/**
* 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 static org.testng.internal.junit.ArrayAsserts.assertArrayEquals;
import java.io.FileWriter;
import java.io.IOException;
import java.util.ArrayList;
import java.util.LinkedHashMap;
import java.util.List;
import org.apache.commons.lang.ArrayUtils;
import org.testng.annotations.BeforeSuite;
import org.testng.annotations.Test;
import org.threeten.bp.LocalDate;
import org.threeten.bp.Period;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorCurveAddYield;
import com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorCurveAddYieldExisiting;
import com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorCurveAddYieldFixed;
import com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorCurveDiscountFactorInterpolatedAnchorNode;
import com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorCurveDiscountFactorInterpolatedNumber;
import com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorCurveYieldInterpolated;
import com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorCurveYieldInterpolatedAnchor;
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.cash.CashDefinition;
import com.opengamma.analytics.financial.instrument.fra.ForwardRateAgreementDefinition;
import com.opengamma.analytics.financial.instrument.future.InterestRateFutureTransactionDefinition;
import com.opengamma.analytics.financial.instrument.index.GeneratorAttribute;
import com.opengamma.analytics.financial.instrument.index.GeneratorAttributeIR;
import com.opengamma.analytics.financial.instrument.index.GeneratorDepositIbor;
import com.opengamma.analytics.financial.instrument.index.GeneratorDepositON;
import com.opengamma.analytics.financial.instrument.index.GeneratorFRA;
import com.opengamma.analytics.financial.instrument.index.GeneratorInstrument;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedIbor;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedIborMaster;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedON;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedONMaster;
import com.opengamma.analytics.financial.instrument.index.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.DiscountCurve;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve;
import com.opengamma.analytics.financial.provider.calculator.discounting.ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.discounting.ParSpreadMarketQuoteDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.discounting.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.financial.schedule.ScheduleCalculator;
import com.opengamma.analytics.math.curve.InterpolatedDoublesCurve;
import com.opengamma.analytics.math.interpolation.CombinedInterpolatorExtrapolatorFactory;
import com.opengamma.analytics.math.interpolation.Interpolator1D;
import com.opengamma.analytics.math.interpolation.Interpolator1DFactory;
import com.opengamma.analytics.util.time.TimeCalculator;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.convention.calendar.MondayToFridayCalendar;
import com.opengamma.timeseries.precise.zdt.ImmutableZonedDateTimeDoubleTimeSeries;
import com.opengamma.timeseries.precise.zdt.ZonedDateTimeDoubleTimeSeries;
import com.opengamma.util.money.Currency;
import com.opengamma.util.time.DateUtils;
import com.opengamma.util.tuple.Pair;
/**
* Build of curve in several blocks with relevant Jacobian matrices.
* Two curves in EUR; no futures; EONIA curve with ECB metting dates.
