Java tutorial
/** * 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 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.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.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.GeneratorSwapIborIbor; import com.opengamma.analytics.financial.instrument.index.GeneratorSwapIborIborMaster; 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.instrument.swap.SwapIborIborDefinition; import com.opengamma.analytics.financial.interestrate.InstrumentDerivative; import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor; import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve; import com.opengamma.analytics.financial.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.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 MulticurveBuildingDiscountingDiscountAUDTest { private static final Interpolator1D INTERPOLATOR_LINEAR = CombinedInterpolatorExtrapolatorFactory .getInterpolator(Interpolator1DFactory.LINEAR, Interpolator1DFactory.FLAT_EXTRAPOLATOR, Interpolator1DFactory.FLAT_EXTRAPOLATOR); private static final LastTimeCalculator MATURITY_CALCULATOR = LastTimeCalculator.getInstance(); private static final double TOLERANCE_ROOT = 1.0E-10; private static final int STEP_MAX = 100; private static final Calendar SYD = new MondayToFridayCalendar("SYD"); private static final Currency AUD = Currency.AUD; private static final FXMatrix FX_MATRIX = new FXMatrix(AUD); private static final double NOTIONAL = 1.0; private static final GeneratorSwapFixedON GENERATOR_OIS_AUD = GeneratorSwapFixedONMaster.getInstance() .getGenerator("AUD1YRBAON", SYD); private static final IndexON INDEX_ON_AUD = GENERATOR_OIS_AUD.getIndex(); private static final GeneratorDepositON GENERATOR_DEPOSIT_ON_AUD = new GeneratorDepositON("AUD Deposit ON", AUD, SYD, INDEX_ON_AUD.getDayCount()); private static final GeneratorSwapFixedIborMaster GENERATOR_SWAP_MASTER = GeneratorSwapFixedIborMaster .getInstance(); private static final GeneratorSwapIborIborMaster GENERATOR_BASIS_MASTER = GeneratorSwapIborIborMaster .getInstance(); private static final GeneratorSwapFixedIbor AUD3MBBSW3M = GENERATOR_SWAP_MASTER.getGenerator("AUD3MBBSW3M", SYD); private static final GeneratorSwapFixedIbor AUD6MBBSW6M = GENERATOR_SWAP_MASTER.getGenerator("AUD6MBBSW6M", SYD); private static final GeneratorSwapIborIbor AUDBBSW3MBBSW6M = GENERATOR_BASIS_MASTER .getGenerator("AUDBBSW3MBBSW6M", SYD); private static final IborIndex AUDBB3M = AUD3MBBSW3M.getIborIndex(); private static final IborIndex AUDBB6M = AUD6MBBSW6M.getIborIndex(); private static final GeneratorFRA GENERATOR_FRA_3M = new GeneratorFRA("GENERATOR_FRA_3M", AUDBB3M, SYD); private static final GeneratorDepositIbor GENERATOR_AUDBB3M = new GeneratorDepositIbor("GENERATOR_AUDBB3M", AUDBB3M, SYD); private static final GeneratorDepositIbor GENERATOR_AUDBB6M = new GeneratorDepositIbor("GENERATOR_AUDBB6M", AUDBB6M, SYD); private static final ZonedDateTime NOW = DateUtils.getUTCDate(2011, 9, 28); private static final ZonedDateTimeDoubleTimeSeries TS_EMPTY = ImmutableZonedDateTimeDoubleTimeSeries .ofEmptyUTC(); private static final ZonedDateTimeDoubleTimeSeries