public static RatesCurveGroupDefinition config(Period[] dscOisTenors, string[] dscIdValues, Period[] fwd3FraTenors, Period[] fwd3IrsTenors, string[] fwd3IdValues, Period[] fwd6FraTenors, Period[] fwd6IrsTenors, string[] fwd6IdValues)
{
CurveNode[] dscNodes = new CurveNode[dscOisTenors.Length];
for (int i = 0; i < dscOisTenors.Length; i++)
{
dscNodes[i] = FixedOvernightSwapCurveNode.of(FixedOvernightSwapTemplate.of(Period.ZERO, Tenor.of(dscOisTenors[i]), EUR_FIXED_1Y_EONIA_OIS), QuoteId.of(StandardId.of(SCHEME, dscIdValues[i])));
}
CurveNode[] fwd3Nodes = new CurveNode[fwd3IdValues.Length];
fwd3Nodes[0] = IborFixingDepositCurveNode.of(IborFixingDepositTemplate.of(EUR_EURIBOR_3M), QuoteId.of(StandardId.of(SCHEME, fwd3IdValues[0])));
for (int i = 0; i < fwd3FraTenors.Length; i++)
{
fwd3Nodes[i + 1] = FraCurveNode.of(FraTemplate.of(fwd3FraTenors[i], EUR_EURIBOR_3M), QuoteId.of(StandardId.of(SCHEME, fwd3IdValues[i + 1])));
}
for (int i = 0; i < fwd3IrsTenors.Length; i++)
{
fwd3Nodes[i + 1 + fwd3FraTenors.Length] = FixedIborSwapCurveNode.of(FixedIborSwapTemplate.of(Period.ZERO, Tenor.of(fwd3IrsTenors[i]), EUR_FIXED_1Y_EURIBOR_3M), QuoteId.of(StandardId.of(SCHEME, fwd3IdValues[i + 1 + fwd3FraTenors.Length])));
}
CurveNode[] fwd6Nodes = new CurveNode[fwd6IdValues.Length];
fwd6Nodes[0] = IborFixingDepositCurveNode.of(IborFixingDepositTemplate.of(EUR_EURIBOR_6M), QuoteId.of(StandardId.of(SCHEME, fwd6IdValues[0])));
for (int i = 0; i < fwd6FraTenors.Length; i++)
{
fwd6Nodes[i + 1] = FraCurveNode.of(FraTemplate.of(fwd6FraTenors[i], EUR_EURIBOR_6M), QuoteId.of(StandardId.of(SCHEME, fwd6IdValues[i + 1])));
}
for (int i = 0; i < fwd6IrsTenors.Length; i++)
{
fwd6Nodes[i + 1 + fwd6FraTenors.Length] = FixedIborSwapCurveNode.of(FixedIborSwapTemplate.of(Period.ZERO, Tenor.of(fwd6IrsTenors[i]), EUR_FIXED_1Y_EURIBOR_6M), QuoteId.of(StandardId.of(SCHEME, fwd6IdValues[i + 1 + fwd6FraTenors.Length])));
}
InterpolatedNodalCurveDefinition DSC_CURVE_DEFN = InterpolatedNodalCurveDefinition.builder().name(DSCON_CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(CURVE_DC).interpolator(INTERPOLATOR_LINEAR).extrapolatorLeft(EXTRAPOLATOR_FLAT).extrapolatorRight(EXTRAPOLATOR_FLAT).nodes(dscNodes).build();
InterpolatedNodalCurveDefinition FWD3_CURVE_DEFN = InterpolatedNodalCurveDefinition.builder().name(FWD3_CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(CURVE_DC).interpolator(INTERPOLATOR_LINEAR).extrapolatorLeft(EXTRAPOLATOR_FLAT).extrapolatorRight(EXTRAPOLATOR_FLAT).nodes(fwd3Nodes).build();
InterpolatedNodalCurveDefinition FWD6_CURVE_DEFN = InterpolatedNodalCurveDefinition.builder().name(FWD6_CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(CURVE_DC).interpolator(INTERPOLATOR_LINEAR).extrapolatorLeft(EXTRAPOLATOR_FLAT).extrapolatorRight(EXTRAPOLATOR_FLAT).nodes(fwd6Nodes).build();