*/
public class MulticurveBuildingDiscountingDiscountEURCommittee2Test {
private static final Interpolator1D INTERPOLATOR_LINEAR = CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.LINEAR, Interpolator1DFactory.FLAT_EXTRAPOLATOR,
Interpolator1DFactory.FLAT_EXTRAPOLATOR);
private static final Interpolator1D INTERPOLATOR_LL = CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.LOG_LINEAR, Interpolator1DFactory.EXPONENTIAL_EXTRAPOLATOR,
Interpolator1DFactory.EXPONENTIAL_EXTRAPOLATOR); // Log-linear on the discount factor = step on the instantaneous rates
private static final Interpolator1D INTERPOLATOR_DQ = CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.DOUBLE_QUADRATIC, Interpolator1DFactory.FLAT_EXTRAPOLATOR,
Interpolator1DFactory.FLAT_EXTRAPOLATOR);
private static final LastTimeCalculator MATURITY_CALCULATOR = LastTimeCalculator.getInstance();
private static final double TOLERANCE_ROOT = 1.0E-10;
private static final int STEP_MAX = 100;
private static final Calendar TARGET = new MondayToFridayCalendar("TARGET");
private static final Currency EUR = Currency.EUR;
private static final FXMatrix FX_MATRIX = new FXMatrix(EUR);
private static final double NOTIONAL = 1.0;
private static final GeneratorSwapFixedON GENERATOR_OIS_EUR = GeneratorSwapFixedONMaster.getInstance().getGenerator("EUR1YEONIA", TARGET);
private static final IndexON EONIA = GENERATOR_OIS_EUR.getIndex();
private static final GeneratorDepositON GENERATOR_DEPOSIT_ON_EUR = new GeneratorDepositON("EUR Deposit ON", EUR, TARGET, EONIA.getDayCount());
private static final GeneratorSwapFixedIborMaster GENERATOR_SWAP_MASTER = GeneratorSwapFixedIborMaster.getInstance();
private static final GeneratorSwapFixedIbor EUR1YEURIBOR6M = GENERATOR_SWAP_MASTER.getGenerator("EUR1YEURIBOR6M", TARGET);
private static final IborIndex EURIBOR6M = EUR1YEURIBOR6M.getIborIndex();
private static final IborIndex EUROLIBOR6M = new IborIndex(EUR, Period.ofMonths(6), 2, EURIBOR6M.getDayCount(), EURIBOR6M.getBusinessDayConvention(), true, "EUROLIBOR6M");
private static final GeneratorFRA GENERATOR_FRA_6M = new GeneratorFRA("GENERATOR_FRA_6M", EURIBOR6M, TARGET);
private static final GeneratorDepositIbor GENERATOR_EURIBOR6M = new GeneratorDepositIbor("GENERATOR_EURIBOR6M", EURIBOR6M, TARGET);
private static final ZonedDateTime NOW = DateUtils.getUTCDate(2012, 11, 14);
private static final ZonedDateTime[] MEETING_ECB_DATE = new ZonedDateTime[] {DateUtils.getUTCDate(2012, 12, 6), DateUtils.getUTCDate(2013, 1, 10), DateUtils.getUTCDate(2013, 2, 7),
DateUtils.getUTCDate(2013, 3, 7), DateUtils.getUTCDate(2013, 4, 4), DateUtils.getUTCDate(2013, 5, 2), DateUtils.getUTCDate(2013, 6, 6), DateUtils.getUTCDate(2013, 7, 4),
DateUtils.getUTCDate(2013, 8, 1), DateUtils.getUTCDate(2013, 9, 5), DateUtils.getUTCDate(2013, 10, 2), DateUtils.getUTCDate(2013, 11, 7) };
private static final double[] MEETING_ECB_TIME = new double[MEETING_ECB_DATE.length];
static {
for (int loopdate = 0; loopdate < MEETING_ECB_DATE.length; loopdate++) {
MEETING_ECB_TIME[loopdate] = TimeCalculator.getTimeBetween(NOW, MEETING_ECB_DATE[loopdate]);
}
}
private static final ZonedDateTimeDoubleTimeSeries TS_EMPTY = ImmutableZonedDateTimeDoubleTimeSeries.ofEmptyUTC();
