/** * Build of curve in several blocks with relevant Jacobian matrices. EUR: discounting/ON forward; * USD: discounting/ON forward. Standard test data set: 2014-03-10 */ public class StandardDataSetsEURUSDForex { private static final ZonedDateTime NOW = DateUtils.getUTCDate(2014, 3, 10); private static final Interpolator1D INTERPOLATOR_LINEAR = CombinedInterpolatorExtrapolatorFactory.getInterpolator( Interpolator1DFactory.LINEAR, Interpolator1DFactory.FLAT_EXTRAPOLATOR, Interpolator1DFactory.FLAT_EXTRAPOLATOR); private static final LastTimeCalculator MATURITY_CALCULATOR = LastTimeCalculator.getInstance(); private static final double TOLERANCE_ROOT = 1.0E-10; private static final int STEP_MAX = 100; private static final HolidayCalendar TARGET = HolidayCalendars.EUTA; private static final HolidayCalendar NYC = HolidayCalendars.SAT_SUN; private static final Currency EUR = Currency.EUR; private static final Currency USD = Currency.USD; private static final double FX_EURUSD = 1.38775; private static final FxMatrix FX_MATRIX = FxMatrix.builder().addRate(EUR, USD, FX_EURUSD).build(); private static final double NOTIONAL = 1.0; private static final GeneratorSwapFixedON GENERATOR_OIS_EUR = GeneratorSwapFixedONMaster.getInstance().getGenerator("EUR1YEONIA", TARGET); private static final IndexON EUREONIA = GENERATOR_OIS_EUR.getIndex(); private static final GeneratorSwapFixedON GENERATOR_OIS_USD = GeneratorSwapFixedONMaster.getInstance().getGenerator("USD1YFEDFUND", NYC); private static final IndexON USDFEDFUND = GENERATOR_OIS_USD.getIndex(); private static final IndexON INDEX_ON_EUR = GENERATOR_OIS_EUR.getIndex(); private static final IndexON INDEX_ON_USD = GENERATOR_OIS_USD.getIndex(); private static final GeneratorDepositON GENERATOR_DEPOSIT_ON_EUR = new GeneratorDepositON("EUR Deposit ON", EUR, TARGET, INDEX_ON_EUR.getDayCount()); private static final GeneratorDepositON GENERATOR_DEPOSIT_ON_USD = new GeneratorDepositON("USD Deposit ON", USD, TARGET, INDEX_ON_USD.getDayCount()); private static final GeneratorForexSwap GENERATOR_FX_EURUSD = new GeneratorForexSwap( "EURUSD", EUR, USD, TARGET, 2, GENERATOR_OIS_EUR.getBusinessDayConvention(), true); private static final ZonedDateTimeDoubleTimeSeries TS_EMPTY = ImmutableZonedDateTimeDoubleTimeSeries.ofEmptyUTC(); private static final ZonedDateTimeDoubleTimeSeries TS_ON_USD_WITH_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC( new ZonedDateTime[] { DateUtils.getUTCDate(2011, 9, 27), DateUtils.getUTCDate(2011, 9, 28) }, new double[] {0.07, 0.08}); private static final ZonedDateTimeDoubleTimeSeries TS_ON_USD_WITHOUT_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC( new ZonedDateTime[] { DateUtils.getUTCDate(2011, 9, 27), DateUtils.getUTCDate(2011, 9, 28) }, new double[] {0.07, 0.08}); private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_OIS_USD_WITH_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_EMPTY, TS_ON_USD_WITH_TODAY}; private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_OIS_USD_WITHOUT_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_EMPTY, TS_ON_USD_WITHOUT_TODAY}; private static final String CURVE_NAME_DSC_EUR = "EUR Dsc"; private static final String CURVE_NAME_DSC_USD = "USD Dsc"; /** Market values for the dsc USD curve */ private static final double[] DSC_USD_MARKET_QUOTES = new double[] { 0.0015, 0.0015, 7.9E-4, 7.8E-4, 8.3E-4, 0.0009, 0.0010, 0.00112, 0.0030525, 0.00686, 0.0109, 0.01465, 0.01782, 0.02048, 0.02264, 0.02445, 0.02597 }; /** Generators for the dsc USD curve */ private static final GeneratorInstrument<? extends GeneratorAttribute>[] DSC_USD_GENERATORS = new GeneratorInstrument<?>[] { GENERATOR_DEPOSIT_ON_USD, GENERATOR_DEPOSIT_ON_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD }; /** Tenors for the dsc USD curve */ private static final Period[] DSC_USD_TENOR = new Period[] { Period.ofDays(0), Period.ofDays(1), Period.ofMonths(1), Period.ofMonths(2), Period.ofMonths(3), Period.ofMonths(6), Period.ofMonths(9), Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(4), Period.ofYears(5), Period.ofYears(6), Period.ofYears(7), Period.ofYears(8), Period.ofYears(9), Period.ofYears(10) }; private static final GeneratorAttributeIR[] DSC_USD_ATTR = new GeneratorAttributeIR[DSC_USD_TENOR.length]; static { for (int loopins = 0; loopins < 2; loopins++) { DSC_USD_ATTR[loopins] = new GeneratorAttributeIR(DSC_USD_TENOR[loopins], Period.ZERO); } for (int loopins = 2; loopins < DSC_USD_TENOR.length; loopins++) { DSC_USD_ATTR[loopins] = new GeneratorAttributeIR(DSC_USD_TENOR[loopins]); } } /** Market values for the dsc EUR curve - calibrated on OIS */ private static final double[] DSC_EUR_MARKET_QUOTES = new double[] { 0.001725, 0.00170, 0.00196, 0.00193, 0.00186, 0.00181, 0.00172, 0.00174, 0.002015, 0.00321, 0.00491, 0.0068, 0.01061, 0.01539 }; /** Generators for the dsc EUR curve */ private static final GeneratorInstrument<? extends GeneratorAttribute>[] DSC_EUR_GENERATORS = new GeneratorInstrument<?>[] { GENERATOR_DEPOSIT_ON_EUR, GENERATOR_DEPOSIT_ON_EUR, GENERATOR_OIS_EUR, GENERATOR_OIS_EUR, GENERATOR_OIS_EUR, GENERATOR_OIS_EUR, GENERATOR_OIS_EUR, GENERATOR_OIS_EUR, GENERATOR_OIS_EUR, GENERATOR_OIS_EUR, GENERATOR_OIS_EUR, GENERATOR_OIS_EUR, GENERATOR_OIS_EUR, GENERATOR_OIS_EUR }; /** Tenors for the dsc EUR curve */ private static final Period[] DSC_EUR_TENOR = new Period[] { Period.ofDays(0), Period.ofDays(1), Period.ofMonths(1), Period.ofMonths(2), Period.ofMonths(3), Period.ofMonths(6), Period.ofMonths(9), Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(4), Period.ofYears(5), Period.ofYears(7), Period.ofYears(10) }; private static final GeneratorAttributeIR[] DSC_EUR_ATTR = new GeneratorAttributeIR[DSC_EUR_TENOR.length]; static { for (int loopins = 0; loopins < 2; loopins++) { DSC_EUR_ATTR[loopins] = new GeneratorAttributeIR(DSC_EUR_TENOR[loopins], Period.ZERO); } for (int loopins = 2; loopins < DSC_EUR_TENOR.length; loopins++) { DSC_EUR_ATTR[loopins] = new GeneratorAttributeIR(DSC_EUR_TENOR[loopins]); } } /** Market values for the FX EUR USD FX swaps */ private static final double[] DSC_EURUSD_MARKET_FORWARD = new double[] { 1.387673, 1.387625, 1.3875895, 1.38755, 1.387566, 1.387777, 1.39303, 1.406789, 1.427726, 1.4525105 }; private static final int NB_DSC_EURUSD_QUOTES = DSC_EURUSD_MARKET_FORWARD.length; private static final double[] DSC_EURUSD_MARKET_QUOTES = new double[NB_DSC_EURUSD_QUOTES]; static { for (int loopquote = 0; loopquote < NB_DSC_EURUSD_QUOTES; loopquote++) { DSC_EURUSD_MARKET_QUOTES[loopquote] = DSC_EURUSD_MARKET_FORWARD[loopquote] - FX_EURUSD; } } /** Generators for the dsc FX curve */ private static final GeneratorInstrument<? extends GeneratorAttribute>[] DSC_EURUSD_GENERATORS = new GeneratorInstrument<?