static CapitalIndexedBondCurveDataSet()
{
DoubleArray timeIssuer = DoubleArray.of(0.2493150684931507, 0.4986301369863014, 0.9397260273972603, 1.9760386256456322, 4.975342465753425, 9.850355565536344);
DoubleArray rateIssuer = DoubleArray.of(6.796425420368682E-5, 3.114315257821455E-4, 7.126179601599612E-4, 0.04946562985220742, 0.01404542200399637, 0.022260846895257275);
CurveMetadata metaIssuer = Curves.zeroRates(ISSUER_CURVE_NAME, ACT_ACT_ISDA);
ISSUER_CURVE = InterpolatedNodalCurve.of(metaIssuer, timeIssuer, rateIssuer, INTERPOLATOR);
DoubleArray timeRepo = DoubleArray.of(0.0027397260273972603, 0.0136986301369863, 0.1095890410958904, 0.18904109589041096, 0.27123287671232876, 0.5178082191780822, 0.7671232876712328, 1.0191780821917809, 2.025218953514485, 3.0246575342465754, 4.021917808219178, 5.019178082191781, 6.019754472640168, 7.024657534246575, 8.024657534246575, 9.024657534246575, 10.019754472640168);
DoubleArray rateRepo = DoubleArray.of(0.0016222186172986138, 0.001622209965572477, 7.547616096755544E-4, 9.003947315389025E-4, 9.833562990057003E-4, 9.300905368344651E-4, 0.0010774349342544426, 0.001209299356175582, 0.003243498783874946, 0.007148138535707508, 0.011417234937364525, 0.015484713638367467, 0.01894872475170524, 0.02177798040124286, 0.024146976832379798, 0.02610320121432829, 0.027814843351943817);
CurveMetadata metaRepo = Curves.zeroRates(REPO_CURVE_NAME, ACT_ACT_ISDA);
REPO_CURVE = InterpolatedNodalCurve.of(metaRepo, timeRepo, rateRepo, INTERPOLATOR);
DoubleArray timeCpi = DoubleArray.of(10, 22, 34, 46, 58, 70, 82, 94, 106, 118, 142, 178, 238, 298, 358);
DoubleArray valueCpi = DoubleArray.of(242.88404516129032, 248.03712245417105, 252.98128118335094, 258.0416354687366, 263.20242369585515, 268.4653023378886, 273.83617795725064, 279.3124974961296, 284.8987721100803, 290.5954768446179, 302.3336095056465, 320.8351638061777, 354.2203489141063, 391.08797576744865, 431.7913437911175);
CurveMetadata metaCpi = Curves.prices("cpiCurve");
CPI_CURVE = InterpolatedNodalCurve.of(metaCpi, timeCpi, valueCpi, INTERPOLATOR);
DoubleArray timeRpi = DoubleArray.of(10, 22, 34, 46, 58, 70, 82, 94, 106, 118, 142);
DoubleArray valueRpi = DoubleArray.of(263.49967737807305, 270.2383424030053, 277.34957060924364, 284.992794643866, 293.2359607153748, 302.0252215004671, 311.3482439082226, 321.10465920118116, 331.44556112285863, 342.4913522908549, 366.076015086898);
CurveMetadata metaRpi = Curves.prices("rpiCurve");
RPI_CURVE = InterpolatedNodalCurve.of(metaRpi, timeRpi, valueRpi, INTERPOLATOR);
DoubleArray timeCpij = DoubleArray.of(10, 22, 34, 46, 58, 70, 82, 94, 106, 118, 142, 178, 238, 298, 358);