private static final ZonedDateTimeDoubleTimeSeries TS_ON_EUR_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_EUR_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_EUR_WITH_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_EMPTY, TS_ON_EUR_WITH_TODAY };
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_OIS_EUR_WITHOUT_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_EMPTY, TS_ON_EUR_WITHOUT_TODAY };
private static final ZonedDateTimeDoubleTimeSeries TS_IBOR_EUR6M_WITH_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27),
DateUtils.getUTCDate(2011, 9, 28) }, new double[] {0.0035, 0.0036 });
private static final ZonedDateTimeDoubleTimeSeries TS_IBOR_EUR6M_WITHOUT_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27) },
new double[] {0.0035 });
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_EUR6M_WITH_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_IBOR_EUR6M_WITH_TODAY };
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_EUR6M_WITHOUT_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_IBOR_EUR6M_WITHOUT_TODAY };
private static final String CURVE_NAME_DSC_EUR = "EUR Dsc";
private static final String CURVE_NAME_FWD6_EUR = "EUR Fwd 6M";
/** Market values for the dsc USD curve */
private static final double[] DSC_EUR_MARKET_QUOTES = new double[] {0.0050, 0.0050, 0.0050, 0.0051, 0.0051, 0.0051, 0.0054, 0.0062, 0.0069, 0.0071, 0.0072, 0.0070, 0.0074, 0.0076, 0.0100, 0.0110,
0.0120, 0.0110, 0.0150 };
/** Generators for the dsc USD curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] DSC_EUR_GENERATORS = new GeneratorInstrument<?>[] {GENERATOR_DEPOSIT_ON_EUR, GENERATOR_DEPOSIT_ON_EUR, GENERATOR_OIS_EUR,
GENERATOR_OIS_EUR, GENERATOR_OIS_EUR, GENERATOR_OIS_EUR, GENERATOR_OIS_EUR, GENERATOR_OIS_EUR, GENERATOR_OIS_EUR, GENERATOR_OIS_EUR, GENERATOR_OIS_EUR, GENERATOR_OIS_EUR, GENERATOR_OIS_EUR,
GENERATOR_OIS_EUR, GENERATOR_OIS_EUR, GENERATOR_OIS_EUR, GENERATOR_OIS_EUR, GENERATOR_OIS_EUR, GENERATOR_OIS_EUR };
/** Tenors for the dsc USD curve */
private static final Period[] DSC_EUR_TENOR = new Period[] {Period.ofDays(0), Period.ofDays(1), Period.ofMonths(1), Period.ofMonths(2), Period.ofMonths(3), Period.ofMonths(4), Period.ofMonths(5),
Period.ofMonths(6), Period.ofMonths(7), Period.ofMonths(8), Period.ofMonths(9), Period.ofMonths(10), Period.ofMonths(11), Period.ofYears(1), Period.ofYears(2), Period.ofYears(3),
Period.ofYears(4), Period.ofYears(5), Period.ofYears(10) };
private static final GeneratorAttributeIR[] DSC_EUR_ATTR = new GeneratorAttributeIR[DSC_EUR_TENOR.length];
static {
for (int loopins = 0; loopins < 2; loopins++) {
DSC_EUR_ATTR[loopins] = new GeneratorAttributeIR(DSC_EUR_TENOR[loopins], Period.ZERO);
}
for (int loopins = 2; loopins < DSC_EUR_TENOR.length; loopins++) {
DSC_EUR_ATTR[loopins] = new GeneratorAttributeIR(DSC_EUR_TENOR[loopins]);
}
}
/** Market values for the Fwd 3M USD curve */
private static final double[] FWD6_EUR_MARKET_QUOTES = new double[] {0.0150, 0.0150, 0.0150, 0.0150, 0.0180, 0.0175, 0.0200, 0.0175 };
/** Generators for the Fwd 3M USD curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] FWD6_EUR_GENERATORS = new GeneratorInstrument<?>[] {GENERATOR_EURIBOR6M, GENERATOR_FRA_6M, GENERATOR_FRA_6M, EUR1YEURIBOR6M,
EUR1YEURIBOR6M, EUR1YEURIBOR6M, EUR1YEURIBOR6M, EUR1YEURIBOR6M };
/** Tenors for the Fwd 3M USD curve */
