private void calibration_market_quote_sensitivity_check(
      Function<MarketData, ImmutableRatesProvider> calibrator, double shift) {

    double notional = 100_000_000.0;
    double fx = 1.1111;
    double fxPts = 0.0012;
    FxSwapTrade trade =
        EUR_USD.toTrade(
            VAL_DATE, Period.ofWeeks(6), Period.ofMonths(5), BuySell.BUY, notional, fx, fxPts);
    ImmutableRatesProvider result =
        CALIBRATOR.calibrate(CURVE_GROUP_CONFIG, VAL_DATE, ALL_QUOTES, TS);
    PointSensitivities pts = FX_PRICER.presentValueSensitivity(trade.getProduct(), result);
    CurveCurrencyParameterSensitivities ps = result.curveParameterSensitivity(pts);
    CurveCurrencyParameterSensitivities mqs = MQC.sensitivity(ps, result);
    double pvUsd = FX_PRICER.presentValue(trade.getProduct(), result).getAmount(USD).getAmount();
    double pvEur = FX_PRICER.presentValue(trade.getProduct(), result).getAmount(EUR).getAmount();
    double[] mqsUsd1Computed =
        mqs.getSensitivity(USD_DSCON_CURVE_NAME, USD).getSensitivity().toArray();
    for (int i = 0; i < USD_DSC_NB_NODES; i++) {
      Map<MarketDataKey<?>, Object> map = new HashMap<>(ALL_QUOTES.getValues());
      map.put(
          QuoteKey.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[i])),
          USD_DSC_MARKET_QUOTES[i] + shift);
      ImmutableMarketData marketData = ImmutableMarketData.of(map);
      ImmutableRatesProvider rpShifted = calibrator.apply(marketData);
      double pvS = FX_PRICER.presentValue(trade.getProduct(), rpShifted).getAmount(USD).getAmount();
      assertEquals(mqsUsd1Computed[i], (pvS - pvUsd) / shift, TOLERANCE_PV_DELTA);
    }
    double[] mqsUsd2Computed =
        mqs.getSensitivity(USD_DSCON_CURVE_NAME, EUR).getSensitivity().toArray();
    for (int i = 0; i < USD_DSC_NB_NODES; i++) {
      Map<MarketDataKey<?>, Object> map = new HashMap<>(ALL_QUOTES.getValues());
      map.put(
          QuoteKey.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[i])),
          USD_DSC_MARKET_QUOTES[i] + shift);
      ImmutableMarketData ov = ImmutableMarketData.of(map);
      ImmutableRatesProvider rpShifted = calibrator.apply(ov);
      double pvS = FX_PRICER.presentValue(trade.getProduct(), rpShifted).getAmount(EUR).getAmount();
      assertEquals(mqsUsd2Computed[i], (pvS - pvEur) / shift, TOLERANCE_PV_DELTA);
    }
    double[] mqsEur1Computed =
        mqs.getSensitivity(EUR_DSC_CURVE_NAME, USD).getSensitivity().toArray();
    for (int i = 0; i < EUR_DSC_NB_NODES; i++) {
      assertEquals(mqsEur1Computed[i], 0.0, TOLERANCE_PV_DELTA);
    }
    double[] mqsEur2Computed =
        mqs.getSensitivity(EUR_DSC_CURVE_NAME, EUR).getSensitivity().toArray();
    for (int i = 0; i < EUR_DSC_NB_NODES; i++) {
      Map<MarketDataKey<?>, Object> map = new HashMap<>(ALL_QUOTES.getValues());
      map.put(
          QuoteKey.of(StandardId.of(SCHEME, EUR_DSC_ID_VALUE[i])),
          EUR_DSC_MARKET_QUOTES[i] + shift);
      ImmutableMarketData marketData = ImmutableMarketData.of(map);
      ImmutableRatesProvider rpShifted = calibrator.apply(marketData);
      double pvS = FX_PRICER.presentValue(trade.getProduct(), rpShifted).getAmount(EUR).getAmount();