DoubleArray valueCpij = DoubleArray.of(103.3374833371608, 104.2306743501241, 104.3107880426369, 104.27037709028433, 104.19961127790909, 104.062704760821, 103.89860712110973, 103.73391283682416, 103.78374038315715, 103.83356515845553, 104.18698970060639, 104.72128789312038, 106.46204440686186, 108.231124353441, 110.03241679315009);
CurveMetadata metaCpij = Curves.prices("cpijCurve");
CPIJ_CURVE = InterpolatedNodalCurve.of(metaCpij, timeCpij, valueCpij, INTERPOLATOR);
}
static DiscountingKnownAmountPaymentPeriodPricerTest()
{
DoubleArray time_gbp = DoubleArray.of(0.0, 0.5, 1.0, 2.0, 3.0, 4.0, 5.0, 10.0);
DoubleArray rate_gbp = DoubleArray.of(0.0160, 0.0135, 0.0160, 0.0185, 0.0185, 0.0195, 0.0200, 0.0210);
DISCOUNT_CURVE_GBP = InterpolatedNodalCurve.of(Curves.zeroRates("GBP-Discount", ACT_ACT_ISDA), time_gbp, rate_gbp, INTERPOLATOR);
}
private ImmutableRatesProvider createProvider(double rateStart, double rateStartInterp, double rateEnd, double rateEndInterp)
{
LocalDateDoubleTimeSeries timeSeries = LocalDateDoubleTimeSeries.of(VAL_DATE.with(lastDayOfMonth()), 300);
InterpolatedNodalCurve curve = InterpolatedNodalCurve.of(Curves.prices("GB-RPIX"), DoubleArray.of(4, 5, 16, 17), DoubleArray.of(rateStart, rateStartInterp, rateEnd, rateEndInterp), INTERPOLATOR);
return(ImmutableRatesProvider.builder(VAL_DATE).priceIndexCurve(GB_RPIX, curve).timeSeries(GB_RPIX, timeSeries).build());
}
public virtual void test_createSabrParameterMetadata()
{
SabrIborCapletFloorletVolatilityBootstrapDefinition @base = SabrIborCapletFloorletVolatilityBootstrapDefinition.ofFixedBeta(NAME, USD_LIBOR_3M, ACT_ACT_ISDA, 0.5, LINEAR, FLAT, FLAT, SabrVolatilityFormula.hagan());
ImmutableList <CurveMetadata> expected = ImmutableList.of(Curves.sabrParameterByExpiry(NAME.Name + "-Alpha", ACT_ACT_ISDA, SABR_ALPHA), Curves.sabrParameterByExpiry(NAME.Name + "-Beta", ACT_ACT_ISDA, SABR_BETA), Curves.sabrParameterByExpiry(NAME.Name + "-Rho", ACT_ACT_ISDA, SABR_RHO), Curves.sabrParameterByExpiry(NAME.Name + "-Nu", ACT_ACT_ISDA, SABR_NU));
ImmutableList <CurveMetadata> computed = @base.createSabrParameterMetadata();
assertEquals(computed, expected);
}
static DiscountingTermDepositProductPricerTest()
{
CurveInterpolator interp = CurveInterpolators.DOUBLE_QUADRATIC;
DoubleArray time_eur = DoubleArray.of(0.0, 0.5, 1.0, 2.0, 3.0, 4.0, 5.0, 10.0);
DoubleArray rate_eur = DoubleArray.of(0.0160, 0.0135, 0.0160, 0.0185, 0.0185, 0.0195, 0.0200, 0.0210);
InterpolatedNodalCurve dscCurve = InterpolatedNodalCurve.of(Curves.zeroRates("EUR-Discount", ACT_360), time_eur, rate_eur, interp);
IMM_PROV = ImmutableRatesProvider.builder(VAL_DATE).discountCurve(EUR, dscCurve).build();
}
//-------------------------------------------------------------------------
// creates a simple provider
private SimpleRatesProvider createProvider(LocalDate valDate)
{