private static final Period[] FWD6_EUR_TENOR = new Period[] {Period.ofMonths(0), Period.ofMonths(9), Period.ofMonths(12), Period.ofYears(2), Period.ofYears(3), Period.ofYears(5), Period.ofYears(7),
Period.ofYears(10) };
private static final GeneratorAttributeIR[] FWD6_EUR_ATTR = new GeneratorAttributeIR[FWD6_EUR_TENOR.length];
static {
for (int loopins = 0; loopins < FWD6_EUR_TENOR.length; loopins++) {
FWD6_EUR_ATTR[loopins] = new GeneratorAttributeIR(FWD6_EUR_TENOR[loopins]);
}
}
/** Standard USD discounting curve instrument definitions */
private static final InstrumentDefinition<?>[] DEFINITIONS_DSC_EUR;
/** Standard USD Forward 3M curve instrument definitions */
private static final InstrumentDefinition<?>[] DEFINITIONS_FWD6_EUR;
/** Units of curves */
private static final int[] NB_UNITS = new int[] {2, 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 MULTICURVE_KNOWN_DATA = new MulticurveProviderDiscount(FX_MATRIX);
private static final LinkedHashMap<String, Currency> DSC_MAP = new LinkedHashMap<>();
private static final LinkedHashMap<String, IndexON[]> FWD_ON_MAP = new LinkedHashMap<>();
private static final LinkedHashMap<String, IborIndex[]> FWD_IBOR_MAP = new LinkedHashMap<>();
static {
DEFINITIONS_DSC_EUR = getDefinitions(DSC_EUR_MARKET_QUOTES, DSC_EUR_GENERATORS, DSC_EUR_ATTR);
DEFINITIONS_FWD6_EUR = getDefinitions(FWD6_EUR_MARKET_QUOTES, FWD6_EUR_GENERATORS, FWD6_EUR_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_EUR };
DEFINITIONS_UNITS[0][1] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD6_EUR };
DEFINITIONS_UNITS[1][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_EUR };
DEFINITIONS_UNITS[1][1] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD6_EUR };
final int nbNode1 = 2;
final GeneratorYDCurve genIntLin = new GeneratorCurveYieldInterpolated(MATURITY_CALCULATOR, INTERPOLATOR_LINEAR);
final GeneratorYDCurve genIntNumDFLL = new GeneratorCurveDiscountFactorInterpolatedNumber(MATURITY_CALCULATOR, nbNode1, INTERPOLATOR_LL);
final GeneratorYDCurve genInt0DFLL = new GeneratorCurveDiscountFactorInterpolatedAnchorNode(MEETING_ECB_TIME, TimeCalculator.getTimeBetween(NOW,
ScheduleCalculator.getAdjustedDate(NOW, GENERATOR_OIS_EUR.getSpotLag(), TARGET)), INTERPOLATOR_LL);
final GeneratorYDCurve genInt0DQ = new GeneratorCurveYieldInterpolatedAnchor(MATURITY_CALCULATOR, INTERPOLATOR_DQ);
final GeneratorYDCurve[] genCompArray = new GeneratorYDCurve[] {genIntNumDFLL, genInt0DFLL, genInt0DQ };
final GeneratorYDCurve genComp = new GeneratorCurveAddYield(genCompArray, false);
final LocalDate startTOY = LocalDate.of(2012, 12, 31);
final LocalDate endTOY = LocalDate.of(2013, 1, 2);
final double spreadTOY = 0.0030; // 30bps
final double dfTOY = 1.0 / (1 + EONIA.getDayCount().getDayCountFraction(startTOY, endTOY) * spreadTOY);
final double[] times = {TimeCalculator.getTimeBetween(NOW, startTOY), TimeCalculator.getTimeBetween(NOW, endTOY) };
final double[] df = {1.0, dfTOY };
final YieldAndDiscountCurve curveTOY = new DiscountCurve("TOY", new InterpolatedDoublesCurve(times, df, INTERPOLATOR_LINEAR, true));
final GeneratorYDCurve genAddFixed = new GeneratorCurveAddYieldFixed(genComp, false, curveTOY);
final GeneratorYDCurve genIntDQ = new GeneratorCurveYieldInterpolated(MATURITY_CALCULATOR, INTERPOLATOR_LINEAR);
final GeneratorYDCurve genAddExistDsc = new GeneratorCurveAddYieldExisiting(genIntDQ, false, CURVE_NAME_DSC_EUR);
