private static void populateVolatilitySurfaceDefinitions(
final ConfigMaster configMaster, final UniqueIdentifiable target) {
final Tenor[] expiryTenors =
new Tenor[] {
Tenor.ofDays(7),
Tenor.ofDays(14),
Tenor.ofDays(21),
Tenor.ofMonths(1),
Tenor.ofMonths(3),
Tenor.ofMonths(6),
Tenor.ofMonths(9),
Tenor.ofYears(1),
Tenor.ofYears(5),
Tenor.ofYears(10)
};
@SuppressWarnings("unchecked")
final Pair<Number, FXVolQuoteType>[] deltaAndTypes =
new Pair[] {
Pair.of(25, FXVolQuoteType.BUTTERFLY),
Pair.of(25, FXVolQuoteType.RISK_REVERSAL),
Pair.of(15, FXVolQuoteType.BUTTERFLY),
Pair.of(15, FXVolQuoteType.RISK_REVERSAL),
Pair.of(0, FXVolQuoteType.ATM)
};
final VolatilitySurfaceDefinition<Tenor, Pair<Number, FXVolQuoteType>> volSurfaceDefinition =
new VolatilitySurfaceDefinition<Tenor, Pair<Number, FXVolQuoteType>>(
"SECONDARY_EURUSD_" + InstrumentTypeProperties.FOREX,
target,
expiryTenors,
deltaAndTypes);
ConfigMasterUtils.storeByName(configMaster, makeConfigDocument(volSurfaceDefinition));
}
private static void populateVolatilitySurfaceDefinitions(
final ConfigMaster configMaster, final Currency target, final String name) {
final Tenor[] swaptionExpiries =
new Tenor[] {
Tenor.THREE_MONTHS,
Tenor.SIX_MONTHS,
Tenor.ONE_YEAR,
Tenor.TWO_YEARS,
Tenor.THREE_YEARS,
Tenor.FIVE_YEARS,
Tenor.TEN_YEARS
};
final Tenor[] swapMaturities =
new Tenor[] {
Tenor.ONE_YEAR,
Tenor.TWO_YEARS,
Tenor.THREE_YEARS,
Tenor.FIVE_YEARS,
Tenor.SEVEN_YEARS,
Tenor.TEN_YEARS,
Tenor.ofYears(12),
Tenor.ofYears(15),
Tenor.ofYears(20),
Tenor.ofYears(30)
};
final String fullName =
name + SEPARATOR + target.toString() + SEPARATOR + InstrumentTypeProperties.SWAPTION_ATM;
final VolatilitySurfaceDefinition<Tenor, Tenor> definition =
new VolatilitySurfaceDefinition<>(fullName, target, swapMaturities, swaptionExpiries);
ConfigMasterUtils.storeByName(configMaster, makeConfigDocument(definition));
}
@Override
public int hashCode() {
final int prime = 31;
int result = 1;
result = prime * result + Arrays.hashCode(_atmType);
result = prime * result + ((_atmTypeCutoff == null) ? 0 : _atmTypeCutoff.hashCode());
result = prime * result + _ccy1.hashCode();
result = prime * result + _ccy2.hashCode();
result = prime * result + Arrays.hashCode(_deltaType);
result = prime * result + ((_deltaTypeCutoff == null) ? 0 : _deltaTypeCutoff.hashCode());
result = prime * result + (_isPremiumAdjusted ? 1231 : 1237);
result = prime * result + _premiumCurrency.hashCode();
return result;
}
public DeltaType getDeltaType(final Tenor tenor) {
if (_deltaTypeCutoff == null) {
return _deltaType[0];
}
ArgumentChecker.notNull(tenor, "tenor");
return _deltaTypeCutoff.compareTo(tenor) < 0 ? _deltaType[0] : _deltaType[1];
}
public ATMType getATMQuoteType(final Tenor tenor) {
if (_atmTypeCutoff == null) {
return _atmType[0];
}
ArgumentChecker.notNull(tenor, "tenor");
return _atmTypeCutoff.compareTo(tenor) < 0 ? _atmType[0] : _atmType[1];
}
@Override
public Tenor getResolvedMaturity() {
return Tenor.of(_startTenor.getPeriod().plus(_maturityTenor.getPeriod()));
