@Override
public Coupon toDerivative(
final ZonedDateTime date,
final DoubleTimeSeries<ZonedDateTime> indexFixingTS,
final String... yieldCurveNames) {
Validate.notNull(date, "date");
Validate.notNull(indexFixingTS, "index fixing time series");
Validate.notNull(yieldCurveNames, "yield curve names");
Validate.isTrue(yieldCurveNames.length > 1, "at least two curves required");
Validate.isTrue(!date.isAfter(getPaymentDate()), "date is after payment date");
final DayCount actAct = DayCountFactory.INSTANCE.getDayCount("Actual/Actual ISDA");
final String fundingCurveName = yieldCurveNames[0];
final double paymentTime = actAct.getDayCountFraction(date, getPaymentDate());
if (date.isAfter(getFixingDate())
|| date.equals(
getFixingDate())) { // The CMS coupon has already fixed, it is now a fixed coupon.
final double fixedRate = indexFixingTS.getValue(getFixingDate());
return new CouponFixed(
getCurrency(),
paymentTime,
fundingCurveName,
getPaymentYearFraction(),
getNotional(),
payOff(fixedRate));
}
// CMS is not fixed yet, all the details are required.
final CouponCMS cmsCoupon =
(CouponCMS) super.toDerivative(date, indexFixingTS, yieldCurveNames);
return CapFloorCMS.from(cmsCoupon, _strike, _isCap);
}
@Override
public double[] evaluate(final DoubleTimeSeries<?> x) {
Validate.notNull(x, "x");
if (x.isEmpty()) {
throw new IllegalArgumentException("Time series was empty");
}
final int h = x.size() - 1;
final double[] result = new double[h];
final double mean = _meanCalculator.evaluate(x);
double[] x1, x2;
final int n = x.size();
double sum;
final double[] x0 = x.valuesArrayFast();
for (int i = 0; i < h; i++) {
x1 = Arrays.copyOfRange(x0, 0, n - i);
x2 = Arrays.copyOfRange(x0, i, n);
if (x1.length != x2.length) {
throw new IllegalArgumentException(
"Series were not the same length; this should not happen");
}
sum = 0;
for (int j = 0; j < x1.length; j++) {
sum += (x1[j] - mean) * (x2[j] - mean);
}
result[i] = sum / n;
}
return result;
}
@SuppressWarnings("synthetic-access")
@Override
public InstrumentDerivative convert(
final CapFloorCMSSpreadSecurity security,
final AnnuityCapFloorCMSSpreadDefinition definition,
final ZonedDateTime now,
final String[] curveNames,
final HistoricalTimeSeriesBundle timeSeries) {
final ExternalId longId = security.getLongId();
final ExternalId shortId = security.getShortId();
final DoubleTimeSeries<ZonedDateTime> indexLongTS =
getIndexTimeSeries(getIndexIdBundle(longId), now.getZone(), timeSeries);
final DoubleTimeSeries<ZonedDateTime> indexShortTS =
getIndexTimeSeries(getIndexIdBundle(shortId), now.getZone(), timeSeries);
final DoubleTimeSeries<ZonedDateTime> indexSpreadTS =
indexLongTS.subtract(indexShortTS);
return definition.toDerivative(now, indexSpreadTS, curveNames);
}
public class CovarianceMatrixCalculatorTest {
private static final DoubleTimeSeries<?> TS1 =
new FastArrayIntDoubleTimeSeries(
DateTimeNumericEncoding.DATE_EPOCH_DAYS,
new int[] {1, 2, 3, 4},
new double[] {-1, 1, -1, 1});
private static final DoubleTimeSeries<?> TS2 = TS1.multiply(-1);
private static final CovarianceCalculator COVARIANCE = new HistoricalCovarianceCalculator();
private static final Function<DoubleTimeSeries<?>, DoubleMatrix2D> CALCULATOR =
new CovarianceMatrixCalculator(COVARIANCE);
private static final double EPS = 1e-9;
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNull() {
new CovarianceMatrixCalculator(null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullTSArray() {
CALCULATOR.evaluate((DoubleTimeSeries<?>[]) null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testEmptyTSArray() {
CALCULATOR.evaluate(new DoubleTimeSeries<?>[0]);
}
@Test
public void test() {
final DoubleMatrix2D matrix = CALCULATOR.evaluate(TS1, TS2);
assertEquals(matrix.getNumberOfRows(), 2);
assertEquals(matrix.getNumberOfColumns(), 2);
assertEquals(matrix.getEntry(0, 0), 4. / 3, EPS);
assertEquals(matrix.getEntry(1, 0), -4. / 3, EPS);
assertEquals(matrix.getEntry(0, 1), -4. / 3, EPS);
assertEquals(matrix.getEntry(1, 1), 4. / 3, EPS);
}
}