GENERATORS_UNITS[0][0] = new GeneratorYDCurve[] {genComp };
GENERATORS_UNITS[0][1] = new GeneratorYDCurve[] {genIntLin };
GENERATORS_UNITS[1][0] = new GeneratorYDCurve[] {genAddFixed };
GENERATORS_UNITS[1][1] = new GeneratorYDCurve[] {genAddExistDsc };
NAMES_UNITS[0][0] = new String[] {CURVE_NAME_DSC_EUR };
NAMES_UNITS[0][1] = new String[] {CURVE_NAME_FWD6_EUR };
NAMES_UNITS[1][0] = new String[] {CURVE_NAME_DSC_EUR };
NAMES_UNITS[1][1] = new String[] {CURVE_NAME_FWD6_EUR };
DSC_MAP.put(CURVE_NAME_DSC_EUR, EUR);
FWD_ON_MAP.put(CURVE_NAME_DSC_EUR, new IndexON[] {EONIA });
FWD_IBOR_MAP.put(CURVE_NAME_FWD6_EUR, new IborIndex[] {EURIBOR6M, EUROLIBOR6M });
}
@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 PVDC = PresentValueDiscountingCalculator.getInstance();
private static final ParSpreadMarketQuoteDiscountingCalculator PSMQDC = ParSpreadMarketQuoteDiscountingCalculator.getInstance();
private static final ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator PSMQCSDC = ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator.getInstance();
private static final MulticurveDiscountBuildingRepository CURVE_BUILDING_REPOSITORY = new MulticurveDiscountBuildingRepository(TOLERANCE_ROOT, TOLERANCE_ROOT, STEP_MAX);
private static final double TOLERANCE_CAL = 1.0E-9;
@BeforeSuite
static void initClass() {
for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) {
CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.add(makeCurvesFromDefinitions(DEFINITIONS_UNITS[loopblock], GENERATORS_UNITS[loopblock], NAMES_UNITS[loopblock], MULTICURVE_KNOWN_DATA, PSMQDC,
PSMQCSDC, false));
}
}
@Test
public void curveConstruction() {
for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) {
curveConstructionTest(DEFINITIONS_UNITS[loopblock], CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getFirst(), false, loopblock);
}
assertEquals("Curve construction", CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).getFirst().getCurve(EURIBOR6M), CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).getFirst().getCurve(EUROLIBOR6M));
}
@Test(enabled = false)
public void comparison1Unit3Units() {
final MulticurveProviderDiscount[] units = new MulticurveProviderDiscount[2];
final CurveBuildingBlockBundle[] bb = new CurveBuildingBlockBundle[2];
final YieldAndDiscountCurve[] curveDsc = new YieldAndDiscountCurve[2];
final YieldAndDiscountCurve[] curveFwd3 = new YieldAndDiscountCurve[2];
final YieldAndDiscountCurve[] curveFwd6 = new YieldAndDiscountCurve[2];
for (int loopblock = 0; loopblock < 2; loopblock++) {
units[loopblock] = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getFirst();
bb[loopblock] = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getSecond();
curveDsc[loopblock] = units[loopblock].getCurve(EUR);
curveFwd6[loopblock] = units[loopblock].getCurve(EURIBOR6M);
}
assertEquals("Curve construction: 1 unit / 3 units ", curveDsc[0].getNumberOfParameters(), curveDsc[1].getNumberOfParameters());
assertEquals("Curve construction: 1 unit / 3 units ", curveFwd3[0].getNumberOfParameters(), curveFwd3[1].getNumberOfParameters());
assertEquals("Curve construction: 1 unit / 3 units ", curveFwd6[0].getNumberOfParameters(), curveFwd6[1].getNumberOfParameters());
assertArrayEquals("Curve construction: 1 unit / 3 units ", ArrayUtils.toPrimitive(((YieldCurve) curveDsc[0]).getCurve().getXData()),