return(RatesCurveGroupDefinition.builder().name(CURVE_GROUP_NAME).addCurve(DSC_CURVE_DEFN, EUR, EUR_EONIA).addForwardCurve(FWD3_CURVE_DEFN, EUR_EURIBOR_3M).addForwardCurve(FWD6_CURVE_DEFN, EUR_EURIBOR_6M).build());
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case -1321546630: // template
this.template_Renamed = (IborFixingDepositTemplate)newValue;
break;
case -938107365: // rateId
this.rateId_Renamed = (ObservableId)newValue;
break;
case 291232890: // additionalSpread
this.additionalSpread_Renamed = (double?)newValue.Value;
break;
case 102727412: // label
this.label_Renamed = (string)newValue;
break;
case 3076014: // date
this.date_Renamed = (CurveNodeDate)newValue;
break;
case -263699392: // dateOrder
this.dateOrder_Renamed = (CurveNodeDateOrder)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
private static CurveNode curveIborFixingDepositCurveNode(string conventionStr, string label, QuoteId quoteId, double spread, CurveNodeDate date, CurveNodeDateOrder order)
{
IborFixingDepositConvention convention = IborFixingDepositConvention.of(conventionStr);
IborFixingDepositTemplate template = IborFixingDepositTemplate.of(convention.Index.Tenor.Period, convention);
return(IborFixingDepositCurveNode.builder().template(template).rateId(quoteId).additionalSpread(spread).label(label).date(date).dateOrder(order).build());
}
static CalibrationDiscountingSimple1Test()
{
IBOR_INDICES.Add(USD_LIBOR_3M);
DSC_NAMES[ALL_CURVE_NAME] = USD;
IDX_NAMES[ALL_CURVE_NAME] = IBOR_INDICES;
ALL_NODES[0] = IborFixingDepositCurveNode.of(IborFixingDepositTemplate.of(USD_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[0])));
for (int i = 0; i < FWD3_NB_FRA_NODES; i++)
{
ALL_NODES[i + 1] = FraCurveNode.of(FraTemplate.of(FWD3_FRA_TENORS[i], USD_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[1])));
}
for (int i = 0; i < FWD3_NB_IRS_NODES; i++)
{
ALL_NODES[i + 1 + FWD3_NB_FRA_NODES] = FixedIborSwapCurveNode.of(FixedIborSwapTemplate.of(Period.ZERO, Tenor.of(FWD3_IRS_TENORS[i]), USD_FIXED_6M_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[i])));
}
ImmutableMarketDataBuilder builder = ImmutableMarketData.builder(VAL_DATE);
for (int i = 0; i < FWD3_NB_NODES; i++)
{
builder.addValue(QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[i])), FWD3_MARKET_QUOTES[i]);
}
ALL_QUOTES = builder.build();
IList <CurveNode[]> groupNodes = new List <CurveNode[]>();
groupNodes.Add(ALL_NODES);
CURVES_NODES.Add(groupNodes);
IList <CurveMetadata> groupMetadata = new List <CurveMetadata>();
groupMetadata.Add(DefaultCurveMetadata.builder().curveName(ALL_CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(CURVE_DC).build());
CURVES_METADATA.Add(groupMetadata);
}
static CalibrationZeroRateAndDiscountFactorUsd2OisIrsTest()
{
DSC_NAMES[DSCON_CURVE_NAME] = USD;
ISet <Index> usdFedFundSet = new HashSet <Index>();
usdFedFundSet.Add(USD_FED_FUND);
IDX_NAMES[DSCON_CURVE_NAME] = usdFedFundSet;
ISet <Index> usdLibor3Set = new HashSet <Index>();
