/** Build of inflation curve in several blocks with relevant Jacobian matrice. */
public class InflationBuildingCurveSimpleTestEUR {
private static final Interpolator1D INTERPOLATOR_LINEAR =
CombinedInterpolatorExtrapolatorFactory.getInterpolator(
Interpolator1DFactory.LOG_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 Currency EUR = Currency.EUR;
private static final double NOTIONAL = 1.0;
private static final GeneratorSwapFixedInflationZeroCoupon GENERATOR_INFLATION_SWAP =
GeneratorSwapFixedInflationMaster.getInstance().getGenerator("EURHICP");
private static final IndexPrice EUR_HICP = GENERATOR_INFLATION_SWAP.getIndexPrice();
private static final ZonedDateTime NOW = DateUtils.getUTCDate(2012, 9, 28);
private static final ZonedDateTimeDoubleTimeSeries TS_PRICE_INDEX_USD_WITH_TODAY =
ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(
new ZonedDateTime[] {
DateUtils.getUTCDate(2011, 9, 27), DateUtils.getUTCDate(2011, 9, 28)
},
new double[] {200, 200});
private static final ZonedDateTimeDoubleTimeSeries TS_PRICE_INDEX_USD_WITHOUT_TODAY =
ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(
new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27)}, new double[] {100});
@SuppressWarnings("rawtypes")
private static final DoubleTimeSeries[] TS_FIXED_PRICE_INDEX_USD_WITH_TODAY =
new DoubleTimeSeries[] {TS_PRICE_INDEX_USD_WITH_TODAY};
@SuppressWarnings("rawtypes")
private static final DoubleTimeSeries[] TS_FIXED_PRICE_INDEX_USD_WITHOUT_TODAY =
new DoubleTimeSeries[] {TS_PRICE_INDEX_USD_WITHOUT_TODAY};
private static final String CURVE_NAME_HICP_EUR = "EUR HICP";
/** Market values for the HICP EUR curve */
public static final double[] HICP_EUR_MARKET_QUOTES =
new double[] {
0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200,
0.0200, 0.0200, 0.0200, 0.0200
};
/** Generators for the HICP EUR curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] HICP_EUR_GENERATORS =
new GeneratorInstrument<?>[] {
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP,
GENERATOR_INFLATION_SWAP
};
/** Tenors for the HICP EUR curve */
private static final Period[] HICP_EUR_TENOR =
new Period[] {
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),
Period.ofYears(12),
Period.ofYears(15),
Period.ofYears(20),
Period.ofYears(25),
Period.ofYears(30)
};
private static final GeneratorAttributeIR[] HICP_EUR_ATTR =
new GeneratorAttributeIR[HICP_EUR_TENOR.length];
static {
for (int loopins = 0; loopins < HICP_EUR_TENOR.length; loopins++) {
HICP_EUR_ATTR[loopins] = new GeneratorAttributeIR(HICP_EUR_TENOR[loopins]);
}
}
/** Standard EUR HICP curve instrument definitions */
private static final InstrumentDefinition<?>[] DEFINITIONS_HICP_EUR;
/** Units of curves */
private static final int[] NB_UNITS = new int[] {1};
private static final int NB_BLOCKS = NB_UNITS.length;
private static final InstrumentDefinition<?>[][][][] DEFINITIONS_UNITS =
new InstrumentDefinition<?>[NB_BLOCKS][][][];
private static final GeneratorPriceIndexCurve[][][] GENERATORS_UNITS =
