/**
* 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.cash.CashDefinition;
import com.opengamma.analytics.financial.instrument.fra.ForwardRateAgreementDefinition;
import com.opengamma.analytics.financial.instrument.future.InterestRateFutureSecurityDefinition;
import com.opengamma.analytics.financial.instrument.future.InterestRateFutureTransactionDefinition;
import com.opengamma.analytics.financial.instrument.future.SwapFuturesPriceDeliverableSecurityDefinition;
import com.opengamma.analytics.financial.instrument.future.SwapFuturesPriceDeliverableTransactionDefinition;
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.GeneratorInterestRateFutures;
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.GeneratorSwapFuturesDeliverable;
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.definition.HullWhiteOneFactorPiecewiseConstantParameters;
import com.opengamma.analytics.financial.provider.calculator.generic.LastTimeCalculator;
import com.opengamma.analytics.financial.provider.calculator.hullwhite.ParSpreadMarketQuoteCurveSensitivityHullWhiteCalculator;
import com.opengamma.analytics.financial.provider.calculator.hullwhite.ParSpreadMarketQuoteHullWhiteCalculator;
import com.opengamma.analytics.financial.provider.calculator.hullwhite.PresentValueHullWhiteCalculator;
import com.opengamma.analytics.financial.provider.curve.hullwhite.HullWhiteProviderDiscountBuildingRepository;
import com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteOneFactorProviderDiscount;
import com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteOneFactorProviderInterface;
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.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 USD; 3M curve build with STIR futures and swap futures priced with Hull-White (HW parameters exogeneous).
*/
public class MulticurveBuildingHullWhiteDiscountFuturesUSDTest {
private static final ZonedDateTime NOW = DateUtils.getUTCDate(2013, 4, 26);
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 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 = 1000000.0;
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 IborIndex USDLIBOR3M = USD6MLIBOR3M.getIborIndex();
private static final ZonedDateTime EDM3_START_PERIOD = DateUtils.getUTCDate(2013, 6, 19);
private static final InterestRateFutureSecurityDefinition EDM3_DEFINITION = InterestRateFutureSecurityDefinition
.fromFixingPeriodStartDate(EDM3_START_PERIOD, USDLIBOR3M, NOTIONAL, 0.25, "EDM3", NYC);
private static final ZonedDateTime EDU3_START_PERIOD = DateUtils.getUTCDate(2013, 9, 18);
private static final InterestRateFutureSecurityDefinition EDU3_DEFINITION = InterestRateFutureSecurityDefinition
.fromFixingPeriodStartDate(EDU3_START_PERIOD, USDLIBOR3M, NOTIONAL, 0.25, "EDU3", NYC);
private static final ZonedDateTime EDZ3_START_PERIOD = DateUtils.getUTCDate(2013, 12, 18);
private static final InterestRateFutureSecurityDefinition EDZ3_DEFINITION = InterestRateFutureSecurityDefinition
.fromFixingPeriodStartDate(EDZ3_START_PERIOD, USDLIBOR3M, NOTIONAL, 0.25, "EDZ3", NYC);
private static final ZonedDateTime EDH4_START_PERIOD = DateUtils.getUTCDate(2014, 3, 19);
private static final InterestRateFutureSecurityDefinition EDH4_DEFINITION = InterestRateFutureSecurityDefinition
.fromFixingPeriodStartDate(EDH4_START_PERIOD, USDLIBOR3M, NOTIONAL, 0.25, "EDH4", NYC);
private static final Period CTPM3_TENOR = Period.ofYears(2);
private static final double CTPM3_RATE = 0.0050;