      assertEquals(mqsEur2Computed[i], (pvS - pvEur) / shift, TOLERANCE_PV_DELTA, "Node " + i);
    }
  }
 static {
   Map<MarketDataKey<?>, Object> map = new HashMap<>();
   for (int i = 0; i < USD_DSC_NB_NODES; i++) {
     map.put(QuoteKey.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[i])), USD_DSC_MARKET_QUOTES[i]);
   }
   for (int i = 0; i < EUR_DSC_NB_NODES; i++) {
     map.put(QuoteKey.of(StandardId.of(SCHEME, EUR_DSC_ID_VALUE[i])), EUR_DSC_MARKET_QUOTES[i]);
   }
   map.put(FxRateKey.of(EUR, USD), FX_RATE_EUR_USD);
   ALL_QUOTES = ImmutableMarketData.of(map);
 }
 // -------------------------------------------------------------------------
 @Override
 public FunctionRequirements requirements(GenericFutureOptionTrade trade) {
   QuoteKey key = QuoteKey.of(trade.getSecurity().getStandardId());
   return FunctionRequirements.builder()
       .singleValueRequirements(ImmutableSet.of(key))
       .outputCurrencies(trade.getProduct().getCurrency())
       .build();
 }
 static {
   for (int i = 0; i < EUR_DSC_NB_FX_NODES; i++) {
     EUR_DSC_NODES[i] =
         FxSwapCurveNode.of(
             FxSwapTemplate.of(EUR_DSC_FX_TENORS[i], EUR_USD),
             QuoteKey.of(StandardId.of(SCHEME, EUR_DSC_ID_VALUE[i])));
   }
 }
 static {
   USD_DSC_NODES[0] =
       TermDepositCurveNode.of(
           TermDepositTemplate.of(Period.ofDays(1), USD_DEPOSIT_T0),
           QuoteKey.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[0])));
   USD_DSC_NODES[1] =
       TermDepositCurveNode.of(
           TermDepositTemplate.of(Period.ofDays(1), USD_DEPOSIT_T1),
           QuoteKey.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[1])));
   for (int i = 0; i < USD_DSC_NB_OIS_NODES; i++) {
     USD_DSC_NODES[USD_DSC_NB_DEPO_NODES + i] =
         FixedOvernightSwapCurveNode.of(
             FixedOvernightSwapTemplate.of(
                 Period.ZERO, Tenor.of(USD_DSC_OIS_TENORS[i]), USD_FIXED_1Y_FED_FUND_OIS),
             QuoteKey.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[USD_DSC_NB_DEPO_NODES + i])));
   }
 }
/** Test {@link CurveGroupEntry}. */
@Test
public class CurveGroupEntryTest {

  private static final InterpolatedNodalCurveDefinition CURVE_DEFN =
      InterpolatedNodalCurveDefinition.builder()
          .name(CurveName.of("Test"))
          .xValueType(ValueType.YEAR_FRACTION)
          .yValueType(ValueType.ZERO_RATE)
          .dayCount(ACT_365F)
          .nodes(
              ImmutableList.of(
                  DummyFraCurveNode.of(
                      Period.ofMonths(1),
                      GBP_LIBOR_1M,
                      QuoteKey.of(StandardId.of("OG", "Ticker")))))
          .interpolator(CurveInterpolators.LINEAR)
          .extrapolatorLeft(CurveExtrapolators.FLAT)
          .extrapolatorRight(CurveExtrapolators.FLAT)
          .build();
  private static final InterpolatedNodalCurveDefinition CURVE_DEFN2 =
      CURVE_DEFN.toBuilder().name(CurveName.of("Test2")).build();

  public void test_builder() {
    CurveGroupEntry test =
        CurveGroupEntry.builder()
            .curveDefinition(CURVE_DEFN)
            .discountCurrencies(GBP)
            .iborIndices(GBP_LIBOR_1M, GBP_LIBOR_3M)
