public static YieldCurveBundle createCurvesUSD() {
final String discountingCurvename = "USD Discounting";
final String forward3MCurveName = "Forward USDLIBOR3M";
final String forward6MCurveName = "Forward USDLIBOR6M";
final InterpolatedDoublesCurve dscC =
new InterpolatedDoublesCurve(
new double[] {0.05, 1.0, 2.0, 5.0, 10.0, 20.0},
new double[] {0.0050, 0.0100, 0.0150, 0.0200, 0.0200, 0.0300},
CombinedInterpolatorExtrapolatorFactory.getInterpolator(
Interpolator1DFactory.DOUBLE_QUADRATIC, Interpolator1DFactory.LINEAR_EXTRAPOLATOR),
true,
discountingCurvename);
final InterpolatedDoublesCurve fwd3C =
new InterpolatedDoublesCurve(
new double[] {0.05, 1.0, 2.0, 5.0, 10.0, 25.0},
new double[] {0.0070, 0.0120, 0.0165, 0.0215, 0.0210, 0.0310},
CombinedInterpolatorExtrapolatorFactory.getInterpolator(
Interpolator1DFactory.DOUBLE_QUADRATIC, Interpolator1DFactory.LINEAR_EXTRAPOLATOR),
true,
forward3MCurveName);
final InterpolatedDoublesCurve fwd6C =
new InterpolatedDoublesCurve(
new double[] {0.05, 1.0, 2.0, 5.0, 10.0, 30.0},
new double[] {0.0075, 0.0125, 0.0170, 0.0220, 0.0212, 0.0312},
CombinedInterpolatorExtrapolatorFactory.getInterpolator(
Interpolator1DFactory.DOUBLE_QUADRATIC, Interpolator1DFactory.LINEAR_EXTRAPOLATOR),
true,
forward6MCurveName);
final YieldCurveBundle curves = new YieldCurveBundle();
curves.setCurve(discountingCurvename, YieldCurve.from(dscC));
curves.setCurve(forward3MCurveName, YieldCurve.from(fwd3C));
curves.setCurve(forward6MCurveName, YieldCurve.from(fwd6C));
return curves;
}
// TODO: review
@Override
public Double visitForexForward(final ForexForward fx, final YieldCurveBundle curves) {
// TODO this is not a par rate, it is a forward FX rate
final YieldAndDiscountCurve curve1 =
curves.getCurve(fx.getPaymentCurrency1().getFundingCurveName());
final YieldAndDiscountCurve curve2 =
curves.getCurve(fx.getPaymentCurrency2().getFundingCurveName());
final double t = fx.getPaymentTime();
return fx.getSpotForexRate() * curve2.getDiscountFactor(t) / curve1.getDiscountFactor(t);
}
@Override
public DoubleMatrix2D evaluate(final DoubleMatrix1D x) {
YieldCurveBundle curves = _curveBuilderFunction.evaluate(x);
final YieldCurveBundle knownCurves = _data.getKnownCurves();
// set any known (i.e. fixed) curves
if (knownCurves != null) {
curves.addAll(knownCurves);
}
final int totalNodes = _data.getTotalNodes();
final List<String> curveNames = _data.getCurveNames();
final double[][] res = new double[_data.getNumInstruments()][totalNodes];
for (int i = 0; i < _data.getNumInstruments(); i++) { // loop over all instruments
InstrumentDerivative deriv = _data.getDerivative(i);
final Map<String, List<DoublesPair>> senseMap =
_calculator.visit(deriv, curves).getSensitivities();
int offset = 0;
for (final String name : curveNames) { // loop over all curves (by name)
if (senseMap.containsKey(name)) {
final Curve<Double, Double> curve = curves.getCurve(name).getCurve();
if (!(curve instanceof InterpolatedDoublesCurve)) {
throw new IllegalArgumentException("Can only handle InterpolatedDoublesCurve");
}
final InterpolatedDoublesCurve interpolatedCurve = (InterpolatedDoublesCurve) curve;
final Interpolator1DDataBundle data = interpolatedCurve.getDataBundle();
final Interpolator1D sensitivityCalculator = _data.getInterpolatorForCurve(name);
final List<DoublesPair> senseList = senseMap.get(name);
if (senseList.size() != 0) {
final double[][] sensitivity = new double[senseList.size()][];
int k = 0;
for (final DoublesPair timeAndDF : senseList) {
sensitivity[k++] =
sensitivityCalculator.getNodeSensitivitiesForValue(
data, timeAndDF.getFirst(), _data.useFiniteDifferenceForNodeSensitivities());
}
for (int j = 0; j < sensitivity[0].length; j++) {
double temp = 0.0;
k = 0;
for (final DoublesPair timeAndDF : senseList) {
temp += timeAndDF.getSecond() * sensitivity[k++][j];
}
res[i][j + offset] = temp;
}
}
}
offset += _data.getCurveNodePointsForCurve(name).length;
}
}
return new DoubleMatrix2D(res);
}
@Override
public Map<String, List<DoublesPair>> visitCouponIborSpread(
final CouponIborSpread payment, final YieldCurveBundle data) {
final String fundingCurveName = payment.getFundingCurveName();
final String liborCurveName = payment.getForwardCurveName();
final YieldAndDiscountCurve fundCurve = data.getCurve(fundingCurveName);
final YieldAndDiscountCurve liborCurve = data.getCurve(liborCurveName);
final double tPay = payment.getPaymentTime();
final double tStart = payment.getFixingPeriodStartTime();