new GeneratorPriceIndexCurve[NB_BLOCKS][][];
private static final String[][][] NAMES_UNITS = new String[NB_BLOCKS][][];
private static final MulticurveProviderDiscount eurMulticurveProviderDiscount =
MulticurveProviderDiscountDataSets.createMulticurveEurUsd().copy();
private static final InflationProviderDiscount KNOWN_DATA =
new InflationProviderDiscount(eurMulticurveProviderDiscount);
private static final LinkedHashMap<String, IndexPrice[]> EUR_HICP_MAP = new LinkedHashMap<>();
static {
DEFINITIONS_HICP_EUR =
getDefinitions(HICP_EUR_MARKET_QUOTES, HICP_EUR_GENERATORS, HICP_EUR_ATTR);
for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) {
DEFINITIONS_UNITS[loopblock] = new InstrumentDefinition<?>[NB_UNITS[loopblock]][][];
GENERATORS_UNITS[loopblock] = new GeneratorPriceIndexCurve[NB_UNITS[loopblock]][];
NAMES_UNITS[loopblock] = new String[NB_UNITS[loopblock]][];
}
DEFINITIONS_UNITS[0][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_HICP_EUR};
final GeneratorPriceIndexCurve genIntLin =
new GeneratorPriceIndexCurveInterpolated(MATURITY_CALCULATOR, INTERPOLATOR_LINEAR);
GENERATORS_UNITS[0][0] = new GeneratorPriceIndexCurve[] {genIntLin};
NAMES_UNITS[0][0] = new String[] {CURVE_NAME_HICP_EUR};
EUR_HICP_MAP.put(CURVE_NAME_HICP_EUR, new IndexPrice[] {EUR_HICP});
}
private static final String NOT_USED = "Not used";
private static final String[] NOT_USED_2 = {NOT_USED, NOT_USED};
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<InflationProviderDiscount, CurveBuildingBlockBundle>>
CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK =
new ArrayList<Pair<InflationProviderDiscount, CurveBuildingBlockBundle>>();
// Calculator
private static final PresentValueDiscountingInflationCalculator PVIC =
PresentValueDiscountingInflationCalculator.getInstance();
private static final ParSpreadInflationMarketQuoteDiscountingCalculator PSIMQC =
ParSpreadInflationMarketQuoteDiscountingCalculator.getInstance();
private static final ParSpreadInflationMarketQuoteCurveSensitivityDiscountingCalculator PSIMQCSC =
ParSpreadInflationMarketQuoteCurveSensitivityDiscountingCalculator.getInstance();
private static final InflationDiscountBuildingRepository CURVE_BUILDING_REPOSITORY =
new InflationDiscountBuildingRepository(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,
PSIMQC,
PSIMQCSC,
false));
}
}
@Test(enabled = false)
public void performance() {
long startTime, endTime;
final int nbTest = 1000;
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
makeCurvesFromDefinitions(
DEFINITIONS_UNITS[0],
GENERATORS_UNITS[0],
NAMES_UNITS[0],
KNOWN_DATA,
PSIMQC,
PSIMQCSC,
false);
}
endTime = System.currentTimeMillis();
System.out.println(
"InflationBuildingCurveSimpleTestEUR - "
+ nbTest
+ " curve construction Price index EUR 1 units: "
+ (endTime - startTime)
+ " ms");
// Performance note: curve construction Price index EUR 1 units: 27-Mar-13: On Dell Precision
// T1850 3.5 GHz Quad-Core Intel Xeon: 2816 ms for 1000 sets.
