@Override
public SwapTrade trade(LocalDate valuationDate, MarketData marketData) {
double marketQuote = marketData.getValue(spreadKey) + additionalSpread;
FxRate fxRate = marketData.getValue(fxKey());
double rate = fxRate.fxRate(template.getCurrencyPair());
return template.toTrade(valuationDate, BuySell.BUY, 1, rate, marketQuote);
}
public void convertCurrencyAmount() {
List<FxRate> rates =
ImmutableList.of(
FxRate.of(Currency.GBP, Currency.USD, 1.61),
FxRate.of(Currency.GBP, Currency.USD, 1.62),
FxRate.of(Currency.GBP, Currency.USD, 1.63));
CalculationEnvironment marketData =
MarketEnvironment.builder()
.valuationDate(date(2011, 3, 8))
.addValue(FxRateId.of(Currency.GBP, Currency.USD), rates)
.build();
MarketDataMappings mappings = MarketDataMappings.of(MarketDataFeed.NONE);
DefaultCalculationMarketData calculationMarketData =
DefaultCalculationMarketData.of(marketData, mappings);
SingleScenarioResult<CurrencyAmount> test =
SingleScenarioResult.of(3, CurrencyAmount.of(Currency.GBP, 2));
ScenarioResult<?> convertedList = test.convertedTo(Currency.USD, calculationMarketData);
List<CurrencyAmount> expectedValues =
ImmutableList.of(
CurrencyAmount.of(Currency.USD, 2 * 1.61),
CurrencyAmount.of(Currency.USD, 2 * 1.62),
CurrencyAmount.of(Currency.USD, 2 * 1.63));
DefaultScenarioResult<CurrencyAmount> expectedList = DefaultScenarioResult.of(expectedValues);
assertThat(convertedList).isEqualTo(expectedList);
}
// -------------------------------------------------------------------------
public void coverage() {
DiscountFxForwardRates test1 =
DiscountFxForwardRates.of(CURRENCY_PAIR, FX_RATE, DFCURVE_GBP, DFCURVE_USD);
coverImmutableBean(test1);
DiscountFxForwardRates test2 =
DiscountFxForwardRates.of(CURRENCY_PAIR, FX_RATE.inverse(), DFCURVE_GBP2, DFCURVE_USD2);
coverBeanEquals(test1, test2);
DiscountFxForwardRates test3 =
DiscountFxForwardRates.of(
CurrencyPair.of(USD, EUR),
FxRate.of(EUR, USD, 1.2d),
DFCURVE_USD,
ZeroRateDiscountFactors.of(EUR, DATE_VAL, CURVE2));
coverBeanEquals(test1, test3);
}
// -------------------------------------------------------------------------
public void test_rate() {
DiscountFxForwardRates test =
DiscountFxForwardRates.of(CURRENCY_PAIR, FX_RATE, DFCURVE_GBP, DFCURVE_USD);
double dfCcyBaseAtMaturity = DFCURVE_GBP.discountFactor(DATE_REF);
double dfCcyCounterAtMaturity = DFCURVE_USD.discountFactor(DATE_REF);
double expected = FX_RATE.fxRate(GBP, USD) * (dfCcyBaseAtMaturity / dfCcyCounterAtMaturity);
assertEquals(test.rate(GBP, DATE_REF), expected, 1e-12);
assertEquals(test.rate(USD, DATE_REF), 1d / expected, 1e-12);
}
/** Test a failure is returned for a convertible value if there is no reporting currency. */
public void convertResultCurrencyNoReportingCurrency() {
DoubleArray values = DoubleArray.of(1, 2, 3);
List<FxRate> rates =
ImmutableList.of(1.61, 1.62, 1.63)
.stream()
.map(rate -> FxRate.of(Currency.GBP, Currency.USD, rate))
.collect(toImmutableList());
CurrencyValuesArray list = CurrencyValuesArray.of(Currency.GBP, values);
CalculationEnvironment marketData =
CalculationEnvironment.builder()
.valuationDate(date(2011, 3, 8))
.addValue(FxRateId.of(Currency.GBP, Currency.USD), rates)
.build();
ConvertibleFunction fn = ConvertibleFunction.of(() -> list);
ReportingRules reportingRules = ReportingRules.empty();
CalculationTask task = new CalculationTask(TARGET, 0, 0, fn, MAPPINGS, reportingRules);
CalculationResult calculationResult = task.execute(marketData);
Result<?> result = calculationResult.getResult();
assertThat(result).hasFailureMessageMatching("No reporting currency available.*");
}
public void coverage_functions() {
Currency ccy1 = TRADE.getProduct().getNonDeliverableCurrency();
Currency ccy2 = TRADE.getProduct().getSettlementCurrency();
LocalDate valDate = TRADE.getProduct().getPaymentDate().plusDays(7);
Curve df = ConstantNodalCurve.of(Curves.discountFactors("Test", ACT_360), 0.99);
FxRate fxRate = FxRate.of(ccy1, ccy2, 1.6d);
TestMarketDataMap md =
new TestMarketDataMap(
valDate,
ImmutableMap.of(
DiscountCurveKey.of(ccy1), df,
DiscountCurveKey.of(ccy2), df,
FxRateKey.of(ccy1, ccy2), fxRate),
ImmutableMap.of(
IndexRateKey.of(GBP_USD_WM),
LocalDateDoubleTimeSeries.of(date(2015, 3, 17), 1.45d)));
assertNotNull(new FxNdfBucketedPv01Function().execute(TRADE, md));
assertNotNull(new FxNdfCurrencyExposureFunction().execute(TRADE, md));
assertNotNull(new FxNdfForwardFxRateFunction().execute(TRADE, md));
assertNotNull(new FxNdfPv01Function().execute(TRADE, md));
assertNotNull(new FxNdfPvFunction().execute(TRADE, md));
}
/**
* Test that the result is converted to the reporting currency if it implements
* CurrencyConvertible and the FX rates are available in the market data. The reporting currency
* is taken from the reporting rules.