private static final SwapFuturesPriceDeliverableSecurityDefinition CTPM3_DEFINITION = SwapFuturesPriceDeliverableSecurityDefinition.from(EDM3_START_PERIOD, USD6MLIBOR3M, CTPM3_TENOR, NOTIONAL, CTPM3_RATE);
private static final Period CFPM3_TENOR = Period.ofYears(5);
private static final double CFPM3_RATE = 0.0100;
private static final SwapFuturesPriceDeliverableSecurityDefinition CFPM3_DEFINITION = SwapFuturesPriceDeliverableSecurityDefinition.from(EDM3_START_PERIOD, USD6MLIBOR3M, CFPM3_TENOR, NOTIONAL, CFPM3_RATE);
private static final Period CNPM3_TENOR = Period.ofYears(10);
private static final double CNPM3_RATE = 0.0200;
private static final SwapFuturesPriceDeliverableSecurityDefinition CNPM3_DEFINITION = SwapFuturesPriceDeliverableSecurityDefinition.from(EDM3_START_PERIOD, USD6MLIBOR3M, CNPM3_TENOR, NOTIONAL, CNPM3_RATE);
private static final Period CBPM3_TENOR = Period.ofYears(30);
private static final double CBPM3_RATE = 0.0275;
private static final SwapFuturesPriceDeliverableSecurityDefinition CBPM3_DEFINITION = SwapFuturesPriceDeliverableSecurityDefinition.from(EDM3_START_PERIOD, USD6MLIBOR3M, CBPM3_TENOR, NOTIONAL, CBPM3_RATE);
private static final GeneratorInterestRateFutures GENERATOR_EDM3 = new GeneratorInterestRateFutures("EDM3", EDM3_DEFINITION);
private static final GeneratorInterestRateFutures GENERATOR_EDU3 = new GeneratorInterestRateFutures("EDU3", EDU3_DEFINITION);
private static final GeneratorInterestRateFutures GENERATOR_EDZ3 = new GeneratorInterestRateFutures("EDZ3", EDZ3_DEFINITION);
private static final GeneratorInterestRateFutures GENERATOR_EDH4 = new GeneratorInterestRateFutures("EDH4", EDH4_DEFINITION);
private static final GeneratorSwapFuturesDeliverable GENERATOR_CTPM3 = new GeneratorSwapFuturesDeliverable("CTPM3", CTPM3_DEFINITION);
private static final GeneratorSwapFuturesDeliverable GENERATOR_CFPM3 = new GeneratorSwapFuturesDeliverable("CFPM3", CFPM3_DEFINITION);
private static final GeneratorSwapFuturesDeliverable GENERATOR_CNPM3 = new GeneratorSwapFuturesDeliverable("CNPM3", CNPM3_DEFINITION);
private static final GeneratorSwapFuturesDeliverable GENERATOR_CBPM3 = new GeneratorSwapFuturesDeliverable("CBPM3", CBPM3_DEFINITION);
private static final GeneratorDepositIbor GENERATOR_USDLIBOR3M = new GeneratorDepositIbor("GENERATOR_USDLIBOR3M", USDLIBOR3M, NYC);
private static final ZonedDateTimeDoubleTimeSeries TS_EMPTY = ImmutableZonedDateTimeDoubleTimeSeries.ofEmptyUTC();
private static final ZonedDateTimeDoubleTimeSeries TS_ON_EUR_WITH_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2013, 4, 25),
DateUtils.getUTCDate(2013, 4, 26) }, new double[] {0.0007, 0.0008 });
private static final ZonedDateTimeDoubleTimeSeries TS_ON_EUR_WITHOUT_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2013, 4, 25) },
new double[] {0.0007 });
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 String CURVE_NAME_DSC_USD = "USD OIS";
private static final String CURVE_NAME_FWD3_USD = "USD Fwd 3M";
/** Market values for the dsc USD curve */
private static final double[] DSC_USD_MARKET_QUOTES = new double[] {0.0022, 0.00127, 0.00125, 0.00126, 0.00126, 0.00125, 0.001315, 0.001615, 0.00243, 0.00393, 0.00594, 0.01586 };
/** 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 < 1; loopins++) {
DSC_USD_ATTR[loopins] = new GeneratorAttributeIR(DSC_USD_TENOR[loopins], Period.ZERO);
}
for (int loopins = 1; loopins < DSC_USD_TENOR.length; loopins++) {
DSC_USD_ATTR[loopins] = new GeneratorAttributeIR(DSC_USD_TENOR[loopins]);