>[] { GENERATOR_FX_EURUSD, GENERATOR_FX_EURUSD, GENERATOR_FX_EURUSD, GENERATOR_FX_EURUSD, GENERATOR_FX_EURUSD, GENERATOR_FX_EURUSD, GENERATOR_FX_EURUSD, GENERATOR_FX_EURUSD, GENERATOR_FX_EURUSD, GENERATOR_FX_EURUSD }; /** Tenors for the dsc FX curve */ private static final Period[] DSC_EURUSD_TENOR = new Period[] { Period.ofMonths(1), Period.ofMonths(2), Period.ofMonths(3), Period.ofMonths(6), Period.ofMonths(9), Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(4), Period.ofYears(5) }; private static final GeneratorAttribute[] DSC_EURUSD_ATTR = new GeneratorAttribute[DSC_EUR_TENOR.length]; static { for (int loopins = 0; loopins < DSC_EURUSD_TENOR.length; loopins++) { DSC_EURUSD_ATTR[loopins] = new GeneratorAttributeFX(DSC_EURUSD_TENOR[loopins], FX_MATRIX); } } /** Standard USD discounting curve instrument definitions */ private static final InstrumentDefinition<?>[] DEFINITIONS_DSC_USD; /** Standard EUR discounting curve instrument definitions */ private static final InstrumentDefinition<?>[] DEFINITIONS_DSC_EUR; /** Standard EUR discounting curve instrument definitions */ private static final InstrumentDefinition<?>[] DEFINITIONS_DSC_FX; /** Units of curves */ private static final int[] NB_UNITS = new int[] {2, 2, 2}; private static final int NB_BLOCKS = NB_UNITS.length; private static final InstrumentDefinition<?>[][][][] DEFINITIONS_UNITS = new InstrumentDefinition<?>[NB_BLOCKS][][][]; private static final GeneratorYDCurve[][][] GENERATORS_UNITS = new GeneratorYDCurve[NB_BLOCKS][][]; private static final String[][][] NAMES_UNITS = new String[NB_BLOCKS][][]; private static final MulticurveProviderDiscount MULTICURVE_KNOWN_DATA = new MulticurveProviderDiscount(FX_MATRIX); private static final LinkedHashMap<String, Currency> DSC_MAP = new LinkedHashMap<>(); private static final LinkedHashMap<String, IndexON[]> FWD_ON_MAP = new LinkedHashMap<>(); private static final LinkedHashMap<String, IborIndex[]> FWD_IBOR_MAP = new LinkedHashMap<>(); static { DEFINITIONS_DSC_USD = getDefinitions(DSC_USD_MARKET_QUOTES, DSC_USD_GENERATORS, DSC_USD_ATTR); DEFINITIONS_DSC_EUR = getDefinitions(DSC_EUR_MARKET_QUOTES, DSC_EUR_GENERATORS, DSC_EUR_ATTR); DEFINITIONS_DSC_FX = getDefinitions(DSC_EURUSD_MARKET_QUOTES, DSC_EURUSD_GENERATORS, DSC_EURUSD_ATTR); for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) { DEFINITIONS_UNITS[loopblock] = new InstrumentDefinition<?>[NB_UNITS[loopblock]][][]; GENERATORS_UNITS[loopblock] = new GeneratorYDCurve[NB_UNITS[loopblock]][]; NAMES_UNITS[loopblock] = new String[NB_UNITS[loopblock]][]; } DEFINITIONS_UNITS[0] = new InstrumentDefinition<?>[NB_UNITS[0]][][]; DEFINITIONS_UNITS[0][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD}; DEFINITIONS_UNITS[0][1] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_EUR}; DEFINITIONS_UNITS[1] = new InstrumentDefinition<?>[NB_UNITS[0]][][]; DEFINITIONS_UNITS[1][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD}; DEFINITIONS_UNITS[1][1] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_FX}; DEFINITIONS_UNITS[2] = new InstrumentDefinition<?>[NB_UNITS[0]][][]; DEFINITIONS_UNITS[2][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_EUR}; DEFINITIONS_UNITS[2][1] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_FX}; final GeneratorYDCurve genIntLin = new GeneratorCurveYieldInterpolated(MATURITY_CALCULATOR, INTERPOLATOR_LINEAR); GENERATORS_UNITS[0] = new GeneratorYDCurve[NB_UNITS[0]][]; GENERATORS_UNITS[0][0] = new GeneratorYDCurve[] {genIntLin}; GENERATORS_UNITS[0][1] = new GeneratorYDCurve[] {genIntLin}; GENERATORS_UNITS[1] = new GeneratorYDCurve[NB_UNITS[0]][]; GENERATORS_UNITS[1][0] = new GeneratorYDCurve[] {genIntLin}; GENERATORS_UNITS[1][1] = new GeneratorYDCurve[] {genIntLin}; GENERATORS_UNITS[2] = new GeneratorYDCurve[NB_UNITS[0]][]; GENERATORS_UNITS[2][0] = new GeneratorYDCurve[] {genIntLin}; GENERATORS_UNITS[2][1] = new GeneratorYDCurve[] {genIntLin}; NAMES_UNITS[0] = new String[NB_UNITS[0]][]; NAMES_UNITS[0][0] = new String[] {CURVE_NAME_DSC_USD}; NAMES_UNITS[0][1] = new String[] {CURVE_NAME_DSC_EUR}; NAMES_UNITS[1] = new String[NB_UNITS[0]][]; NAMES_UNITS[1][0] = new String[] {CURVE_NAME_DSC_USD}; NAMES_UNITS[1][1] = new String[] {CURVE_NAME_DSC_EUR}; NAMES_UNITS[2] = new String[NB_UNITS[0]][]; NAMES_UNITS[2][0] = new String[] {CURVE_NAME_DSC_EUR}; NAMES_UNITS[2][1] = new String[] {CURVE_NAME_DSC_USD}; DSC_MAP.put(CURVE_NAME_DSC_USD, USD); DSC_MAP.put(CURVE_NAME_DSC_EUR, EUR); FWD_ON_MAP.put(CURVE_NAME_DSC_USD, new IndexON[] {INDEX_ON_USD}); FWD_ON_MAP.put(CURVE_NAME_DSC_EUR, new IndexON[] {INDEX_ON_EUR}); } @SuppressWarnings("unchecked") public static InstrumentDefinition<?>[] getDefinitions( final double[] marketQuotes, @SuppressWarnings("rawtypes") final GeneratorInstrument[] generators, final GeneratorAttribute[] attribute) { final InstrumentDefinition<?>[] definitions = new InstrumentDefinition<?