/**
* Build of curve in several blocks with relevant Jacobian matrices. EUR: discounting/ON forward;
* USD: discounting/ON forward. Standard test data set: 2014-03-10
*/
public class StandardDataSetsEURUSDForex {
private static final ZonedDateTime NOW = DateUtils.getUTCDate(2014, 3, 10);
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 HolidayCalendar TARGET = HolidayCalendars.EUTA;
private static final HolidayCalendar NYC = HolidayCalendars.SAT_SUN;
private static final Currency EUR = Currency.EUR;
private static final Currency USD = Currency.USD;
private static final double FX_EURUSD = 1.38775;
private static final FxMatrix FX_MATRIX = FxMatrix.builder().addRate(EUR, USD, FX_EURUSD).build();
private static final double NOTIONAL = 1.0;
private static final GeneratorSwapFixedON GENERATOR_OIS_EUR =
GeneratorSwapFixedONMaster.getInstance().getGenerator("EUR1YEONIA", TARGET);
private static final IndexON EUREONIA = GENERATOR_OIS_EUR.getIndex();
private static final GeneratorSwapFixedON GENERATOR_OIS_USD =
GeneratorSwapFixedONMaster.getInstance().getGenerator("USD1YFEDFUND", NYC);
private static final IndexON USDFEDFUND = GENERATOR_OIS_USD.getIndex();
private static final IndexON INDEX_ON_EUR = GENERATOR_OIS_EUR.getIndex();
private static final IndexON INDEX_ON_USD = GENERATOR_OIS_USD.getIndex();
private static final GeneratorDepositON GENERATOR_DEPOSIT_ON_EUR =
new GeneratorDepositON("EUR Deposit ON", EUR, TARGET, INDEX_ON_EUR.getDayCount());
private static final GeneratorDepositON GENERATOR_DEPOSIT_ON_USD =
new GeneratorDepositON("USD Deposit ON", USD, TARGET, INDEX_ON_USD.getDayCount());
private static final GeneratorForexSwap GENERATOR_FX_EURUSD =
new GeneratorForexSwap(
"EURUSD", EUR, USD, TARGET, 2, GENERATOR_OIS_EUR.getBusinessDayConvention(), true);
private static final ZonedDateTimeDoubleTimeSeries TS_EMPTY =
ImmutableZonedDateTimeDoubleTimeSeries.ofEmptyUTC();
private static final ZonedDateTimeDoubleTimeSeries TS_ON_USD_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_USD_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_USD_WITH_TODAY =
new ZonedDateTimeDoubleTimeSeries[] {TS_EMPTY, TS_ON_USD_WITH_TODAY};
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_OIS_USD_WITHOUT_TODAY =
new ZonedDateTimeDoubleTimeSeries[] {TS_EMPTY, TS_ON_USD_WITHOUT_TODAY};
private static final String CURVE_NAME_DSC_EUR = "EUR Dsc";
private static final String CURVE_NAME_DSC_USD = "USD Dsc";
/** Market values for the dsc USD curve */
private static final double[] DSC_USD_MARKET_QUOTES =
new double[] {
0.0015, 0.0015, 7.9E-4, 7.8E-4, 8.3E-4, 0.0009, 0.0010, 0.00112, 0.0030525, 0.00686, 0.0109,
0.01465, 0.01782, 0.02048, 0.02264, 0.02445, 0.02597
};
/** Generators for the dsc USD curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] DSC_USD_GENERATORS =
new GeneratorInstrument<?>[] {
GENERATOR_DEPOSIT_ON_USD,
GENERATOR_DEPOSIT_ON_USD,
GENERATOR_OIS_USD,
GENERATOR_OIS_USD,
GENERATOR_OIS_USD,
GENERATOR_OIS_USD,
GENERATOR_OIS_USD,
GENERATOR_OIS_USD,
GENERATOR_OIS_USD,
GENERATOR_OIS_USD,
GENERATOR_OIS_USD,
GENERATOR_OIS_USD,
GENERATOR_OIS_USD,
GENERATOR_OIS_USD,
GENERATOR_OIS_USD,
GENERATOR_OIS_USD,
GENERATOR_OIS_USD
};
