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);
}
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);
}
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();
}