Curve curve = ConstantCurve.of(Curves.discountFactors("Test", DAY_COUNT), DISCOUNT_FACTOR);
DiscountFactors df = SimpleDiscountFactors.of(GBP, valDate, curve);
SimpleRatesProvider prov = new SimpleRatesProvider(valDate);
prov.DayCount = DAY_COUNT;
prov.DiscountFactors = df;
return(prov);
}
static DiscountingIborFixingDepositTradePricerTest()
{
CurveInterpolator interp = CurveInterpolators.DOUBLE_QUADRATIC;
DoubleArray time_eur = DoubleArray.of(0.0, 0.1, 0.25, 0.5, 0.75, 1.0, 2.0);
DoubleArray rate_eur = DoubleArray.of(0.0160, 0.0165, 0.0155, 0.0155, 0.0155, 0.0150, 0.014);
InterpolatedNodalCurve dscCurve = InterpolatedNodalCurve.of(Curves.zeroRates("EUR-Discount", ACT_ACT_ISDA), time_eur, rate_eur, 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("EUR-EURIBOR6M", ACT_ACT_ISDA), time_index, rate_index, interp);
IMM_PROV = ImmutableRatesProvider.builder(VAL_DATE).discountCurve(EUR, dscCurve).iborIndexCurve(EUR_EURIBOR_6M, indexCurve).build();
}
public virtual void test_ofFixedBeta_shift()
{
SabrIborCapletFloorletVolatilityBootstrapDefinition test = SabrIborCapletFloorletVolatilityBootstrapDefinition.ofFixedBeta(NAME, USD_LIBOR_3M, ACT_ACT_ISDA, 0.5, 0.01, LINEAR, FLAT, FLAT, SabrVolatilityFormula.hagan());
assertEquals(test.DayCount, ACT_ACT_ISDA);
assertEquals(test.Index, USD_LIBOR_3M);
assertEquals(test.Interpolator, LINEAR);
assertEquals(test.ExtrapolatorLeft, FLAT);
assertEquals(test.ExtrapolatorRight, FLAT);
assertEquals(test.Name, NAME);
assertEquals(test.BetaCurve.get(), ConstantCurve.of(Curves.sabrParameterByExpiry(NAME.Name + "-Beta", ACT_ACT_ISDA, SABR_BETA), 0.5));
assertFalse(test.RhoCurve.Present);
assertEquals(test.SabrVolatilityFormula, SabrVolatilityFormula.hagan());
assertEquals(test.ShiftCurve, ConstantCurve.of("Shift curve", 0.01));
}
static ImmutableRatesProviderSimpleData()
{
CurveInterpolator interp = CurveInterpolators.DOUBLE_QUADRATIC;
DoubleArray time_eur = DoubleArray.of(0.0, 0.1, 0.25, 0.5, 0.75, 1.0, 2.0);
DoubleArray rate_eur = DoubleArray.of(0.0160, 0.0165, 0.0155, 0.0155, 0.0155, 0.0150, 0.0140);
InterpolatedNodalCurve dscCurve = InterpolatedNodalCurve.of(Curves.zeroRates("EUR-Discount", ACT_365F), time_eur, rate_eur, 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("EUR-EURIBOR6M", ACT_365F), time_index, rate_index, interp);
IMM_PROV_EUR_NOFIX = ImmutableRatesProvider.builder(VAL_DATE).discountCurve(EUR, dscCurve).iborIndexCurve(EUR_EURIBOR_6M, indexCurve).build();
LocalDateDoubleTimeSeries tsE6 = LocalDateDoubleTimeSeries.builder().put(VAL_DATE, 0.012345).build();
IMM_PROV_EUR_FIX = ImmutableRatesProvider.builder(VAL_DATE).discountCurve(EUR, dscCurve).iborIndexCurve(EUR_EURIBOR_6M, indexCurve, tsE6).build();
}
public virtual void test_builder()
{