            .overnightIndices(GBP_SONIA)
            .build();
    assertEquals(test.getCurveDefinition(), CURVE_DEFN);
    assertEquals(test.getDiscountCurrencies(), ImmutableSet.of(GBP));
    assertEquals(test.getIborIndices(), ImmutableSet.of(GBP_LIBOR_1M, GBP_LIBOR_3M));
    assertEquals(test.getOvernightIndices(), ImmutableSet.of(GBP_SONIA));
  }

  // -------------------------------------------------------------------------
  public void coverage() {
    CurveGroupEntry test =
        CurveGroupEntry.builder().curveDefinition(CURVE_DEFN).discountCurrencies(GBP).build();
    coverImmutableBean(test);
    CurveGroupEntry test2 =
        CurveGroupEntry.builder()
            .curveDefinition(CURVE_DEFN2)
            .iborIndices(GBP_LIBOR_1M)
            .overnightIndices(GBP_SONIA)
            .build();
    coverBeanEquals(test, test2);
  }

  public void test_serialization() {
    CurveGroupEntry test =
        CurveGroupEntry.builder().curveDefinition(CURVE_DEFN).discountCurrencies(GBP).build();
    assertSerialization(test);
  }
}
 public static ObservableValues allQuotes(
     double[] dscOisQuotes,
     String[] dscIdValues,
     double[] fwd3MarketQuotes,
     String[] fwd3IdValue,
     double[] fwd6MarketQuotes,
     String[] fwd6IdValue) {
   /* All quotes for the curve calibration */
   Map<ObservableKey, Double> allQuotes = new HashMap<>();
   for (int i = 0; i < dscOisQuotes.length; i++) {
     allQuotes.put(QuoteKey.of(StandardId.of(SCHEME, dscIdValues[i])), dscOisQuotes[i]);
   }
   for (int i = 0; i < fwd3MarketQuotes.length; i++) {
     allQuotes.put(QuoteKey.of(StandardId.of(SCHEME, fwd3IdValue[i])), fwd3MarketQuotes[i]);
   }
   for (int i = 0; i < fwd6MarketQuotes.length; i++) {
     allQuotes.put(QuoteKey.of(StandardId.of(SCHEME, fwd6IdValue[i])), fwd6MarketQuotes[i]);
   }
   return ObservableValues.of(allQuotes);
 }
Beispiel #8
0
 static FixedIborSwapCurveNode fixedIborSwapNode(Tenor tenor, String id) {
   QuoteKey quoteKey = QuoteKey.of(StandardId.of(TEST_SCHEME, id));
   FixedIborSwapTemplate template = FixedIborSwapTemplate.of(Period.ZERO, tenor, SWAP_CONVENTION);
   return FixedIborSwapCurveNode.of(template, quoteKey);
 }
Beispiel #9
0
 static FraCurveNode fraNode(int startMonths, String id) {
   Period periodToStart = Period.ofMonths(startMonths);
   QuoteKey quoteKey = QuoteKey.of(StandardId.of(TEST_SCHEME, id));
   return FraCurveNode.of(FraTemplate.of(periodToStart, IborIndices.USD_LIBOR_3M), quoteKey);
 }
 public static CurveGroupDefinition config(
     Period[] dscOisTenors,
     String[] dscIdValues,
     Period[] fwd3FraTenors,
     Period[] fwd3IrsTenors,
     String[] fwd3IdValues,
     Period[] fwd6FraTenors,
     Period[] fwd6IrsTenors,
     String[] fwd6IdValues) {
   CurveNode[] dscNodes = new CurveNode[dscOisTenors.length];
   for (int i = 0; i < dscOisTenors.length; i++) {
     dscNodes[i] =
         FixedOvernightSwapCurveNode.of(
             FixedOvernightSwapTemplate.of(
                 Period.ZERO, Tenor.of(dscOisTenors[i]), EUR_FIXED_1Y_EONIA_OIS),
             QuoteKey.of(StandardId.of(SCHEME, dscIdValues[i])));
   }
   CurveNode[] fwd3Nodes = new CurveNode[fwd3IdValues.length];