}
@Test
public void curveConstructionGeneratorOtherBlocks() {
for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) {
curveConstructionTest(
DEFINITIONS_UNITS[loopblock],
CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getFirst(),
false,
loopblock);
}
}
public void curveConstructionTest(
final InstrumentDefinition<?>[][][] definitions,
final InflationProviderDiscount 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], 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(PVIC, curves), EUR)
.getAmount();
assertEquals(
"Curve construction: block "
+ block
+ ", unit "
+ loopblock
+ " - instrument "
+ loopins,
0,
pv[loopcurve][loopins],
TOLERANCE_CAL);
}
}
}
}
private static Pair<InflationProviderDiscount, CurveBuildingBlockBundle>
makeCurvesFromDefinitions(
final InstrumentDefinition<?>[][][] definitions,
final GeneratorPriceIndexCurve[][] curveGenerators,
final String[][] curveNames,
final InflationProviderDiscount knownData,
final InstrumentDerivativeVisitor<InflationProviderInterface, Double> calculator,
final InstrumentDerivativeVisitor<InflationProviderInterface, InflationSensitivity>
sensitivityCalculator,
final boolean withToday) {
final int nbUnits = curveGenerators.length;
final double[][] parametersGuess = new double[nbUnits][];
final GeneratorPriceIndexCurve[][] generatorFinal = new GeneratorPriceIndexCurve[nbUnits][];
final InstrumentDerivative[][][] instruments = new InstrumentDerivative[nbUnits][][];
for (int loopunit = 0; loopunit < nbUnits; loopunit++) {
generatorFinal[loopunit] = new GeneratorPriceIndexCurve[curveGenerators[loopunit].length];
int nbInsUnit = 0;
for (int loopcurve = 0; loopcurve < curveGenerators[loopunit].length; loopcurve++) {
nbInsUnit += definitions[loopunit][loopcurve].length;
}
parametersGuess[loopunit] = new double[nbInsUnit];
int startCurve = 0; // First parameter index of the curve in the unit.
instruments[loopunit] = convert(definitions[loopunit], loopunit, withToday);
for (int loopcurve = 0; loopcurve < curveGenerators[loopunit].length; loopcurve++) {
generatorFinal[loopunit][loopcurve] =
curveGenerators[loopunit][loopcurve].finalGenerator(instruments[loopunit][loopcurve]);
final double[] guessCurve =
generatorFinal[loopunit][loopcurve].initialGuess(
initialGuess(definitions[loopunit][loopcurve]));
System.arraycopy(
guessCurve,
0,
parametersGuess[loopunit],
startCurve,
instruments[loopunit][loopcurve].length);
startCurve += instruments[loopunit][loopcurve].length;
}
}
return CURVE_BUILDING_REPOSITORY.makeCurvesFromDerivatives(
instruments,
generatorFinal,
curveNames,
parametersGuess,
knownData,
EUR_HICP_MAP,
calculator,
sensitivityCalculator);
}
@SuppressWarnings("unchecked")
private static InstrumentDerivative[][] convert(
final InstrumentDefinition<?>[][] definitions, final int unit, final boolean withToday) {
// int nbDef = 0;
// for (final InstrumentDefinition<?>[] definition : definitions) {
// nbDef += definition.length;
// }
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 SwapFixedInflationZeroCouponDefinition) {
/* ird = ((SwapFixedInflationZeroCouponDefinition) instrument).toDerivative(NOW, getTSSwapFixedInflation(withToday, unit), NOT_USED_2);*/
final Annuity<? extends Payment> ird1 =
((SwapFixedInflationZeroCouponDefinition) instrument)
.getFirstLeg()
.toDerivative(NOW, NOT_USED_2);
final Annuity<? extends Payment> ird2 =
((SwapFixedInflationZeroCouponDefinition) instrument)
.getSecondLeg()