usdLibor3Set.Add(USD_LIBOR_3M);
IDX_NAMES[FWD3_CURVE_NAME] = usdLibor3Set;
double fixingValue = 0.002345;
LocalDateDoubleTimeSeries tsBdUsdLibor3M = LocalDateDoubleTimeSeries.builder().put(VAL_DATE_BD, fixingValue).build();
LocalDate fixingDateHo = LocalDate.of(2015, 12, 24);
LocalDateDoubleTimeSeries tsHoUsdLibor3M = LocalDateDoubleTimeSeries.builder().put(fixingDateHo, fixingValue).build();
TS_BD_LIBOR3M = ImmutableMarketData.builder(VAL_DATE_BD).addTimeSeries(IndexQuoteId.of(USD_LIBOR_3M), tsBdUsdLibor3M).build();
TS_HO_LIBOR3M = ImmutableMarketData.builder(VAL_DATE_HO).addTimeSeries(IndexQuoteId.of(USD_LIBOR_3M), tsHoUsdLibor3M).build();
for (int i = 0; i < DSC_NB_OIS_NODES; i++)
{
DSC_NODES[i] = FixedOvernightSwapCurveNode.of(FixedOvernightSwapTemplate.of(Period.ZERO, Tenor.of(DSC_OIS_TENORS[i]), USD_FIXED_1Y_FED_FUND_OIS), QuoteId.of(StandardId.of(SCHEME, DSC_ID_VALUE[i])));
}
FWD3_NODES[0] = IborFixingDepositCurveNode.of(IborFixingDepositTemplate.of(USD_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[0])));
for (int i = 0; i < FWD3_NB_FRA_NODES; i++)
{
FWD3_NODES[i + 1] = FraCurveNode.of(FraTemplate.of(FWD3_FRA_TENORS[i], USD_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[i + 1])));
}
for (int i = 0; i < FWD3_NB_IRS_NODES; i++)
{
FWD3_NODES[i + 1 + FWD3_NB_FRA_NODES] = FixedIborSwapCurveNode.of(FixedIborSwapTemplate.of(Period.ZERO, Tenor.of(FWD3_IRS_TENORS[i]), USD_FIXED_6M_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[i + 1 + FWD3_NB_FRA_NODES])));
}
ImmutableMarketDataBuilder builder = ImmutableMarketData.builder(VAL_DATE_BD);
for (int i = 0; i < FWD3_NB_NODES; i++)
{
builder.addValue(QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[i])), FWD3_MARKET_QUOTES[i]);
}
for (int i = 0; i < DSC_NB_NODES; i++)
{
builder.addValue(QuoteId.of(StandardId.of(SCHEME, DSC_ID_VALUE[i])), DSC_MARKET_QUOTES[i]);
}
ALL_QUOTES_BD = builder.build();
IList <CurveNode[]> groupDsc = new List <CurveNode[]>();
groupDsc.Add(DSC_NODES);
CURVES_NODES.Add(groupDsc);
IList <CurveNode[]> groupFwd3 = new List <CurveNode[]>();
groupFwd3.Add(FWD3_NODES);
CURVES_NODES.Add(groupFwd3);
IList <CurveMetadata> groupDsc = new List <CurveMetadata>();
groupDsc.Add(DefaultCurveMetadata.builder().curveName(DSCON_CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(CURVE_DC).build());
CURVES_METADATA.Add(groupDsc);
IList <CurveMetadata> groupFwd3 = new List <CurveMetadata>();
groupFwd3.Add(DefaultCurveMetadata.builder().curveName(FWD3_CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(CURVE_DC).build());
CURVES_METADATA.Add(groupFwd3);
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(IborFixingDepositCurveNode beanToCopy)
{
this.template_Renamed = beanToCopy.Template;
this.rateId_Renamed = beanToCopy.RateId;
this.additionalSpread_Renamed = beanToCopy.AdditionalSpread;
this.label_Renamed = beanToCopy.Label;
this.date_Renamed = beanToCopy.Date;
