static FixedIborSwapCurveNode fixedIborSwapNode(Tenor tenor, String id) {
QuoteKey quoteKey = QuoteKey.of(StandardId.of(TEST_SCHEME, id));
FixedIborSwapTemplate template = FixedIborSwapTemplate.of(Period.ZERO, tenor, SWAP_CONVENTION);
return FixedIborSwapCurveNode.of(template, quoteKey);
}
public static CurveGroupDefinition config(
Period[] dscOisTenors,
String[] dscIdValues,
Period[] fwd3FraTenors,
Period[] fwd3IrsTenors,
String[] fwd3IdValues,
Period[] fwd6FraTenors,
Period[] fwd6IrsTenors,
String[] fwd6IdValues) {
CurveNode[] dscNodes = new CurveNode[dscOisTenors.length];
for (int i = 0; i < dscOisTenors.length; i++) {
dscNodes[i] =
FixedOvernightSwapCurveNode.of(
FixedOvernightSwapTemplate.of(
Period.ZERO, Tenor.of(dscOisTenors[i]), EUR_FIXED_1Y_EONIA_OIS),
QuoteKey.of(StandardId.of(SCHEME, dscIdValues[i])));
}
CurveNode[] fwd3Nodes = new CurveNode[fwd3IdValues.length];
fwd3Nodes[0] =
IborFixingDepositCurveNode.of(
IborFixingDepositTemplate.of(EUR_EURIBOR_3M),
QuoteKey.of(StandardId.of(SCHEME, fwd3IdValues[0])));
for (int i = 0; i < fwd3FraTenors.length; i++) {
fwd3Nodes[i + 1] =
FraCurveNode.of(
FraTemplate.of(fwd3FraTenors[i], EUR_EURIBOR_3M),
QuoteKey.of(StandardId.of(SCHEME, fwd3IdValues[i + 1])));
}
for (int i = 0; i < fwd3IrsTenors.length; i++) {
fwd3Nodes[i + 1 + fwd3FraTenors.length] =
FixedIborSwapCurveNode.of(
FixedIborSwapTemplate.of(
Period.ZERO, Tenor.of(fwd3IrsTenors[i]), EUR_FIXED_1Y_EURIBOR_3M),
QuoteKey.of(StandardId.of(SCHEME, fwd3IdValues[i + 1])));
}
CurveNode[] fwd6Nodes = new CurveNode[fwd6IdValues.length];
fwd6Nodes[0] =
IborFixingDepositCurveNode.of(
IborFixingDepositTemplate.of(EUR_EURIBOR_6M),
QuoteKey.of(StandardId.of(SCHEME, fwd6IdValues[0])));
for (int i = 0; i < fwd6FraTenors.length; i++) {
fwd6Nodes[i + 1] =
FraCurveNode.of(
FraTemplate.of(fwd6FraTenors[i], EUR_EURIBOR_6M),
QuoteKey.of(StandardId.of(SCHEME, fwd6IdValues[i + 1])));
}
for (int i = 0; i < fwd6IrsTenors.length; i++) {
fwd6Nodes[i + 1 + fwd6FraTenors.length] =
FixedIborSwapCurveNode.of(
FixedIborSwapTemplate.of(
Period.ZERO, Tenor.of(fwd6IrsTenors[i]), EUR_FIXED_1Y_EURIBOR_6M),
QuoteKey.of(StandardId.of(SCHEME, fwd6IdValues[i + 1])));
}
InterpolatedNodalCurveDefinition DSC_CURVE_DEFN =
InterpolatedNodalCurveDefinition.builder()
.name(DSCON_CURVE_NAME)
.xValueType(ValueType.YEAR_FRACTION)
.yValueType(ValueType.ZERO_RATE)
.dayCount(CURVE_DC)
.interpolator(INTERPOLATOR_LINEAR)
.extrapolatorLeft(EXTRAPOLATOR_FLAT)
.extrapolatorRight(EXTRAPOLATOR_FLAT)
.nodes(dscNodes)
.build();
InterpolatedNodalCurveDefinition FWD3_CURVE_DEFN =
InterpolatedNodalCurveDefinition.builder()
.name(FWD3_CURVE_NAME)
.xValueType(ValueType.YEAR_FRACTION)
.yValueType(ValueType.ZERO_RATE)
.dayCount(CURVE_DC)
.interpolator(INTERPOLATOR_LINEAR)
.extrapolatorLeft(EXTRAPOLATOR_FLAT)
.extrapolatorRight(EXTRAPOLATOR_FLAT)
.nodes(fwd3Nodes)
.build();
InterpolatedNodalCurveDefinition FWD6_CURVE_DEFN =
InterpolatedNodalCurveDefinition.builder()
.name(FWD6_CURVE_NAME)
.xValueType(ValueType.YEAR_FRACTION)
.yValueType(ValueType.ZERO_RATE)
.dayCount(CURVE_DC)
.interpolator(INTERPOLATOR_LINEAR)
.extrapolatorLeft(EXTRAPOLATOR_FLAT)
.extrapolatorRight(EXTRAPOLATOR_FLAT)
.nodes(fwd6Nodes)
.build();
return CurveGroupDefinition.builder()
.name(CURVE_GROUP_NAME)
.addCurve(DSC_CURVE_DEFN, EUR, EUR_EONIA)
.addForwardCurve(FWD3_CURVE_DEFN, EUR_EURIBOR_3M)
.addForwardCurve(FWD6_CURVE_DEFN, EUR_EURIBOR_6M)
.build();
}