.toDerivative(NOW, TS_PRICE_INDEX_USD_WITH_TODAY, NOT_USED_2);
ird = new Swap<>(ird1, ird2);
} else {
ird = instrument.toDerivative(NOW, NOT_USED_2);
}
instruments[loopcurve][loopins++] = ird;
}
}
return instruments;
}
@SuppressWarnings("rawtypes")
private static DoubleTimeSeries[] getTSSwapFixedInflation(
final Boolean withToday, final Integer unit) {
switch (unit) {
case 0:
return withToday
? TS_FIXED_PRICE_INDEX_USD_WITH_TODAY
: TS_FIXED_PRICE_INDEX_USD_WITHOUT_TODAY;
case 1:
return withToday
? TS_FIXED_PRICE_INDEX_USD_WITH_TODAY
: TS_FIXED_PRICE_INDEX_USD_WITHOUT_TODAY;
default:
throw new IllegalArgumentException(unit.toString());
}
}
private static double[] initialGuess(final InstrumentDefinition<?>[] definitions) {
final double[] result = new double[definitions.length];
int loopr = 0;
for (final InstrumentDefinition<?> definition : definitions) {
result[loopr++] = initialGuess(definition);
}
return result;
}
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 SwapFixedInflationZeroCouponDefinition) {
if (((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg().getNthPayment(0)
instanceof CouponInflationZeroCouponMonthlyDefinition) {
return ((CouponInflationZeroCouponMonthlyDefinition)
((SwapFixedInflationZeroCouponDefinition) instrument)
.getFirstLeg()
.getNthPayment(0))
.getIndexStartValue();
}
if (((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg().getNthPayment(0)
instanceof CouponInflationZeroCouponInterpolationDefinition) {
return ((CouponInflationZeroCouponInterpolationDefinition)
((SwapFixedInflationZeroCouponDefinition) instrument)
.getFirstLeg()
.getNthPayment(0))
.getIndexStartValue();
}
return 100;
}
if (instrument instanceof ForwardRateAgreementDefinition) {
return ((ForwardRateAgreementDefinition) instrument).getRate();
}
if (instrument instanceof CashDefinition) {
return ((CashDefinition) instrument).getRate();
}
return 1;
}
}
/**
* Build of inflation curve and discount curve simultaneously in several blocks with relevant
* Jacobian matrices.
*/
@Test(groups = TestGroup.UNIT)
public class InflationBuildingCurveWithDiscountTestUSD {
private static final Interpolator1D INTERPOLATOR_LINEAR =
CombinedInterpolatorExtrapolatorFactory.getInterpolator(
Interpolator1DFactory.LOG_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 Currency USD = Currency.USD;
private static final Calendar NYC = new MondayToFridayCalendar("NYC");
private static final FXMatrix FX_MATRIX = new FXMatrix(USD);
private static final double NOTIONAL = 1.0;
private static final GeneratorSwapFixedON GENERATOR_OIS_USD =
GeneratorSwapFixedONMaster.getInstance().getGenerator("USD1YFEDFUND", NYC);
private static final IndexON INDEX_ON_USD = GENERATOR_OIS_USD.getIndex();
private static final GeneratorDepositON GENERATOR_DEPOSIT_ON_USD =
new GeneratorDepositON("USD Deposit ON", USD, NYC, INDEX_ON_USD.getDayCount());
private static final GeneratorSwapFixedInflationZeroCoupon GENERATOR_INFALTION_SWAP =
GeneratorSwapFixedInflationMaster.getInstance().getGenerator("USCPI");
private static final IndexPrice US_CPI = GENERATOR_INFALTION_SWAP.getIndexPrice();
private static final ZonedDateTime NOW = DateUtils.getUTCDate(2012, 9, 28);
private static final ZonedDateTimeDoubleTimeSeries TS_PRICE_INDEX_USD_WITH_TODAY =
ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(
new ZonedDateTime[] {
DateUtils.getUTCDate(2011, 9, 27),
DateUtils.getUTCDate(2011, 9, 28),
DateUtils.getUTCDate(2012, 6, 30),
