new MultiCurveBundle[nUnits];
for (int i = 0; i < nUnits; i++) {
final int nCurves = definitions[i].length;
final SingleCurveBundle<GeneratorYDCurve>[] singleCurves = new SingleCurveBundle[nCurves];
for (int j = 0; j < nCurves; j++) {
final int nInstruments = definitions[i][j].length;
final InstrumentDerivative[] derivatives = new InstrumentDerivative[nInstruments];
final double[] initialGuess = new double[nInstruments];
for(int k = 0; k < nInstruments; k++) {
derivatives[k] = convert(definitions[i][j][k], i, withToday);
initialGuess[k] = initialGuess();
}
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, 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 SwapFixedCompoundedONCompoundedDefinition) {
ird = ((SwapFixedCompoundedONCompoundedDefinition) 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 SwapFixedCompoundedONCompoundedDefinition) {
ird = ((SwapFixedCompoundedONCompoundedDefinition) 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_CDI_BRL_WITH_TODAY : TS_FIXED_CDI_BRL_WITHOUT_TODAY;
default:
throw new IllegalArgumentException(unit.toString());
}
}
private static double initialGuess() {
return 0.01;
}
}