*/
public void convertResultCurrencyUsingReportingRules() {
DoubleArray values = DoubleArray.of(1, 2, 3);
List<FxRate> rates =
ImmutableList.of(1.61, 1.62, 1.63)
.stream()
.map(rate -> FxRate.of(Currency.GBP, Currency.USD, rate))
.collect(toImmutableList());
CurrencyValuesArray list = CurrencyValuesArray.of(Currency.GBP, values);
CalculationEnvironment marketData =
CalculationEnvironment.builder()
.valuationDate(date(2011, 3, 8))
.addValue(FxRateId.of(Currency.GBP, Currency.USD), rates)
.build();
ConvertibleFunction fn = ConvertibleFunction.of(() -> list);
CalculationTask task = new CalculationTask(TARGET, 0, 0, fn, MAPPINGS, REPORTING_RULES);
DoubleArray expectedValues = DoubleArray.of(1 * 1.61, 2 * 1.62, 3 * 1.63);
CurrencyValuesArray expectedArray = CurrencyValuesArray.of(Currency.USD, expectedValues);
CalculationResult calculationResult = task.execute(marketData);
Result<?> result = calculationResult.getResult();
assertThat(result).hasValue(expectedArray);
}
/** Test {@link FxNdfFunctionGroups}. */
@Test
public class FxNdfFunctionGroupsTest {
private static final FxRate FX_RATE = FxRate.of(GBP, USD, 1.5d);
private static final CurrencyAmount NOTIONAL = CurrencyAmount.of(GBP, (double) 100_000_000);
private static final FxNdf PRODUCT =
FxNdf.builder()
.agreedFxRate(FX_RATE)
.settlementCurrencyNotional(NOTIONAL)
.index(GBP_USD_WM)
.paymentDate(date(2015, 3, 19))
.build();
public static final FxNdfTrade TRADE =
FxNdfTrade.builder()
.tradeInfo(TradeInfo.builder().tradeDate(date(2015, 6, 1)).build())
.product(PRODUCT)
.build();
public void test_discounting() {
FunctionGroup<FxNdfTrade> test = FxNdfFunctionGroups.discounting();
assertThat(test.configuredMeasures(TRADE))
.contains(
Measure.PRESENT_VALUE,
Measure.PV01,
Measure.BUCKETED_PV01,
Measure.CURRENCY_EXPOSURE,
Measure.FORWARD_FX_RATE);
}
public void test_presentValue() {
Currency ccy1 = TRADE.getProduct().getNonDeliverableCurrency();
Currency ccy2 = TRADE.getProduct().getSettlementCurrency();
LocalDate valDate = TRADE.getProduct().getPaymentDate().plusDays(7);
FunctionConfig<FxNdfTrade> config =
FxNdfFunctionGroups.discounting().functionConfig(TRADE, Measure.PRESENT_VALUE).get();
CalculationSingleFunction<FxNdfTrade, ?> function = config.createFunction();
FunctionRequirements reqs = function.requirements(TRADE);
assertThat(reqs.getOutputCurrencies()).containsOnly(ccy1, ccy2);
assertThat(reqs.getSingleValueRequirements())
.isEqualTo(ImmutableSet.of(DiscountCurveKey.of(ccy1), DiscountCurveKey.of(ccy2)));
assertThat(reqs.getTimeSeriesRequirements()).isEqualTo(ImmutableSet.of());
assertThat(function.defaultReportingCurrency(TRADE)).hasValue(GBP);
DiscountFactors df1 =
SimpleDiscountFactors.of(
ccy1, valDate, ConstantNodalCurve.of(Curves.discountFactors("Test", ACT_360), 0.99));
DiscountFactors df2 =
SimpleDiscountFactors.of(
ccy2, valDate, ConstantNodalCurve.of(Curves.discountFactors("Test", ACT_360), 0.99));
TestMarketDataMap md =
new TestMarketDataMap(
valDate,
ImmutableMap.of(DiscountCurveKey.of(ccy1), df1, DiscountCurveKey.of(ccy2), df2),
ImmutableMap.of());
assertThat(function.execute(TRADE, md))