/** Tenors for the dsc USD curve */
private static final Period[] DSC_USD_TENOR =
new Period[] {
Period.ofDays(0),
Period.ofDays(1),
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(6),
Period.ofYears(7),
Period.ofYears(8),
Period.ofYears(9),
Period.ofYears(10)
};
private static final GeneratorAttributeIR[] DSC_USD_ATTR =
new GeneratorAttributeIR[DSC_USD_TENOR.length];
static {
for (int loopins = 0; loopins < 2; loopins++) {
DSC_USD_ATTR[loopins] = new GeneratorAttributeIR(DSC_USD_TENOR[loopins], Period.ZERO);
}
for (int loopins = 2; loopins < DSC_USD_TENOR.length; loopins++) {
DSC_USD_ATTR[loopins] = new GeneratorAttributeIR(DSC_USD_TENOR[loopins]);
}
}
/** Market values for the dsc EUR curve - calibrated on OIS */
private static final double[] DSC_EUR_MARKET_QUOTES =
new double[] {
0.001725, 0.00170, 0.00196, 0.00193, 0.00186, 0.00181, 0.00172, 0.00174, 0.002015, 0.00321,
0.00491, 0.0068, 0.01061, 0.01539
};
/** Generators for the dsc EUR curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] DSC_EUR_GENERATORS =
new GeneratorInstrument<?>[] {
GENERATOR_DEPOSIT_ON_EUR,
GENERATOR_DEPOSIT_ON_EUR,
GENERATOR_OIS_EUR,
GENERATOR_OIS_EUR,
GENERATOR_OIS_EUR,
GENERATOR_OIS_EUR,
GENERATOR_OIS_EUR,
GENERATOR_OIS_EUR,
GENERATOR_OIS_EUR,
GENERATOR_OIS_EUR,
GENERATOR_OIS_EUR,
GENERATOR_OIS_EUR,
GENERATOR_OIS_EUR,
GENERATOR_OIS_EUR
};
/** Tenors for the dsc EUR curve */
private static final Period[] DSC_EUR_TENOR =
new Period[] {
Period.ofDays(0),
Period.ofDays(1),
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(7),
Period.ofYears(10)
};
private static final GeneratorAttributeIR[] DSC_EUR_ATTR =
new GeneratorAttributeIR[DSC_EUR_TENOR.length];
static {
for (int loopins = 0; loopins < 2; loopins++) {
DSC_EUR_ATTR[loopins] = new GeneratorAttributeIR(DSC_EUR_TENOR[loopins], Period.ZERO);
}
for (int loopins = 2; loopins < DSC_EUR_TENOR.length; loopins++) {
DSC_EUR_ATTR[loopins] = new GeneratorAttributeIR(DSC_EUR_TENOR[loopins]);
}
}
/** Market values for the FX EUR USD FX swaps */
private static final double[] DSC_EURUSD_MARKET_FORWARD =
new double[] {
1.387673, 1.387625, 1.3875895, 1.38755, 1.387566,
1.387777, 1.39303, 1.406789, 1.427726, 1.4525105
};
private static final int NB_DSC_EURUSD_QUOTES = DSC_EURUSD_MARKET_FORWARD.length;
private static final double[] DSC_EURUSD_MARKET_QUOTES = new double[NB_DSC_EURUSD_QUOTES];
static {
for (int loopquote = 0; loopquote < NB_DSC_EURUSD_QUOTES; loopquote++) {
DSC_EURUSD_MARKET_QUOTES[loopquote] = DSC_EURUSD_MARKET_FORWARD[loopquote] - FX_EURUSD;
}
}
/** Generators for the dsc FX curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] DSC_EURUSD_GENERATORS =
new GeneratorInstrument<?>[] {
GENERATOR_FX_EURUSD, GENERATOR_FX_EURUSD, GENERATOR_FX_EURUSD, GENERATOR_FX_EURUSD,
GENERATOR_FX_EURUSD,
GENERATOR_FX_EURUSD, GENERATOR_FX_EURUSD, GENERATOR_FX_EURUSD, GENERATOR_FX_EURUSD,
GENERATOR_FX_EURUSD
};
/** Tenors for the dsc FX curve */
private static final Period[] DSC_EURUSD_TENOR =
new Period[] {
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)
};
private static final GeneratorAttribute[] DSC_EURUSD_ATTR =
new GeneratorAttribute[DSC_EUR_TENOR.length];
static {