>[marketQuotes.length]; for (int loopmv = 0; loopmv < marketQuotes.length; loopmv++) { definitions[loopmv] = generators[loopmv].generateInstrument( NOW, marketQuotes[loopmv], NOTIONAL, attribute[loopmv]); } return definitions; } private static List<Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle>> CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK = new ArrayList<>(); // Calculators private static final ParSpreadMarketQuoteDiscountingCalculator PSMQDC = ParSpreadMarketQuoteDiscountingCalculator.getInstance(); private static final ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator PSMQCSDC = ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator.getInstance(); private static final MulticurveDiscountBuildingRepository CURVE_BUILDING_REPOSITORY = new MulticurveDiscountBuildingRepository(TOLERANCE_ROOT, TOLERANCE_ROOT, STEP_MAX); static { for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) { CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.add( makeCurvesFromDefinitions( DEFINITIONS_UNITS[loopblock], GENERATORS_UNITS[loopblock], NAMES_UNITS[loopblock], MULTICURVE_KNOWN_DATA, PSMQDC, PSMQCSDC, false)); } } public static Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> getCurvesEUROisUSDOis() { return CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0); } public static Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> getCurvesUSDOisEURFx() { return CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(1); } public static Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> getCurvesEUROisUSDFx() { return CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(2); } /** * Returns the array of overnight index used in the curve data set. * * @return The array: USDFEDFUND, EUREOINIA */ public static IndexON[] indexONArray() { return new IndexON[] {USDFEDFUND, EUREONIA}; } /** * Returns the array of calendars used in the curve data set. * * @return The array: NYC, TARGET */ public static HolidayCalendar[] calendarArray() { return new HolidayCalendar[] {NYC, TARGET}; } @SuppressWarnings("unchecked") private static Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> makeCurvesFromDefinitions( final InstrumentDefinition<?>[][][] definitions, final GeneratorYDCurve[][] curveGenerators, final String[][] curveNames, final MulticurveProviderDiscount knownData, final InstrumentDerivativeVisitor<ParameterProviderInterface, Double> calculator, final InstrumentDerivativeVisitor<ParameterProviderInterface, MulticurveSensitivity> sensitivityCalculator, final boolean withToday) { final int nUnits = definitions.length; final MultiCurveBundle<GeneratorYDCurve>[] curveBundles = new MultiCurveBundle[nUnits]; for (int i = 0; i < nUnits; i++) { final int nCurves = definitions[i].length; final SingleCurveBundle<GeneratorYDCurve>[] singleCurves = new SingleCurveBundle[nCurves]; for (int j = 0; j < nCurves; j++) { final int nInstruments = definitions[i][j].length; final InstrumentDerivative[] derivatives = new InstrumentDerivative[nInstruments]; final double[] rates = new double[nInstruments]; for (int k = 0; k < nInstruments; k++) { derivatives[k] = convert(definitions[i][j][k], withToday); rates[k] = initialGuess(definitions[i][j][k]); } final GeneratorYDCurve generator = curveGenerators[i][j].finalGenerator(derivatives); final double[] initialGuess = generator.initialGuess(rates); singleCurves[j] = new SingleCurveBundle<>(curveNames[i][j], derivatives, initialGuess, generator); } curveBundles[i] = new MultiCurveBundle<>(singleCurves); } return CURVE_BUILDING_REPOSITORY.makeCurvesFromDerivatives( curveBundles, knownData, DSC_MAP, FWD_IBOR_MAP, FWD_ON_MAP, calculator, sensitivityCalculator); } private static InstrumentDerivative convert( final InstrumentDefinition<?> instrument, final boolean withToday) { InstrumentDerivative ird; if (instrument instanceof SwapFixedONDefinition) { ird = ((SwapFixedONDefinition) instrument).toDerivative(NOW, getTSSwapFixedON(withToday)); } else { ird = instrument.toDerivative(NOW); } return ird; } private static ZonedDateTimeDoubleTimeSeries[] getTSSwapFixedON(final Boolean withToday) { return withToday ? TS_FIXED_OIS_USD_WITH_TODAY : TS_FIXED_OIS_USD_WITHOUT_TODAY; } private static double initialGuess(final InstrumentDefinition<?> instrument) { if (instrument instanceof SwapFixedONDefinition) { return ((SwapFixedONDefinition) instrument).getFixedLeg().getNthPayment(0).getRate(); } if (instrument instanceof SwapFixedIborDefinition) { return ((SwapFixedIborDefinition) instrument).getFixedLeg().getNthPayment(0).getRate(); } if (instrument instanceof ForwardRateAgreementDefinition) { return ((ForwardRateAgreementDefinition) instrument).getRate(); } if (instrument instanceof CashDefinition) { return ((CashDefinition) instrument).getRate(); } if (instrument instanceof InterestRateFutureTransactionDefinition) { return 1 - ((InterestRateFutureTransactionDefinition) instrument).getTradePrice(); } return 0.01; } }
/** Test the swaps with multiple legs present value and related figures. */ @Test(groups = TestGroup.UNIT) public class SwapMultilegCalculatorTest { private static final MulticurveProviderDiscount MULTICURVES = MulticurveProviderDiscountDataSets.createMulticurveEurUsd(); private static final Calendar TARGET = new MondayToFridayCalendar("TRAGET"); private static final IndexIborMaster INDEX_MASTER = IndexIborMaster.getInstance(); private static final IborIndex EURIBOR3M = INDEX_MASTER.getIndex("EURIBOR3M"); private static final IborIndex EURIBOR6M = INDEX_MASTER.getIndex("EURIBOR6M"); private static final GeneratorSwapFixedIborMaster SWAP_MASTER = GeneratorSwapFixedIborMaster.getInstance(); private static final GeneratorSwapFixedIbor EUR1YEURIBOR6M = SWAP_MASTER.getGenerator("EUR1YEURIBOR6M", TARGET); private static final Period ANNUITY_TENOR = Period.ofYears(2); private static final Currency EUR = EURIBOR3M.getCurrency(); private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2013, 3, 20); private static final ZonedDateTime SETTLEMENT_DATE = DateUtils.getUTCDate(2013, 10, 16); private static final double NOTIONAL = 100000000; // 100 m private static final double SPREAD = 0.0010; // 10 bps private static final StubType STUB = StubType.SHORT_START; // Swap represeting a EUR basis swap: 1 spread leg and 2 Euribor leg. private static final boolean IS_PAYER_SPREAD = true; private static final ZonedDateTime MATURITY_DATE = SETTLEMENT_DATE.plus(ANNUITY_TENOR); private static final int NB_LEGS = 3; @SuppressWarnings("rawtypes") private static final AnnuityDefinition[] LEGS_DEFINITION = new AnnuityDefinition[NB_LEGS]; static { LEGS_DEFINITION[0] = AnnuityDefinitionBuilder.couponFixed( EUR, SETTLEMENT_DATE, MATURITY_DATE, EUR1YEURIBOR6M.getFixedLegPeriod(), TARGET, EUR1YEURIBOR6M.getFixedLegDayCount(), EUR1YEURIBOR6M.getBusinessDayConvention(), EUR1YEURIBOR6M.isEndOfMonth(), NOTIONAL, SPREAD, IS_PAYER_SPREAD, STUB, 0); LEGS_DEFINITION[1] = AnnuityDefinitionBuilder.couponIbor( SETTLEMENT_DATE, MATURITY_DATE, EURIBOR3M.getTenor(), NOTIONAL, EURIBOR3M, IS_PAYER_SPREAD, EURIBOR3M.getDayCount(), EURIBOR3M.getBusinessDayConvention(), EURIBOR3M.isEndOfMonth(), TARGET, STUB, 0); LEGS_DEFINITION[2] = AnnuityDefinitionBuilder.couponIbor( SETTLEMENT_DATE, MATURITY_DATE, EURIBOR6M.getTenor(), NOTIONAL, EURIBOR6M, !IS_PAYER_SPREAD, EURIBOR6M.getDayCount(), EURIBOR6M.getBusinessDayConvention(), EURIBOR6M.isEndOfMonth(), TARGET, STUB, 0); } @SuppressWarnings("unchecked") private static final SwapMultilegDefinition SWAP_MULTI_LEG_DEFINITION = new SwapMultilegDefinition(LEGS_DEFINITION); private static final SwapMultileg SWAP_MULTI_LEG = SWAP_MULTI_LEG_DEFINITION.toDerivative(REFERENCE_DATE); private static final PresentValueDiscountingCalculator PVDC = PresentValueDiscountingCalculator.getInstance(); private static final PresentValueCurveSensitivityDiscountingCalculator PVCSDC = PresentValueCurveSensitivityDiscountingCalculator.getInstance(); private static final ParSpreadMarketQuoteDiscountingCalculator PSMQDC = ParSpreadMarketQuoteDiscountingCalculator.getInstance(); private static final ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator PSMQCSDC = ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator.getInstance(); private static final PresentValueMarketQuoteSensitivityDiscountingCalculator PVMQSC = PresentValueMarketQuoteSensitivityDiscountingCalculator.getInstance(); private static final PresentValueMarketQuoteSensitivityCurveSensitivityDiscountingCalculator PVMQSCSC = PresentValueMarketQuoteSensitivityCurveSensitivityDiscountingCalculator.getInstance(); private static final double TOLERANCE_PV = 1.0E-2; private static final double TOLERANCE_PV_DELTA = 1.0E-2; private static final double TOLERANCE_RATE = 1.0E-8; private static final double TOLERANCE_RATE_DELTA = 1.0E-8; @Test public void presentValueDiscountingCalculator() { final MultipleCurrencyAmount pvSwap = SWAP_MULTI_LEG.accept(PVDC, MULTICURVES); MultipleCurrencyAmount pvLegs = MultipleCurrencyAmount.of(EUR, 0.0); for (int loopleg = 0; loopleg < NB_LEGS; loopleg++) { pvLegs = pvLegs.plus(SWAP_MULTI_LEG.getLegs()[loopleg].accept(PVDC, MULTICURVES)); } assertEquals( "SwapMultileg: presentValueDiscountingCalculator", pvSwap.getAmount(EUR), pvLegs.getAmount(EUR), TOLERANCE_PV); } @Test public void presentValueCurveSensitivityDiscountingCalculator() { final MultipleCurrencyMulticurveSensitivity pvcsSwap = SWAP_MULTI_LEG.accept(PVCSDC, MULTICURVES); MultipleCurrencyMulticurveSensitivity pvcsLegs = SWAP_MULTI_LEG.getLegs()[0].accept(PVCSDC, MULTICURVES); for (int loopleg = 1; loopleg < NB_LEGS; loopleg++) { pvcsLegs = pvcsLegs.plus(SWAP_MULTI_LEG.getLegs()[loopleg].accept(PVCSDC, MULTICURVES)); } AssertSensitivityObjects.assertEquals( "SwapMultileg: presentValueCurveSensitivityDiscountingCalculator", pvcsLegs, pvcsSwap, TOLERANCE_PV_DELTA); } @Test public void parSpreadMarketQuoteDiscountingCalculator() { final double psmq = SWAP_MULTI_LEG.accept(PSMQDC, MULTICURVES); final double pv = -MULTICURVES .getFxRates() .convert( SWAP_MULTI_LEG.accept(PVDC, MULTICURVES), SWAP_MULTI_LEG.getLegs()[0].getCurrency()) .getAmount(); final double pvbp = SWAP_MULTI_LEG.getLegs()[0].accept(PVMQSC, MULTICURVES); assertEquals( "SwapMultileg: parSpreadMarketQuoteDiscountingCalculator", psmq, pv / pvbp, TOLERANCE_RATE); } @Test public void parSpreadMarketQuoteCurveSensitivityDiscountingCalculator() { final double pv = MULTICURVES .getFxRates() .convert( SWAP_MULTI_LEG.accept(PVDC, MULTICURVES), SWAP_MULTI_LEG.getLegs()[0].getCurrency()) .getAmount(); final double pvbp = SWAP_MULTI_LEG.getLegs()[0].accept(PVMQSC, MULTICURVES); final MulticurveSensitivity pvcs = SWAP_MULTI_LEG .accept(PVCSDC, MULTICURVES) .converted(EUR, MULTICURVES.getFxRates()) .getSensitivity(EUR); final MulticurveSensitivity pvbpcs = SWAP_MULTI_LEG.getLegs()[0].accept(PVMQSCSC, MULTICURVES); final MulticurveSensitivity psmqcsExpected = pvcs.multipliedBy(-1.0d / pvbp).plus(pvbpcs.multipliedBy(pv / (pvbp * pvbp))).cleaned(); final MulticurveSensitivity psmqcs = SWAP_MULTI_LEG.accept(PSMQCSDC, MULTICURVES).cleaned(); AssertSensitivityObjects.assertEquals( "SwapMultileg: presentValueCurveSensitivityDiscountingCalculator", psmqcs, psmqcsExpected, TOLERANCE_RATE_DELTA); } }
/** Build of curve in several blocks with relevant Jacobian matrices. */ public class MulticurveBuildingDiscountingDiscountAUDTest { private static final Interpolator1D INTERPOLATOR_LINEAR = CombinedInterpolatorExtrapolatorFactory.getInterpolator( Interpolator1DFactory.LINEAR, Interpolator1DFactory.FLAT_EXTRAPOLATOR, Interpolator1DFactory.FLAT_EXTRAPOLATOR); private static final LastTimeCalculator MATURITY_CALCULATOR = LastTimeCalculator.getInstance(); private static final double TOLERANCE_ROOT = 1.0E-10; private static final int STEP_MAX = 100; private static final Calendar SYD = new MondayToFridayCalendar("SYD"); private static final Currency AUD = Currency.AUD; private static final FXMatrix FX_MATRIX = new FXMatrix(AUD); private static final double NOTIONAL = 1.0; private static final GeneratorSwapFixedON GENERATOR_OIS_AUD = GeneratorSwapFixedONMaster.getInstance().getGenerator("AUD1YRBAON", SYD); private static final IndexON INDEX_ON_AUD = GENERATOR_OIS_AUD.getIndex(); private static final GeneratorDepositON GENERATOR_DEPOSIT_ON_AUD = new GeneratorDepositON("AUD Deposit ON", AUD, SYD, INDEX_ON_AUD.getDayCount()); private static final GeneratorSwapFixedIborMaster