private ViewConfig createIrsPricerConfig() {
return configureView(
"IRS Pricer",
config(
arguments(
function(
MarketExposureSelector.class,
argument(
"exposureFunctions",
ConfigLink.resolved(InterestRateMockSources.mockExposureFunctions()))),
function(
RootFinderConfiguration.class,
argument("rootFinderAbsoluteTolerance", 1e-10),
argument("rootFinderRelativeTolerance", 1e-10),
argument("rootFinderMaxIterations", 5000)),
function(
DefaultCurrencyPairsFn.class,
argument("currencyPairs", ImmutableSet.of(/*no pairs*/ ))),
function(
DefaultCurveNodeConverterFn.class,
argument("timeSeriesDuration", RetrievalPeriod.of(Period.ofYears(1)))),
function(
DefaultDiscountingMulticurveBundleFn.class,
argument("impliedCurveNames", StringSet.of())))),
column("Present Value", output(OutputNames.PRESENT_VALUE, InterestRateSwapSecurity.class)),
column("PV01", output(OutputNames.PV01, InterestRateSwapSecurity.class)));
}
@BeforeClass
public void setUpClass() {
ImmutableMap<Class<?>, Object> components = generateComponents();
VersionCorrectionProvider vcProvider = new FixedInstantVersionCorrectionProvider(Instant.now());
ServiceContext serviceContext =
ServiceContext.of(components).with(VersionCorrectionProvider.class, vcProvider);
ThreadLocalServiceContext.init(serviceContext);
ComponentMap componentMap = ComponentMap.of(components);
MarketDataSource marketDataSource =
InterestRateMockSources.createMarketDataSource(MARKET_DATA_DATE, true);
TestMarketDataFactory marketDataFactory = new TestMarketDataFactory(marketDataSource);
ConfigLink<CurrencyMatrix> currencyMatrixLink =
ConfigLink.resolved(componentMap.getComponent(CurrencyMatrix.class));
List<MarketDataBuilder> builders =
MarketDataBuilders.standard(componentMap, "dataSource", currencyMatrixLink);
MarketDataEnvironmentFactory environmentFactory =
new MarketDataEnvironmentFactory(marketDataFactory, builders);
_functionRunner = new FunctionRunner(environmentFactory);
_normalIRFutureOptionFn =
FunctionModel.build(IRFutureOptionFn.class, normalConfig(), componentMap);
_blackIRFutureOptionFn =
FunctionModel.build(IRFutureOptionFn.class, blackConfig(), componentMap);
}
private ImmutableMap<Class<?>, Object> generateComponents() {
ImmutableMap.Builder<Class<?>, Object> builder = ImmutableMap.builder();
for (Map.Entry<Class<?>, Object> entry :
InterestRateMockSources.generateBaseComponents().entrySet()) {
Class<?> key = entry.getKey();
if (key.equals(SecuritySource.class)) {
appendSecuritySource((SecuritySource) entry.getValue());
}
builder.put(key, entry.getValue());
}
return builder.build();
}
private InterestRateSwapSecurity createFixedVsLibor3mSwap() {
InterestRateSwapNotional notional = new InterestRateSwapNotional(Currency.USD, 100_000_000);
PeriodFrequency freq6m = PeriodFrequency.of(Period.ofMonths(6));
PeriodFrequency freq3m = PeriodFrequency.of(Period.ofMonths(3));
Set<ExternalId> calendarUSNY =
Sets.newHashSet(ExternalId.of(ExternalSchemes.ISDA_HOLIDAY, "USNY"));
List<InterestRateSwapLeg> legs = new ArrayList<>();
FixedInterestRateSwapLeg payLeg = new FixedInterestRateSwapLeg();
payLeg.setNotional(notional);
payLeg.setDayCountConvention(DayCounts.THIRTY_U_360);
payLeg.setPaymentDateFrequency(freq6m);