for (int loopins = 0; loopins < DSC_EURUSD_TENOR.length; loopins++) {
DSC_EURUSD_ATTR[loopins] = new GeneratorAttributeFX(DSC_EURUSD_TENOR[loopins], FX_MATRIX);
}
}
/** Standard USD discounting curve instrument definitions */
private static final InstrumentDefinition<?>[] DEFINITIONS_DSC_USD;
/** Standard EUR discounting curve instrument definitions */
private static final InstrumentDefinition<?>[] DEFINITIONS_DSC_EUR;
/** Standard EUR discounting curve instrument definitions */
private static final InstrumentDefinition<?>[] DEFINITIONS_DSC_FX;
/** Units of curves */
private static final int[] NB_UNITS = new int[] {2, 2, 2};
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 MULTICURVE_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_USD = getDefinitions(DSC_USD_MARKET_QUOTES, DSC_USD_GENERATORS, DSC_USD_ATTR);
DEFINITIONS_DSC_EUR = getDefinitions(DSC_EUR_MARKET_QUOTES, DSC_EUR_GENERATORS, DSC_EUR_ATTR);
DEFINITIONS_DSC_FX =
getDefinitions(DSC_EURUSD_MARKET_QUOTES, DSC_EURUSD_GENERATORS, DSC_EURUSD_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] = new InstrumentDefinition<?>[NB_UNITS[0]][][];
DEFINITIONS_UNITS[0][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD};
DEFINITIONS_UNITS[0][1] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_EUR};
DEFINITIONS_UNITS[1] = new InstrumentDefinition<?>[NB_UNITS[0]][][];
DEFINITIONS_UNITS[1][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD};
DEFINITIONS_UNITS[1][1] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_FX};
DEFINITIONS_UNITS[2] = new InstrumentDefinition<?>[NB_UNITS[0]][][];
DEFINITIONS_UNITS[2][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_EUR};
DEFINITIONS_UNITS[2][1] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_FX};
final GeneratorYDCurve genIntLin =
new GeneratorCurveYieldInterpolated(MATURITY_CALCULATOR, INTERPOLATOR_LINEAR);
GENERATORS_UNITS[0] = new GeneratorYDCurve[NB_UNITS[0]][];
GENERATORS_UNITS[0][0] = new GeneratorYDCurve[] {genIntLin};
GENERATORS_UNITS[0][1] = new GeneratorYDCurve[] {genIntLin};
GENERATORS_UNITS[1] = new GeneratorYDCurve[NB_UNITS[0]][];
GENERATORS_UNITS[1][0] = new GeneratorYDCurve[] {genIntLin};
GENERATORS_UNITS[1][1] = new GeneratorYDCurve[] {genIntLin};
GENERATORS_UNITS[2] = new GeneratorYDCurve[NB_UNITS[0]][];
GENERATORS_UNITS[2][0] = new GeneratorYDCurve[] {genIntLin};
GENERATORS_UNITS[2][1] = new GeneratorYDCurve[] {genIntLin};
NAMES_UNITS[0] = new String[NB_UNITS[0]][];
NAMES_UNITS[0][0] = new String[] {CURVE_NAME_DSC_USD};
NAMES_UNITS[0][1] = new String[] {CURVE_NAME_DSC_EUR};
NAMES_UNITS[1] = new String[NB_UNITS[0]][];
NAMES_UNITS[1][0] = new String[] {CURVE_NAME_DSC_USD};
NAMES_UNITS[1][1] = new String[] {CURVE_NAME_DSC_EUR};
NAMES_UNITS[2] = new String[NB_UNITS[0]][];
NAMES_UNITS[2][0] = new String[] {CURVE_NAME_DSC_EUR};
NAMES_UNITS[2][1] = new String[] {CURVE_NAME_DSC_USD};
DSC_MAP.put(CURVE_NAME_DSC_USD, USD);
DSC_MAP.put(CURVE_NAME_DSC_EUR, EUR);
FWD_ON_MAP.put(CURVE_NAME_DSC_USD, new IndexON[] {INDEX_ON_USD});
FWD_ON_MAP.put(CURVE_NAME_DSC_EUR, new IndexON[] {INDEX_ON_EUR});
}
@SuppressWarnings("unchecked")
public static InstrumentDefinition<?>[] getDefinitions(
final double[] marketQuotes,