Curve betaCurve = ConstantCurve.of(Curves.sabrParameterByExpiry(NAME.Name + "-Beta", ACT_ACT_ISDA, SABR_BETA), 0.65);
SabrIborCapletFloorletVolatilityBootstrapDefinition test = SabrIborCapletFloorletVolatilityBootstrapDefinition.builder().index(USD_LIBOR_3M).name(NAME).interpolator(LINEAR).extrapolatorLeft(FLAT).extrapolatorRight(CurveExtrapolators.LINEAR).dayCount(ACT_ACT_ISDA).sabrVolatilityFormula(SabrVolatilityFormula.hagan()).betaCurve(betaCurve).build();
assertEquals(test.DayCount, ACT_ACT_ISDA);
assertEquals(test.Index, USD_LIBOR_3M);
assertEquals(test.Interpolator, LINEAR);
assertEquals(test.ExtrapolatorLeft, FLAT);
assertEquals(test.ExtrapolatorRight, CurveExtrapolators.LINEAR);
assertEquals(test.Name, NAME);
assertEquals(test.BetaCurve.get(), betaCurve);
assertFalse(test.RhoCurve.Present);
assertEquals(test.SabrVolatilityFormula, SabrVolatilityFormula.hagan());
assertEquals(test.ShiftCurve, ConstantCurve.of("Zero shift", 0d));
}
static CreditDataSet()
{
ImmutableList.Builder <StandardId> builder = ImmutableList.builder();
for (int i = 0; i < 97; ++i)
{
builder.add(StandardId.of("OG", i.ToString()));
}
LEGAL_ENTITIES = builder.build();
double flatRate = 0.05;
double t = 20.0;
IsdaCreditDiscountFactors yieldCurve = IsdaCreditDiscountFactors.of(USD, VALUATION_DATE, CurveName.of("discount"), DoubleArray.of(t), DoubleArray.of(flatRate), ACT_365F);
DISCOUNT_CURVE = yieldCurve.Curve;
RecoveryRates recoveryRate = ConstantRecoveryRates.of(LEGAL_ENTITY, VALUATION_DATE, RECOVERY_RATE);
// create the curve nodes and input market quotes
ImmutableMarketDataBuilder marketQuoteBuilder = ImmutableMarketData.builder(VALUATION_DATE);
ImmutableList.Builder <CdsIsdaCreditCurveNode> nodesBuilder = ImmutableList.builder();
ImmutableList.Builder <ResolvedTradeParameterMetadata> cdsMetadataBuilder = ImmutableList.builder();
ImmutableList.Builder <ResolvedTradeParameterMetadata> cdsIndexMetadataBuilder = ImmutableList.builder();
for (int i = 0; i < NUM_MARKET_CDS; i++)
{
QuoteId quoteId = QuoteId.of(StandardId.of("OG", PAR_SPD_DATES[i].ToString()));
CdsIsdaCreditCurveNode node = CdsIsdaCreditCurveNode.ofParSpread(DatesCdsTemplate.of(VALUATION_DATE, PAR_SPD_DATES[i], CDS_CONV), quoteId, LEGAL_ENTITY);
MARKET_CDS[i] = CdsTrade.builder().product(Cds.of(BUY, LEGAL_ENTITY, USD, NOTIONAL, VALUATION_DATE, PAR_SPD_DATES[i], P3M, SAT_SUN, PAR_SPREADS[i] * ONE_BP)).info(TradeInfo.of(VALUATION_DATE)).build().resolve(REF_DATA);
MARKET_CDS_INDEX[i] = CdsIndexTrade.builder().product(CdsIndex.of(BuySell.BUY, INDEX_ID, LEGAL_ENTITIES, USD, NOTIONAL, VALUATION_DATE, PAR_SPD_DATES[i], P3M, SAT_SUN, PAR_SPREADS[i] * ONE_BP)).info(TradeInfo.of(VALUATION_DATE)).build().resolve(REF_DATA);
marketQuoteBuilder.addValue(quoteId, PAR_SPREADS[i] * ONE_BP);
nodesBuilder.add(node);