this.dateOrder_Renamed = beanToCopy.DateOrder;
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
IborFixingDepositCurveNode test = IborFixingDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
coverImmutableBean(test);
IborFixingDepositCurveNode test2 = IborFixingDepositCurveNode.of(IborFixingDepositTemplate.of(GBP_LIBOR_6M), QuoteId.of(StandardId.of("OG-Ticker", "Deposit2")));
coverBeanEquals(test, test2);
}
static CalibrationZeroRateUsdOisIrsEurFxXCcyIrsTest()
{
USD_DSC_NODES[0] = TermDepositCurveNode.of(TermDepositTemplate.of(Period.ofDays(1), USD_SHORT_DEPOSIT_T0), QuoteId.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[0])));
USD_DSC_NODES[1] = TermDepositCurveNode.of(TermDepositTemplate.of(Period.ofDays(1), USD_SHORT_DEPOSIT_T1), QuoteId.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[1])));
for (int i = 0; i < USD_DSC_NB_OIS_NODES; i++)
{
USD_DSC_NODES[2 + i] = FixedOvernightSwapCurveNode.of(FixedOvernightSwapTemplate.of(Period.ZERO, Tenor.of(USD_DSC_OIS_TENORS[i]), USD_FIXED_1Y_FED_FUND_OIS), QuoteId.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[2 + i])));
}
USD_FWD3_NODES[0] = IborFixingDepositCurveNode.of(IborFixingDepositTemplate.of(USD_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, USD_FWD3_ID_VALUE[0])));
for (int i = 0; i < USD_FWD3_NB_FRA_NODES; i++)
{
USD_FWD3_NODES[i + 1] = FraCurveNode.of(FraTemplate.of(USD_FWD3_FRA_TENORS[i], USD_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, USD_FWD3_ID_VALUE[i + 1])));
}
for (int i = 0; i < USD_FWD3_NB_IRS_NODES; i++)
{
USD_FWD3_NODES[i + 1 + USD_FWD3_NB_FRA_NODES] = FixedIborSwapCurveNode.of(FixedIborSwapTemplate.of(Period.ZERO, Tenor.of(USD_FWD3_IRS_TENORS[i]), USD_FIXED_6M_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, USD_FWD3_ID_VALUE[i + 1 + USD_FWD3_NB_FRA_NODES])));
}
for (int i = 0; i < EUR_DSC_NB_FX_NODES; i++)
{
EUR_DSC_NODES[i] = FxSwapCurveNode.of(FxSwapTemplate.of(EUR_DSC_FX_TENORS[i], EUR_USD), QuoteId.of(StandardId.of(SCHEME, EUR_DSC_ID_VALUE[i])));
}
for (int i = 0; i < EUR_DSC_NB_XCCY_NODES; i++)
{
EUR_DSC_NODES[EUR_DSC_NB_FX_NODES + i] = XCcyIborIborSwapCurveNode.of(XCcyIborIborSwapTemplate.of(Tenor.of(EUR_DSC_XCCY_TENORS[i]), EUR_EURIBOR_3M_USD_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, EUR_DSC_ID_VALUE[EUR_DSC_NB_FX_NODES + i])));
}
EUR_FWD3_NODES[0] = IborFixingDepositCurveNode.of(IborFixingDepositTemplate.of(EUR_EURIBOR_3M), QuoteId.of(StandardId.of(SCHEME, EUR_FWD3_ID_VALUE[0])));
for (int i = 0; i < EUR_FWD3_NB_FRA_NODES; i++)
{
EUR_FWD3_NODES[i + 1] = FraCurveNode.of(FraTemplate.of(EUR_FWD3_FRA_TENORS[i], EUR_EURIBOR_3M), QuoteId.of(StandardId.of(SCHEME, EUR_FWD3_ID_VALUE[i + 1])));
}
for (int i = 0; i < EUR_FWD3_NB_IRS_NODES; i++)
{
EUR_FWD3_NODES[i + 1 + EUR_FWD3_NB_FRA_NODES] = FixedIborSwapCurveNode.of(FixedIborSwapTemplate.of(Period.ZERO, Tenor.of(EUR_FWD3_IRS_TENORS[i]), EUR_FIXED_1Y_EURIBOR_3M), QuoteId.of(StandardId.of(SCHEME, EUR_FWD3_ID_VALUE[i + 1 + EUR_FWD3_NB_FRA_NODES])));