payLeg.setPaymentDateBusinessDayConvention(BusinessDayConventions.MODIFIED_FOLLOWING);
payLeg.setPaymentDateCalendars(calendarUSNY);
payLeg.setMaturityDateBusinessDayConvention(BusinessDayConventions.MODIFIED_FOLLOWING);
payLeg.setAccrualPeriodFrequency(freq6m);
payLeg.setAccrualPeriodBusinessDayConvention(BusinessDayConventions.MODIFIED_FOLLOWING);
payLeg.setAccrualPeriodCalendars(calendarUSNY);
payLeg.setRate(new Rate(0.0150));
payLeg.setPayReceiveType(PayReceiveType.PAY);
legs.add(payLeg);
FloatingInterestRateSwapLeg receiveLeg = new FloatingInterestRateSwapLeg();
receiveLeg.setNotional(notional);
receiveLeg.setDayCountConvention(DayCounts.ACT_360);
receiveLeg.setPaymentDateFrequency(freq3m);
receiveLeg.setPaymentDateBusinessDayConvention(BusinessDayConventions.MODIFIED_FOLLOWING);
receiveLeg.setPaymentDateCalendars(calendarUSNY);
receiveLeg.setMaturityDateBusinessDayConvention(BusinessDayConventions.MODIFIED_FOLLOWING);
receiveLeg.setAccrualPeriodFrequency(freq3m);
receiveLeg.setAccrualPeriodBusinessDayConvention(BusinessDayConventions.MODIFIED_FOLLOWING);
receiveLeg.setAccrualPeriodCalendars(calendarUSNY);
receiveLeg.setResetPeriodFrequency(freq3m);
receiveLeg.setResetPeriodBusinessDayConvention(BusinessDayConventions.MODIFIED_FOLLOWING);
receiveLeg.setResetPeriodCalendars(calendarUSNY);
receiveLeg.setFixingDateBusinessDayConvention(BusinessDayConventions.PRECEDING);
receiveLeg.setFixingDateCalendars(calendarUSNY);
receiveLeg.setFixingDateOffset(-2);
receiveLeg.setFloatingRateType(FloatingRateType.IBOR);
receiveLeg.setFloatingReferenceRateId(InterestRateMockSources.getLiborIndexId());
receiveLeg.setPayReceiveType(PayReceiveType.RECEIVE);
legs.add(receiveLeg);
return new InterestRateSwapSecurity(
ExternalIdBundle.of(ExternalId.of("UUID", GUIDGenerator.generate().toString())),
"Fixed vs Libor 3m",
LocalDate.of(2014, 9, 12), // effective date
LocalDate.of(2021, 9, 12), // maturity date,
legs);
}
private FunctionModelConfig normalConfig() {
FunctionModelConfig config =
config(
arguments(
function(
MarketExposureSelector.class,
argument(
"exposureFunctions",
ConfigLink.resolved(InterestRateMockSources.mockExposureFunctions()))),
function(
RootFinderConfiguration.class,
argument("rootFinderAbsoluteTolerance", 1e-9),
argument("rootFinderRelativeTolerance", 1e-9),
argument("rootFinderMaxIterations", 1000)),
function(
TestIRFutureOptionNormalSurfaceProviderFn.class,
argument("moneynessOnPrice", false)),
function(
DefaultCurveNodeConverterFn.class,
argument("timeSeriesDuration", RetrievalPeriod.of(Period.ofYears(1))))),
implementations(
IRFutureOptionFn.class, DefaultIRFutureOptionFn.class,
IRFutureOptionCalculatorFactory.class, IRFutureOptionNormalCalculatorFactory.class,
CurveSpecificationMarketDataFn.class, DefaultCurveSpecificationMarketDataFn.class,
FXMatrixFn.class, DefaultFXMatrixFn.class,
CurveDefinitionFn.class, DefaultCurveDefinitionFn.class,
CurveLabellingFn.class, CurveDefinitionCurveLabellingFn.class,
CurveSpecificationFn.class, DefaultCurveSpecificationFn.class,
CurveConstructionConfigurationSource.class,
ConfigDBCurveConstructionConfigurationSource.class,
CurveNodeConverterFn.class, DefaultCurveNodeConverterFn.class,
HistoricalMarketDataFn.class, DefaultHistoricalMarketDataFn.class,