DateUtils.getUTCDate(2012, 7, 31)
},
new double[] {200, 200, 200, 200});
private static final String CURVE_NAME_DSC_USD = "USD Dsc";
private static final String CURVE_NAME_CPI_USD = "USD CPI";
/** Market values for the dsc USD curve */
private static final double[] DSC_USD_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_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.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_USD_ATTR =
new GeneratorAttributeIR[DSC_USD_TENOR.length];
static {
for (int loopins = 0; loopins < DSC_USD_TENOR.length; loopins++) {
DSC_USD_ATTR[loopins] = new GeneratorAttributeIR(DSC_USD_TENOR[loopins]);
}
}
/** Market values for the CPI USD curve */
public static final double[] CPI_USD_MARKET_QUOTES =
new double[] {
0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200,
0.0200, 0.0200, 0.0200, 0.0200
};
/** Generators for the CPI USD curve */
public static final GeneratorInstrument<? extends GeneratorAttribute>[] CPI_USD_GENERATORS =
new GeneratorInstrument<?>[] {
GENERATOR_INFALTION_SWAP,
GENERATOR_INFALTION_SWAP,
GENERATOR_INFALTION_SWAP,
GENERATOR_INFALTION_SWAP,
GENERATOR_INFALTION_SWAP,
GENERATOR_INFALTION_SWAP,
GENERATOR_INFALTION_SWAP,
GENERATOR_INFALTION_SWAP,
GENERATOR_INFALTION_SWAP,
GENERATOR_INFALTION_SWAP,
GENERATOR_INFALTION_SWAP,
GENERATOR_INFALTION_SWAP,
GENERATOR_INFALTION_SWAP,
GENERATOR_INFALTION_SWAP,
GENERATOR_INFALTION_SWAP
};
/** Tenors for the CPI USD curve */
public static final Period[] CPI_USD_TENOR =
new Period[] {
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),
Period.ofYears(12),
Period.ofYears(15),
Period.ofYears(20),
Period.ofYears(25),
Period.ofYears(30)
};
public static final GeneratorAttributeIR[] CPI_USD_ATTR =
new GeneratorAttributeIR[CPI_USD_TENOR.length];
static {
for (int loopins = 0; loopins < CPI_USD_TENOR.length; loopins++) {
CPI_USD_ATTR[loopins] = new GeneratorAttributeIR(CPI_USD_TENOR[loopins]);
}
}
/** Standard USD discounting curve instrument definitions */
private static final InstrumentDefinition<?>[] DEFINITIONS_DSC_USD;
/** Standard USD CPI curve instrument definitions */
public static final InstrumentDefinition<?>[] DEFINITIONS_CPI_USD;
/** Units of curves */
public static final int[] NB_UNITS = new int[] {2, 1};
public static final int NB_BLOCKS = NB_UNITS.length;
public static final InstrumentDefinition<?>[][][][] DEFINITIONS_UNITS =
new InstrumentDefinition<?>[NB_BLOCKS][][][];
public static final GeneratorCurve[][][] GENERATORS_UNITS = new GeneratorCurve[NB_BLOCKS][][];
public static final String[][][] NAMES_UNITS = new String[NB_BLOCKS][][];
private static final InflationProviderDiscount KNOWN_DATA =
new InflationProviderDiscount(FX_MATRIX);
private static final LinkedHashMap<String, Currency> DSC_MAP = new LinkedHashMap<>();
private static final LinkedHashMap<String, IndexON[]> FWD_ON_MAP = new LinkedHashMap<>();
public static final LinkedHashMap<String, IndexPrice[]> US_CPI_MAP = new LinkedHashMap<>();
static {
DEFINITIONS_DSC_USD = getDefinitions(DSC_USD_MARKET_QUOTES, DSC_USD_GENERATORS, DSC_USD_ATTR);
DEFINITIONS_CPI_USD = getDefinitions(CPI_USD_MARKET_QUOTES, CPI_USD_GENERATORS, CPI_USD_ATTR);
for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) {
DEFINITIONS_UNITS[loopblock] = new InstrumentDefinition<?>[NB_UNITS[loopblock]][][];
GENERATORS_UNITS[loopblock] = new GeneratorCurve[NB_UNITS[loopblock]][];
NAMES_UNITS[loopblock] = new String[NB_UNITS[loopblock]][];
}