}
ImmutableMarketDataBuilder builder = ImmutableMarketData.builder(VAL_DATE);
for (int i = 0; i < USD_DSC_NB_NODES; i++)
{
builder.addValue(QuoteId.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[i])), USD_DSC_MARKET_QUOTES[i]);
}
for (int i = 0; i < USD_FWD3_NB_NODES; i++)
{
builder.addValue(QuoteId.of(StandardId.of(SCHEME, USD_FWD3_ID_VALUE[i])), USD_FWD3_MARKET_QUOTES[i]);
}
for (int i = 0; i < EUR_DSC_NB_NODES; i++)
{
builder.addValue(QuoteId.of(StandardId.of(SCHEME, EUR_DSC_ID_VALUE[i])), EUR_DSC_MARKET_QUOTES[i]);
}
for (int i = 0; i < EUR_FWD3_NB_NODES; i++)
{
builder.addValue(QuoteId.of(StandardId.of(SCHEME, EUR_FWD3_ID_VALUE[i])), EUR_FWD3_MARKET_QUOTES[i]);
}
builder.addValue(QuoteId.of(StandardId.of(SCHEME, EUR_USD_ID_VALUE)), FX_RATE_EUR_USD);
builder.addValue(FxRateId.of(EUR, USD), FxRate.of(EUR, USD, FX_RATE_EUR_USD));
ALL_QUOTES = builder.build();
}
private IborFixingDepositCurveNode(IborFixingDepositTemplate template, ObservableId rateId, double additionalSpread, string label, CurveNodeDate date, CurveNodeDateOrder dateOrder)
{
JodaBeanUtils.notNull(template, "template");
JodaBeanUtils.notNull(rateId, "rateId");
JodaBeanUtils.notEmpty(label, "label");
JodaBeanUtils.notNull(dateOrder, "dateOrder");
this.template = template;
this.rateId = rateId;
this.additionalSpread = additionalSpread;
this.label = label;
this.date_Renamed = date;
this.dateOrder = dateOrder;
}
static CalibrationDiscountFactorUsd2FomcDatesOisIrsTest()
{
DSC_NAMES[DSCON_CURVE_NAME] = USD;
ISet <Index> usdFedFundSet = new HashSet <Index>();
usdFedFundSet.Add(USD_FED_FUND);
IDX_NAMES[DSCON_CURVE_NAME] = usdFedFundSet;
ISet <Index> usdLibor3Set = new HashSet <Index>();
usdLibor3Set.Add(USD_LIBOR_3M);
IDX_NAMES[FWD3_CURVE_NAME] = usdLibor3Set;
double fixingValue = 0.002345;
LocalDateDoubleTimeSeries tsBdUsdLibor3M = LocalDateDoubleTimeSeries.builder().put(VAL_DATE_BD, fixingValue).build();
TS_BD_LIBOR3M = ImmutableMarketData.builder(VAL_DATE_BD).addTimeSeries(IndexQuoteId.of(USD_LIBOR_3M), tsBdUsdLibor3M).build();
for (int i = 0; i < DSC_NB_DEPO_NODES; i++)
{
BusinessDayAdjustment bda = BusinessDayAdjustment.of(FOLLOWING, USNY);
TermDepositConvention convention = ImmutableTermDepositConvention.of("USD-Dep", USD, bda, ACT_360, DaysAdjustment.ofBusinessDays(DSC_DEPO_OFFSET[i], USNY));
LocalDate nodeDate = FOMC_NODES[i];
if (nodeDate != null)
{
DSC_NODES[i] = TermDepositCurveNode.builder().template(TermDepositTemplate.of(Period.ofDays(1), convention)).rateId(QuoteId.of(StandardId.of(SCHEME, DSC_ID_VALUE[i]))).date(CurveNodeDate.of(nodeDate)).build();
}
else
{
DSC_NODES[i] = TermDepositCurveNode.of(TermDepositTemplate.of(Period.ofDays(1), convention), QuoteId.of(StandardId.of(SCHEME, DSC_ID_VALUE[i])));
}
}
for (int i = 0; i < DSC_NB_OIS_NODES; i++)