.isEqualTo(FxConvertibleList.of(ImmutableList.of(CurrencyAmount.zero(GBP))));
}
// -------------------------------------------------------------------------
public void coverage() {
coverPrivateConstructor(FxNdfFunctionGroups.class);
}
public void coverage_functions() {
Currency ccy1 = TRADE.getProduct().getNonDeliverableCurrency();
Currency ccy2 = TRADE.getProduct().getSettlementCurrency();
LocalDate valDate = TRADE.getProduct().getPaymentDate().plusDays(7);
Curve df = ConstantNodalCurve.of(Curves.discountFactors("Test", ACT_360), 0.99);
FxRate fxRate = FxRate.of(ccy1, ccy2, 1.6d);
TestMarketDataMap md =
new TestMarketDataMap(
valDate,
ImmutableMap.of(
DiscountCurveKey.of(ccy1), df,
DiscountCurveKey.of(ccy2), df,
FxRateKey.of(ccy1, ccy2), fxRate),
ImmutableMap.of(
IndexRateKey.of(GBP_USD_WM),
LocalDateDoubleTimeSeries.of(date(2015, 3, 17), 1.45d)));
assertNotNull(new FxNdfBucketedPv01Function().execute(TRADE, md));
assertNotNull(new FxNdfCurrencyExposureFunction().execute(TRADE, md));
assertNotNull(new FxNdfForwardFxRateFunction().execute(TRADE, md));
assertNotNull(new FxNdfPv01Function().execute(TRADE, md));
assertNotNull(new FxNdfPvFunction().execute(TRADE, md));
}
}
/** Test {@link DiscountFxForwardRates}. */
@Test
public class DiscountFxForwardRatesTest {
private static final LocalDate DATE_VAL = date(2015, 6, 4);
private static final LocalDate DATE_REF = date(2015, 7, 30);
private static final FxRate FX_RATE = FxRate.of(GBP, USD, 1.5d);
private static final CurrencyPair CURRENCY_PAIR = CurrencyPair.of(GBP, USD);
private static final CurveInterpolator INTERPOLATOR = CurveInterpolators.LINEAR;
private static final CurveMetadata METADATA1 = Curves.zeroRates("TestCurve", ACT_365F);
private static final CurveMetadata METADATA2 = Curves.zeroRates("TestCurveUSD", ACT_365F);
private static final InterpolatedNodalCurve CURVE1 =
InterpolatedNodalCurve.of(
METADATA1, DoubleArray.of(0, 10), DoubleArray.of(0.01, 0.02), INTERPOLATOR);
private static final InterpolatedNodalCurve CURVE2 =
InterpolatedNodalCurve.of(
METADATA2, DoubleArray.of(0, 10), DoubleArray.of(0.015, 0.025), INTERPOLATOR);
private static final ZeroRateDiscountFactors DFCURVE_GBP =
ZeroRateDiscountFactors.of(GBP, DATE_VAL, CURVE1);
private static final ZeroRateDiscountFactors DFCURVE_GBP2 =
ZeroRateDiscountFactors.of(GBP, DATE_VAL, CURVE2);
private static final ZeroRateDiscountFactors DFCURVE_USD =
ZeroRateDiscountFactors.of(USD, DATE_VAL, CURVE2);
private static final ZeroRateDiscountFactors DFCURVE_USD2 =
ZeroRateDiscountFactors.of(USD, DATE_VAL, CURVE1);
// -------------------------------------------------------------------------
public void test_of() {
DiscountFxForwardRates test =
DiscountFxForwardRates.of(CURRENCY_PAIR, FX_RATE, DFCURVE_GBP, DFCURVE_USD);
assertEquals(test.getCurrencyPair(), CURRENCY_PAIR);
assertEquals(test.getValuationDate(), DATE_VAL);
assertEquals(test.getBaseCurrencyDiscountFactors(), DFCURVE_GBP);
assertEquals(test.getCounterCurrencyDiscountFactors(), DFCURVE_USD);
assertEquals(test.getFxRateProvider(), FX_RATE);
assertEquals(test.findData(CURVE1.getName()), Optional.of(CURVE1));