}
}
private static final double[] FWD3_USD_MARKET_QUOTES = new double[] {0.0027560, 0.99715, 0.99700, 0.99680, 0.99660, (100 + 7.0 / 32.0 + 3.0 / (32.0 * 4.0)) / 100.0, (100 + 17.0 / 32.0) / 100.0,
(101 + 2.0 / 32.0) / 100.0, (98 + 21.0 / 32.0) / 100.0 };
// Quoted in 32nd (by 1/4): 100-07 3/4, 100-17 +, 101-02, 98-21 };
/** Generators for the Fwd 3M USD curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] FWD3_EUR_GENERATORS = new GeneratorInstrument<?>[] {GENERATOR_USDLIBOR3M, GENERATOR_EDM3, GENERATOR_EDU3, GENERATOR_EDZ3,
GENERATOR_EDH4, GENERATOR_CTPM3, GENERATOR_CFPM3, GENERATOR_CNPM3, GENERATOR_CBPM3 };
/** Tenors for the Fwd 3M USD curve */
private static final Period[] FWD3_USD_TENOR = new Period[] {Period.ofMonths(0), Period.ofMonths(0), Period.ofMonths(0), Period.ofMonths(0), Period.ofMonths(0), Period.ofMonths(0),
Period.ofMonths(0), Period.ofMonths(0), Period.ofMonths(0) };
private static final GeneratorAttribute[] FWD3_USD_ATTR = new GeneratorAttribute[FWD3_USD_TENOR.length];
static {
FWD3_USD_ATTR[0] = new GeneratorAttributeIR(FWD3_USD_TENOR[0], FWD3_USD_TENOR[0]);
for (int loopins = 1; loopins < FWD3_USD_TENOR.length; loopins++) {
FWD3_USD_ATTR[loopins] = new GeneratorAttribute();
}
}
/** 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;
/** Units of curves */
private static final int[] NB_UNITS = new int[] {2, 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][][];
// Hull-White (for futures)
private static final double MEAN_REVERSION = 0.01;
private static final double[] VOLATILITY = new double[] {0.01, 0.011, 0.012, 0.013, 0.014 };
private static final double[] VOLATILITY_TIME = new double[] {0.5, 1.0, 2.0, 5.0 };
private static final HullWhiteOneFactorPiecewiseConstantParameters MODEL_PARAMETERS = new HullWhiteOneFactorPiecewiseConstantParameters(MEAN_REVERSION, VOLATILITY, VOLATILITY_TIME);
private static final MulticurveProviderDiscount MULTICURVE_KNOWN_DATA = new MulticurveProviderDiscount(FX_MATRIX);
private static final HullWhiteOneFactorProviderDiscount HW_KNOWN_DATA = new HullWhiteOneFactorProviderDiscount(MULTICURVE_KNOWN_DATA, MODEL_PARAMETERS, USD);
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 = getDefinitions(FWD3_USD_MARKET_QUOTES, FWD3_EUR_GENERATORS, FWD3_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 };
DEFINITIONS_UNITS[1][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD, DEFINITIONS_FWD3_USD };
final GeneratorYDCurve genIntLin = new GeneratorCurveYieldInterpolated(MATURITY_CALCULATOR, INTERPOLATOR_LINEAR);
GENERATORS_UNITS[0][0] = new GeneratorYDCurve[] {genIntLin };
GENERATORS_UNITS[0][1] = new GeneratorYDCurve[] {genIntLin };
GENERATORS_UNITS[1][0] = new GeneratorYDCurve[] {genIntLin, genIntLin };
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, CURVE_NAME_FWD3_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 });
}
@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<HullWhiteOneFactorProviderDiscount, CurveBuildingBlockBundle>> CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK = new ArrayList<>();
// Calculator
private static final PresentValueHullWhiteCalculator PVHWC = PresentValueHullWhiteCalculator.getInstance();
private static final ParSpreadMarketQuoteHullWhiteCalculator PSMQHWC = ParSpreadMarketQuoteHullWhiteCalculator.getInstance();
private static final ParSpreadMarketQuoteCurveSensitivityHullWhiteCalculator PSMQCSHWC = ParSpreadMarketQuoteCurveSensitivityHullWhiteCalculator.getInstance();