{
LocalDate nodeDate = FOMC_NODES[DSC_NB_DEPO_NODES + i];
if (nodeDate != null)
{
DSC_NODES[DSC_NB_DEPO_NODES + i] = FixedOvernightSwapCurveNode.builder().template(FixedOvernightSwapTemplate.of(Period.ZERO, Tenor.of(DSC_OIS_TENORS[i]), USD_FIXED_1Y_FED_FUND_OIS)).rateId(QuoteId.of(StandardId.of(SCHEME, DSC_ID_VALUE[DSC_NB_DEPO_NODES + i]))).date(CurveNodeDate.of(nodeDate)).build();
}
else
{
DSC_NODES[DSC_NB_DEPO_NODES + i] = FixedOvernightSwapCurveNode.of(FixedOvernightSwapTemplate.of(Period.ZERO, Tenor.of(DSC_OIS_TENORS[i]), USD_FIXED_1Y_FED_FUND_OIS), QuoteId.of(StandardId.of(SCHEME, DSC_ID_VALUE[DSC_NB_DEPO_NODES + i])));
}
}
FWD3_NODES[0] = IborFixingDepositCurveNode.of(IborFixingDepositTemplate.of(USD_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[0])));
for (int i = 0; i < FWD3_NB_FRA_NODES; i++)
{
FWD3_NODES[i + 1] = FraCurveNode.of(FraTemplate.of(FWD3_FRA_TENORS[i], USD_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[i + 1])));
}
for (int i = 0; i < FWD3_NB_IRS_NODES; i++)
{
FWD3_NODES[i + 1 + FWD3_NB_FRA_NODES] = FixedIborSwapCurveNode.of(FixedIborSwapTemplate.of(Period.ZERO, Tenor.of(FWD3_IRS_TENORS[i]), USD_FIXED_6M_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[i + 1 + FWD3_NB_FRA_NODES])));
}
ImmutableMarketDataBuilder builder = ImmutableMarketData.builder(VAL_DATE_BD);
for (int i = 0; i < FWD3_NB_NODES; i++)
{
builder.addValue(QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[i])), FWD3_MARKET_QUOTES[i]);
}
for (int i = 0; i < DSC_NB_NODES; i++)
{
builder.addValue(QuoteId.of(StandardId.of(SCHEME, DSC_ID_VALUE[i])), DSC_MARKET_QUOTES[i]);
}
ALL_QUOTES_BD = builder.build();
IList <CurveNode[]> groupDsc = new List <CurveNode[]>();
groupDsc.Add(DSC_NODES);
CURVES_NODES.Add(groupDsc);
IList <CurveNode[]> groupFwd3 = new List <CurveNode[]>();
groupFwd3.Add(FWD3_NODES);
CURVES_NODES.Add(groupFwd3);
IList <CurveMetadata> groupDsc = new List <CurveMetadata>();
groupDsc.Add(DefaultCurveMetadata.builder().curveName(DSCON_CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(CURVE_DC).build());
CURVES_METADATA.Add(groupDsc);
IList <CurveMetadata> groupFwd3 = new List <CurveMetadata>();
groupFwd3.Add(DefaultCurveMetadata.builder().curveName(FWD3_CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(CURVE_DC).build());
CURVES_METADATA.Add(groupFwd3);
}
//-----------------------------------------------------------------------
/// <summary>
/// Sets the template for the Ibor fixing deposit associated with this node. </summary>
/// <param name="template"> the new value, not null </param>
/// <returns> this, for chaining, not null </returns>
public Builder template(IborFixingDepositTemplate template)
{
JodaBeanUtils.notNull(template, "template");
this.template_Renamed = template;
return(this);
}
/// <summary>
/// Returns a curve node for an Ibor deposit using the specified template, rate key, spread and label.