assertEquals(test.findData(CURVE2.getName()), Optional.of(CURVE2));
assertEquals(test.findData(CurveName.of("Rubbish")), Optional.empty());
int baseSize = DFCURVE_USD.getParameterCount();
assertEquals(test.getParameterCount(), DFCURVE_GBP.getParameterCount() + baseSize);
assertEquals(test.getParameter(0), DFCURVE_GBP.getParameter(0));
assertEquals(test.getParameter(baseSize), DFCURVE_USD.getParameter(0));
assertEquals(test.getParameterMetadata(0), DFCURVE_GBP.getParameterMetadata(0));
assertEquals(test.getParameterMetadata(baseSize), DFCURVE_USD.getParameterMetadata(0));
assertEquals(
test.withParameter(0, 1d).getBaseCurrencyDiscountFactors(),
DFCURVE_GBP.withParameter(0, 1d));
assertEquals(test.withParameter(0, 1d).getCounterCurrencyDiscountFactors(), DFCURVE_USD);
assertEquals(test.withParameter(baseSize, 1d).getBaseCurrencyDiscountFactors(), DFCURVE_GBP);
assertEquals(
test.withParameter(baseSize, 1d).getCounterCurrencyDiscountFactors(),
DFCURVE_USD.withParameter(0, 1d));
assertEquals(
test.withPerturbation((i, v, m) -> v + 1d).getBaseCurrencyDiscountFactors(),
DFCURVE_GBP.withPerturbation((i, v, m) -> v + 1d));
assertEquals(
test.withPerturbation((i, v, m) -> v + 1d).getCounterCurrencyDiscountFactors(),
DFCURVE_USD.withPerturbation((i, v, m) -> v + 1d));
}
public void test_of_nonMatchingCurrency() {
assertThrowsIllegalArg(
() -> DiscountFxForwardRates.of(CURRENCY_PAIR, FX_RATE, DFCURVE_GBP, DFCURVE_GBP));
assertThrowsIllegalArg(
() -> DiscountFxForwardRates.of(CURRENCY_PAIR, FX_RATE, DFCURVE_USD, DFCURVE_USD));
}
public void test_of_nonMatchingValuationDates() {
DiscountFactors curve2 = ZeroRateDiscountFactors.of(USD, DATE_REF, CURVE2);
assertThrowsIllegalArg(
() -> DiscountFxForwardRates.of(CURRENCY_PAIR, FX_RATE, DFCURVE_GBP, curve2));
}
public void test_builder() {
assertThrowsIllegalArg(
() ->
DiscountFxForwardRates.meta()
.builder()
.setString(DiscountFxForwardRates.meta().currencyPair(), "GBP/USD")
.build());
assertThrowsIllegalArg(
() ->
DiscountFxForwardRates.meta()
.builder()
.setString(DiscountFxForwardRates.meta().currencyPair().name(), "GBP/USD")
.build());
}
// -------------------------------------------------------------------------
public void test_withDiscountFactors() {
DiscountFxForwardRates test =
DiscountFxForwardRates.of(CURRENCY_PAIR, FX_RATE, DFCURVE_GBP, DFCURVE_USD);
test = test.withDiscountFactors(DFCURVE_GBP2, DFCURVE_USD2);
assertEquals(test.getCurrencyPair(), CURRENCY_PAIR);
assertEquals(test.getValuationDate(), DATE_VAL);
assertEquals(test.getBaseCurrencyDiscountFactors(), DFCURVE_GBP2);
assertEquals(test.getCounterCurrencyDiscountFactors(), DFCURVE_USD2);
assertEquals(test.getFxRateProvider(), FX_RATE);
}
// -------------------------------------------------------------------------
public void test_rate() {
DiscountFxForwardRates test =
DiscountFxForwardRates.of(CURRENCY_PAIR, FX_RATE, DFCURVE_GBP, DFCURVE_USD);
double dfCcyBaseAtMaturity = DFCURVE_GBP.discountFactor(DATE_REF);
double dfCcyCounterAtMaturity = DFCURVE_USD.discountFactor(DATE_REF);
double expected = FX_RATE.fxRate(GBP, USD) * (dfCcyBaseAtMaturity / dfCcyCounterAtMaturity);