@SuppressWarnings("rawtypes") 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<>();
// Calculators
private static final ParSpreadMarketQuoteDiscountingCalculator PSMQDC =
ParSpreadMarketQuoteDiscountingCalculator.getInstance();
private static final ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator PSMQCSDC =
ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator.getInstance();
private static final MulticurveDiscountBuildingRepository CURVE_BUILDING_REPOSITORY =
new MulticurveDiscountBuildingRepository(TOLERANCE_ROOT, TOLERANCE_ROOT, STEP_MAX);
static {
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],
MULTICURVE_KNOWN_DATA,
PSMQDC,
PSMQCSDC,
false));
}
}
public static Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> getCurvesEUROisUSDOis() {
return CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0);
}
public static Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> getCurvesUSDOisEURFx() {
return CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(1);
}
public static Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> getCurvesEUROisUSDFx() {
return CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(2);
}
/**
* Returns the array of overnight index used in the curve data set.
*
* @return The array: USDFEDFUND, EUREOINIA
*/
public static IndexON[] indexONArray() {
return new IndexON[] {USDFEDFUND, EUREONIA};
}
/**
* Returns the array of calendars used in the curve data set.
*
* @return The array: NYC, TARGET
*/
public static HolidayCalendar[] calendarArray() {
return new HolidayCalendar[] {NYC, TARGET};
}
@SuppressWarnings("unchecked")
private static Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle>
makeCurvesFromDefinitions(
final InstrumentDefinition<?>[][][] definitions,
final GeneratorYDCurve[][] curveGenerators,
final String[][] curveNames,
final MulticurveProviderDiscount knownData,
final InstrumentDerivativeVisitor<ParameterProviderInterface, Double> calculator,
final InstrumentDerivativeVisitor<ParameterProviderInterface, MulticurveSensitivity>
sensitivityCalculator,
final boolean withToday) {
final int nUnits = definitions.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[] rates = new double[nInstruments];
for (int k = 0; k < nInstruments; k++) {
derivatives[k] = convert(definitions[i][j][k], withToday);
rates[k] = initialGuess(definitions[i][j][k]);
}
final GeneratorYDCurve generator = curveGenerators[i][j].finalGenerator(derivatives);
final double[] initialGuess = generator.initialGuess(rates);
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<?> instrument, final boolean withToday) {
InstrumentDerivative ird;
if (instrument instanceof SwapFixedONDefinition) {
ird = ((SwapFixedONDefinition) instrument).toDerivative(NOW, getTSSwapFixedON(withToday));
} else {
ird = instrument.toDerivative(NOW);
}
return ird;
}
private static ZonedDateTimeDoubleTimeSeries[] getTSSwapFixedON(final Boolean withToday) {
return withToday ? TS_FIXED_OIS_USD_WITH_TODAY : TS_FIXED_OIS_USD_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();
}
if (instrument instanceof InterestRateFutureTransactionDefinition) {
return 1 - ((InterestRateFutureTransactionDefinition) instrument).getTradePrice();
}
return 0.01;
}
}