GENERATOR_SWAP_MASTER = GeneratorSwapFixedIborMaster.getInstance(); private static final GeneratorSwapIborIborMaster GENERATOR_BASIS_MASTER = GeneratorSwapIborIborMaster.getInstance(); private static final GeneratorSwapFixedIbor AUD3MBBSW3M = GENERATOR_SWAP_MASTER.getGenerator("AUD3MBBSW3M", SYD); private static final GeneratorSwapFixedIbor AUD6MBBSW6M = GENERATOR_SWAP_MASTER.getGenerator("AUD6MBBSW6M", SYD); private static final GeneratorSwapIborIbor AUDBBSW3MBBSW6M = GENERATOR_BASIS_MASTER.getGenerator("AUDBBSW3MBBSW6M", SYD); private static final IborIndex AUDBB3M = AUD3MBBSW3M.getIborIndex(); private static final IborIndex AUDBB6M = AUD6MBBSW6M.getIborIndex(); private static final GeneratorFRA GENERATOR_FRA_3M = new GeneratorFRA("GENERATOR_FRA_3M", AUDBB3M, SYD); private static final GeneratorDepositIbor GENERATOR_AUDBB3M = new GeneratorDepositIbor("GENERATOR_AUDBB3M", AUDBB3M, SYD); private static final GeneratorDepositIbor GENERATOR_AUDBB6M = new GeneratorDepositIbor("GENERATOR_AUDBB6M", AUDBB6M, SYD); private static final ZonedDateTime NOW = DateUtils.getUTCDate(2011, 9, 28); private static final ZonedDateTimeDoubleTimeSeries TS_EMPTY = ImmutableZonedDateTimeDoubleTimeSeries.ofEmptyUTC(); private static final ZonedDateTimeDoubleTimeSeries TS_ON_AUD_WITH_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC( new ZonedDateTime[] { DateUtils.getUTCDate(2011, 9, 27), DateUtils.getUTCDate(2011, 9, 28) }, new double[] {0.07, 0.08}); private static final ZonedDateTimeDoubleTimeSeries TS_ON_AUD_WITHOUT_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC( new ZonedDateTime[] { DateUtils.getUTCDate(2011, 9, 27), DateUtils.getUTCDate(2011, 9, 28) }, new double[] {0.07, 0.08}); private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_OIS_AUD_WITH_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_EMPTY, TS_ON_AUD_WITH_TODAY}; private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_OIS_AUD_WITHOUT_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_EMPTY, TS_ON_AUD_WITHOUT_TODAY}; private static final ZonedDateTimeDoubleTimeSeries TS_IBOR_AUD3M_WITH_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC( new ZonedDateTime[] { DateUtils.getUTCDate(2011, 9, 27), DateUtils.getUTCDate(2011, 9, 28) }, new double[] {0.0035, 0.0036}); private static final ZonedDateTimeDoubleTimeSeries TS_IBOR_AUD3M_WITHOUT_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC( new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27)}, new double[] {0.0035}); private static final ZonedDateTimeDoubleTimeSeries TS_IBOR_AUD6M_WITH_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC( new ZonedDateTime[] { DateUtils.getUTCDate(2011, 9, 27), DateUtils.getUTCDate(2011, 9, 28) }, new double[] {0.0035, 0.0036}); private static final ZonedDateTimeDoubleTimeSeries TS_IBOR_AUD6M_WITHOUT_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC( new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27)}, new double[] {0.0035}); private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_AUD3M_WITH_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_IBOR_AUD3M_WITH_TODAY}; private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_AUD3M_WITHOUT_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_IBOR_AUD3M_WITHOUT_TODAY}; private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_AUD3M6M_WITH_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_IBOR_AUD3M_WITH_TODAY, TS_IBOR_AUD6M_WITH_TODAY}; private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_AUD3M6M_WITHOUT_TODAY = new ZonedDateTimeDoubleTimeSeries[] { TS_IBOR_AUD3M_WITHOUT_TODAY, TS_IBOR_AUD6M_WITHOUT_TODAY }; private static final String CURVE_NAME_DSC_AUD = "AUD Dsc"; private static final String CURVE_NAME_FWD3_AUD = "AUD Fwd 3M"; private static final String CURVE_NAME_FWD6_AUD = "AUD Fwd 6M"; // /** Simplified versions for the note */ // /** Market values for the dsc USD curve */ // private static final double[] DSC_AUD_MARKET_QUOTES = new double[] {0.0400, 0.0400, 0.0400, // 0.0400, 0.0400}; // /** Generators for the dsc USD curve */ // private static final GeneratorInstrument[] DSC_USD_GENERATORS = new GeneratorInstrument[] // {GENERATOR_DEPOSIT_ON_AUD, GENERATOR_OIS_AUD, GENERATOR_OIS_AUD, GENERATOR_OIS_AUD, // GENERATOR_OIS_AUD}; // /** Tenors for the dsc USD curve */ // private static final Period[] DSC_AUD_TENOR = new Period[] {Period.ofDays(0), // Period.ofMonths(1), Period.ofMonths(6), Period.ofYears(1), Period.ofYears(5)}; // // /** Market values for the Fwd 3M USD curve */ // private static final double[] FWD3_AUD_MARKET_QUOTES = new double[] {0.0420, 0.0420, 0.0470, // 0.0020}; // /** Generators for the Fwd 3M USD curve */ // private static final GeneratorInstrument[] FWD3_AUD_GENERATORS = new GeneratorInstrument[] // {GENERATOR_AUDBB3M, GENERATOR_FRA_3M, AUD3MBBSW3M, AUDBBSW3MBBSW6M}; // /** Tenors for the Fwd 3M USD curve */ // private static final Period[] FWD3_AUD_TENOR = new Period[] {Period.ofMonths(0), // Period.ofMonths(6), Period.ofYears(1), Period.ofYears(5)}; // // /** Market values for the Fwd 3M USD curve */ // private static final double[] FWD6_AUD_MARKET_QUOTES = new double[] {0.0440, 0.0020, 0.0560}; // /** Generators for the Fwd 3M USD curve */ // private static final GeneratorInstrument[] FWD6_AUD_GENERATORS = new GeneratorInstrument[] // {GENERATOR_AUDBB6M, AUDBBSW3MBBSW6M, AUD6MBBSW6M}; // /** Tenors for the Fwd 3M USD curve */ // private static final Period[] FWD6_AUD_TENOR = new Period[] {Period.ofMonths(0), // Period.ofYears(1), Period.ofYears(5)}; /** Market values for the dsc USD curve */ private static final double[] DSC_AUD_MARKET_QUOTES = new double[] { 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400 }; /** Generators for the dsc USD curve */ private static final GeneratorInstrument<? extends GeneratorAttribute>[] DSC_USD_GENERATORS = new GeneratorInstrument<?