assertEquals(test.rate(GBP, DATE_REF), expected, 1e-12);
assertEquals(test.rate(USD, DATE_REF), 1d / expected, 1e-12);
}
public void test_rate_nonMatchingCurrency() {
DiscountFxForwardRates test =
DiscountFxForwardRates.of(CURRENCY_PAIR, FX_RATE, DFCURVE_GBP, DFCURVE_USD);
assertThrowsIllegalArg(() -> test.rate(EUR, DATE_VAL));
}
// -------------------------------------------------------------------------
public void test_ratePointSensitivity() {
DiscountFxForwardRates test =
DiscountFxForwardRates.of(CURRENCY_PAIR, FX_RATE, DFCURVE_GBP, DFCURVE_USD);
assertEquals(
test.ratePointSensitivity(GBP, DATE_REF),
FxForwardSensitivity.of(CURRENCY_PAIR, GBP, DATE_REF, 1d));
assertEquals(
test.ratePointSensitivity(USD, DATE_REF),
FxForwardSensitivity.of(CURRENCY_PAIR, USD, DATE_REF, 1d));
}
public void test_ratePointSensitivity_nonMatchingCurrency() {
DiscountFxForwardRates test =
DiscountFxForwardRates.of(CURRENCY_PAIR, FX_RATE, DFCURVE_GBP, DFCURVE_USD);
assertThrowsIllegalArg(() -> test.ratePointSensitivity(EUR, DATE_VAL));
}
// -------------------------------------------------------------------------
public void test_rateFxSpotSensitivity() {
DiscountFxForwardRates test =
DiscountFxForwardRates.of(CURRENCY_PAIR, FX_RATE, DFCURVE_GBP, DFCURVE_USD);
double dfCcyBaseAtMaturity = DFCURVE_GBP.discountFactor(DATE_REF);
double dfCcyCounterAtMaturity = DFCURVE_USD.discountFactor(DATE_REF);
double expected = dfCcyBaseAtMaturity / dfCcyCounterAtMaturity;
assertEquals(test.rateFxSpotSensitivity(GBP, DATE_REF), expected, 1e-12);
assertEquals(test.rateFxSpotSensitivity(USD, DATE_REF), 1d / expected, 1e-12);
}
public void test_rateFxSpotSensitivity_nonMatchingCurrency() {
DiscountFxForwardRates test =
DiscountFxForwardRates.of(CURRENCY_PAIR, FX_RATE, DFCURVE_GBP, DFCURVE_USD);
assertThrowsIllegalArg(() -> test.rateFxSpotSensitivity(EUR, DATE_VAL));
}
// -------------------------------------------------------------------------
// proper end-to-end tests are elsewhere
public void test_parameterSensitivity() {
DiscountFxForwardRates test =
DiscountFxForwardRates.of(CURRENCY_PAIR, FX_RATE, DFCURVE_GBP, DFCURVE_USD);
FxForwardSensitivity point = FxForwardSensitivity.of(CURRENCY_PAIR, GBP, DATE_VAL, 1d);
assertEquals(test.parameterSensitivity(point).size(), 2);
FxForwardSensitivity point2 = FxForwardSensitivity.of(CURRENCY_PAIR, USD, DATE_VAL, 1d);
assertEquals(test.parameterSensitivity(point2).size(), 2);
}
// -------------------------------------------------------------------------
public void coverage() {
DiscountFxForwardRates test1 =
DiscountFxForwardRates.of(CURRENCY_PAIR, FX_RATE, DFCURVE_GBP, DFCURVE_USD);
coverImmutableBean(test1);
DiscountFxForwardRates test2 =
DiscountFxForwardRates.of(CURRENCY_PAIR, FX_RATE.inverse(), DFCURVE_GBP2, DFCURVE_USD2);
coverBeanEquals(test1, test2);
DiscountFxForwardRates test3 =
DiscountFxForwardRates.of(
CurrencyPair.of(USD, EUR),
FxRate.of(EUR, USD, 1.2d),
DFCURVE_USD,
ZeroRateDiscountFactors.of(EUR, DATE_VAL, CURVE2));
coverBeanEquals(test1, test3);
}
}
/**
* Test for curve calibration in USD and EUR. The USD curve is obtained by OIS and the EUR one by FX
* Swaps from USD.
