@Override
  public Set<ComputedValue> execute(
      final FunctionExecutionContext executionContext,
      final FunctionInputs inputs,
      final ComputationTarget target,
      final Set<ValueRequirement> desiredValues) {
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
    final String interpolatorName =
        desiredValue.getConstraint(
            ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_INTERPOLATOR);
    final String leftExtrapolatorName =
        desiredValue.getConstraint(
            ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_LEFT_EXTRAPOLATOR);
    final String rightExtrapolatorName =
        desiredValue.getConstraint(
            ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_RIGHT_EXTRAPOLATOR);

    final Object objectFuturePriceData =
        inputs.getValue(ValueRequirementNames.FUTURE_PRICE_CURVE_DATA);
    if (objectFuturePriceData == null) {
      throw new OpenGammaRuntimeException("Could not get futures curve " + curveName);
    }
    final NodalDoublesCurve futurePriceData = (NodalDoublesCurve) objectFuturePriceData;

    final Interpolator1D interpolator =
        CombinedInterpolatorExtrapolatorFactory.getInterpolator(
            interpolatorName, leftExtrapolatorName, rightExtrapolatorName);

    final ForwardCurve curve =
        new ForwardCurve(
            InterpolatedDoublesCurve.from(
                futurePriceData.getXData(), futurePriceData.getYData(), interpolator));

    final ValueProperties properties =
        createValueProperties()
            .with(
                ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_CALCULATION_METHOD,
                ForwardCurveValuePropertyNames.PROPERTY_FUTURE_PRICE_METHOD)
            .with(ValuePropertyNames.CURVE, curveName)
            .with(
                ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_INTERPOLATOR,
                interpolatorName)
            .with(
                ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_LEFT_EXTRAPOLATOR,
                leftExtrapolatorName)
            .with(
                ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_RIGHT_EXTRAPOLATOR,
                rightExtrapolatorName)
            .with(
                InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE,
                InstrumentTypeProperties.EQUITY_FUTURE_PRICE)
            .get();

    final ValueSpecification resultSpec =
        new ValueSpecification(
            ValueRequirementNames.FORWARD_CURVE, target.toSpecification(), properties);
    return Collections.singleton(new ComputedValue(resultSpec, curve));
  }
Exemplo n.º 2
0
 // Test in so that it will break when the drift curve is serialized
 @Test(expectedExceptions = OpenGammaRuntimeException.class)
 public void testDriftCurveNotSerialized1() {
   final double spot = 100;
   final Curve<Double, Double> driftCurve =
       InterpolatedDoublesCurve.from(EXPIRIES, FORWARD, INTERPOLATOR);
   final ForwardCurve curve = new ForwardCurve(spot, driftCurve);
   cycleObject(ForwardCurve.class, curve);
 }
Exemplo n.º 3
0
 @Test
 public void testCurve2() {
   final ForwardCurve curve1 =
       new ForwardCurve(InterpolatedDoublesCurve.from(EXPIRIES, FORWARD, INTERPOLATOR));
   final ForwardCurve curve2 = cycleObject(ForwardCurve.class, curve1);
   assertEquals(curve1.getSpot(), curve2.getSpot(), EPS);
   assertTrue(curve2.getDriftCurve() instanceof FunctionalDoublesCurve);
   assertCurveEquals(curve1.getForwardCurve(), curve2.getForwardCurve());
   assertCurveEquals(curve1.getDriftCurve(), curve2.getDriftCurve());
 }
Exemplo n.º 4
0
  public static YieldCurveBundle getBundle() {
    YieldCurveBundle bundle = new YieldCurveBundle();

    Interpolator1D extrapolator =
        CombinedInterpolatorExtrapolatorFactory.getInterpolator(
            Interpolator1DFactory.DOUBLE_QUADRATIC, LINEAR_EXTRAPOLATOR, FLAT_EXTRAPOLATOR);

    InterpolatedDoublesCurve fCurve =
        InterpolatedDoublesCurve.from(FUNDING_CURVE_TIMES, FUNDING_YIELDS, extrapolator);
    YieldCurve fundingCurve = YieldCurve.from(fCurve);
    bundle.setCurve(FUNDING_CURVE_NAME, fundingCurve);

    InterpolatedDoublesCurve lcurve =
        InterpolatedDoublesCurve.from(LIBOR_CURVE_TIMES, LIBOR_YIELDS, extrapolator);
    YieldCurve liborCurve = YieldCurve.from(lcurve);
    bundle.setCurve(LIBOR_CURVE_NAME, liborCurve);

    return bundle;
  }
 @Override
 protected Object getResult(
     final PDELocalVolatilityCalculator<?> calculator,
     final LocalVolatilitySurfaceMoneyness localVolatility,
     final ForwardCurve forwardCurve,
     final EuropeanVanillaOption option,
     final YieldAndDiscountCurve discountingCurve) {
   final Interpolator1DDataBundle data =
       (Interpolator1DDataBundle)
           calculator.getResult(localVolatility, forwardCurve, option, discountingCurve);
   return InterpolatedDoublesCurve.from(
       data.getKeys(),
       data.getValues(),
       ((LocalVolatilityForwardPDEVolatilityGreeksGridCalculator) calculator).getInterpolator());
 }
  @Test
  public void convertNonEmpty() {
    final Map<Double, Double> map = new HashMap<Double, Double>();
    map.put(1., 0.03);
    map.put(2., 0.04);
    map.put(3.5, 0.05);

    Map<String, Double> expected = new HashMap<String, Double>();
    expected.put("Foo[1.0]", 0.03);
    expected.put("Foo[2.0]", 0.04);
    expected.put("Foo[3.5]", 0.05);

    Map<String, Double> actual =
        _converter.convert(
            "Foo",
            YieldCurve.from(
                InterpolatedDoublesCurve.from(
                    map, Interpolator1DFactory.getInterpolator("Linear"))));

    assertEquals(expected, actual);
  }
    @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));
    }