ArrayUtils.toPrimitive(((YieldCurve) curveDsc[1]).getCurve().getXData()), TOLERANCE_CAL);
assertArrayEquals("Curve construction: 1 unit / 3 units ", ArrayUtils.toPrimitive(((YieldCurve) curveDsc[0]).getCurve().getYData()),
ArrayUtils.toPrimitive(((YieldCurve) curveDsc[1]).getCurve().getYData()), TOLERANCE_CAL);
assertArrayEquals("Curve construction: 1 unit / 3 units ", ArrayUtils.toPrimitive(((YieldCurve) curveFwd3[0]).getCurve().getXData()),
ArrayUtils.toPrimitive(((YieldCurve) curveFwd3[1]).getCurve().getXData()), TOLERANCE_CAL);
assertArrayEquals("Curve construction: 1 unit / 3 units ", ArrayUtils.toPrimitive(((YieldCurve) curveFwd3[0]).getCurve().getYData()),
ArrayUtils.toPrimitive(((YieldCurve) curveFwd3[1]).getCurve().getYData()), TOLERANCE_CAL);
assertArrayEquals("Curve construction: 1 unit / 3 units ", ArrayUtils.toPrimitive(((YieldCurve) curveFwd6[0]).getCurve().getXData()),
ArrayUtils.toPrimitive(((YieldCurve) curveFwd6[1]).getCurve().getXData()), TOLERANCE_CAL);
assertArrayEquals("Curve construction: 1 unit / 3 units ", ArrayUtils.toPrimitive(((YieldCurve) curveFwd6[0]).getCurve().getYData()),
ArrayUtils.toPrimitive(((YieldCurve) curveFwd6[1]).getCurve().getYData()), TOLERANCE_CAL);
assertEquals("Curve construction: 1 unit / 3 units ", bb[0].getBlock(CURVE_NAME_FWD6_EUR).getFirst(), bb[1].getBlock(CURVE_NAME_FWD6_EUR).getFirst());
}
//TODO: test on the correctness of the Jacobian matrix in the CurveBuildingBlock's.
@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], MULTICURVE_KNOWN_DATA, PSMQDC, PSMQCSDC, false);
}
endTime = System.currentTimeMillis();
System.out.println(nbTest + " curve construction / 3 units: " + (endTime - startTime) + " ms");
// Performance note: Curve construction 1 units: 07-Jan-2013: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 685 ms for 100 sets.
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
makeCurvesFromDefinitions(DEFINITIONS_UNITS[1], GENERATORS_UNITS[1], NAMES_UNITS[1], MULTICURVE_KNOWN_DATA, PSMQDC, PSMQCSDC, false);
}
endTime = System.currentTimeMillis();
System.out.println(nbTest + " curve construction / 1 unit: " + (endTime - startTime) + " ms");
// Performance note: Curve construction 1 unit: 07-Jan-2013: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 740 ms for 100 sets.
}
public void curveConstructionTest(final InstrumentDefinition<?>[][][] definitions, final MulticurveProviderDiscount curves, final boolean withToday, final int block) {
final int nbBlocks = definitions.length;
for (int loopblock = 0; loopblock < nbBlocks; loopblock++) {
final InstrumentDerivative[][] instruments = convert(definitions[loopblock], withToday);
final double[][] pv = new double[instruments.length][];
for (int loopcurve = 0; loopcurve < instruments.length; loopcurve++) {
pv[loopcurve] = new double[instruments[loopcurve].length];
for (int loopins = 0; loopins < instruments[loopcurve].length; loopins++) {
pv[loopcurve][loopins] = curves.getFxRates().convert(instruments[loopcurve][loopins].accept(PVDC, curves), EUR).getAmount();
assertEquals("Curve construction: block " + block + ", unit " + loopblock + " - instrument " + loopins, 0, pv[loopcurve][loopins], TOLERANCE_CAL);
}
}
}
}
@Test(enabled = false)
/**
* Analyzes the shape of the pseudo-on forward rates for the EURIBOR6M forward curve.