FixingsFn.class, DefaultFixingsFn.class,
MarketDataFn.class, DefaultMarketDataFn.class,
CurveSelector.class, MarketExposureSelector.class,
IRFutureOptionNormalSurfaceProviderFn.class,
TestIRFutureOptionNormalSurfaceProviderFn.class,
DiscountingMulticurveCombinerFn.class, CurveSelectorMulticurveBundleFn.class));
return config;
}
private InterestRateFutureSecurity createIRFuture() {
Expiry expiry =
new Expiry(ZonedDateTime.of(LocalDate.of(2014, 6, 18), LocalTime.of(0, 0), ZoneOffset.UTC));
String tradingExchange = "";
String settlementExchange = "";
Currency currency = Currency.USD;
double unitAmount = 1000;
ExternalId underlyingId = InterestRateMockSources.getLiborIndexId();
String category = "";
InterestRateFutureSecurity irFuture =
new InterestRateFutureSecurity(
expiry,
tradingExchange,
settlementExchange,
currency,
unitAmount,
underlyingId,
category);
// Need this for time series lookup
ExternalId irFutureId = ExternalSchemes.syntheticSecurityId("Test future");
irFuture.setExternalIdBundle(irFutureId.toBundle());
return irFuture;
}
public void testPricingMethodCanBeCaptured() {
// Test that we can capture results when we have trades/securities involved
AvailableOutputs availableOutputs = createAvailableOutputs();
AvailableImplementations availableImplementations = createAvailableImplementations();
ViewFactory viewFactory =
EngineTestUtils.createViewFactory(
InterestRateMockSources.generateBaseComponents(),
availableOutputs,
availableImplementations);
// Run view
View view = viewFactory.createView(createIrsPricerConfig(), InterestRateSwapSecurity.class);
VersionCorrection versionCorrection =
ThreadLocalServiceContext.getInstance()
.get(VersionCorrectionProvider.class)
.getConfigVersionCorrection();
CycleArguments cycleArguments =
CycleArguments.builder(InterestRateMockSources.createMarketDataEnvironment())
.versionCorrection(versionCorrection)
.captureInputs(true)
.build();
Results run = view.run(cycleArguments, ImmutableList.of(createFixedVsLibor3mSwap()));
Result<Object> pvResult = run.get(0, 0).getResult();
if (!pvResult.isSuccess()) {
fail(pvResult.toString());
}
Result<Object> pv01Result = run.get(0, 1).getResult();
if (!pv01Result.isSuccess()) {
fail(pv01Result.toString());
}
// Capture results
ViewResultsSerializer serializer = new ViewResultsSerializer(run);
// Write inputs to stream
ByteArrayOutputStream inputsBaos = new ByteArrayOutputStream(1_000_000);
serializer.serializeViewInputs(inputsBaos);
ByteArrayOutputStream outputsBaos = new ByteArrayOutputStream(1_000_000);
serializer.serializeViewOutputs(outputsBaos);
ViewResultsDeserializer inputsDeserializer =
new ViewResultsDeserializer(new ByteArrayInputStream(inputsBaos.toByteArray()));
ViewInputs viewInputs = inputsDeserializer.deserialize(ViewInputs.class);
assertThat(viewInputs, is(notNullValue()));
ViewResultsDeserializer outputsDeserializer =
new ViewResultsDeserializer(new ByteArrayInputStream(outputsBaos.toByteArray()));
ViewOutputs viewOutputs = outputsDeserializer.deserialize(ViewOutputs.class);
assertThat(viewOutputs, is(notNullValue()));
CapturedResultsLoader loader =
new CapturedResultsLoader(viewInputs, availableOutputs, availableImplementations);