private static final double TOLERANCE_ROOT = 1.0E-10;
private static final int STEP_MAX = 100;
private static final HullWhiteProviderDiscountBuildingRepository CURVE_BUILDING_REPOSITORY = new HullWhiteProviderDiscountBuildingRepository(TOLERANCE_ROOT, TOLERANCE_ROOT, STEP_MAX);
private static final double TOLERANCE_CAL = 1.0E-10 * NOTIONAL; // 0.01 currency unit for 100m
@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], HW_KNOWN_DATA, PSMQHWC, PSMQCSHWC,
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], HW_KNOWN_DATA, PSMQHWC, PSMQCSHWC, false);
}
endTime = System.currentTimeMillis();
System.out.println("MulticurveBuildingHullWhiteDiscountFuturesUSDTest:" + nbTest + " curve construction / 2 units: " + (endTime - startTime) + " ms");
// Performance note: Curve construction 2 units: 06-Nov-12: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 810 ms for 100 sets.
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
makeCurvesFromDefinitions(DEFINITIONS_UNITS[1], GENERATORS_UNITS[1], NAMES_UNITS[1], HW_KNOWN_DATA, PSMQHWC, PSMQCSHWC, false);
}
endTime = System.currentTimeMillis();
System.out.println("MulticurveBuildingHullWhiteDiscountFuturesUSDTest:" + nbTest + " curve construction / 1 unit: " + (endTime - startTime) + " ms");
// Performance note: Curve construction 1 unit: 06-Nov-12: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 920 ms for 100 sets.
}
public void curveConstructionTest(final InstrumentDefinition<?>[][][] definitions, final HullWhiteOneFactorProviderDiscount 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.getMulticurveProvider().getFxRates().convert(instruments[loopcurve][loopins].accept(PVHWC, curves), USD).getAmount();
assertEquals("Curve construction: block " + block + ", unit " + loopblock + " - instrument " + loopins, 0, pv[loopcurve][loopins], TOLERANCE_CAL);
}
}
}
}
@SuppressWarnings("unchecked")
private static Pair<HullWhiteOneFactorProviderDiscount, CurveBuildingBlockBundle> makeCurvesFromDefinitions(final InstrumentDefinition<?>[][][] definitions,
final GeneratorYDCurve[][] curveGenerators, final String[][] curveNames, final HullWhiteOneFactorProviderDiscount knownData,
final InstrumentDerivativeVisitor<HullWhiteOneFactorProviderInterface, Double> calculator,
final InstrumentDerivativeVisitor<HullWhiteOneFactorProviderInterface, 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] = 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 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 InterestRateFutureTransactionDefinition) {
ird = ((InterestRateFutureTransactionDefinition) instrument).toDerivative(NOW, 0.0); // Trade date = today, reference price not used.
} else {
if (instrument instanceof SwapFuturesPriceDeliverableTransactionDefinition) {
ird = ((SwapFuturesPriceDeliverableTransactionDefinition) 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 InterestRateFutureTransactionDefinition) {
ird = ((InterestRateFutureTransactionDefinition) instrument).toDerivative(NOW, 0.0); // Trade date = today, reference price not used.
} else {
if (instrument instanceof SwapFuturesPriceDeliverableTransactionDefinition) {
ird = ((SwapFuturesPriceDeliverableTransactionDefinition) 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 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();
}
if (instrument instanceof InterestRateFutureTransactionDefinition) {
return 1 - ((InterestRateFutureTransactionDefinition) instrument).getTransactionPrice();
}
return 0.01;
}
}