>[] { GENERATOR_DEPOSIT_ON_AUD, GENERATOR_OIS_AUD, GENERATOR_OIS_AUD, GENERATOR_OIS_AUD, GENERATOR_OIS_AUD, GENERATOR_OIS_AUD, GENERATOR_OIS_AUD, GENERATOR_OIS_AUD, GENERATOR_OIS_AUD, GENERATOR_OIS_AUD, GENERATOR_OIS_AUD, GENERATOR_OIS_AUD }; /** Tenors for the dsc USD curve */ private static final Period[] DSC_AUD_TENOR = new Period[] { Period.ofDays(0), Period.ofMonths(1), Period.ofMonths(2), Period.ofMonths(3), Period.ofMonths(6), Period.ofMonths(9), Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(4), Period.ofYears(5), Period.ofYears(10) }; private static final GeneratorAttributeIR[] DSC_AUD_ATTR = new GeneratorAttributeIR[DSC_AUD_TENOR.length]; static { for (int loopins = 0; loopins < DSC_AUD_TENOR.length; loopins++) { DSC_AUD_ATTR[loopins] = new GeneratorAttributeIR(DSC_AUD_TENOR[loopins]); } } /** Market values for the Fwd 3M USD curve */ private static final double[] FWD3_AUD_MARKET_QUOTES = new double[] {0.0420, 0.0420, 0.0420, 0.0420, 0.0430, 0.0470, 0.0020, 0.0020, 0.0020}; /** Generators for the Fwd 3M USD curve */ private static final GeneratorInstrument<? extends GeneratorAttribute>[] FWD3_AUD_GENERATORS = new GeneratorInstrument<?>[] { GENERATOR_AUDBB3M, GENERATOR_FRA_3M, GENERATOR_FRA_3M, AUD3MBBSW3M, AUD3MBBSW3M, AUD3MBBSW3M, AUDBBSW3MBBSW6M, AUDBBSW3MBBSW6M, AUDBBSW3MBBSW6M }; /** Tenors for the Fwd 3M USD curve */ private static final Period[] FWD3_AUD_TENOR = new Period[] { Period.ofMonths(0), Period.ofMonths(6), Period.ofMonths(9), Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(5), Period.ofYears(7), Period.ofYears(10) }; private static final GeneratorAttributeIR[] FWD3_AUD_ATTR = new GeneratorAttributeIR[FWD3_AUD_TENOR.length]; static { for (int loopins = 0; loopins < FWD3_AUD_TENOR.length; loopins++) { FWD3_AUD_ATTR[loopins] = new GeneratorAttributeIR(FWD3_AUD_TENOR[loopins]); } } /** Market values for the Fwd 3M USD curve */ private static final double[] FWD6_AUD_MARKET_QUOTES = new double[] {0.0440, 0.0020, 0.0020, 0.0020, 0.0560, 0.0610, 0.0620}; /** Generators for the Fwd 3M USD curve */ private static final GeneratorInstrument<? extends GeneratorAttribute>[] FWD6_AUD_GENERATORS = new GeneratorInstrument<?>[] { GENERATOR_AUDBB6M, AUDBBSW3MBBSW6M, AUDBBSW3MBBSW6M, AUDBBSW3MBBSW6M, AUD6MBBSW6M, AUD6MBBSW6M, AUD6MBBSW6M }; /** Tenors for the Fwd 3M USD curve */ private static final Period[] FWD6_AUD_TENOR = new Period[] { Period.ofMonths(0), Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(5), Period.ofYears(7), Period.ofYears(10) }; private static final GeneratorAttributeIR[] FWD6_AUD_ATTR = new GeneratorAttributeIR[FWD6_AUD_TENOR.length]; static { for (int loopins = 0; loopins < FWD6_AUD_TENOR.length; loopins++) { FWD6_AUD_ATTR[loopins] = new GeneratorAttributeIR(FWD6_AUD_TENOR[loopins]); } } /** Standard USD discounting curve instrument definitions */ private static final InstrumentDefinition<?>[] DEFINITIONS_DSC_AUD; /** Standard USD Forward 3M curve instrument definitions */ private static final InstrumentDefinition<?>[] DEFINITIONS_FWD3_AUD; /** Standard USD Forward 3M curve instrument definitions */ private static final InstrumentDefinition<?>[] DEFINITIONS_FWD6_AUD; /** Units of curves */ private static final int[] NB_UNITS = new int[] {2, 1}; private static final int NB_BLOCKS = NB_UNITS.length; private static final InstrumentDefinition<?>[][][][] DEFINITIONS_UNITS = new InstrumentDefinition<?>[NB_BLOCKS][][][]; private static final GeneratorYDCurve[][][] GENERATORS_UNITS = new GeneratorYDCurve[NB_BLOCKS][][]; private static final String[][][] NAMES_UNITS = new String[NB_BLOCKS][][]; private static final MulticurveProviderDiscount KNOWN_DATA = new MulticurveProviderDiscount(FX_MATRIX); private static final LinkedHashMap<String, Currency> DSC_MAP = new LinkedHashMap<>(); private static final LinkedHashMap<String, IndexON[]> FWD_ON_MAP = new LinkedHashMap<>(); private static final LinkedHashMap<String, IborIndex[]> FWD_IBOR_MAP = new LinkedHashMap<>(); static { DEFINITIONS_DSC_AUD = getDefinitions(DSC_AUD_MARKET_QUOTES, DSC_USD_GENERATORS, DSC_AUD_ATTR); DEFINITIONS_FWD3_AUD = getDefinitions(FWD3_AUD_MARKET_QUOTES, FWD3_AUD_GENERATORS, FWD3_AUD_ATTR); DEFINITIONS_FWD6_AUD = getDefinitions(FWD6_AUD_MARKET_QUOTES, FWD6_AUD_GENERATORS, FWD6_AUD_ATTR); for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) { DEFINITIONS_UNITS[loopblock] = new InstrumentDefinition<?>[NB_UNITS[loopblock]][][]; GENERATORS_UNITS[loopblock] = new GeneratorYDCurve[NB_UNITS[loopblock]][]; NAMES_UNITS[loopblock] = new String[NB_UNITS[loopblock]][]; } DEFINITIONS_UNITS[0][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_AUD}; DEFINITIONS_UNITS[0][1] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD3_AUD, DEFINITIONS_FWD6_AUD}; DEFINITIONS_UNITS[1][0] = new InstrumentDefinition<?>[][] { DEFINITIONS_DSC_AUD, DEFINITIONS_FWD3_AUD, DEFINITIONS_FWD6_AUD }; final GeneratorYDCurve genIntLin = new GeneratorCurveYieldInterpolated(MATURITY_CALCULATOR, INTERPOLATOR_LINEAR); GENERATORS_UNITS[0][0] = new GeneratorYDCurve[] {genIntLin}; GENERATORS_UNITS[0][1] = new GeneratorYDCurve[] {genIntLin, genIntLin}; GENERATORS_UNITS[1][0] = new GeneratorYDCurve[] {genIntLin, genIntLin, genIntLin}; NAMES_UNITS[0][0] = new String[] {CURVE_NAME_DSC_AUD}; NAMES_UNITS[0][1] = new String[] {CURVE_NAME_FWD3_AUD, CURVE_NAME_FWD6_AUD}; NAMES_UNITS[1][0] = new String[] {CURVE_NAME_DSC_AUD, CURVE_NAME_FWD3_AUD, CURVE_NAME_FWD6_AUD}; DSC_MAP.put(CURVE_NAME_DSC_AUD, AUD); FWD_ON_MAP.put(CURVE_NAME_DSC_AUD, new IndexON[] {INDEX_ON_AUD}); FWD_IBOR_MAP.put(CURVE_NAME_FWD3_AUD, new IborIndex[] {AUDBB3M}); FWD_IBOR_MAP.put(CURVE_NAME_FWD6_AUD, new IborIndex[] {AUDBB6M}); } @SuppressWarnings({"rawtypes", "unchecked"}) public static InstrumentDefinition<?>[] getDefinitions( final double[] marketQuotes, final GeneratorInstrument[] generators, final GeneratorAttribute[] attribute) { final InstrumentDefinition<?>[] definitions = new InstrumentDefinition<?