static {
CurveInterpolator interp = CurveInterpolators.DOUBLE_QUADRATIC;
DoubleArray time_gbp = DoubleArray.of(0.0, 0.1, 0.25, 0.5, 0.75, 1.0, 2.0);
DoubleArray rate_gbp = DoubleArray.of(0.0160, 0.0165, 0.0155, 0.0155, 0.0155, 0.0150, 0.014);
InterpolatedNodalCurve dscCurve =
InterpolatedNodalCurve.of(
Curves.zeroRates("GBP-Discount", DAY_COUNT), time_gbp, rate_gbp, interp);
DoubleArray time_index = DoubleArray.of(0.0, 0.25, 0.5, 1.0);
DoubleArray rate_index = DoubleArray.of(0.0180, 0.0180, 0.0175, 0.0165);
InterpolatedNodalCurve indexCurve =
InterpolatedNodalCurve.of(
Curves.zeroRates("GBP-GBPIBOR3M", DAY_COUNT), time_index, rate_index, interp);
IMM_PROV =
ImmutableRatesProvider.builder()
.valuationDate(VAL_DATE)
.discountCurves(ImmutableMap.of(GBP, dscCurve))
.indexCurves(ImmutableMap.of(GBP_LIBOR_3M, indexCurve))
.build();
}
/**
* Creates a rates provider from a set of market data containing a single discounting curve, and
* forward curves and fixing series for a given set of indices. All curves are overridden by a
* given replacement.
*
* @param marketData the market data
* @param currency the currency of the discounting curve
* @param indices the indices
* @param curveOverride the curve override
* @return the rates provider
*/
public static RatesProvider toSingleCurveRatesProvider(
SingleCalculationMarketData marketData,
Currency currency,
Set<? extends Index> indices,
NodalCurve curveOverride) {
// TODO - we should be able to replace curves more easily than having to pick out all the
// market data into a new rates provider.
return ImmutableRatesProvider.builder()
.valuationDate(marketData.getValuationDate())
.discountCurves(ImmutableMap.of(currency, curveOverride))
.indexCurves(
indices.stream().collect(toImmutableMap(Function.identity(), k -> curveOverride)))
.timeSeries(
indices
.stream()
.collect(
toImmutableMap(
Function.identity(), k -> marketData.getTimeSeries(IndexRateKey.of(k)))))
.build();
}
/** Test parameter sensitivity with finite difference sensitivity calculator. No cutoff period. */
public void rateChfNoCutOffParameterSensitivity() {
LocalDate[] valuationDate = {date(2015, 1, 1), date(2015, 1, 8)};
double[] time = new double[] {0.0, 0.5, 1.0, 2.0, 5.0, 10.0};
double[] rate = new double[] {0.0100, 0.0110, 0.0115, 0.0130, 0.0135, 0.0135};
for (int loopvaldate = 0; loopvaldate < 2; loopvaldate++) {
Curve onCurve =
InterpolatedNodalCurve.of(Curves.zeroRates("ON", ACT_ACT_ISDA), time, rate, INTERPOLATOR);
ImmutableRatesProvider prov =
ImmutableRatesProvider.builder()
.valuationDate(valuationDate[loopvaldate])
.indexCurves(ImmutableMap.of(CHF_TOIS, onCurve))
.timeSeries(ImmutableMap.of(CHF_TOIS, TIME_SERIES_BUILDER.build()))
.build();
OvernightAveragedRateObservation ro =
OvernightAveragedRateObservation.of(CHF_TOIS, FIXING_START_DATE, FIXING_END_DATE, 0);
ForwardOvernightAveragedRateObservationFn obsFn =
ForwardOvernightAveragedRateObservationFn.DEFAULT;
PointSensitivityBuilder sensitivityBuilderComputed =
obsFn.rateSensitivity(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, prov);
CurveCurrencyParameterSensitivities parameterSensitivityComputed =
prov.curveParameterSensitivity(sensitivityBuilderComputed.build());
CurveCurrencyParameterSensitivities parameterSensitivityExpected =
CAL_FD.sensitivity(
prov,
(p) ->
CurrencyAmount.of(
CHF_TOIS.getCurrency(),
obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, (p))));
assertTrue(
parameterSensitivityComputed.equalWithTolerance(
parameterSensitivityExpected, EPS_FD * 10.0));
}
}
