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.future.InterestRateFutureSecurityDefinition; 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.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.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.YieldAndDiscountCurve; import com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve; 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.HullWhiteOneFactorProvider; 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.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. * Three curves in EUR; 3M curve build with futures priced with Hull-White (HW parameters exogeneous). */ public class MulticurveBuildingHullWhiteDiscountFuturesEUR3Test { 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 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 INDEX_ON_EUR = GENERATOR_OIS_EUR.getIndex(); private static final GeneratorDepositON GENERATOR_DEPOSIT_ON_EUR = new GeneratorDepositON("EUR Deposit ON", EUR, TARGET, INDEX_ON_EUR.getDayCount()); private static final GeneratorSwapFixedIborMaster GENERATOR_SWAP_MASTER = GeneratorSwapFixedIborMaster .getInstance(); private static final GeneratorSwapFixedIbor EUR1YEURIBOR3M = GENERATOR_SWAP_MASTER .getGenerator("EUR1YEURIBOR3M", TARGET); private static final GeneratorSwapFixedIbor EUR1YEURIBOR6M = GENERATOR_SWAP_MASTER .getGenerator("EUR1YEURIBOR6M", TARGET); private static final IborIndex EURIBOR3M = EUR1YEURIBOR3M.getIborIndex(); private static final IborIndex EURIBOR6M = EUR1YEURIBOR6M.getIborIndex(); private static final IborIndex EUROLIBOR3M = new IborIndex(EUR, Period.ofMonths(3), 2, EURIBOR3M.getDayCount(), EURIBOR3M.getBusinessDayConvention(), true, "EUROLIBOR3M"); 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 ZonedDateTime ERZ1_START_PERIOD = DateUtils.getUTCDate(2011, 12, 21); private static final InterestRateFutureSecurityDefinition ERZ1_DEFINITION = InterestRateFutureSecurityDefinition .fromFixingPeriodStartDate(ERZ1_START_PERIOD, EURIBOR3M, NOTIONAL, 0.25, "ERZ1", TARGET); private static final ZonedDateTime ERH2_START_PERIOD = DateUtils.getUTCDate(2012, 3, 21); private static final InterestRateFutureSecurityDefinition ERH2_DEFINITION = InterestRateFutureSecurityDefinition .fromFixingPeriodStartDate(ERH2_START_PERIOD, EURIBOR3M, NOTIONAL, 0.25, "ERH2", TARGET); private static final GeneratorInterestRateFutures GENERATOR_ERZ1 = new GeneratorInterestRateFutures("ERZ1", ERZ1_DEFINITION); private static final GeneratorInterestRateFutures GENERATOR_ERH2 = new GeneratorInterestRateFutures("ERZ1", ERH2_DEFINITION); private static final GeneratorDepositIbor GENERATOR_EURIBOR3M = new GeneratorDepositIbor("GENERATOR_EURIBOR3M", EURIBOR3M, TARGET); private static final GeneratorDepositIbor GENERATOR_EURIBOR6M = new GeneratorDepositIbor("GENERATOR_EURIBOR6M", EURIBOR6M, TARGET); private static final ZonedDateTime NOW = DateUtils.getUTCDate(2011, 9, 28); 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_EUR3M_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_EUR3M_WITHOUT_TODAY = ImmutableZonedDateTimeDoubleTimeSeries .ofUTC(new ZonedDateTime[] { DateUtils.getUTCDate(2011, 9, 27) }, new double[] { 0.0035 }); private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_EUR3M_WITH_TODAY = new ZonedDateTimeDoubleTimeSeries[] { TS_IBOR_EUR3M_WITH_TODAY }; private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_EUR3M_WITHOUT_TODAY = new ZonedDateTimeDoubleTimeSeries[] { TS_IBOR_EUR3M_WITHOUT_TODAY }; private static final String CURVE_NAME_DSC_EUR = "EUR Dsc"; private static final String CURVE_NAME_FWD3_EUR = "EUR Fwd 3M"; 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[] { 0.0400, 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_EUR_GENERATORS = new GeneratorInstrument<?>[] { 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 }; /** Tenors for the dsc USD curve */ private static final Period[] DSC_EUR_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_EUR_ATTR = new GeneratorAttributeIR[DSC_EUR_TENOR.length]; static { for (int loopins = 0; loopins < 1; loopins++) { DSC_EUR_ATTR[loopins] = new GeneratorAttributeIR(DSC_EUR_TENOR[loopins], Period.ZERO); } for (int loopins = 1; 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[] FWD3_EUR_MARKET_QUOTES = new double[] {0.0420, 0.0420, 0.0420, 0.0420, 0.0430, 0.0470, 0.0540, 0.0570, 0.0600}; // /** Generators for the Fwd 3M USD curve */ // private static final GeneratorInstrument[] FWD3_EUR_GENERATORS = new GeneratorInstrument[] {GENERATOR_EURIBOR3M, GENERATOR_FRA_3M, GENERATOR_FRA_3M, EUR1YEURIBOR3M, EUR1YEURIBOR3M, EUR1YEURIBOR3M, // EUR1YEURIBOR3M, EUR1YEURIBOR3M, EUR1YEURIBOR3M}; // /** Tenors for the Fwd 3M USD curve */ // private static final Period[] FWD3_EUR_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 Integer[] FWD3_EUR_EXTRA_DATA = new Integer[] {0, 1, 2, 0, 0, 0, 0, 0, 0}; private static final double[] FWD3_EUR_MARKET_QUOTES = new double[] { 0.0420, 0.9780, 0.9780, 0.0420, 0.0430, 0.0470, 0.0540, 0.0570, 0.0600 }; /** Generators for the Fwd 3M USD curve */ private static final GeneratorInstrument<? extends GeneratorAttribute>[] FWD3_EUR_GENERATORS = new GeneratorInstrument<?