}
@Override
public Set<ComputedValue> execute(
final FunctionExecutionContext executionContext,
final FunctionInputs inputs,
final ComputationTarget target,
final Set<ValueRequirement> desiredValues)
throws AsynchronousExecution {
final Object originalCurveObject = inputs.getValue(YIELD_CURVE);
if (originalCurveObject == null) {
throw new OpenGammaRuntimeException("Could not get original curve");
}
ValueProperties resultCurveProperties = null;
String absoluteToleranceName = null;
String relativeToleranceName = null;
String iterationsName = null;
String decompositionName = null;
String useFiniteDifferenceName = null;
for (final ValueRequirement desiredValue : desiredValues) {
if (desiredValue.getValueName().equals(YIELD_CURVE)) {
absoluteToleranceName =
desiredValue.getConstraint(
MultiYieldCurvePropertiesAndDefaults.PROPERTY_ROOT_FINDER_ABSOLUTE_TOLERANCE);
relativeToleranceName =
desiredValue.getConstraint(
MultiYieldCurvePropertiesAndDefaults.PROPERTY_ROOT_FINDER_RELATIVE_TOLERANCE);
iterationsName =
desiredValue.getConstraint(
MultiYieldCurvePropertiesAndDefaults.PROPERTY_ROOT_FINDER_MAX_ITERATIONS);
decompositionName =
desiredValue.getConstraint(
MultiYieldCurvePropertiesAndDefaults.PROPERTY_DECOMPOSITION);
useFiniteDifferenceName =
desiredValue.getConstraint(
MultiYieldCurvePropertiesAndDefaults.PROPERTY_USE_FINITE_DIFFERENCE);
resultCurveProperties = desiredValue.getConstraints().copy().get();
break;
}
}
if (resultCurveProperties == null) {
throw new OpenGammaRuntimeException("Could not get result curve properties");
}
final ValueProperties resultJacobianProperties = resultCurveProperties.withoutAny(CURVE);
ZonedDateTime valuationDateTime =
executionContext
.getValuationTime()
.atZone(executionContext.getValuationClock().getZone());
final HolidaySource holidaySource =
OpenGammaExecutionContext.getHolidaySource(executionContext);
final ConventionSource conventionSource =
OpenGammaExecutionContext.getConventionSource(executionContext);
final Calendar calendar = CalendarUtils.getCalendar(holidaySource, _currency);
final DepositConvention convention =
conventionSource.getSingle(
ExternalId.of(SCHEME_NAME, getConventionName(_currency, DEPOSIT)),
DepositConvention.class);
final int spotLag = convention.getSettlementDays();
final ExternalId conventionSettlementRegion = convention.getRegionCalendar();
ZonedDateTime spotDate;
if (spotLag == 0 && conventionSettlementRegion == null) {
spotDate = valuationDateTime;
} else {
spotDate = ScheduleCalculator.getAdjustedDate(valuationDateTime, spotLag, calendar);
;
}
final YieldCurveBundle curves = new YieldCurveBundle();
final String fullYieldCurveName = _originalCurveName + "_" + _currency;
curves.setCurve(fullYieldCurveName, (YieldAndDiscountCurve) originalCurveObject);
final int n = _impliedDefinition.getStrips().size();
final double[] t = new double[n];
final double[] r = new double[n];
int i = 0;
final DayCount dayCount =
DayCountFactory.INSTANCE.getDayCount(
"Act/360"); // TODO: Get the convention from the curve.
