/**
* Copyright (C) 2012 - 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.io.FileWriter;
import java.io.IOException;
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.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.GeneratorCurveAddYieldNb;
import com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorCurveDiscountFactorInterpolated;
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.GeneratorCurveYieldNelsonSiegel;
import com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorCurveYieldPeriodicInterpolated;
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.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.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.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.
*/
public class MulticurveBuildingDiscountingDiscountUSDSpreadTest {
private static final Interpolator1D INTERPOLATOR_DQ = CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.DOUBLE_QUADRATIC, Interpolator1DFactory.FLAT_EXTRAPOLATOR,
Interpolator1DFactory.FLAT_EXTRAPOLATOR);
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 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 GeneratorSwapFixedIborMaster GENERATOR_SWAP_MASTER = GeneratorSwapFixedIborMaster.getInstance();
private static final GeneratorSwapFixedIbor USD6MLIBOR3M = GENERATOR_SWAP_MASTER.getGenerator("USD6MLIBOR3M", NYC);
private static final GeneratorSwapFixedIbor USD6MLIBOR6M = GENERATOR_SWAP_MASTER.getGenerator("USD6MLIBOR6M", NYC);
private static final IborIndex USDLIBOR3M = USD6MLIBOR3M.getIborIndex();
private static final IborIndex USDLIBOR6M = USD6MLIBOR6M.getIborIndex();
private static final GeneratorDepositIbor GENERATOR_USDLIBOR3M = new GeneratorDepositIbor("GENERATOR_USDLIBOR3M", USDLIBOR3M, NYC);
private static final GeneratorDepositIbor GENERATOR_USDLIBOR6M = new GeneratorDepositIbor("GENERATOR_USDLIBOR6M", USDLIBOR6M, NYC);
private static final ZonedDateTime NOW = DateUtils.getUTCDate(2011, 9, 28);
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 ZonedDateTimeDoubleTimeSeries TS_IBOR_USD3M_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_USD3M_WITHOUT_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27) },
new double[] {0.0035 });
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_USD3M_WITH_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_IBOR_USD3M_WITH_TODAY };
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_USD3M_WITHOUT_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_IBOR_USD3M_WITHOUT_TODAY };
private static final String CURVE_NAME_DSC_USD = "USD Dsc";
private static final String CURVE_NAME_FWD3_USD = "USD Fwd 3M";
private static final String CURVE_NAME_FWD6_USD = "USD Fwd 6M";
/** Market values for the dsc USD curve */
private static final double[] DSC_USD_MARKET_QUOTES = new double[] {0.0010, 0.0011, 0.0013, 0.0009, 0.0010, 0.0015, 0.0014, 0.0020, 0.0020, 0.0030, 0.0040, 0.0050, 0.0130 };
/** Generators for the dsc USD curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] DSC_USD_GENERATORS = new GeneratorInstrument<?>[] {GENERATOR_DEPOSIT_ON_USD, 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.ofDays(1), 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 < 2; loopins++) {
DSC_USD_ATTR[loopins] = new GeneratorAttributeIR(DSC_USD_TENOR[loopins], Period.ZERO);
}
for (int loopins = 2; loopins < DSC_USD_TENOR.length; loopins++) {
DSC_USD_ATTR[loopins] = new GeneratorAttributeIR(DSC_USD_TENOR[loopins]);
}
}
