/**
* Vanilla swap builder from the settlement date, a swap generator and other details of a swap.
*
* @param settlementDate The settlement date.
* @param maturityDate The swap maturity date.
* @param generator The swap generator.
* @param notionalFixed The fixed leg notional.
* @param notionalIbor The ibor leg notional.
* @param fixedRate The swap fixed rate.
* @param isPayer The payer flag of the fixed leg.
* @param calendar The holiday calendar for the ibor index.
* @return The vanilla swap.
*/
public static SwapFixedIborDefinition from(
final ZonedDateTime settlementDate,
final ZonedDateTime maturityDate,
final GeneratorSwapFixedIbor generator,
final double notionalFixed,
final double notionalIbor,
final double fixedRate,
final boolean isPayer,
final Calendar calendar) {
ArgumentChecker.notNull(settlementDate, "Settlement date");
ArgumentChecker.notNull(maturityDate, "Maturity date");
ArgumentChecker.notNull(generator, "Swap generator");
final AnnuityCouponFixedDefinition fixedLeg =
AnnuityCouponFixedDefinition.from(
generator.getCurrency(),
settlementDate,
maturityDate,
generator.getFixedLegPeriod(),
generator.getCalendar(),
generator.getFixedLegDayCount(),
generator.getIborIndex().getBusinessDayConvention(),
generator.getIborIndex().isEndOfMonth(),
notionalFixed,
fixedRate,
isPayer);
final AnnuityCouponIborDefinition iborLeg =
AnnuityCouponIborDefinition.from(
settlementDate,
maturityDate,
notionalIbor,
generator.getIborIndex(),
!isPayer,
calendar);
return new SwapFixedIborDefinition(fixedLeg, iborLeg);
}
/** 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;
}
}