final String impliedDepositCurveName = _curveCalculationConfig + "_" + _currency.getCode();
final List<InstrumentDerivative> derivatives = new ArrayList<>();
for (final FixedIncomeStrip strip : _impliedDefinition.getStrips()) {
final Tenor tenor = strip.getCurveNodePointTime();
final ZonedDateTime paymentDate =
ScheduleCalculator.getAdjustedDate(
spotDate, tenor.getPeriod(), MOD_FOL, calendar, true);
final double startTime = TimeCalculator.getTimeBetween(valuationDateTime, spotDate);
final double endTime = TimeCalculator.getTimeBetween(valuationDateTime, paymentDate);
final double accrualFactor = dayCount.getDayCountFraction(spotDate, paymentDate, calendar);
final Cash cashFXCurve =
new Cash(_currency, startTime, endTime, 1, 0, accrualFactor, fullYieldCurveName);
final double parRate = METHOD_CASH.parRate(cashFXCurve, curves);
final Cash cashDepositCurve =
new Cash(_currency, startTime, endTime, 1, 0, accrualFactor, impliedDepositCurveName);
derivatives.add(cashDepositCurve);
t[i] = endTime;
r[i++] = parRate;
}
final CombinedInterpolatorExtrapolator interpolator =
CombinedInterpolatorExtrapolatorFactory.getInterpolator(
_interpolatorName, _leftExtrapolatorName, _rightExtrapolatorName);
final double absoluteTolerance = Double.parseDouble(absoluteToleranceName);
final double relativeTolerance = Double.parseDouble(relativeToleranceName);
final int iterations = Integer.parseInt(iterationsName);
final Decomposition<?> decomposition =
DecompositionFactory.getDecomposition(decompositionName);
final boolean useFiniteDifference = Boolean.parseBoolean(useFiniteDifferenceName);
final LinkedHashMap<String, double[]> curveNodes = new LinkedHashMap<>();
final LinkedHashMap<String, Interpolator1D> interpolators = new LinkedHashMap<>();
curveNodes.put(impliedDepositCurveName, t);
interpolators.put(impliedDepositCurveName, interpolator);
final FXMatrix fxMatrix = new FXMatrix();
final YieldCurveBundle knownCurve = new YieldCurveBundle();
final MultipleYieldCurveFinderDataBundle data =
new MultipleYieldCurveFinderDataBundle(
derivatives, r, knownCurve, curveNodes, interpolators, useFiniteDifference, fxMatrix);
final NewtonVectorRootFinder rootFinder =
new BroydenVectorRootFinder(
absoluteTolerance, relativeTolerance, iterations, decomposition);
final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator =
new MultipleYieldCurveFinderFunction(data, PAR_RATE_CALCULATOR);
final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator =
new MultipleYieldCurveFinderJacobian(data, PAR_RATE_SENSITIVITY_CALCULATOR);
final double[] fittedYields =
rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(r)).getData();
final DoubleMatrix2D jacobianMatrix =
jacobianCalculator.evaluate(new DoubleMatrix1D(fittedYields));
final YieldCurve impliedDepositCurve =
new YieldCurve(
impliedDepositCurveName,
InterpolatedDoublesCurve.from(t, fittedYields, interpolator));
final ValueSpecification curveSpec =
new ValueSpecification(YIELD_CURVE, target.toSpecification(), resultCurveProperties);
final ValueSpecification jacobianSpec =
new ValueSpecification(
YIELD_CURVE_JACOBIAN, target.toSpecification(), resultJacobianProperties);
return Sets.newHashSet(
new ComputedValue(curveSpec, impliedDepositCurve),