/** Tenors for the Fwd 3M USD curve */
private static final Period[] FWD3_USD_TENOR = new Period[] {Period.ofYears(1), Period.ofMonths(0), Period.ofMonths(6), Period.ofYears(2), Period.ofYears(3), Period.ofYears(4), Period.ofYears(5),
Period.ofYears(10) };
private static final GeneratorAttributeIR[] FWD3_USD_ATTR = new GeneratorAttributeIR[FWD3_USD_TENOR.length];
static {
for (int loopins = 0; loopins < FWD3_USD_TENOR.length; loopins++) {
FWD3_USD_ATTR[loopins] = new GeneratorAttributeIR(FWD3_USD_TENOR[loopins]);
}
}
/** Market values for the Fwd 3M USD curve */
private static final double[] FWD3_USD_MARKET_QUOTES_2 = new double[] {0.0045, 0.0045, 0.0045, 0.0050, 0.0060, 0.0080, 0.0075, 0.0090, 0.0160 };
/** Generators for the Fwd 3M USD curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] FWD3_USD_GENERATORS_2 = new GeneratorInstrument<?>[] {GENERATOR_USDLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M,
USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M };
/** Tenors for the Fwd 3M USD curve */
private static final Period[] FWD3_USD_TENOR_2 = new Period[] {Period.ofMonths(0), Period.ofMonths(6), Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(4), Period.ofYears(5),
Period.ofYears(7), Period.ofYears(10) };
private static final GeneratorAttributeIR[] FWD3_USD_ATTR_2 = new GeneratorAttributeIR[FWD3_USD_TENOR_2.length];
static {
for (int loopins = 0; loopins < FWD3_USD_TENOR_2.length; loopins++) {
FWD3_USD_ATTR_2[loopins] = new GeneratorAttributeIR(FWD3_USD_TENOR_2[loopins]);
}
}
/** Market values for the Fwd 3M USD curve */
private static final double[] FWD3_USD_MARKET_QUOTES_3 = new double[] {0.0045, 0.0045, 0.0045, 0.0050, 0.0060, 0.0080, 0.0075, 0.0090, 0.0160, 0.0200, 0.0180 };
/** Generators for the Fwd 3M USD curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] FWD3_USD_GENERATORS_3 = new GeneratorInstrument<?>[] {GENERATOR_USDLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M,
USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M };
/** Tenors for the Fwd 3M USD curve */
private static final Period[] FWD3_USD_TENOR_3 = new Period[] {Period.ofMonths(0), Period.ofMonths(6), Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(4), Period.ofYears(5),
Period.ofYears(7), Period.ofYears(10), Period.ofYears(15), Period.ofYears(20) };
private static final GeneratorAttributeIR[] FWD3_USD_ATTR_3 = new GeneratorAttributeIR[FWD3_USD_TENOR_3.length];
static {
for (int loopins = 0; loopins < FWD3_USD_TENOR_3.length; loopins++) {
FWD3_USD_ATTR_3[loopins] = new GeneratorAttributeIR(FWD3_USD_TENOR_3[loopins]);
}
}
/** Market values for the Fwd 3M USD curve */
private static final double[] FWD3_USD_MARKET_QUOTES_4 = new double[] {0.0100, 0.0125, 0.0150, 0.0140, 0.0113, 0.0131, 0.0136, 0.0142, 0.0146, 0.0135 };
/** Generators for the Fwd 3M USD curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] FWD3_USD_GENERATORS_4 = new GeneratorInstrument<?>[] {GENERATOR_USDLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M,
USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M, USD6MLIBOR3M };
/** Tenors for the Fwd 3M USD curve */
private static final Period[] FWD3_USD_TENOR_4 = new Period[] {Period.ofMonths(0), Period.ofYears(1), Period.ofYears(5), Period.ofYears(10), Period.ofMonths(6), Period.ofYears(2),
Period.ofYears(3),
Period.ofYears(4), Period.ofYears(7), Period.ofYears(15) };
private static final GeneratorAttributeIR[] FWD3_USD_ATTR_4 = new GeneratorAttributeIR[FWD3_USD_TENOR_4.length];