loader.addExtraConfigData("EmptyCurrencyMatrix", ConfigItem.of(new SimpleCurrencyMatrix()));
Results run2 = loader.runViewFromInputs();
System.out.println(run2);
Result<Object> pvResult2 = run2.get(0, 0).getResult();
if (!pvResult2.isSuccess()) {
fail(pvResult2.toString());
}
Result<Object> pv01Result2 = run2.get(0, 1).getResult();
if (!pv01Result2.isSuccess()) {
fail(pv01Result2.toString());
}
// Check results are same as original ones
assertThat(pvResult2.getValue(), is(pvResult.getValue()));
assertThat(pv01Result2.getValue(), is(pv01Result.getValue()));
// TODO - this should work but seems to be prevented by a Fudge issue
// assertThat(view2Outputs, is(viewOutputs));
}
public void testCurveViewCanBeSavedAndRead() {
AvailableOutputs availableOutputs = createAvailableOutputs();
AvailableImplementations availableImplementations = createAvailableImplementations();
ImmutableMap<Class<?>, Object> components = InterestRateMockSources.generateBaseComponents();
ViewFactory viewFactory =
EngineTestUtils.createViewFactory(components, availableOutputs, availableImplementations);
View view = viewFactory.createView(createCurveBundleConfig("TEST"));
VersionCorrection versionCorrection =
ThreadLocalServiceContext.getInstance()
.get(VersionCorrectionProvider.class)
.getConfigVersionCorrection();
CycleArguments cycleArguments =
CycleArguments.builder(InterestRateMockSources.createMarketDataEnvironment())
.versionCorrection(versionCorrection)
.captureInputs(true)
.build();
Results run = view.run(cycleArguments);
Result<Object> result = run.getNonPortfolioResults().get("TEST").getResult();
if (!result.isSuccess()) {
fail(result.getFailureMessage());
}
// Capture results
ViewResultsSerializer serializer = new ViewResultsSerializer(run);
// Write inputs to stream
ByteArrayOutputStream inputsBaos = new ByteArrayOutputStream(1_000_000);
serializer.serializeViewInputs(inputsBaos);
ByteArrayOutputStream outputsBaos = new ByteArrayOutputStream(1_000_000);
serializer.serializeViewOutputs(outputsBaos);
ViewResultsDeserializer inputsDeserializer =
new ViewResultsDeserializer(new ByteArrayInputStream(inputsBaos.toByteArray()));
ViewInputs viewInputs2 = inputsDeserializer.deserialize(ViewInputs.class);
assertThat(viewInputs2, is(notNullValue()));
ViewResultsDeserializer outputsDeserializer =
new ViewResultsDeserializer(new ByteArrayInputStream(outputsBaos.toByteArray()));
ViewOutputs viewOutputs = outputsDeserializer.deserialize(ViewOutputs.class);
assertThat(viewOutputs, is(notNullValue()));
CapturedResultsLoader loader =
new CapturedResultsLoader(viewInputs2, availableOutputs, availableImplementations);
loader.addExtraConfigData("EmptyCurrencyMatrix", ConfigItem.of(new SimpleCurrencyMatrix()));
Results run2 = loader.runViewFromInputs();
Result<Object> result2 = run2.getNonPortfolioResults().get("TEST").getResult();
if (!result2.isSuccess()) {
fail(result2.toString());
}
// Check results are same as original ones
ViewOutputs view2Outputs =
ViewOutputs.builder()
.nonPortfolioResults(run2.getNonPortfolioResults())
.columnNames(run2.getColumnNames())
.rows(run2.getRows())
.build();
assertThat(result2.getValue(), is(result.getValue()));
assertThat(view2Outputs, is(viewOutputs));
}