// -------------------------------------------------------------------------
// loads a single fixing series CSV file
private static ImmutableMap<ObservableId, LocalDateDoubleTimeSeries> parseSingle(
CharSource resource) {
Map<ObservableId, LocalDateDoubleTimeSeriesBuilder> builders = new HashMap<>();
try {
CsvFile csv = CsvFile.of(resource, true);
for (CsvRow row : csv.rows()) {
String referenceStr = row.getField(REFERENCE_FIELD);
String dateStr = row.getField(DATE_FIELD);
String valueStr = row.getField(VALUE_FIELD);
Index index = LoaderUtils.findIndex(referenceStr);
ObservableId id = IndexQuoteId.of(index);
LocalDate date = LocalDate.parse(dateStr);
double value = Double.parseDouble(valueStr);
LocalDateDoubleTimeSeriesBuilder builder =
builders.computeIfAbsent(id, k -> LocalDateDoubleTimeSeries.builder());
builder.put(date, value);
}
} catch (RuntimeException ex) {
throw new IllegalArgumentException(
Messages.format("Error processing resource as CSV file: {}", resource), ex);
}
return MapStream.of(builders).mapValues(builder -> builder.build()).toMap();
}
/** Test parameter sensitivity with finite difference sensitivity calculator. No cutoff period. */
public void rateChfNoCutOffParameterSensitivity() {
LocalDate[] valuationDate = {date(2015, 1, 1), date(2015, 1, 8)};
double[] time = new double[] {0.0, 0.5, 1.0, 2.0, 5.0, 10.0};
double[] rate = new double[] {0.0100, 0.0110, 0.0115, 0.0130, 0.0135, 0.0135};
for (int loopvaldate = 0; loopvaldate < 2; loopvaldate++) {
Curve onCurve =
InterpolatedNodalCurve.of(Curves.zeroRates("ON", ACT_ACT_ISDA), time, rate, INTERPOLATOR);
ImmutableRatesProvider prov =
ImmutableRatesProvider.builder()
.valuationDate(valuationDate[loopvaldate])
.indexCurves(ImmutableMap.of(CHF_TOIS, onCurve))
.timeSeries(ImmutableMap.of(CHF_TOIS, TIME_SERIES_BUILDER.build()))
.build();
OvernightAveragedRateObservation ro =
OvernightAveragedRateObservation.of(CHF_TOIS, FIXING_START_DATE, FIXING_END_DATE, 0);
ForwardOvernightAveragedRateObservationFn obsFn =
ForwardOvernightAveragedRateObservationFn.DEFAULT;
PointSensitivityBuilder sensitivityBuilderComputed =
obsFn.rateSensitivity(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, prov);
CurveCurrencyParameterSensitivities parameterSensitivityComputed =
prov.curveParameterSensitivity(sensitivityBuilderComputed.build());
CurveCurrencyParameterSensitivities parameterSensitivityExpected =
CAL_FD.sensitivity(
prov,
(p) ->
CurrencyAmount.of(
CHF_TOIS.getCurrency(),
obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, (p))));
assertTrue(
parameterSensitivityComputed.equalWithTolerance(
parameterSensitivityExpected, EPS_FD * 10.0));
}
}
static {
for (int i = 0; i < FIXING_DATES.length; i++) {
TIME_SERIES_BUILDER.put(FIXING_DATES[i], FIXING_RATES[i]);
}
}