*/
@Test
public class CalibrationZeroRateUsdEur2OisFxTest {
private static final LocalDate VAL_DATE = LocalDate.of(2015, 11, 2);
private static final CurveInterpolator INTERPOLATOR_LINEAR = CurveInterpolators.LINEAR;
private static final CurveExtrapolator EXTRAPOLATOR_FLAT = CurveExtrapolators.FLAT;
private static final DayCount CURVE_DC = ACT_365F;
private static final String SCHEME = "CALIBRATION";
/** Curve names */
private static final String USD_DSCON_STR = "USD-DSCON-OIS";
private static final CurveName USD_DSCON_CURVE_NAME = CurveName.of(USD_DSCON_STR);
private static final String EUR_DSC_STR = "EUR-DSC-FX";
private static final CurveName EUR_DSC_CURVE_NAME = CurveName.of(EUR_DSC_STR);
/** Curves associations to currencies and indices. */
private static final Map<CurveName, Currency> DSC_NAMES = new HashMap<>();
private static final Map<CurveName, Set<Index>> IDX_NAMES = new HashMap<>();
private static final Map<Index, LocalDateDoubleTimeSeries> TS = new HashMap<>();
static {
DSC_NAMES.put(USD_DSCON_CURVE_NAME, USD);
Set<Index> usdFedFundSet = new HashSet<>();
usdFedFundSet.add(USD_FED_FUND);
IDX_NAMES.put(USD_DSCON_CURVE_NAME, usdFedFundSet);
}
/** Data FX * */
private static final FxRate FX_RATE_EUR_USD = FxRate.of(EUR, USD, 1.10);
/** Data for USD-DSCON curve */
/* Market values */
private static final double[] USD_DSC_MARKET_QUOTES =
new double[] {
0.0016, 0.0022, 0.0013, 0.0016, 0.0020, 0.0026, 0.0033, 0.0039, 0.0053, 0.0066, 0.0090,
0.0111
};
private static final int USD_DSC_NB_NODES = USD_DSC_MARKET_QUOTES.length;
private static final String[] USD_DSC_ID_VALUE =
new String[] {
"USD-ON",
"USD-TN",
"USD-OIS-1M",
"USD-OIS-2M",
"USD-OIS-3M",
"USD-OIS-6M",
"USD-OIS-9M",
"USD-OIS-1Y",
"USD-OIS-18M",
"USD-OIS-2Y",
"USD-OIS-3Y",
"USD-OIS-4Y"
};
/* Nodes */
private static final CurveNode[] USD_DSC_NODES = new CurveNode[USD_DSC_NB_NODES];
/* Tenors */
private static final int[] USD_DSC_DEPO_OFFSET = new int[] {0, 1};
private static final int USD_DSC_NB_DEPO_NODES = USD_DSC_DEPO_OFFSET.length;
private static final Period[] USD_DSC_OIS_TENORS =
new Period[] {
Period.ofMonths(1), Period.ofMonths(2), Period.ofMonths(3), Period.ofMonths(6),
Period.ofMonths(9),
Period.ofYears(1), Period.ofMonths(18), Period.ofYears(2), Period.ofYears(3),
Period.ofYears(4)
};
private static final int USD_DSC_NB_OIS_NODES = USD_DSC_OIS_TENORS.length;
static {
USD_DSC_NODES[0] =
TermDepositCurveNode.of(
TermDepositTemplate.of(Period.ofDays(1), USD_DEPOSIT_T0),
QuoteKey.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[0])));
USD_DSC_NODES[1] =
TermDepositCurveNode.of(
TermDepositTemplate.of(Period.ofDays(1), USD_DEPOSIT_T1),
QuoteKey.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[1])));
for (int i = 0; i < USD_DSC_NB_OIS_NODES; i++) {
USD_DSC_NODES[USD_DSC_NB_DEPO_NODES + i] =
FixedOvernightSwapCurveNode.of(
FixedOvernightSwapTemplate.of(
Period.ZERO, Tenor.of(USD_DSC_OIS_TENORS[i]), USD_FIXED_1Y_FED_FUND_OIS),
QuoteKey.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[USD_DSC_NB_DEPO_NODES + i])));
}
}
/** Data for EUR-DSC curve */
/* Market values */
private static final double[] EUR_DSC_MARKET_QUOTES =
new double[] {
0.0004, 0.0012, 0.0019, 0.0043, 0.0074,
0.0109, 0.0193, 0.0294, 0.0519, 0.0757
};
private static final int EUR_DSC_NB_NODES = EUR_DSC_MARKET_QUOTES.length;
private static final String[] EUR_DSC_ID_VALUE =
new String[] {
"EUR-USD-FX-1M", "EUR-USD-FX-2M", "EUR-USD-FX-3M", "EUR-USD-FX-6M", "EUR-USD-FX-9M",
"EUR-USD-FX-1Y", "EUR-USD-FX-18M", "EUR-USD-FX-2Y", "EUR-USD-FX-3Y", "EUR-USD-FX-4Y"
};
/* Nodes */
private static final CurveNode[] EUR_DSC_NODES = new CurveNode[EUR_DSC_NB_NODES];
/* Tenors */
private static final Period[] EUR_DSC_FX_TENORS =
