private static void populateVolatilitySurfaceDefinitions(
final ConfigMaster configMaster, final Currency target, final String name) {
final Tenor[] swaptionExpiries =
new Tenor[] {
Tenor.THREE_MONTHS,
Tenor.SIX_MONTHS,
Tenor.ONE_YEAR,
Tenor.TWO_YEARS,
Tenor.THREE_YEARS,
Tenor.FIVE_YEARS,
Tenor.TEN_YEARS
};
final Tenor[] swapMaturities =
new Tenor[] {
Tenor.ONE_YEAR,
Tenor.TWO_YEARS,
Tenor.THREE_YEARS,
Tenor.FIVE_YEARS,
Tenor.SEVEN_YEARS,
Tenor.TEN_YEARS,
Tenor.ofYears(12),
Tenor.ofYears(15),
Tenor.ofYears(20),
Tenor.ofYears(30)
};
final String fullName =
name + SEPARATOR + target.toString() + SEPARATOR + InstrumentTypeProperties.SWAPTION_ATM;
final VolatilitySurfaceDefinition<Tenor, Tenor> definition =
new VolatilitySurfaceDefinition<>(fullName, target, swapMaturities, swaptionExpiries);
ConfigMasterUtils.storeByName(configMaster, makeConfigDocument(definition));
}
private static void populateVolatilitySurfaceDefinitions(
final ConfigMaster configMaster, final UniqueIdentifiable target) {
final Tenor[] expiryTenors =
new Tenor[] {
Tenor.ofDays(7),
Tenor.ofDays(14),
Tenor.ofDays(21),
Tenor.ofMonths(1),
Tenor.ofMonths(3),
Tenor.ofMonths(6),
Tenor.ofMonths(9),
Tenor.ofYears(1),
Tenor.ofYears(5),
Tenor.ofYears(10)
};
@SuppressWarnings("unchecked")
final Pair<Number, FXVolQuoteType>[] deltaAndTypes =
new Pair[] {
Pair.of(25, FXVolQuoteType.BUTTERFLY),
Pair.of(25, FXVolQuoteType.RISK_REVERSAL),
Pair.of(15, FXVolQuoteType.BUTTERFLY),
Pair.of(15, FXVolQuoteType.RISK_REVERSAL),
Pair.of(0, FXVolQuoteType.ATM)
};
final VolatilitySurfaceDefinition<Tenor, Pair<Number, FXVolQuoteType>> volSurfaceDefinition =
new VolatilitySurfaceDefinition<Tenor, Pair<Number, FXVolQuoteType>>(
"SECONDARY_EURUSD_" + InstrumentTypeProperties.FOREX,
target,
expiryTenors,
deltaAndTypes);
ConfigMasterUtils.storeByName(configMaster, makeConfigDocument(volSurfaceDefinition));
}
@Test
public void testFXOptionVolatilitySurfaceInstrumentProvider() {
final ICAPFXOptionVolatilitySurfaceInstrumentProvider provider =
new ICAPFXOptionVolatilitySurfaceInstrumentProvider("I", "EURUSD", "Market_Value");
assertEquals(
provider, cycleObject(ICAPFXOptionVolatilitySurfaceInstrumentProvider.class, provider));
assertEquals(
ExternalId.of(ExternalSchemes.ICAP, "IEURUSD_1WK"),
provider.getInstrument(Tenor.ofDays(7), Pairs.of((Number) 0, FXVolQuoteType.ATM)));
assertEquals(
ExternalId.of(ExternalSchemes.ICAP, "IEURUSD_1M"),
provider.getInstrument(Tenor.ofMonths(1), Pairs.of((Number) 0, FXVolQuoteType.ATM)));
assertEquals(
ExternalId.of(ExternalSchemes.ICAP, "IEURUSD_1YR"),
provider.getInstrument(Tenor.ofYears(1), Pairs.of((Number) 0, FXVolQuoteType.ATM)));
assertEquals(
ExternalId.of(ExternalSchemes.ICAP, "IEURUSD_1WK"),
provider.getInstrument(Tenor.ofDays(7), Pairs.of((Number) 0, FXVolQuoteType.ATM)));
assertEquals(
ExternalId.of(ExternalSchemes.ICAP, "IEURUSD_1M"),
provider.getInstrument(Tenor.ofMonths(1), Pairs.of((Number) 0, FXVolQuoteType.ATM)));
assertEquals(
ExternalId.of(ExternalSchemes.ICAP, "IEURUSD_1YR"),
provider.getInstrument(Tenor.ofYears(1), Pairs.of((Number) 0, FXVolQuoteType.ATM)));
assertEquals(
ExternalId.of(ExternalSchemes.ICAP, "IEURUSDBF25_1WK"),
provider.getInstrument(Tenor.ofDays(7), Pairs.of((Number) 25, FXVolQuoteType.BUTTERFLY)));
assertEquals(
ExternalId.of(ExternalSchemes.ICAP, "IEURUSDBF25_1M"),
provider.getInstrument(Tenor.ofMonths(1), Pairs.of((Number) 25, FXVolQuoteType.BUTTERFLY)));
assertEquals(
ExternalId.of(ExternalSchemes.ICAP, "IEURUSDBF25_1YR"),
provider.getInstrument(Tenor.ofYears(1), Pairs.of((Number) 25, FXVolQuoteType.BUTTERFLY)));
assertEquals(
ExternalId.of(ExternalSchemes.ICAP, "IEURUSDBF10_1WK"),
provider.getInstrument(Tenor.ofDays(7), Pairs.of((Number) 10, FXVolQuoteType.BUTTERFLY)));
assertEquals(
ExternalId.of(ExternalSchemes.ICAP, "IEURUSDBF10_1M"),
provider.getInstrument(Tenor.ofMonths(1), Pairs.of((Number) 10, FXVolQuoteType.BUTTERFLY)));
assertEquals(
ExternalId.of(ExternalSchemes.ICAP, "IEURUSDBF10_1YR"),
provider.getInstrument(Tenor.ofYears(1), Pairs.of((Number) 10, FXVolQuoteType.BUTTERFLY)));
assertEquals(
ExternalId.of(ExternalSchemes.ICAP, "IEURUSDRR25_1WK"),
provider.getInstrument(
Tenor.ofDays(7), Pairs.of((Number) 25, FXVolQuoteType.RISK_REVERSAL)));
assertEquals(
ExternalId.of(ExternalSchemes.ICAP, "IEURUSDRR25_1M"),
provider.getInstrument(
Tenor.ofMonths(1), Pairs.of((Number) 25, FXVolQuoteType.RISK_REVERSAL)));
assertEquals(
ExternalId.of(ExternalSchemes.ICAP, "IEURUSDRR25_1YR"),
provider.getInstrument(
Tenor.ofYears(1), Pairs.of((Number) 25, FXVolQuoteType.RISK_REVERSAL)));
assertEquals(
ExternalId.of(ExternalSchemes.ICAP, "IEURUSDRR10_1WK"),
provider.getInstrument(
Tenor.ofDays(7), Pairs.of((Number) 10, FXVolQuoteType.RISK_REVERSAL)));
assertEquals(
ExternalId.of(ExternalSchemes.ICAP, "IEURUSDRR10_1M"),
provider.getInstrument(
Tenor.ofMonths(1), Pairs.of((Number) 10, FXVolQuoteType.RISK_REVERSAL)));
assertEquals(
ExternalId.of(ExternalSchemes.ICAP, "IEURUSDRR10_1YR"),
provider.getInstrument(
Tenor.ofYears(1), Pairs.of((Number) 10, FXVolQuoteType.RISK_REVERSAL)));
}