static {
for (int loopins = 0; loopins < FWD3_USD_TENOR_4.length; loopins++) {
FWD3_USD_ATTR_4[loopins] = new GeneratorAttributeIR(FWD3_USD_TENOR_4[loopins]);
}
}
/** Market values for the Fwd 6M USD curve */
private static final double[] FWD6_USD_MARKET_QUOTES = new double[] {0.0065, 0.0055, 0.0080, 0.0170 };
/** Generators for the Fwd 6M USD curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] FWD6_USD_GENERATORS = new GeneratorInstrument<?>[] {GENERATOR_USDLIBOR6M, USD6MLIBOR6M, USD6MLIBOR6M, USD6MLIBOR6M };
/** Tenors for the Fwd 6M USD curve */
private static final Period[] FWD6_USD_TENOR = new Period[] {Period.ofMonths(0), Period.ofYears(2), Period.ofYears(5), Period.ofYears(10) };
private static final GeneratorAttributeIR[] FWD6_USD_ATTR = new GeneratorAttributeIR[FWD6_USD_TENOR.length];
static {
for (int loopins = 0; loopins < FWD6_USD_TENOR.length; loopins++) {
FWD6_USD_ATTR[loopins] = new GeneratorAttributeIR(FWD6_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_FWD3_USD_2;
/** Standard USD Forward 3M curve instrument definitions */
private static final InstrumentDefinition<?>[] DEFINITIONS_FWD3_USD_3;
/** Standard USD Forward 3M curve instrument definitions */
private static final InstrumentDefinition<?>[] DEFINITIONS_FWD3_USD_4;
/** Standard USD Forward 6M curve instrument definitions */
private static final InstrumentDefinition<?>[] DEFINITIONS_FWD6_USD;
/** Units of curves */
private static final int[] NB_UNITS = new int[] {2, 2, 2, 3, 3, 1, 1, 2, 1, 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_USD = getDefinitions(DSC_USD_MARKET_QUOTES, DSC_USD_GENERATORS, DSC_USD_ATTR);
DEFINITIONS_FWD3_USD_2 = getDefinitions(FWD3_USD_MARKET_QUOTES_2, FWD3_USD_GENERATORS_2, FWD3_USD_ATTR_2);
DEFINITIONS_FWD3_USD_3 = getDefinitions(FWD3_USD_MARKET_QUOTES_3, FWD3_USD_GENERATORS_3, FWD3_USD_ATTR_3);
DEFINITIONS_FWD3_USD_4 = getDefinitions(FWD3_USD_MARKET_QUOTES_4, FWD3_USD_GENERATORS_4, FWD3_USD_ATTR_4);
DEFINITIONS_FWD6_USD = getDefinitions(FWD6_USD_MARKET_QUOTES, FWD6_USD_GENERATORS, FWD6_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_FWD3_USD_2 };
DEFINITIONS_UNITS[1][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD };
DEFINITIONS_UNITS[1][1] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD3_USD_2 };
DEFINITIONS_UNITS[2][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD };
DEFINITIONS_UNITS[2][1] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD3_USD_2 };
DEFINITIONS_UNITS[3][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD };
DEFINITIONS_UNITS[3][1] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD3_USD_2 };
DEFINITIONS_UNITS[3][2] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD6_USD };
DEFINITIONS_UNITS[4][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD };
DEFINITIONS_UNITS[4][1] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD3_USD_2 };
DEFINITIONS_UNITS[4][2] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD6_USD };
DEFINITIONS_UNITS[5][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD3_USD_3, DEFINITIONS_DSC_USD };
DEFINITIONS_UNITS[6][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD3_USD_3, DEFINITIONS_DSC_USD };
DEFINITIONS_UNITS[7][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD };
DEFINITIONS_UNITS[7][1] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD3_USD_4 };
DEFINITIONS_UNITS[8][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD };
DEFINITIONS_UNITS[9][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD };
final GeneratorYDCurve genIntDQ = new GeneratorCurveYieldInterpolated(MATURITY_CALCULATOR, INTERPOLATOR_DQ);
final GeneratorYDCurve genIntLin = new GeneratorCurveYieldInterpolated(MATURITY_CALCULATOR, INTERPOLATOR_LINEAR);
final int compoundingRate = 1;
final GeneratorYDCurve genIntRPLin = new GeneratorCurveYieldPeriodicInterpolated(MATURITY_CALCULATOR, compoundingRate, INTERPOLATOR_LINEAR);
final GeneratorYDCurve genIntDFLL = new GeneratorCurveDiscountFactorInterpolated(MATURITY_CALCULATOR, INTERPOLATOR_LL);
final GeneratorYDCurve genNS = new GeneratorCurveYieldNelsonSiegel();
final GeneratorYDCurve genInt0 = new GeneratorCurveYieldInterpolatedAnchor(MATURITY_CALCULATOR, INTERPOLATOR_LINEAR);
final GeneratorYDCurve genAddExistFwd3 = new GeneratorCurveAddYieldExisiting(genIntDQ, false, CURVE_NAME_FWD3_USD);
final LocalDate startTOY = LocalDate.of(2011, 12, 30);
final LocalDate endTOY = LocalDate.of(2012, 1, 2);
final double spreadTOY = 0.0025; // 25bps
final double dfTOY = 1.0 / (1 + USDLIBOR3M.getDayCount().getDayCountFraction(startTOY, endTOY) * spreadTOY);
final LocalDate startTOQ = LocalDate.of(2012, 3, 30);
final LocalDate endTOQ = LocalDate.of(2012, 4, 2);
final double spreadTOQ = 0.0010; // 25bps
final double dfTOQ = 1.0 / (1 + USDLIBOR3M.getDayCount().getDayCountFraction(startTOQ, endTOQ) * spreadTOQ);
final double[] times = {TimeCalculator.getTimeBetween(NOW, startTOY), TimeCalculator.getTimeBetween(NOW, endTOY), TimeCalculator.getTimeBetween(NOW, startTOQ),
TimeCalculator.getTimeBetween(NOW, endTOQ) };
final double[] df = {1.0, dfTOY, dfTOY, dfTOY * dfTOQ };
final YieldAndDiscountCurve curveTOY = new DiscountCurve("TOY", new InterpolatedDoublesCurve(times, df, INTERPOLATOR_LINEAR, true));
final GeneratorYDCurve genAddFixed = new GeneratorCurveAddYieldFixed(genIntDQ, false, curveTOY);
final GeneratorYDCurve genIntDQ0 = new GeneratorCurveYieldInterpolatedAnchor(MATURITY_CALCULATOR, INTERPOLATOR_DQ);
final int[] nbParameters = {5, DSC_USD_MARKET_QUOTES.length - 5 };
final GeneratorYDCurve gen2Blocks = new GeneratorCurveAddYieldNb(new GeneratorYDCurve[] {genIntDFLL, genIntDQ0 }, nbParameters, false);
GENERATORS_UNITS[0][0] = new GeneratorYDCurve[] {genIntLin };
GENERATORS_UNITS[0][1] = new GeneratorYDCurve[] {genIntLin };
GENERATORS_UNITS[1][0] = new GeneratorYDCurve[] {genIntRPLin };
GENERATORS_UNITS[1][1] = new GeneratorYDCurve[] {genIntRPLin };
GENERATORS_UNITS[2][0] = new GeneratorYDCurve[] {genIntDFLL };
GENERATORS_UNITS[2][1] = new GeneratorYDCurve[] {genIntDFLL };
// 3xinterpolated / 2xinterpolated + spread over existing
GENERATORS_UNITS[3][0] = new GeneratorYDCurve[] {genIntDQ };
GENERATORS_UNITS[3][1] = new GeneratorYDCurve[] {genIntDQ };
GENERATORS_UNITS[3][2] = new GeneratorYDCurve[] {genIntDQ };
GENERATORS_UNITS[4][0] = new GeneratorYDCurve[] {genIntDQ };
GENERATORS_UNITS[4][1] = new GeneratorYDCurve[] {genIntDQ };
GENERATORS_UNITS[4][2] = new GeneratorYDCurve[] {genAddExistFwd3 };
// 2xinterpolated / interpolated + spread over existing
GENERATORS_UNITS[5][0] = new GeneratorYDCurve[] {genIntDQ, genIntDQ };
GENERATORS_UNITS[6][0] = new GeneratorYDCurve[] {genIntDQ, genAddExistFwd3 };
// interpolated + functional+interpolated
GENERATORS_UNITS[7][0] = new GeneratorYDCurve[] {genIntDQ };
GENERATORS_UNITS[7][1] = new GeneratorYDCurve[] {new GeneratorCurveAddYield(new GeneratorYDCurve[] {genNS, genInt0 }, false) };