new Period[] {
Period.ofMonths(1), Period.ofMonths(2), Period.ofMonths(3), Period.ofMonths(6),
Period.ofMonths(9),
Period.ofYears(1), Period.ofMonths(18), Period.ofYears(2), Period.ofYears(3),
Period.ofYears(4)
};
private static final int EUR_DSC_NB_FX_NODES = EUR_DSC_FX_TENORS.length;
static {
for (int i = 0; i < EUR_DSC_NB_FX_NODES; i++) {
EUR_DSC_NODES[i] =
FxSwapCurveNode.of(
FxSwapTemplate.of(EUR_DSC_FX_TENORS[i], EUR_USD),
QuoteKey.of(StandardId.of(SCHEME, EUR_DSC_ID_VALUE[i])));
}
}
/** All quotes for the curve calibration */
private static final ImmutableMarketData ALL_QUOTES;
static {
Map<MarketDataKey<?>, Object> map = new HashMap<>();
for (int i = 0; i < USD_DSC_NB_NODES; i++) {
map.put(QuoteKey.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[i])), USD_DSC_MARKET_QUOTES[i]);
}
for (int i = 0; i < EUR_DSC_NB_NODES; i++) {
map.put(QuoteKey.of(StandardId.of(SCHEME, EUR_DSC_ID_VALUE[i])), EUR_DSC_MARKET_QUOTES[i]);
}
map.put(FxRateKey.of(EUR, USD), FX_RATE_EUR_USD);
ALL_QUOTES = ImmutableMarketData.of(map);
}
private static final DiscountingSwapProductPricer SWAP_PRICER =
DiscountingSwapProductPricer.DEFAULT;
private static final DiscountingTermDepositProductPricer DEPO_PRICER =
DiscountingTermDepositProductPricer.DEFAULT;
private static final DiscountingFxSwapProductPricer FX_PRICER =
DiscountingFxSwapProductPricer.DEFAULT;
private static final MarketQuoteSensitivityCalculator MQC =
MarketQuoteSensitivityCalculator.DEFAULT;
private static final CalibrationMeasures CALIBRATION_MEASURES = CalibrationMeasures.DEFAULT;
private static final CurveCalibrator CALIBRATOR =
CurveCalibrator.of(1e-9, 1e-9, 100, CALIBRATION_MEASURES);
// Constants
private static final double TOLERANCE_PV = 1.0E-6;
private static final double TOLERANCE_PV_DELTA = 1.0E+3;
private static final CurveGroupName CURVE_GROUP_NAME = CurveGroupName.of("USD-DSCON-EUR-DSC");
private static final InterpolatedNodalCurveDefinition USD_DSC_CURVE_DEFN =
InterpolatedNodalCurveDefinition.builder()
.name(USD_DSCON_CURVE_NAME)
.xValueType(ValueType.YEAR_FRACTION)
.yValueType(ValueType.ZERO_RATE)
.dayCount(CURVE_DC)
.interpolator(INTERPOLATOR_LINEAR)
.extrapolatorLeft(EXTRAPOLATOR_FLAT)
.extrapolatorRight(EXTRAPOLATOR_FLAT)
.nodes(USD_DSC_NODES)
.build();
private static final InterpolatedNodalCurveDefinition EUR_DSC_CURVE_DEFN =
InterpolatedNodalCurveDefinition.builder()
.name(EUR_DSC_CURVE_NAME)
.xValueType(ValueType.YEAR_FRACTION)
.yValueType(ValueType.ZERO_RATE)
.dayCount(CURVE_DC)
.interpolator(INTERPOLATOR_LINEAR)
.extrapolatorLeft(EXTRAPOLATOR_FLAT)
.extrapolatorRight(EXTRAPOLATOR_FLAT)
.nodes(EUR_DSC_NODES)
.build();
private static final CurveGroupDefinition CURVE_GROUP_CONFIG =
CurveGroupDefinition.builder()
.name(CURVE_GROUP_NAME)
.addCurve(USD_DSC_CURVE_DEFN, USD, USD_FED_FUND)
.addDiscountCurve(EUR_DSC_CURVE_DEFN, EUR)
.build();
// -------------------------------------------------------------------------
public void calibration_present_value_oneGroup() {
ImmutableRatesProvider result =
CALIBRATOR.calibrate(CURVE_GROUP_CONFIG, VAL_DATE, ALL_QUOTES, TS);
assertPresentValue(result);
}
private void assertPresentValue(ImmutableRatesProvider result) {
// Test PV USD;
List<Trade> usdTrades = new ArrayList<>();
for (int i = 0; i < USD_DSC_NODES.length; i++) {
usdTrades.add(USD_DSC_NODES[i].trade(VAL_DATE, ALL_QUOTES));
}
// Depo
for (int i = 0; i < USD_DSC_NB_DEPO_NODES; i++) {
CurrencyAmount pvDep =
DEPO_PRICER.presentValue(((TermDepositTrade) usdTrades.get(i)).getProduct(), result);
assertEquals(pvDep.getAmount(), 0.0, TOLERANCE_PV);
}
// OIS
for (int i = 0; i < USD_DSC_NB_OIS_NODES; i++) {
MultiCurrencyAmount pvOis =
SWAP_PRICER.presentValue(
((SwapTrade) usdTrades.get(USD_DSC_NB_DEPO_NODES + i)).getProduct(), result);