   fwd3Nodes[0] =
       IborFixingDepositCurveNode.of(
           IborFixingDepositTemplate.of(EUR_EURIBOR_3M),
           QuoteKey.of(StandardId.of(SCHEME, fwd3IdValues[0])));
   for (int i = 0; i < fwd3FraTenors.length; i++) {
     fwd3Nodes[i + 1] =
         FraCurveNode.of(
             FraTemplate.of(fwd3FraTenors[i], EUR_EURIBOR_3M),
             QuoteKey.of(StandardId.of(SCHEME, fwd3IdValues[i + 1])));
   }
   for (int i = 0; i < fwd3IrsTenors.length; i++) {
     fwd3Nodes[i + 1 + fwd3FraTenors.length] =
         FixedIborSwapCurveNode.of(
             FixedIborSwapTemplate.of(
                 Period.ZERO, Tenor.of(fwd3IrsTenors[i]), EUR_FIXED_1Y_EURIBOR_3M),
             QuoteKey.of(StandardId.of(SCHEME, fwd3IdValues[i + 1])));
   }
   CurveNode[] fwd6Nodes = new CurveNode[fwd6IdValues.length];
   fwd6Nodes[0] =
       IborFixingDepositCurveNode.of(
           IborFixingDepositTemplate.of(EUR_EURIBOR_6M),
           QuoteKey.of(StandardId.of(SCHEME, fwd6IdValues[0])));
   for (int i = 0; i < fwd6FraTenors.length; i++) {
     fwd6Nodes[i + 1] =
         FraCurveNode.of(
             FraTemplate.of(fwd6FraTenors[i], EUR_EURIBOR_6M),
             QuoteKey.of(StandardId.of(SCHEME, fwd6IdValues[i + 1])));
   }
   for (int i = 0; i < fwd6IrsTenors.length; i++) {
     fwd6Nodes[i + 1 + fwd6FraTenors.length] =
         FixedIborSwapCurveNode.of(
             FixedIborSwapTemplate.of(
                 Period.ZERO, Tenor.of(fwd6IrsTenors[i]), EUR_FIXED_1Y_EURIBOR_6M),
             QuoteKey.of(StandardId.of(SCHEME, fwd6IdValues[i + 1])));
   }
   InterpolatedNodalCurveDefinition DSC_CURVE_DEFN =
       InterpolatedNodalCurveDefinition.builder()
           .name(DSCON_CURVE_NAME)
           .xValueType(ValueType.YEAR_FRACTION)
           .yValueType(ValueType.ZERO_RATE)
           .dayCount(CURVE_DC)
           .interpolator(INTERPOLATOR_LINEAR)
           .extrapolatorLeft(EXTRAPOLATOR_FLAT)
           .extrapolatorRight(EXTRAPOLATOR_FLAT)
           .nodes(dscNodes)
           .build();
   InterpolatedNodalCurveDefinition FWD3_CURVE_DEFN =
       InterpolatedNodalCurveDefinition.builder()
           .name(FWD3_CURVE_NAME)
           .xValueType(ValueType.YEAR_FRACTION)
           .yValueType(ValueType.ZERO_RATE)
           .dayCount(CURVE_DC)
           .interpolator(INTERPOLATOR_LINEAR)
           .extrapolatorLeft(EXTRAPOLATOR_FLAT)
           .extrapolatorRight(EXTRAPOLATOR_FLAT)
           .nodes(fwd3Nodes)
           .build();
   InterpolatedNodalCurveDefinition FWD6_CURVE_DEFN =
       InterpolatedNodalCurveDefinition.builder()
           .name(FWD6_CURVE_NAME)
           .xValueType(ValueType.YEAR_FRACTION)
           .yValueType(ValueType.ZERO_RATE)
           .dayCount(CURVE_DC)
           .interpolator(INTERPOLATOR_LINEAR)
           .extrapolatorLeft(EXTRAPOLATOR_FLAT)
           .extrapolatorRight(EXTRAPOLATOR_FLAT)
           .nodes(fwd6Nodes)
           .build();
   return CurveGroupDefinition.builder()
       .name(CURVE_GROUP_NAME)
       .addCurve(DSC_CURVE_DEFN, EUR, EUR_EONIA)
       .addForwardCurve(FWD3_CURVE_DEFN, EUR_EURIBOR_3M)
       .addForwardCurve(FWD6_CURVE_DEFN, EUR_EURIBOR_6M)
       .build();
 }