GENERATORS_UNITS[8][0] = new GeneratorYDCurve[] {genAddFixed };
GENERATORS_UNITS[9][0] = new GeneratorYDCurve[] {gen2Blocks };
NAMES_UNITS[0][0] = new String[] {CURVE_NAME_DSC_USD };
NAMES_UNITS[0][1] = new String[] {CURVE_NAME_FWD3_USD };
NAMES_UNITS[1][0] = new String[] {CURVE_NAME_DSC_USD };
NAMES_UNITS[1][1] = new String[] {CURVE_NAME_FWD3_USD };
NAMES_UNITS[2][0] = new String[] {CURVE_NAME_DSC_USD };
NAMES_UNITS[2][1] = new String[] {CURVE_NAME_FWD3_USD };
NAMES_UNITS[3][0] = new String[] {CURVE_NAME_DSC_USD };
NAMES_UNITS[3][1] = new String[] {CURVE_NAME_FWD3_USD };
NAMES_UNITS[3][2] = new String[] {CURVE_NAME_FWD6_USD };
NAMES_UNITS[4][0] = new String[] {CURVE_NAME_DSC_USD };
NAMES_UNITS[4][1] = new String[] {CURVE_NAME_FWD3_USD };
NAMES_UNITS[4][2] = new String[] {CURVE_NAME_FWD6_USD };
NAMES_UNITS[5][0] = new String[] {CURVE_NAME_FWD3_USD, CURVE_NAME_DSC_USD };
NAMES_UNITS[6][0] = new String[] {CURVE_NAME_FWD3_USD, CURVE_NAME_DSC_USD };
NAMES_UNITS[7][0] = new String[] {CURVE_NAME_DSC_USD };
NAMES_UNITS[7][1] = new String[] {CURVE_NAME_FWD3_USD };
NAMES_UNITS[8][0] = new String[] {CURVE_NAME_DSC_USD };
NAMES_UNITS[9][0] = new String[] {CURVE_NAME_DSC_USD };
DSC_MAP.put(CURVE_NAME_DSC_USD, USD);
FWD_ON_MAP.put(CURVE_NAME_DSC_USD, new IndexON[] {INDEX_ON_USD });
FWD_IBOR_MAP.put(CURVE_NAME_FWD3_USD, new IborIndex[] {USDLIBOR3M });
FWD_IBOR_MAP.put(CURVE_NAME_FWD6_USD, new IborIndex[] {USDLIBOR6M });
}
@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
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
// public void comparison1Unit2Units() {
// MulticurveProviderDiscount[] units = new MulticurveProviderDiscount[2];
// CurveBuildingBlockBundle[] bb = new CurveBuildingBlockBundle[2];
// YieldAndDiscountCurve[] curveDsc = new YieldAndDiscountCurve[2];
// YieldAndDiscountCurve[] curveFwd = 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(USD);
// curveFwd[loopblock] = units[loopblock].getCurve(USDLIBOR3M);
// }
// assertEquals("Curve construction: 1 unit / 2 units ", curveDsc[0].getNumberOfParameters(), curveDsc[1].getNumberOfParameters());
// assertEquals("Curve construction: 1 unit / 2 units ", curveFwd[0].getNumberOfParameters(), curveFwd[1].getNumberOfParameters());
// assertArrayEquals("Curve construction: 1 unit / 2 units ", ArrayUtils.toPrimitive(((YieldCurve) curveDsc[0]).getCurve().getXData()),
// ArrayUtils.toPrimitive(((YieldCurve) curveDsc[1]).getCurve().getXData()), TOLERANCE_CAL);
// assertArrayEquals("Curve construction: 1 unit / 2 units ", ArrayUtils.toPrimitive(((YieldCurve) curveDsc[0]).getCurve().getYData()),
// ArrayUtils.toPrimitive(((YieldCurve) curveDsc[1]).getCurve().getYData()), TOLERANCE_CAL);
// assertArrayEquals("Curve construction: 1 unit / 2 units ", ArrayUtils.toPrimitive(((YieldCurve) curveFwd[0]).getCurve().getXData()),
// ArrayUtils.toPrimitive(((YieldCurve) curveFwd[1]).getCurve().getXData()), TOLERANCE_CAL);
// assertArrayEquals("Curve construction: 1 unit / 2 units ", ArrayUtils.toPrimitive(((YieldCurve) curveFwd[0]).getCurve().getYData()),
// ArrayUtils.toPrimitive(((YieldCurve) curveFwd[1]).getCurve().getYData()), TOLERANCE_CAL);
//
// assertEquals("Curve construction: 1 unit / 2 units ", bb[0].getBlock(CURVE_NAME_FWD3_USD).getFirst(), bb[1].getBlock(CURVE_NAME_FWD3_USD).getFirst());
// // Test note: the discounting curve building blocks are not the same; in one case both curves are build together in the other one after the other.