assertEquals(pvOis.getAmount(USD).getAmount(), 0.0, TOLERANCE_PV);
}
// Test PV EUR;
List<Trade> eurTrades = new ArrayList<>();
for (int i = 0; i < EUR_DSC_NODES.length; i++) {
eurTrades.add(EUR_DSC_NODES[i].trade(VAL_DATE, ALL_QUOTES));
}
// Depo
for (int i = 0; i < EUR_DSC_NB_FX_NODES; i++) {
MultiCurrencyAmount pvFx =
FX_PRICER.presentValue(((FxSwapTrade) eurTrades.get(i)).getProduct(), result);
assertEquals(pvFx.convertedTo(USD, result).getAmount(), 0.0, TOLERANCE_PV);
}
}
public void calibration_market_quote_sensitivity_one_group() {
double shift = 1.0E-6;
Function<MarketData, ImmutableRatesProvider> f =
ov -> CALIBRATOR.calibrate(CURVE_GROUP_CONFIG, VAL_DATE, ov, TS);
calibration_market_quote_sensitivity_check(f, shift);
}
private void calibration_market_quote_sensitivity_check(
Function<MarketData, ImmutableRatesProvider> calibrator, double shift) {
double notional = 100_000_000.0;
double fx = 1.1111;
double fxPts = 0.0012;
FxSwapTrade trade =
EUR_USD.toTrade(
VAL_DATE, Period.ofWeeks(6), Period.ofMonths(5), BuySell.BUY, notional, fx, fxPts);
ImmutableRatesProvider result =
CALIBRATOR.calibrate(CURVE_GROUP_CONFIG, VAL_DATE, ALL_QUOTES, TS);
PointSensitivities pts = FX_PRICER.presentValueSensitivity(trade.getProduct(), result);
CurveCurrencyParameterSensitivities ps = result.curveParameterSensitivity(pts);
CurveCurrencyParameterSensitivities mqs = MQC.sensitivity(ps, result);
double pvUsd = FX_PRICER.presentValue(trade.getProduct(), result).getAmount(USD).getAmount();
double pvEur = FX_PRICER.presentValue(trade.getProduct(), result).getAmount(EUR).getAmount();
double[] mqsUsd1Computed =
mqs.getSensitivity(USD_DSCON_CURVE_NAME, USD).getSensitivity().toArray();
for (int i = 0; i < USD_DSC_NB_NODES; i++) {
Map<MarketDataKey<?>, Object> map = new HashMap<>(ALL_QUOTES.getValues());
map.put(
QuoteKey.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[i])),
USD_DSC_MARKET_QUOTES[i] + shift);
ImmutableMarketData marketData = ImmutableMarketData.of(map);
ImmutableRatesProvider rpShifted = calibrator.apply(marketData);
double pvS = FX_PRICER.presentValue(trade.getProduct(), rpShifted).getAmount(USD).getAmount();
assertEquals(mqsUsd1Computed[i], (pvS - pvUsd) / shift, TOLERANCE_PV_DELTA);
}
double[] mqsUsd2Computed =
mqs.getSensitivity(USD_DSCON_CURVE_NAME, EUR).getSensitivity().toArray();
for (int i = 0; i < USD_DSC_NB_NODES; i++) {
Map<MarketDataKey<?>, Object> map = new HashMap<>(ALL_QUOTES.getValues());
map.put(
QuoteKey.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[i])),
USD_DSC_MARKET_QUOTES[i] + shift);
ImmutableMarketData ov = ImmutableMarketData.of(map);
ImmutableRatesProvider rpShifted = calibrator.apply(ov);
double pvS = FX_PRICER.presentValue(trade.getProduct(), rpShifted).getAmount(EUR).getAmount();
assertEquals(mqsUsd2Computed[i], (pvS - pvEur) / shift, TOLERANCE_PV_DELTA);
}
double[] mqsEur1Computed =
mqs.getSensitivity(EUR_DSC_CURVE_NAME, USD).getSensitivity().toArray();
for (int i = 0; i < EUR_DSC_NB_NODES; i++) {
assertEquals(mqsEur1Computed[i], 0.0, TOLERANCE_PV_DELTA);
}
double[] mqsEur2Computed =
mqs.getSensitivity(EUR_DSC_CURVE_NAME, EUR).getSensitivity().toArray();
for (int i = 0; i < EUR_DSC_NB_NODES; i++) {
Map<MarketDataKey<?>, Object> map = new HashMap<>(ALL_QUOTES.getValues());
map.put(
QuoteKey.of(StandardId.of(SCHEME, EUR_DSC_ID_VALUE[i])),
EUR_DSC_MARKET_QUOTES[i] + shift);
ImmutableMarketData marketData = ImmutableMarketData.of(map);
ImmutableRatesProvider rpShifted = calibrator.apply(marketData);
double pvS = FX_PRICER.presentValue(trade.getProduct(), rpShifted).getAmount(EUR).getAmount();
assertEquals(mqsEur2Computed[i], (pvS - pvEur) / shift, TOLERANCE_PV_DELTA, "Node " + i);
}
}
}