DEFINITIONS_UNITS[0][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD};
DEFINITIONS_UNITS[0][1] = new InstrumentDefinition<?>[][] {DEFINITIONS_CPI_USD};
DEFINITIONS_UNITS[1][0] =
new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_USD, DEFINITIONS_CPI_USD};
final GeneratorYDCurve genIntLinDiscount =
new GeneratorCurveYieldInterpolated(MATURITY_CALCULATOR, INTERPOLATOR_LINEAR);
final GeneratorPriceIndexCurve genIntLinInflation =
new GeneratorPriceIndexCurveInterpolated(MATURITY_CALCULATOR, INTERPOLATOR_LINEAR);
GENERATORS_UNITS[0][0] = new GeneratorYDCurve[] {genIntLinDiscount};
GENERATORS_UNITS[0][1] = new GeneratorPriceIndexCurve[] {genIntLinInflation};
GENERATORS_UNITS[1][0] = new GeneratorCurve[] {genIntLinDiscount, genIntLinInflation};
NAMES_UNITS[0][0] = new String[] {CURVE_NAME_DSC_USD};
NAMES_UNITS[0][1] = new String[] {CURVE_NAME_CPI_USD};
NAMES_UNITS[1][0] = new String[] {CURVE_NAME_DSC_USD, CURVE_NAME_CPI_USD};
DSC_MAP.put(CURVE_NAME_DSC_USD, USD);
FWD_ON_MAP.put(CURVE_NAME_DSC_USD, new IndexON[] {INDEX_ON_USD});
US_CPI_MAP.put(CURVE_NAME_CPI_USD, new IndexPrice[] {US_CPI});
}
@SuppressWarnings({"unchecked", "rawtypes"})
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<InflationProviderDiscount, CurveBuildingBlockBundle>>
CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK = new ArrayList<>();
// Calculator
private static final PresentValueDiscountingInflationCalculator PVIC =
PresentValueDiscountingInflationCalculator.getInstance();
private static final PresentValueCurveSensitivityDiscountingInflationCalculator PVCSDIC =
PresentValueCurveSensitivityDiscountingInflationCalculator.getInstance();
private static final ParSpreadInflationMarketQuoteDiscountingCalculator PSIMQC =
ParSpreadInflationMarketQuoteDiscountingCalculator.getInstance();
private static final ParSpreadInflationMarketQuoteCurveSensitivityDiscountingCalculator PSIMQCSC =
ParSpreadInflationMarketQuoteCurveSensitivityDiscountingCalculator.getInstance();
private static final InflationDiscountBuildingRepositoryWithDiscount CURVE_BUILDING_REPOSITORY =
new InflationDiscountBuildingRepositoryWithDiscount(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,
PSIMQC,
PSIMQCSC));
}
}
public List<Pair<InflationProviderDiscount, CurveBuildingBlockBundle>> getCurvesWithBlock() {
initClass();
return CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK;
}
@Test(enabled = false)
public void comparison1Unit2Units() {
final InflationProviderDiscount[] units = new InflationProviderDiscount[2];
final CurveBuildingBlockBundle[] bb = new CurveBuildingBlockBundle[2];
final YieldAndDiscountCurve[] curveDsc = new YieldAndDiscountCurve[2];
final PriceIndexCurve[] curveInflation = new PriceIndexCurve[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(USD);
curveInflation[loopblock] = units[loopblock].getCurve(US_CPI);
}
assertEquals(
"Curve construction: 1 unit / 3 units ",
curveDsc[0].getNumberOfParameters(),
curveDsc[1].getNumberOfParameters());
assertEquals(
"Curve construction: 1 unit / 3 units ",
curveInflation[0].getNumberOfParameters(),
curveInflation[1].getNumberOfParameters());
assertArrayEquals(
"Curve construction: 1 unit / 3 units ",
ArrayUtils.toPrimitive(((YieldCurve) curveDsc[0]).getCurve().getXData()),
ArrayUtils.toPrimitive(((YieldCurve) curveDsc[1]).getCurve().getXData()),
TOLERANCE_CAL);
assertArrayEquals(
"Curve construction: 1 unit / 3 units ",
ArrayUtils.toPrimitive(((YieldCurve) curveDsc[0]).getCurve().getYData()),