new ComputedValue(jacobianSpec, jacobianMatrix));
}
@Test
public void testFXOptionVolatilitySurfaceInstrumentProvider() {
final ICAPFXOptionVolatilitySurfaceInstrumentProvider provider =
new ICAPFXOptionVolatilitySurfaceInstrumentProvider("I", "EURUSD", "Market_Value");
assertEquals(
provider, cycleObject(ICAPFXOptionVolatilitySurfaceInstrumentProvider.class, provider));
assertEquals(
ExternalId.of(ExternalSchemes.ICAP, "IEURUSD_1WK"),
provider.getInstrument(Tenor.ofDays(7), Pairs.of((Number) 0, FXVolQuoteType.ATM)));
assertEquals(
ExternalId.of(ExternalSchemes.ICAP, "IEURUSD_1M"),
provider.getInstrument(Tenor.ofMonths(1), Pairs.of((Number) 0, FXVolQuoteType.ATM)));
assertEquals(
ExternalId.of(ExternalSchemes.ICAP, "IEURUSD_1YR"),
provider.getInstrument(Tenor.ofYears(1), Pairs.of((Number) 0, FXVolQuoteType.ATM)));
assertEquals(
ExternalId.of(ExternalSchemes.ICAP, "IEURUSD_1WK"),
provider.getInstrument(Tenor.ofDays(7), Pairs.of((Number) 0, FXVolQuoteType.ATM)));
assertEquals(
ExternalId.of(ExternalSchemes.ICAP, "IEURUSD_1M"),
provider.getInstrument(Tenor.ofMonths(1), Pairs.of((Number) 0, FXVolQuoteType.ATM)));
assertEquals(
ExternalId.of(ExternalSchemes.ICAP, "IEURUSD_1YR"),
provider.getInstrument(Tenor.ofYears(1), Pairs.of((Number) 0, FXVolQuoteType.ATM)));
assertEquals(
ExternalId.of(ExternalSchemes.ICAP, "IEURUSDBF25_1WK"),
provider.getInstrument(Tenor.ofDays(7), Pairs.of((Number) 25, FXVolQuoteType.BUTTERFLY)));
assertEquals(
ExternalId.of(ExternalSchemes.ICAP, "IEURUSDBF25_1M"),
provider.getInstrument(Tenor.ofMonths(1), Pairs.of((Number) 25, FXVolQuoteType.BUTTERFLY)));
assertEquals(
ExternalId.of(ExternalSchemes.ICAP, "IEURUSDBF25_1YR"),
provider.getInstrument(Tenor.ofYears(1), Pairs.of((Number) 25, FXVolQuoteType.BUTTERFLY)));
assertEquals(
ExternalId.of(ExternalSchemes.ICAP, "IEURUSDBF10_1WK"),
provider.getInstrument(Tenor.ofDays(7), Pairs.of((Number) 10, FXVolQuoteType.BUTTERFLY)));
assertEquals(
ExternalId.of(ExternalSchemes.ICAP, "IEURUSDBF10_1M"),
provider.getInstrument(Tenor.ofMonths(1), Pairs.of((Number) 10, FXVolQuoteType.BUTTERFLY)));
assertEquals(
ExternalId.of(ExternalSchemes.ICAP, "IEURUSDBF10_1YR"),
provider.getInstrument(Tenor.ofYears(1), Pairs.of((Number) 10, FXVolQuoteType.BUTTERFLY)));
assertEquals(
ExternalId.of(ExternalSchemes.ICAP, "IEURUSDRR25_1WK"),
provider.getInstrument(
Tenor.ofDays(7), Pairs.of((Number) 25, FXVolQuoteType.RISK_REVERSAL)));
assertEquals(
ExternalId.of(ExternalSchemes.ICAP, "IEURUSDRR25_1M"),
provider.getInstrument(
Tenor.ofMonths(1), Pairs.of((Number) 25, FXVolQuoteType.RISK_REVERSAL)));
assertEquals(
ExternalId.of(ExternalSchemes.ICAP, "IEURUSDRR25_1YR"),
provider.getInstrument(
Tenor.ofYears(1), Pairs.of((Number) 25, FXVolQuoteType.RISK_REVERSAL)));
assertEquals(
ExternalId.of(ExternalSchemes.ICAP, "IEURUSDRR10_1WK"),
provider.getInstrument(
Tenor.ofDays(7), Pairs.of((Number) 10, FXVolQuoteType.RISK_REVERSAL)));
assertEquals(
ExternalId.of(ExternalSchemes.ICAP, "IEURUSDRR10_1M"),
provider.getInstrument(
Tenor.ofMonths(1), Pairs.of((Number) 10, FXVolQuoteType.RISK_REVERSAL)));
assertEquals(
ExternalId.of(ExternalSchemes.ICAP, "IEURUSDRR10_1YR"),
provider.getInstrument(
Tenor.ofYears(1), Pairs.of((Number) 10, FXVolQuoteType.RISK_REVERSAL)));
}