TS_ON_AUD_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_AUD_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_AUD_WITH_TODAY = new ZonedDateTimeDoubleTimeSeries[] { TS_EMPTY, TS_ON_AUD_WITH_TODAY }; private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_OIS_AUD_WITHOUT_TODAY = new ZonedDateTimeDoubleTimeSeries[] { TS_EMPTY, TS_ON_AUD_WITHOUT_TODAY }; private static final ZonedDateTimeDoubleTimeSeries TS_IBOR_AUD3M_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_AUD3M_WITHOUT_TODAY = ImmutableZonedDateTimeDoubleTimeSeries .ofUTC(new ZonedDateTime[] { DateUtils.getUTCDate(2011, 9, 27) }, new double[] { 0.0035 }); private static final ZonedDateTimeDoubleTimeSeries TS_IBOR_AUD6M_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_AUD6M_WITHOUT_TODAY = ImmutableZonedDateTimeDoubleTimeSeries .ofUTC(new ZonedDateTime[] { DateUtils.getUTCDate(2011, 9, 27) }, new double[] { 0.0035 }); private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_AUD3M_WITH_TODAY = new ZonedDateTimeDoubleTimeSeries[] { TS_IBOR_AUD3M_WITH_TODAY }; private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_AUD3M_WITHOUT_TODAY = new ZonedDateTimeDoubleTimeSeries[] { TS_IBOR_AUD3M_WITHOUT_TODAY }; private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_AUD3M6M_WITH_TODAY = new ZonedDateTimeDoubleTimeSeries[] { TS_IBOR_AUD3M_WITH_TODAY, TS_IBOR_AUD6M_WITH_TODAY }; private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_AUD3M6M_WITHOUT_TODAY = new ZonedDateTimeDoubleTimeSeries[] { TS_IBOR_AUD3M_WITHOUT_TODAY, TS_IBOR_AUD6M_WITHOUT_TODAY }; private static final String CURVE_NAME_DSC_AUD = "AUD Dsc"; private static final String CURVE_NAME_FWD3_AUD = "AUD Fwd 3M"; private static final String CURVE_NAME_FWD6_AUD = "AUD Fwd 6M"; // /** Simplified versions for the note */ // /** Market values for the dsc USD curve */ // private static final double[] DSC_AUD_MARKET_QUOTES = new double[] {0.0400, 0.0400, 0.0400, 0.0400, 0.0400}; // /** Generators for the dsc USD curve */ // private static final GeneratorInstrument[] DSC_USD_GENERATORS = new GeneratorInstrument[] {GENERATOR_DEPOSIT_ON_AUD, GENERATOR_OIS_AUD, GENERATOR_OIS_AUD, GENERATOR_OIS_AUD, GENERATOR_OIS_AUD}; // /** Tenors for the dsc USD curve */ // private static final Period[] DSC_AUD_TENOR = new Period[] {Period.ofDays(0), Period.ofMonths(1), Period.ofMonths(6), Period.ofYears(1), Period.ofYears(5)}; // // /** Market values for the Fwd 3M USD curve */ // private static final double[] FWD3_AUD_MARKET_QUOTES = new double[] {0.0420, 0.0420, 0.0470, 0.0020}; // /** Generators for the Fwd 3M USD curve */ // private static final GeneratorInstrument[] FWD3_AUD_GENERATORS = new GeneratorInstrument[] {GENERATOR_AUDBB3M, GENERATOR_FRA_3M, AUD3MBBSW3M, AUDBBSW3MBBSW6M}; // /** Tenors for the Fwd 3M USD curve */ // private static final Period[] FWD3_AUD_TENOR = new Period[] {Period.ofMonths(0), Period.ofMonths(6), Period.ofYears(1), Period.ofYears(5)}; // // /** Market values for the Fwd 3M USD curve */ // private static final double[] FWD6_AUD_MARKET_QUOTES = new double[] {0.0440, 0.0020, 0.0560}; // /** Generators for the Fwd 3M USD curve */ // private static final GeneratorInstrument[] FWD6_AUD_GENERATORS = new GeneratorInstrument[] {GENERATOR_AUDBB6M, AUDBBSW3MBBSW6M, AUD6MBBSW6M}; // /** Tenors for the Fwd 3M USD curve */ // private static final Period[] FWD6_AUD_TENOR = new Period[] {Period.ofMonths(0), Period.ofYears(1), Period.ofYears(5)}; /** Market values for the dsc USD curve */ private static final double[] DSC_AUD_MARKET_QUOTES = new double[] { 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400 }; /** Generators for the dsc USD curve */ private static final GeneratorInstrument<? extends GeneratorAttribute>[] DSC_USD_GENERATORS = new GeneratorInstrument<?>[] { GENERATOR_DEPOSIT_ON_AUD, GENERATOR_OIS_AUD, GENERATOR_OIS_AUD, GENERATOR_OIS_AUD, GENERATOR_OIS_AUD, GENERATOR_OIS_AUD, GENERATOR_OIS_AUD, GENERATOR_OIS_AUD, GENERATOR_OIS_AUD, GENERATOR_OIS_AUD, GENERATOR_OIS_AUD, GENERATOR_OIS_AUD }; /** Tenors for the dsc USD curve */ private static final Period[] DSC_AUD_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_AUD_ATTR = new GeneratorAttributeIR[DSC_AUD_TENOR.length]; static { for (int loopins = 0; loopins < DSC_AUD_TENOR.length; loopins++) { DSC_AUD_ATTR[loopins] = new GeneratorAttributeIR(DSC_AUD_TENOR[loopins]); } } /** Market values for the Fwd 3M USD curve */ private static final double[] FWD3_AUD_MARKET_QUOTES = new double[] { 0.0420, 0.0420, 0.0420, 0.0420, 0.0430, 0.0470, 0.0020, 0.0020, 0.0020 }; /** Generators for the Fwd 3M USD curve */ private static final GeneratorInstrument<? extends GeneratorAttribute>[] FWD3_AUD_GENERATORS = new GeneratorInstrument<?>[] { GENERATOR_AUDBB3M, GENERATOR_FRA_3M, GENERATOR_FRA_3M, AUD3MBBSW3M, AUD3MBBSW3M, AUD3MBBSW3M, AUDBBSW3MBBSW6M, AUDBBSW3MBBSW6M, AUDBBSW3MBBSW6M }; /** Tenors for the Fwd 3M USD curve */ private static final Period[] FWD3_AUD_TENOR = new Period[] { Period.ofMonths(0), Period.ofMonths(6), Period.ofMonths(9), Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(5), Period.ofYears(7), Period.ofYears(10) }; private static final GeneratorAttributeIR[] FWD3_AUD_ATTR = new GeneratorAttributeIR[FWD3_AUD_TENOR.length]; static { for (int loopins = 0; loopins < FWD3_AUD_TENOR.length; loopins++) { FWD3_AUD_ATTR[loopins] = new GeneratorAttributeIR(FWD3_AUD_TENOR[loopins]); } } /** Market values for the Fwd 3M USD curve */ private static final double[] FWD6_AUD_MARKET_QUOTES = new double[] { 0.0440, 0.0020, 0.0020, 0.0020, 0.0560, 0.0610, 0.0620 }; /** Generators for the Fwd 3M USD curve */ private static final GeneratorInstrument<? extends GeneratorAttribute>[] FWD6_AUD_GENERATORS = new GeneratorInstrument<?>[] { GENERATOR_AUDBB6M, AUDBBSW3MBBSW6M, AUDBBSW3MBBSW6M, AUDBBSW3MBBSW6M, AUD6MBBSW6M, AUD6MBBSW6M, AUD6MBBSW6M }; /** Tenors for the Fwd 3M USD curve */ private static final Period[] FWD6_AUD_TENOR = new Period[] { Period.ofMonths(0), Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(5), Period.ofYears(7), Period.ofYears(10) }; private static final GeneratorAttributeIR[] FWD6_AUD_ATTR = new GeneratorAttributeIR[FWD6_AUD_TENOR.length]; static { for (int loopins = 0; loopins < FWD6_AUD_TENOR.length; loopins++) { FWD6_AUD_ATTR[loopins] = new GeneratorAttributeIR(FWD6_AUD_TENOR[loopins]); } } /** Standard USD discounting curve instrument definitions */ private static final InstrumentDefinition<?