ArrayUtils.toPrimitive(((YieldCurve) curveDsc[1]).getCurve().getYData()),
TOLERANCE_CAL);
assertArrayEquals(
"Curve construction: 1 unit / 3 units ",
ArrayUtils.toPrimitive(((PriceIndexCurveSimple) curveInflation[0]).getCurve().getXData()),
ArrayUtils.toPrimitive(((PriceIndexCurveSimple) curveInflation[1]).getCurve().getXData()),
TOLERANCE_CAL);
assertArrayEquals(
"Curve construction: 1 unit / 3 units ",
ArrayUtils.toPrimitive(((PriceIndexCurveSimple) curveInflation[0]).getCurve().getYData()),
ArrayUtils.toPrimitive(((PriceIndexCurveSimple) curveInflation[1]).getCurve().getYData()),
TOLERANCE_CAL);
}
@Test(enabled = false)
public void performance() {
long startTime, endTime;
final int nbTest = 1000;
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
makeCurvesFromDefinitions(
DEFINITIONS_UNITS[0], GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PSIMQC, PSIMQCSC);
}
endTime = System.currentTimeMillis();
System.out.println(
"MulticurveBuildingDiscountingDiscountXCcyTest - "
+ nbTest
+ " curve construction / USD/EUR 3 units: "
+ (endTime - startTime)
+ " ms");
// Performance note: curve construction Price index EUR and discount EUR 1 units: 27-Mar-13: On
// Dell Precision T1850 3.5 GHz Quad-Core Intel Xeon: 5869 ms for 1000 sets.
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
makeCurvesFromDefinitions(
DEFINITIONS_UNITS[1], GENERATORS_UNITS[1], NAMES_UNITS[1], KNOWN_DATA, PSIMQC, PSIMQCSC);
}
endTime = System.currentTimeMillis();
System.out.println(nbTest + " curve construction / 1 unit: " + (endTime - startTime) + " ms");
// Performance note: curve construction Price index EUR and discount EUR 1 units: 27-Mar-13: On
// Dell Precision T1850 3.5 GHz Quad-Core Intel Xeon: 9153 ms for 1000 sets.
}
@Test
public void curveConstructionGeneratorOtherBlocks() {
for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) {
curveConstructionTest(
DEFINITIONS_UNITS[loopblock],
CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getFirst(),
loopblock);
}
}
@Test(enabled = false)
/** Analyzes the shape of the forward curve. */
public void marketQuoteSensitivityAnalysis() {
final InflationProviderDiscount multicurves7 =
CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(1).getFirst();
multicurves7.setAll(CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).getFirst());
final CurveBuildingBlockBundle blocks7 =
CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(1).getSecond();
blocks7.addAll(CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).getSecond());
final double spreadJPYEUR = 0.0010; // 10bps
final double notional = 100000;
final GeneratorAttributeIR swapAttribute = new GeneratorAttributeIR(Period.ofYears(4));
final SwapFixedInflationZeroCouponDefinition swapDefinition =
GENERATOR_INFALTION_SWAP.generateInstrument(NOW, spreadJPYEUR, notional, swapAttribute);
final InstrumentDerivative swap =
swapDefinition.toDerivative(
NOW,
new ZonedDateTimeDoubleTimeSeries[] {
TS_PRICE_INDEX_USD_WITH_TODAY, TS_PRICE_INDEX_USD_WITH_TODAY
});
final ParameterSensitivityInflationParameterCalculator<ParameterInflationProviderInterface>
PSC = new ParameterSensitivityInflationParameterCalculator<>(PVCSDIC);
final MarketQuoteInflationSensitivityBlockCalculator<ParameterInflationProviderInterface> MQSC =
new MarketQuoteInflationSensitivityBlockCalculator<>(PSC);
@SuppressWarnings("unused")
final MultipleCurrencyParameterSensitivity mqs =