final double tEnd = payment.getFixingPeriodEndTime();
final double dfPay = fundCurve.getDiscountFactor(tPay);
final double dfStart = liborCurve.getDiscountFactor(tStart);
final double dfEnd = liborCurve.getDiscountFactor(tEnd);
final double forward = (dfStart / dfEnd - 1) / payment.getFixingYearFraction();
final double notional = payment.getNotional();
final Map<String, List<DoublesPair>> result = new HashMap<String, List<DoublesPair>>();
List<DoublesPair> temp = new ArrayList<DoublesPair>();
DoublesPair s;
s =
new DoublesPair(
tPay,
-tPay
* dfPay
* notional
* (forward + payment.getSpread())
* payment.getPaymentYearFraction());
temp.add(s);
if (!liborCurveName.equals(fundingCurveName)) {
result.put(fundingCurveName, temp);
temp = new ArrayList<DoublesPair>();
}
final double ratio =
notional
* dfPay
* dfStart
/ dfEnd
* payment.getPaymentYearFraction()
/ payment.getFixingYearFraction();
s = new DoublesPair(tStart, -tStart * ratio);
temp.add(s);
s = new DoublesPair(tEnd, tEnd * ratio);
temp.add(s);
result.put(liborCurveName, temp);
return result;
}
/**
* Create a yield curve bundle with three curves. One called "Credit" with a constant rate of 5%,
* one called "Discounting" with a constant rate of 4%, and one called "Forward" with a constant
* rate of 4.5%.
*
* @return The yield curve bundle.
*/
public static YieldCurveBundle createCurvesBond() {
final String CREDIT_CURVE_NAME = "Credit";
final String DISCOUNTING_CURVE_NAME = "Repo";
final String FORWARD_CURVE_NAME = "Forward";
final YieldAndDiscountCurve CURVE_5 = YieldCurve.from(ConstantDoublesCurve.from(0.05));
final YieldAndDiscountCurve CURVE_4 = YieldCurve.from(ConstantDoublesCurve.from(0.04));
final YieldAndDiscountCurve CURVE_45 = YieldCurve.from(ConstantDoublesCurve.from(0.045));
final YieldCurveBundle curves = new YieldCurveBundle();
curves.setCurve(CREDIT_CURVE_NAME, CURVE_5);
curves.setCurve(DISCOUNTING_CURVE_NAME, CURVE_4);
curves.setCurve(FORWARD_CURVE_NAME, CURVE_45);
return curves;
}
@Override
public Double visitCouponIborSpread(final CouponIborSpread payment, final YieldCurveBundle data) {
final YieldAndDiscountCurve curve = data.getCurve(payment.getForwardCurveName());
return (curve.getDiscountFactor(payment.getFixingPeriodStartTime())
/ curve.getDiscountFactor(payment.getFixingPeriodEndTime())
- 1.0)
/ payment.getFixingAccrualFactor();
}
/**
* For swaps the ParSpread is the spread to be added on each coupon of the first leg to obtain a
* present value of zero. It is computed as the opposite of the present value of the swap divided
* by the present value of a basis point of the first leg (as computed by the
* PresentValueBasisPointCalculator).
*
* @param swap The swap.
* @param curves The yield curve bundle.
* @return The par spread.
*/
@Override
public Double visitSwap(final Swap<?, ?> swap, final YieldCurveBundle curves) {
Validate.notNull(curves);
Validate.notNull(swap);
return -curves
.getFxRates()
.convert(swap.accept(PVMCC, curves), swap.getFirstLeg().getCurrency())
.getAmount()
/ swap.getFirstLeg().accept(PVBPC, curves);
}
@Override
public Map<String, List<DoublesPair>> visitFixedPayment(
final PaymentFixed payment, final YieldCurveBundle data) {
final String curveName = payment.getFundingCurveName();
final YieldAndDiscountCurve curve = data.getCurve(curveName);
final double t = payment.getPaymentTime();
final DoublesPair s = new DoublesPair(t, -t * payment.getAmount() * curve.getDiscountFactor(t));
final List<DoublesPair> list = new ArrayList<DoublesPair>();
list.add(s);
final Map<String, List<DoublesPair>> result = new HashMap<String, List<DoublesPair>>();
result.put(curveName, list);
return result;
}
// TODO: review
@Override
public Double visitCash(final Cash cash, final YieldCurveBundle curves) {
final YieldAndDiscountCurve curve = curves.getCurve(cash.getYieldCurveName());
final double ta = cash.getStartTime();
final double tb = cash.getEndTime();
final double yearFrac = cash.getAccrualFactor();
// TODO need a getForwardRate method on YieldAndDiscountCurve
if (yearFrac == 0.0) {
if (!CompareUtils.closeEquals(ta, tb, 1e-16)) {
throw new IllegalArgumentException(
"Year fraction is zero, but payment time greater than trade time");
}
final double eps = 1e-8;
final double rate = curve.getInterestRate(ta);
final double dRate = curve.getInterestRate(ta + eps);
return rate + ta * (dRate - rate) / eps;
}
return (curve.getDiscountFactor(ta) / curve.getDiscountFactor(tb) - 1) / yearFrac;
}