*/
public void forwardAnalysisON() {
final MulticurveProviderInterface multicurve = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(1).getFirst();
final int jump = 1;
// final int startIndex = 0;
final int nbDate = 500;
ZonedDateTime startDate = NOW;
final double[] rateDsc = new double[nbDate];
final double[] startTime = new double[nbDate];
try {
final FileWriter writer = new FileWriter("dsc-committee.csv");
for (int loopdate = 0; loopdate < nbDate; loopdate++) {
startTime[loopdate] = TimeCalculator.getTimeBetween(NOW, startDate);
final ZonedDateTime endDate = ScheduleCalculator.getAdjustedDate(startDate, 1, TARGET);
final double endTime = TimeCalculator.getTimeBetween(NOW, endDate);
final double accrualFactor = EONIA.getDayCount().getDayCountFraction(startDate, endDate);
rateDsc[loopdate] = multicurve.getForwardRate(EONIA, startTime[loopdate], endTime, accrualFactor); // EONIA curve
// rateDsc[loopdate] = multicurve.getForwardRate(EURIBOR6M, startTime[loopdate], endTime, accrualFactor); // EURIBOR6M curve
startDate = ScheduleCalculator.getAdjustedDate(startDate, jump, TARGET);
writer.append(0.0 + "," + startTime[loopdate] + "," + rateDsc[loopdate] + "\n");
}
writer.flush();
writer.close();
} catch (final IOException e) {
e.printStackTrace();
}
}
@Test(enabled = false)
/**
* Analyzes the shape of the forward rate curve for EURIBOR6M forward curve.
*/
public void forwardAnalysisTenor() {
final MulticurveProviderInterface multicurve = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(1).getFirst();
final int jump = 1;
// final int startIndex = 0;
final int nbDate = 750;
ZonedDateTime startDate = NOW;
final double[] rateDsc = new double[nbDate];
final double[] startTime = new double[nbDate];
try {
final FileWriter writer = new FileWriter("dsc-committee.csv");
for (int loopdate = 0; loopdate < nbDate; loopdate++) {
startTime[loopdate] = TimeCalculator.getTimeBetween(NOW, startDate);
final ZonedDateTime endDate = ScheduleCalculator.getAdjustedDate(startDate, EURIBOR6M, TARGET);
final double endTime = TimeCalculator.getTimeBetween(NOW, endDate);
final double accrualFactor = EURIBOR6M.getDayCount().getDayCountFraction(startDate, endDate);
rateDsc[loopdate] = multicurve.getForwardRate(EURIBOR6M, startTime[loopdate], endTime, accrualFactor);
startDate = ScheduleCalculator.getAdjustedDate(startDate, jump, TARGET);
writer.append(0.0 + "," + startTime[loopdate] + "," + rateDsc[loopdate] + "\n");
}
writer.flush();
writer.close();
} catch (final IOException e) {
e.printStackTrace();
}
}
@SuppressWarnings("unchecked")
private static Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> makeCurvesFromDefinitions(final InstrumentDefinition<?>[][][] definitions, final GeneratorYDCurve[][] curveGenerators,
final String[][] curveNames, final MulticurveProviderDiscount knownData, final InstrumentDerivativeVisitor<MulticurveProviderInterface, Double> calculator,
final InstrumentDerivativeVisitor<MulticurveProviderInterface, MulticurveSensitivity> sensitivityCalculator, final boolean withToday) {
final int nUnits = definitions.length;
final MultiCurveBundle<GeneratorYDCurve>[] curveBundles = new MultiCurveBundle[nUnits];
for (int i = 0; i < nUnits; i++) {
final int nCurves = definitions[i].length;
final SingleCurveBundle<GeneratorYDCurve>[] singleCurves = new SingleCurveBundle[nCurves];
for (int j = 0; j < nCurves; j++) {
final int nInstruments = definitions[i][j].length;
final InstrumentDerivative[] derivatives = new InstrumentDerivative[nInstruments];
final double[] rates = new double[nInstruments];
for(int k = 0; k < nInstruments; k++) {