>[] DEFINITIONS_DSC_AUD; /** Standard USD Forward 3M curve instrument definitions */ private static final InstrumentDefinition<?>[] DEFINITIONS_FWD3_AUD; /** Standard USD Forward 3M curve instrument definitions */ private static final InstrumentDefinition<?>[] DEFINITIONS_FWD6_AUD; /** 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][][]; 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_AUD = getDefinitions(DSC_AUD_MARKET_QUOTES, DSC_USD_GENERATORS, DSC_AUD_ATTR); DEFINITIONS_FWD3_AUD = getDefinitions(FWD3_AUD_MARKET_QUOTES, FWD3_AUD_GENERATORS, FWD3_AUD_ATTR); DEFINITIONS_FWD6_AUD = getDefinitions(FWD6_AUD_MARKET_QUOTES, FWD6_AUD_GENERATORS, FWD6_AUD_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_AUD }; DEFINITIONS_UNITS[0][1] = new InstrumentDefinition<?>[][] { DEFINITIONS_FWD3_AUD, DEFINITIONS_FWD6_AUD }; DEFINITIONS_UNITS[1][0] = new InstrumentDefinition<?>[][] { DEFINITIONS_DSC_AUD, DEFINITIONS_FWD3_AUD, DEFINITIONS_FWD6_AUD }; final GeneratorYDCurve genIntLin = new GeneratorCurveYieldInterpolated(MATURITY_CALCULATOR, INTERPOLATOR_LINEAR); GENERATORS_UNITS[0][0] = new GeneratorYDCurve[] { genIntLin }; GENERATORS_UNITS[0][1] = new GeneratorYDCurve[] { genIntLin, genIntLin }; GENERATORS_UNITS[1][0] = new GeneratorYDCurve[] { genIntLin, genIntLin, genIntLin }; NAMES_UNITS[0][0] = new String[] { CURVE_NAME_DSC_AUD }; NAMES_UNITS[0][1] = new String[] { CURVE_NAME_FWD3_AUD, CURVE_NAME_FWD6_AUD }; NAMES_UNITS[1][0] = new String[] { CURVE_NAME_DSC_AUD, CURVE_NAME_FWD3_AUD, CURVE_NAME_FWD6_AUD }; DSC_MAP.put(CURVE_NAME_DSC_AUD, AUD); FWD_ON_MAP.put(CURVE_NAME_DSC_AUD, new IndexON[] { INDEX_ON_AUD }); FWD_IBOR_MAP.put(CURVE_NAME_FWD3_AUD, new IborIndex[] { AUDBB3M }); FWD_IBOR_MAP.put(CURVE_NAME_FWD6_AUD, new IborIndex[] { AUDBB6M }); } @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() { final MulticurveProviderDiscount[] units = new MulticurveProviderDiscount[2]; final CurveBuildingBlockBundle[] bb = new CurveBuildingBlockBundle[2]; final YieldAndDiscountCurve[] curveDsc = new YieldAndDiscountCurve[2]; final 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(AUD); curveFwd[loopblock] = units[loopblock].getCurve(AUDBB3M); } 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_AUD).getFirst(), bb[1].getBlock(CURVE_NAME_FWD3_AUD).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. final int nbLineDsc = bb[0].getBlock(CURVE_NAME_DSC_AUD).getSecond().getNumberOfRows(); final int nbLineFwd3 = bb[0].getBlock(CURVE_NAME_FWD3_AUD).getSecond().getNumberOfRows(); final int nbLineFwd6 = bb[0].getBlock(CURVE_NAME_FWD6_AUD).getSecond().getNumberOfRows(); assertEquals("Curve construction: 1 unit / 2 units ", bb[1].getBlock(CURVE_NAME_DSC_AUD).getSecond().getNumberOfRows(), nbLineDsc); assertEquals("Curve construction: 1 unit / 2 units ", bb[1].getBlock(CURVE_NAME_FWD3_AUD).getSecond().getNumberOfRows(), nbLineFwd3); assertEquals("Curve construction: 1 unit / 2 units ", bb[1].getBlock(CURVE_NAME_FWD6_AUD).getSecond().getNumberOfRows(), nbLineFwd6); } //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 + " x 3 curves construction / 2 