// int nbLineDsc = bb[0].getBlock(CURVE_NAME_DSC_USD).getSecond().getNumberOfRows();
// int nbLineFwd = bb[0].getBlock(CURVE_NAME_FWD3_USD).getSecond().getNumberOfRows();
// assertEquals("Curve construction: 1 unit / 2 units ", bb[1].getBlock(CURVE_NAME_DSC_USD).getSecond().getNumberOfRows(), nbLineDsc);
// assertEquals("Curve construction: 1 unit / 2 units ", bb[1].getBlock(CURVE_NAME_FWD3_USD).getSecond().getNumberOfRows(), nbLineFwd);
// for (int loopline = 0; loopline < nbLineFwd; loopline++) {
// assertArrayEquals("Curve construction: 1 unit / 2 units ", bb[0].getBlock(CURVE_NAME_FWD3_USD).getSecond().getRowVector(loopline).getData(), bb[1].getBlock(CURVE_NAME_FWD3_USD).getSecond()
// .getRowVector(loopline).getData(), TOLERANCE_CAL);
// for (int loopcol = 0; loopcol < nbLineDsc; loopcol++) { // Test rely on dsc being first
// assertEquals("Curve construction: 1 unit / 2 units ", bb[0].getBlock(CURVE_NAME_FWD3_USD).getSecond().getRowVector(loopline).getData()[loopcol], bb[1].getBlock(CURVE_NAME_FWD3_USD)
// .getSecond().getRowVector(loopline).getData()[loopcol], TOLERANCE_CAL);
// }
// for (int loopcol = 0; loopcol < nbLineFwd - nbLineDsc; loopcol++) { // Test rely on dsc being first
// assertEquals("Curve construction: 1 unit / 2 units ", 0, bb[1].getBlock(CURVE_NAME_FWD3_USD).getSecond().getRowVector(loopline).getData()[loopcol + nbLineDsc], TOLERANCE_CAL);
// }
// }
// }
//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], KNOWN_DATA, PSMQC, PSMQCSC, false);
}
endTime = System.currentTimeMillis();
System.out.println(nbTest + " curve construction / x units: " + (endTime - startTime) + " ms");
// Performance note: Curve construction 2 units: 02-Nov-12: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 270 (no Jac)/430 ms for 100 sets.
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
makeCurvesFromDefinitions(DEFINITIONS_UNITS[1], GENERATORS_UNITS[1], NAMES_UNITS[1], KNOWN_DATA, PSMQC, PSMQCSC, false);
}
endTime = System.currentTimeMillis();
System.out.println(nbTest + " curve construction / x unit: " + (endTime - startTime) + " ms");
// Performance note: Curve construction 1 unit: 02-Nov-12: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 315 (no Jac)/440 ms for 10 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], 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), USD).getAmount();
assertEquals("Curve construction: block " + block + ", unit " + loopblock + " - instrument " + loopins, 0, pv[loopcurve][loopins], TOLERANCE_CAL);
}
}
}
}
@Test(enabled = false)
/**
* Analyzes the shape of the forward curve.
*/
public void forwardAnalysis() {
final MulticurveProviderInterface marketDsc = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).getFirst();
final int jump = 1;
final int startIndex = 0;
final int nbDate = 2750;
ZonedDateTime startDate = ScheduleCalculator.getAdjustedDate(NOW, USDLIBOR3M.getSpotLag() + startIndex * jump, NYC);
final double[] rateDsc = new double[nbDate];
final double[] startTime = new double[nbDate];
try {
final FileWriter writer = new FileWriter("fwd-dsc.csv");
for (int loopdate = 0; loopdate < nbDate; loopdate++) {
startTime[loopdate] = TimeCalculator.getTimeBetween(NOW, startDate);
final ZonedDateTime endDate = ScheduleCalculator.getAdjustedDate(startDate, USDLIBOR3M, NYC);
final double endTime = TimeCalculator.getTimeBetween(NOW, endDate);
final double accrualFactor = USDLIBOR3M.getDayCount().getDayCountFraction(startDate, endDate);
rateDsc[loopdate] = marketDsc.getForwardRate(USDLIBOR3M, startTime[loopdate], endTime, accrualFactor);
startDate = ScheduleCalculator.getAdjustedDate(startDate, jump, NYC);
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], i, withToday);
rates[k] = initialGuess(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 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 {
if (instrument instanceof SwapFixedIborDefinition) {
ird = ((SwapFixedIborDefinition) instrument).toDerivative(NOW, getTSSwapFixedIbor(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 {
if (instrument instanceof SwapFixedIborDefinition) {
ird = ((SwapFixedIborDefinition) instrument).toDerivative(NOW, getTSSwapFixedIbor(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 ZonedDateTimeDoubleTimeSeries[] getTSSwapFixedIbor(final Boolean withToday, final Integer unit) { // TODO: change the fixing depending of the currency/tenor
//REVIEW is it intended that the first two branches of the switch statement do the same thing
switch (unit) {
case 0:
return withToday ? TS_FIXED_IBOR_USD3M_WITH_TODAY : TS_FIXED_IBOR_USD3M_WITHOUT_TODAY;
case 1:
return withToday ? TS_FIXED_IBOR_USD3M_WITH_TODAY : TS_FIXED_IBOR_USD3M_WITHOUT_TODAY;
case 2:
return withToday ? TS_FIXED_IBOR_USD3M_WITH_TODAY : TS_FIXED_IBOR_USD3M_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;
}
}