>[marketQuotes.length]; for (int loopmv = 0; loopmv < marketQuotes.length; loopmv++) { definitions[loopmv] = generators[loopmv].generateInstrument( NOW, marketQuotes[loopmv], NOTIONAL, attribute[loopmv]); } return definitions; } private static List<Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle>> CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK = new ArrayList<>(); // Calculator private static final PresentValueDiscountingCalculator PVC = PresentValueDiscountingCalculator.getInstance(); private static final ParSpreadMarketQuoteDiscountingCalculator PSMQC = ParSpreadMarketQuoteDiscountingCalculator.getInstance(); private static final ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator PSMQCSC = ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator.getInstance(); private static final MulticurveDiscountBuildingRepository CURVE_BUILDING_REPOSITORY = new MulticurveDiscountBuildingRepository(TOLERANCE_ROOT, TOLERANCE_ROOT, STEP_MAX); private static final double TOLERANCE_CAL = 1.0E-9; @BeforeSuite static void initClass() { for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) { CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.add( makeCurvesFromDefinitions( DEFINITIONS_UNITS[loopblock], GENERATORS_UNITS[loopblock], NAMES_UNITS[loopblock], KNOWN_DATA, PSMQC, PSMQCSC, false)); } } @Test public void curveConstruction() { for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) { curveConstructionTest( DEFINITIONS_UNITS[loopblock], CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getFirst(), false, loopblock); } } @Test public void comparison1Unit2Units() { final MulticurveProviderDiscount[] units = new MulticurveProviderDiscount[2]; final CurveBuildingBlockBundle[] bb = new CurveBuildingBlockBundle[2]; final YieldAndDiscountCurve[] curveDsc = new YieldAndDiscountCurve[2]; final YieldAndDiscountCurve[] curveFwd = new YieldAndDiscountCurve[2]; for (int loopblock = 0; loopblock < 2; loopblock++) { units[loopblock] = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getFirst(); bb[loopblock] = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getSecond(); curveDsc[loopblock] = units[loopblock].getCurve(AUD); curveFwd[loopblock] = units[loopblock].getCurve(AUDBB3M); } assertEquals( "Curve construction: 1 unit / 2 units ", curveDsc[0].getNumberOfParameters(), curveDsc[1].getNumberOfParameters()); assertEquals( "Curve construction: 1 unit / 2 units ", curveFwd[0].getNumberOfParameters(), curveFwd[1].getNumberOfParameters()); assertArrayEquals( "Curve construction: 1 unit / 2 units ", ArrayUtils.toPrimitive(((YieldCurve) curveDsc[0]).getCurve().getXData()), ArrayUtils.toPrimitive(((YieldCurve) curveDsc[1]).getCurve().getXData()), TOLERANCE_CAL); assertArrayEquals( "Curve construction: 1 unit / 2 units ", ArrayUtils.toPrimitive(((YieldCurve) curveDsc[0]).getCurve().getYData()), ArrayUtils.toPrimitive(((YieldCurve) curveDsc[1]).getCurve().getYData()), TOLERANCE_CAL); assertArrayEquals( "Curve construction: 1 unit / 2 units ", ArrayUtils.toPrimitive(((YieldCurve) curveFwd[0]).getCurve().getXData()), ArrayUtils.toPrimitive(((YieldCurve) curveFwd[1]).getCurve().getXData()), TOLERANCE_CAL); assertArrayEquals( "Curve construction: 1 unit / 2 units ", ArrayUtils.toPrimitive(((YieldCurve) curveFwd[0]).getCurve().getYData()), ArrayUtils.toPrimitive(((YieldCurve) curveFwd[1]).getCurve().getYData()), TOLERANCE_CAL); assertEquals( "Curve construction: 1 unit / 2 units ", bb[0].getBlock(CURVE_NAME_FWD3_AUD).getFirst(), bb[1].getBlock(CURVE_NAME_FWD3_AUD).getFirst()); // Test note: the discounting curve building blocks are not the same; in one case both curves // are build together in the other one after the other. final int nbLineDsc = bb[0].getBlock(CURVE_NAME_DSC_AUD).getSecond().getNumberOfRows(); final int nbLineFwd3 = bb[0].getBlock(CURVE_NAME_FWD3_AUD).getSecond().getNumberOfRows(); final int nbLineFwd6 = bb[0].getBlock(CURVE_NAME_FWD6_AUD).getSecond().getNumberOfRows(); assertEquals( "Curve construction: 1 unit / 2 units ", bb[1].getBlock(CURVE_NAME_DSC_AUD).getSecond().getNumberOfRows(), nbLineDsc); assertEquals( "Curve construction: 1 unit / 2 units ", bb[1].getBlock(CURVE_NAME_FWD3_AUD).getSecond().getNumberOfRows(), nbLineFwd3); assertEquals( "Curve construction: 1 unit / 2 units ", bb[1].getBlock(CURVE_NAME_FWD6_AUD).getSecond().getNumberOfRows(), nbLineFwd6); } // TODO: test on the correctness of the Jacobian matrix in the CurveBuildingBlock's. @Test(enabled = false) public void performance() { long startTime, endTime; final int nbTest = 100; startTime = System.currentTimeMillis(); for (int looptest = 0; looptest < nbTest; looptest++) { makeCurvesFromDefinitions( DEFINITIONS_UNITS[0], GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PSMQC, PSMQCSC, false); } endTime = System.currentTimeMillis(); System.out.println( nbTest + " x 3 curves construction / 2 units: " + (endTime - startTime) + " ms"); // Performance note: Curve construction 2 units: 08-Nov-12: On Mac Pro 3.2 GHz Quad-Core Intel // Xeon: 810 ms for 100 sets. startTime = System.currentTimeMillis(); for (int looptest = 0; looptest < nbTest; looptest++) { makeCurvesFromDefinitions( DEFINITIONS_UNITS[1], GENERATORS_UNITS[1], NAMES_UNITS[1], KNOWN_DATA, PSMQC, PSMQCSC, false); } endTime = System.currentTimeMillis(); System.out.println( nbTest + " x 3 curves construction / 1 unit: " + (endTime - startTime) + " ms"); // Performance note: Curve construction 1 unit: 08-Nov-12: On Mac Pro 3.2 GHz Quad-Core Intel // Xeon: 995 ms for 100 sets. } public void curveConstructionTest( final InstrumentDefinition<?