MQSC.fromInstrument(swap, multicurves7, blocks7);
}
private void curveConstructionTest(
final InstrumentDefinition<?>[][][] definitions,
final InflationProviderDiscount curves,
final int block) {
final int nbBlocks = definitions.length;
for (int loopblock = 0; loopblock < nbBlocks; loopblock++) {
final InstrumentDerivative[][] instruments = convert(definitions[loopblock]);
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(PVIC, curves), USD)
.getAmount();
assertEquals(
"Curve construction: block "
+ block
+ ", unit "
+ loopblock
+ " - instrument "
+ loopins,
0,
pv[loopcurve][loopins],
TOLERANCE_CAL);
}
}
}
}
@SuppressWarnings("unchecked")
private static Pair<InflationProviderDiscount, CurveBuildingBlockBundle>
makeCurvesFromDefinitions(
final InstrumentDefinition<?>[][][] definitions,
final GeneratorCurve[][] curveGenerators,
final String[][] curveNames,
final InflationProviderDiscount knownData,
final InstrumentDerivativeVisitor<ParameterInflationProviderInterface, Double> calculator,
final InstrumentDerivativeVisitor<
ParameterInflationProviderInterface, InflationSensitivity>
sensitivityCalculator) {
final int nUnits = definitions.length;
final MultiCurveBundle<GeneratorCurve>[] curveBundles = new MultiCurveBundle[nUnits];
for (int i = 0; i < nUnits; i++) {
final int nCurves = definitions[i].length;
final SingleCurveBundle<GeneratorCurve>[] 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]);
initialGuess[k] = initialGuess(definitions[i][j][k]);
}
final GeneratorCurve 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_ON_MAP,
US_CPI_MAP,
calculator,
sensitivityCalculator);
}
private static InstrumentDerivative[][] convert(final InstrumentDefinition<?>[][] definitions) {
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 SwapFixedInflationZeroCouponDefinition) {
final Annuity<? extends Payment> ird1 =
((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg().toDerivative(NOW);
final Annuity<? extends Payment> ird2 =
((SwapFixedInflationZeroCouponDefinition) instrument)
.getSecondLeg()
.toDerivative(NOW, TS_PRICE_INDEX_USD_WITH_TODAY);
ird = new Swap<>(ird1, ird2);
} else {
ird = instrument.toDerivative(NOW);
}
instruments[loopcurve][loopins++] = ird;
}
}
return instruments;
}
private static InstrumentDerivative convert(final InstrumentDefinition<?> instrument) {
InstrumentDerivative ird;
if (instrument instanceof SwapFixedInflationZeroCouponDefinition) {
final Annuity<? extends Payment> ird1 =
((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg().toDerivative(NOW);
final Annuity<? extends Payment> ird2 =
((SwapFixedInflationZeroCouponDefinition) instrument)
.getSecondLeg()
.toDerivative(NOW, TS_PRICE_INDEX_USD_WITH_TODAY);
ird = new Swap<>(ird1, ird2);
} else {
ird = instrument.toDerivative(NOW);
}
return ird;
}
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 SwapFixedInflationZeroCouponDefinition) {
if (((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg().getNthPayment(0)
instanceof CouponInflationZeroCouponMonthlyDefinition) {
return 100.0;
}
if (((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg().getNthPayment(0)
instanceof CouponInflationZeroCouponInterpolationDefinition) {
return 100.0;
}
return 100;
}
if (instrument instanceof ForwardRateAgreementDefinition) {
return ((ForwardRateAgreementDefinition) instrument).getRate();
}
if (instrument instanceof CashDefinition) {
return ((CashDefinition) instrument).getRate();
}
return 100;
}
}