derivatives[k] = convert(definitions[i][j][k], withToday);
rates[k] = initialRateGuess(definitions[i][j][k]);
}
final GeneratorYDCurve generator = curveGenerators[i][j].finalGenerator(derivatives);
final double[] initialGuess = generator.initialGuess(rates);
singleCurves[j] = new SingleCurveBundle<>(curveNames[i][j], derivatives, initialGuess, generator);
}
curveBundles[i] = new MultiCurveBundle<>(singleCurves);
}
return CURVE_BUILDING_REPOSITORY.makeCurvesFromDerivatives(curveBundles, knownData, DSC_MAP, FWD_IBOR_MAP, FWD_ON_MAP, calculator, sensitivityCalculator);
}
private static InstrumentDerivative[][] convert(final InstrumentDefinition<?>[][] definitions, final boolean withToday) {
final InstrumentDerivative[][] instruments = new InstrumentDerivative[definitions.length][];
for (int loopcurve = 0; loopcurve < definitions.length; loopcurve++) {
instruments[loopcurve] = new InstrumentDerivative[definitions[loopcurve].length];
int loopins = 0;
for (final InstrumentDefinition<?> instrument : definitions[loopcurve]) {
InstrumentDerivative ird;
if (instrument instanceof SwapFixedONDefinition) {
ird = ((SwapFixedONDefinition) instrument).toDerivative(NOW, getTSSwapFixedON(withToday));
} else {
if (instrument instanceof SwapFixedIborDefinition) {
ird = ((SwapFixedIborDefinition) instrument).toDerivative(NOW, getTSSwapFixedIbor(withToday));
} else {
if (instrument instanceof InterestRateFutureTransactionDefinition) {
ird = ((InterestRateFutureTransactionDefinition) instrument).toDerivative(NOW, 0.0); // Trade date = today, reference price not used.
} else {
ird = instrument.toDerivative(NOW);
}
}
}
instruments[loopcurve][loopins++] = ird;
}
}
return instruments;
}
private static InstrumentDerivative convert(final InstrumentDefinition<?> instrument, final boolean withToday) {
InstrumentDerivative ird;
if (instrument instanceof SwapFixedONDefinition) {
ird = ((SwapFixedONDefinition) instrument).toDerivative(NOW, getTSSwapFixedON(withToday));
} else {
if (instrument instanceof SwapFixedIborDefinition) {
ird = ((SwapFixedIborDefinition) instrument).toDerivative(NOW, getTSSwapFixedIbor(withToday));
} else {
if (instrument instanceof InterestRateFutureTransactionDefinition) {
ird = ((InterestRateFutureTransactionDefinition) instrument).toDerivative(NOW, 0.0); // Trade date = today, reference price not used.
} else {
ird = instrument.toDerivative(NOW);
}
}
}
return ird;
}
private static ZonedDateTimeDoubleTimeSeries[] getTSSwapFixedON(final Boolean withToday) {
return withToday ? TS_FIXED_OIS_EUR_WITH_TODAY : TS_FIXED_OIS_EUR_WITHOUT_TODAY;
}
private static ZonedDateTimeDoubleTimeSeries[] getTSSwapFixedIbor(final Boolean withToday) { // TODO: different fixing for 3 and 6 m
return withToday ? TS_FIXED_IBOR_EUR6M_WITH_TODAY : TS_FIXED_IBOR_EUR6M_WITHOUT_TODAY;
}
private static double initialRateGuess(final InstrumentDefinition<?> instrument) {
if (instrument instanceof SwapFixedONDefinition) {
return ((SwapFixedONDefinition) instrument).getFixedLeg().getNthPayment(0).getRate();
}
if (instrument instanceof SwapFixedIborDefinition) {
return ((SwapFixedIborDefinition) instrument).getFixedLeg().getNthPayment(0).getRate();
}
if (instrument instanceof ForwardRateAgreementDefinition) {
return ((ForwardRateAgreementDefinition) instrument).getRate();
}
if (instrument instanceof CashDefinition) {
return ((CashDefinition) instrument).getRate();
}
if (instrument instanceof InterestRateFutureTransactionDefinition) {
return 1 - ((InterestRateFutureTransactionDefinition) instrument).getTransactionPrice();
}
return 0.01;
}
}