>[][][] definitions, final MulticurveProviderDiscount curves, final boolean withToday, final int block) { final int nbBlocks = definitions.length; for (int loopblock = 0; loopblock < nbBlocks; loopblock++) { final InstrumentDerivative[][] instruments = convert(definitions[loopblock], withToday); final double[][] pv = new double[instruments.length][]; for (int loopcurve = 0; loopcurve < instruments.length; loopcurve++) { pv[loopcurve] = new double[instruments[loopcurve].length]; for (int loopins = 0; loopins < instruments[loopcurve].length; loopins++) { pv[loopcurve][loopins] = curves .getFxRates() .convert(instruments[loopcurve][loopins].accept(PVC, curves), AUD) .getAmount(); assertEquals( "Curve construction: block " + block + ", unit " + loopblock + " - instrument " + loopins, 0, pv[loopcurve][loopins], TOLERANCE_CAL); } } } } @Test(enabled = false) /** Analyzes the shape of the forward curve. */ public void forwardAnalysis() { final MulticurveProviderInterface marketDsc = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).getFirst(); final int jump = 1; final int startIndex = 0; final int nbDate = 2750; ZonedDateTime startDate = ScheduleCalculator.getAdjustedDate(NOW, AUDBB3M.getSpotLag() + startIndex * jump, SYD); final double[] rateDsc = new double[nbDate]; final double[] startTime = new double[nbDate]; try { final FileWriter writer = new FileWriter("fwd-dsc.csv"); for (int loopdate = 0; loopdate < nbDate; loopdate++) { startTime[loopdate] = TimeCalculator.getTimeBetween(NOW, startDate); final ZonedDateTime endDate = ScheduleCalculator.getAdjustedDate(startDate, AUDBB3M, SYD); final double endTime = TimeCalculator.getTimeBetween(NOW, endDate); final double accrualFactor = AUDBB3M.getDayCount().getDayCountFraction(startDate, endDate); rateDsc[loopdate] = marketDsc.getForwardRate(AUDBB3M, startTime[loopdate], endTime, accrualFactor); startDate = ScheduleCalculator.getAdjustedDate(startDate, jump, SYD); writer.append(0.0 + "," + startTime[loopdate] + "," + rateDsc[loopdate] + "\n"); } writer.flush(); writer.close(); } catch (final IOException e) { e.printStackTrace(); } } @SuppressWarnings("unchecked") private static Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> makeCurvesFromDefinitions( final InstrumentDefinition<?>[][][] definitions, final GeneratorYDCurve[][] curveGenerators, final String[][] curveNames, final MulticurveProviderDiscount knownData, final InstrumentDerivativeVisitor<MulticurveProviderInterface, Double> calculator, final InstrumentDerivativeVisitor<MulticurveProviderInterface, MulticurveSensitivity> sensitivityCalculator, final boolean withToday) { final int nUnits = curveGenerators.length; final MultiCurveBundle<GeneratorYDCurve>[] curveBundles = new MultiCurveBundle[nUnits]; for (int i = 0; i < nUnits; i++) { final int nCurves = definitions[i].length; final SingleCurveBundle<GeneratorYDCurve>[] singleCurves = new SingleCurveBundle[nCurves]; for (int j = 0; j < nCurves; j++) { final int nInstruments = definitions[i][j].length; final InstrumentDerivative[] derivatives = new InstrumentDerivative[nInstruments]; final double[] initialGuess = new double[nInstruments]; for (int k = 0; k < nInstruments; k++) { derivatives[k] = convert(definitions[i][j][k], withToday); initialGuess[k] = initialGuess(definitions[i][j][k]); } final GeneratorYDCurve generator = curveGenerators[i][j].finalGenerator(derivatives); singleCurves[j] = new SingleCurveBundle<>(curveNames[i][j], derivatives, initialGuess, generator); } curveBundles[i] = new MultiCurveBundle<>(singleCurves); } return CURVE_BUILDING_REPOSITORY.makeCurvesFromDerivatives( curveBundles, knownData, DSC_MAP, FWD_IBOR_MAP, FWD_ON_MAP, calculator, sensitivityCalculator); } private static InstrumentDerivative[][] convert( final InstrumentDefinition<?>[][] definitions, final boolean withToday) { final InstrumentDerivative[][] instruments = new InstrumentDerivative[definitions.length][]; for (int loopcurve = 0; loopcurve < definitions.length; loopcurve++) { instruments[loopcurve] = new InstrumentDerivative[definitions[loopcurve].length]; int loopins = 0; for (final InstrumentDefinition<?> instrument : definitions[loopcurve]) { InstrumentDerivative ird; if (instrument instanceof SwapFixedONDefinition) { ird = ((SwapFixedONDefinition) instrument).toDerivative(NOW, getTSSwapFixedON(withToday)); } else { if (instrument instanceof SwapFixedIborDefinition) { ird = ((SwapFixedIborDefinition) instrument) .toDerivative(NOW, getTSSwapFixedIbor(withToday)); } else { if (instrument instanceof SwapIborIborDefinition) { ird = ((SwapIborIborDefinition) instrument) .toDerivative(NOW, getTSSwapIborIbor(withToday)); } else { ird = instrument.toDerivative(NOW); } } } instruments[loopcurve][loopins++] = ird; } } return instruments; } private static InstrumentDerivative convert( final InstrumentDefinition<?> instrument, final boolean withToday) { InstrumentDerivative ird; if (instrument instanceof SwapFixedONDefinition) { ird = ((SwapFixedONDefinition) instrument).toDerivative(NOW, getTSSwapFixedON(withToday)); } else { if (instrument instanceof SwapFixedIborDefinition) { ird = ((SwapFixedIborDefinition) instrument).toDerivative(NOW, getTSSwapFixedIbor(withToday)); } else { if (instrument instanceof SwapIborIborDefinition) { ird = ((SwapIborIborDefinition) instrument).toDerivative(NOW, getTSSwapIborIbor(withToday)); } else { ird = instrument.toDerivative(NOW); } } } return ird; } private static ZonedDateTimeDoubleTimeSeries[] getTSSwapFixedON(final Boolean withToday) { return withToday ? TS_FIXED_OIS_AUD_WITH_TODAY : TS_FIXED_OIS_AUD_WITHOUT_TODAY; } private static ZonedDateTimeDoubleTimeSeries[] getTSSwapFixedIbor(final Boolean withToday) { return withToday ? TS_FIXED_IBOR_AUD3M_WITH_TODAY : TS_FIXED_IBOR_AUD3M_WITHOUT_TODAY; // TODO: get the correct fixing } private static ZonedDateTimeDoubleTimeSeries[] getTSSwapIborIbor(final Boolean withToday) { return withToday ? TS_FIXED_IBOR_AUD3M6M_WITH_TODAY : TS_FIXED_IBOR_AUD3M6M_WITHOUT_TODAY; } private static double initialGuess(final InstrumentDefinition<?> instrument) { if (instrument instanceof SwapFixedONDefinition) { return ((SwapFixedONDefinition) instrument).getFixedLeg().getNthPayment(0).getRate(); } if (instrument instanceof SwapFixedIborDefinition) { return ((SwapFixedIborDefinition) instrument).getFixedLeg().getNthPayment(0).getRate(); } if (instrument instanceof ForwardRateAgreementDefinition) { return ((ForwardRateAgreementDefinition) instrument).getRate(); } if (instrument instanceof CashDefinition) { return ((CashDefinition) instrument).getRate(); } // TODO: What about basis swaps? return 0.01; } }