units: " + (endTime - startTime) + " ms"); // Performance note: Curve construction 2 units: 08-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], KNOWN_DATA, PSMQC, PSMQCSC, false); } endTime = System.currentTimeMillis(); System.out.println(nbTest + " x 3 curves construction / 1 unit: " + (endTime - startTime) + " ms"); // Performance note: Curve construction 1 unit: 08-Nov-12: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 995 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(PVC, curves), AUD).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, AUDBB3M.getSpotLag() + startIndex * jump, SYD); 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, AUDBB3M, SYD); final double endTime = TimeCalculator.getTimeBetween(NOW, endDate); final double accrualFactor = AUDBB3M.getDayCount().getDayCountFraction(startDate, endDate); rateDsc[loopdate] = marketDsc.getForwardRate(AUDBB3M, startTime[loopdate], endTime, accrualFactor); startDate = ScheduleCalculator.getAdjustedDate(startDate, jump, SYD); 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 = curveGenerators.length; final MultiCurveBundle<GeneratorYDCurve>[] curveBundles = new MultiCurveBundle[nUnits]; for (int i = 0; i < nUnits; i++) { final int nCurves = definitions[i].length; final SingleCurveBundle<GeneratorYDCurve>[] singleCurves = new SingleCurveBundle[nCurves]; for (int j = 0; j < nCurves; j++) { final int nInstruments = definitions[i][j].length; final InstrumentDerivative[] derivatives = new InstrumentDerivative[nInstruments]; final double[] initialGuess = new double[nInstruments]; for (int k = 0; k < nInstruments; k++) { derivatives[k] = convert(definitions[i][j][k], withToday); initialGuess[k] = initialGuess(definitions[i][j][k]); } final GeneratorYDCurve generator = curveGenerators[i][j].finalGenerator(derivatives); singleCurves[j] = new SingleCurveBundle<>(curveNames[i][j], derivatives, initialGuess, generator); } curveBundles[i] = new MultiCurveBundle<>(singleCurves); } return CURVE_BUILDING_REPOSITORY.makeCurvesFromDerivatives(curveBundles, knownData, DSC_MAP, FWD_IBOR_MAP, FWD_ON_MAP, 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 SwapIborIborDefinition) { ird = ((SwapIborIborDefinition) instrument).toDerivative(NOW, getTSSwapIborIbor(withToday)); } 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 SwapIborIborDefinition) { ird = ((SwapIborIborDefinition) instrument).toDerivative(NOW, getTSSwapIborIbor(withToday)); } else { ird = instrument.toDerivative(NOW); } } } return ird; } private static ZonedDateTimeDoubleTimeSeries[] getTSSwapFixedON(final Boolean withToday) { return withToday ? TS_FIXED_OIS_AUD_WITH_TODAY : TS_FIXED_OIS_AUD_WITHOUT_TODAY; } private static ZonedDateTimeDoubleTimeSeries[] getTSSwapFixedIbor(final Boolean withToday) { return withToday ? TS_FIXED_IBOR_AUD3M_WITH_TODAY : TS_FIXED_IBOR_AUD3M_WITHOUT_TODAY; //TODO: get the correct fixing } private static ZonedDateTimeDoubleTimeSeries[] getTSSwapIborIbor(final Boolean withToday) { return withToday ? TS_FIXED_IBOR_AUD3M6M_WITH_TODAY : TS_FIXED_IBOR_AUD3M6M_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(); } // TODO: What about basis swaps? return 0.01; } }