/// </summary>
/// <param name="template"> the template defining the node instrument </param>
/// <param name="rateId"> the identifier of the market data providing the rate for the node instrument </param>
/// <param name="additionalSpread"> the additional spread amount added to the rate </param>
/// <param name="label"> the label to use for the node, if null or empty an appropriate default label will be used </param>
/// <returns> a node whose instrument is built from the template using a market rate </returns>
public static IborFixingDepositCurveNode of(IborFixingDepositTemplate template, ObservableId rateId, double additionalSpread, string label)
{
return(new IborFixingDepositCurveNode(template, rateId, additionalSpread, label, CurveNodeDate.END, CurveNodeDateOrder.DEFAULT));
}
/// <summary>
/// Returns a curve node for an Ibor deposit using the specified template, rate key and spread.
/// <para>
/// A suitable default label will be created.
///
/// </para>
/// </summary>
/// <param name="template"> the template defining the node instrument </param>
/// <param name="rateId"> the identifier of the market data providing the rate for the node instrument </param>
/// <param name="additionalSpread"> the additional spread amount added to the rate </param>
/// <returns> a node whose instrument is built from the template using a market rate </returns>
public static IborFixingDepositCurveNode of(IborFixingDepositTemplate template, ObservableId rateId, double additionalSpread)
{
return(builder().template(template).rateId(rateId).additionalSpread(additionalSpread).build());
}
//-------------------------------------------------------------------------
/// <summary>
/// Returns a curve node for an Ibor deposit using the specified template and rate key.
/// <para>
/// A suitable default label will be created.
///
/// </para>
/// </summary>
/// <param name="template"> the template used for building the instrument for the node </param>
/// <param name="rateId"> the identifier of the market rate used when building the instrument for the node </param>
/// <returns> a node whose instrument is built from the template using a market rate </returns>
public static IborFixingDepositCurveNode of(IborFixingDepositTemplate template, ObservableId rateId)
{
return(of(template, rateId, 0d));
}
static CalibrationZeroRateUsd3OisIrsBsTest()
{
DSC_NAMES[DSCON_CURVE_NAME] = USD;
ISet <Index> usdFedFundSet = new HashSet <Index>();
usdFedFundSet.Add(USD_FED_FUND);
IDX_NAMES[DSCON_CURVE_NAME] = usdFedFundSet;
ISet <Index> usdLibor3Set = new HashSet <Index>();
usdLibor3Set.Add(USD_LIBOR_3M);
IDX_NAMES[FWD3_CURVE_NAME] = usdLibor3Set;
ISet <Index> usdLibor6Set = new HashSet <Index>();
usdLibor6Set.Add(USD_LIBOR_6M);
IDX_NAMES[FWD6_CURVE_NAME] = usdLibor6Set;
for (int i = 0; i < DSC_NB_DEPO_NODES; i++)
{
BusinessDayAdjustment bda = BusinessDayAdjustment.of(FOLLOWING, USNY);
TermDepositConvention convention = ImmutableTermDepositConvention.of("USD-Dep", USD, bda, ACT_360, DaysAdjustment.ofBusinessDays(DSC_DEPO_OFFSET[i], USNY));
DSC_NODES[i] = TermDepositCurveNode.of(TermDepositTemplate.of(Period.ofDays(1), convention), QuoteId.of(StandardId.of(SCHEME, DSC_ID_VALUE[i])));