>[] { GENERATOR_EURIBOR3M, GENERATOR_ERZ1, GENERATOR_ERH2, EUR1YEURIBOR3M, EUR1YEURIBOR3M, EUR1YEURIBOR3M, EUR1YEURIBOR3M, EUR1YEURIBOR3M, EUR1YEURIBOR3M }; /** Tenors for the Fwd 3M USD curve */ private static final Period[] FWD3_EUR_TENOR = new Period[] { Period.ofMonths(0), Period.ofMonths(1), Period.ofMonths(1), Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(5), Period.ofYears(7), Period.ofYears(10) }; private static final GeneratorAttribute[] FWD3_EUR_ATTR = new GeneratorAttribute[FWD3_EUR_TENOR.length]; static { FWD3_EUR_ATTR[0] = new GeneratorAttributeIR(FWD3_EUR_TENOR[0], FWD3_EUR_TENOR[0]); for (int loopins = 1; loopins < 3; loopins++) { FWD3_EUR_ATTR[loopins] = new GeneratorAttribute(); } for (int loopins = 1; loopins < FWD3_EUR_TENOR.length; loopins++) { FWD3_EUR_ATTR[loopins] = new GeneratorAttributeIR(FWD3_EUR_TENOR[loopins]); } } /** Market values for the Fwd 3M USD curve */ private static final double[] FWD6_EUR_MARKET_QUOTES = new double[] { 0.0440, 0.0440, 0.0440, 0.0445, 0.0485, 0.0555, 0.0580, 0.0610 }; /** 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_FWD3_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[] { 3, 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, EUR); 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_FWD3_EUR = getDefinitions(FWD3_EUR_MARKET_QUOTES, FWD3_EUR_GENERATORS, FWD3_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_FWD3_EUR }; DEFINITIONS_UNITS[0][2] = new InstrumentDefinition<?>[][] { DEFINITIONS_FWD6_EUR }; DEFINITIONS_UNITS[1][0] = new InstrumentDefinition<?>[][] { DEFINITIONS_DSC_EUR, DEFINITIONS_FWD3_EUR, DEFINITIONS_FWD6_EUR }; 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[0][2] = new GeneratorYDCurve[] { genIntLin }; GENERATORS_UNITS[1][0] = new GeneratorYDCurve[] { genIntLin, genIntLin, genIntLin }; NAMES_UNITS[0][0] = new String[] { CURVE_NAME_DSC_EUR }; NAMES_UNITS[0][1] = new String[] { CURVE_NAME_FWD3_EUR }; NAMES_UNITS[0][2] = new String[] { CURVE_NAME_FWD6_EUR }; NAMES_UNITS[1][0] = new String[] { CURVE_NAME_DSC_EUR, CURVE_NAME_FWD3_EUR, CURVE_NAME_FWD6_EUR }; DSC_MAP.put(CURVE_NAME_DSC_EUR, EUR); FWD_ON_MAP.put(CURVE_NAME_DSC_EUR, new IndexON[] { INDEX_ON_EUR }); FWD_IBOR_MAP.put(CURVE_NAME_FWD3_EUR, new IborIndex[] { EURIBOR3M, EUROLIBOR3M }); 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<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 HullWhiteProviderDiscountBuildingRepository CURVE_BUILDING_REPOSITORY = new HullWhiteProviderDiscountBuildingRepository( 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], 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); } assertEquals("Curve construction", CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).getFirst().getCurve(EURIBOR3M), CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).getFirst().getCurve(EUROLIBOR3M)); } @Test(enabled = false) public void comparison1Unit3Units() { final HullWhiteOneFactorProviderDiscount[] units = new HullWhiteOneFactorProviderDiscount[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); curveFwd3[loopblock] = units[loopblock].getCurve(EURIBOR3M); 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], HW_KNOWN_DATA, PSMQHWC, PSMQCSHWC, false); } endTime = System.currentTimeMillis(); System.out.println(nbTest + " curve construction / 3 units: " + (endTime - startTime) + " ms"); // Performance note: Curve construction 3 units: 06-Nov-12: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 820 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(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: 840 ms for 100 sets. // Dsc code - FRA - 655 / 630 // Fut code - FRA - 805 / 760 // Fut code - Fut - 820 / 840 ! } 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), 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 forward curve. */ public void forwardAnalysis() { final HullWhiteOneFactorProvider 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, EURIBOR3M.getSpotLag() + startIndex * jump, TARGET); 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, EURIBOR3M, TARGET); final double endTime = TimeCalculator.getTimeBetween(NOW, endDate); final double accrualFactor = EURIBOR3M.getDayCount().getDayCountFraction(startDate, endDate); rateDsc[loopdate] = marketDsc.getMulticurveProvider().getForwardRate(EURIBOR3M, 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<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 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_EUR3M_WITH_TODAY : TS_FIXED_IBOR_EUR3M_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; } }