}
for (int i = 0; i < DSC_NB_OIS_NODES; i++)
{
DSC_NODES[DSC_NB_DEPO_NODES + i] = FixedOvernightSwapCurveNode.of(FixedOvernightSwapTemplate.of(Period.ZERO, Tenor.of(DSC_OIS_TENORS[i]), USD_FIXED_1Y_FED_FUND_OIS), QuoteId.of(StandardId.of(SCHEME, DSC_ID_VALUE[DSC_NB_DEPO_NODES + i])));
}
FWD3_NODES[0] = IborFixingDepositCurveNode.of(IborFixingDepositTemplate.of(USD_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[0])));
for (int i = 0; i < FWD3_NB_FRA_NODES; i++)
{
FWD3_NODES[i + 1] = FraCurveNode.of(FraTemplate.of(FWD3_FRA_TENORS[i], USD_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[i + 1])));
}
for (int i = 0; i < FWD3_NB_IRS_NODES; i++)
{
FWD3_NODES[i + 1 + FWD3_NB_FRA_NODES] = FixedIborSwapCurveNode.of(FixedIborSwapTemplate.of(Period.ZERO, Tenor.of(FWD3_IRS_TENORS[i]), USD_FIXED_6M_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[i + 1 + FWD3_NB_FRA_NODES])));
}
FWD6_NODES[0] = IborFixingDepositCurveNode.of(IborFixingDepositTemplate.of(USD_LIBOR_6M), QuoteId.of(StandardId.of(SCHEME, FWD6_ID_VALUE[0])));
for (int i = 0; i < FWD6_NB_FRA_NODES; i++)
{
FWD6_NODES[i + 1] = FraCurveNode.of(FraTemplate.of(FWD6_FRA_TENORS[i], USD_LIBOR_6M), QuoteId.of(StandardId.of(SCHEME, FWD6_ID_VALUE[i + 1])));
}
for (int i = 0; i < FWD6_NB_IRS_NODES; i++)
{
FWD6_NODES[i + 1 + FWD6_NB_FRA_NODES] = IborIborSwapCurveNode.of(IborIborSwapTemplate.of(Period.ZERO, Tenor.of(FWD6_IRS_TENORS[i]), USD_LIBOR_3M_LIBOR_6M), QuoteId.of(StandardId.of(SCHEME, FWD6_ID_VALUE[i + 1 + FWD6_NB_FRA_NODES])));
}
ImmutableMarketDataBuilder builder = ImmutableMarketData.builder(VAL_DATE);
for (int i = 0; i < DSC_NB_NODES; i++)
{
builder.addValue(QuoteId.of(StandardId.of(SCHEME, DSC_ID_VALUE[i])), DSC_MARKET_QUOTES[i]);
}
for (int i = 0; i < FWD3_NB_NODES; i++)
{
builder.addValue(QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[i])), FWD3_MARKET_QUOTES[i]);
}
for (int i = 0; i < FWD6_NB_NODES; i++)
{
builder.addValue(QuoteId.of(StandardId.of(SCHEME, FWD6_ID_VALUE[i])), FWD6_MARKET_QUOTES[i]);
}
ALL_QUOTES = builder.build();
IList <CurveNode[]> groupDsc = new List <CurveNode[]>();
groupDsc.Add(DSC_NODES);
CURVES_NODES.Add(groupDsc);
IList <CurveNode[]> groupFwd3 = new List <CurveNode[]>();
groupFwd3.Add(FWD3_NODES);
CURVES_NODES.Add(groupFwd3);
IList <CurveNode[]> groupFwd6 = new List <CurveNode[]>();
groupFwd6.Add(FWD6_NODES);
CURVES_NODES.Add(groupFwd6);
IList <CurveMetadata> groupDsc = new List <CurveMetadata>();
groupDsc.Add(DefaultCurveMetadata.builder().curveName(DSCON_CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(CURVE_DC).build());
CURVES_METADATA.Add(groupDsc);
IList <CurveMetadata> groupFwd3 = new List <CurveMetadata>();
groupFwd3.Add(DefaultCurveMetadata.builder().curveName(FWD3_CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(CURVE_DC).build());
CURVES_METADATA.Add(groupFwd3);
IList <CurveMetadata> groupFwd6 = new List <CurveMetadata>();
groupFwd6.Add(DefaultCurveMetadata.builder().curveName(FWD6_CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(CURVE_DC).build());
CURVES_METADATA.Add(groupFwd6);
}