cdsMetadataBuilder.add(ResolvedTradeParameterMetadata.of(MARKET_CDS[i], MARKET_CDS[i].Product.ProtectionEndDate.ToString()));
cdsIndexMetadataBuilder.add(ResolvedTradeParameterMetadata.of(MARKET_CDS_INDEX[i], MARKET_CDS_INDEX[i].Product.ProtectionEndDate.ToString()));
}
ImmutableMarketData marketQuotes = marketQuoteBuilder.build();
ImmutableList <CdsIsdaCreditCurveNode> nodes = nodesBuilder.build();
CDS_METADATA = cdsMetadataBuilder.build();
CDS_INDEX_METADATA = cdsIndexMetadataBuilder.build();
ImmutableCreditRatesProvider rates = ImmutableCreditRatesProvider.builder().valuationDate(VALUATION_DATE).recoveryRateCurves(ImmutableMap.of(LEGAL_ENTITY, recoveryRate)).discountCurves(ImmutableMap.of(USD, yieldCurve)).build();
IsdaCreditCurveDefinition definition = IsdaCreditCurveDefinition.of(CREDIT_CURVE_NAME, USD, VALUATION_DATE, ACT_365F, nodes, true, true);
// calibrate
LegalEntitySurvivalProbabilities calibrated = BUILDER.calibrate(definition, marketQuotes, rates, REF_DATA);
NodalCurve underlyingCurve = ((IsdaCreditDiscountFactors)calibrated.SurvivalProbabilities).Curve;
CDS_CREDIT_CURVE = underlyingCurve;
INDEX_CREDIT_CURVE = underlyingCurve.withMetadata(underlyingCurve.Metadata.withInfo(CurveInfoType.CDS_INDEX_FACTOR, INDEX_FACTOR).withParameterMetadata(CDS_INDEX_METADATA)); // replace parameter metadata
CDS_RECOVERY_RATE = ConstantCurve.of(Curves.recoveryRates("CDS recovery rate", ACT_365F), RECOVERY_RATE);
INDEX_RECOVERY_RATE = ConstantCurve.of(Curves.recoveryRates("Index recovery rate", ACT_365F), RECOVERY_RATE);
}
public virtual void test_bondDiscountingProvider()
{
ImmutableMap <SecurityId, RepoGroup> repoSecurityGroups = ImmutableMap.of(SEC_A1, GROUP_REPO_X);
ImmutableMap <LegalEntityId, RepoGroup> repoGroups = ImmutableMap.of(ISSUER_B, GROUP_REPO_X);
ImmutableMap <Pair <RepoGroup, Currency>, CurveId> repoCurves = ImmutableMap.of(Pair.of(GROUP_REPO_X, USD), CURVE_ID_USD1);
ImmutableMap <LegalEntityId, LegalEntityGroup> issuerGroups = ImmutableMap.of(ISSUER_A, GROUP_ISSUER_M);
ImmutableMap <Pair <LegalEntityGroup, Currency>, CurveId> issuerCurves = ImmutableMap.of(Pair.of(GROUP_ISSUER_M, USD), CURVE_ID_USD3);
LegalEntityDiscountingMarketDataLookup test = LegalEntityDiscountingMarketDataLookup.of(repoSecurityGroups, repoGroups, repoCurves, issuerGroups, issuerCurves);
LocalDate valDate = date(2015, 6, 30);
Curve repoCurve = ConstantCurve.of(Curves.discountFactors(CURVE_ID_USD1.CurveName, ACT_360), 1d);
Curve issuerCurve = ConstantCurve.of(Curves.discountFactors(CURVE_ID_USD3.CurveName, ACT_360), 2d);
MarketData md = ImmutableMarketData.of(valDate, ImmutableMap.of(CURVE_ID_USD1, repoCurve, CURVE_ID_USD3, issuerCurve));
LegalEntityDiscountingProvider provider = test.discountingProvider(md);
assertEquals(provider.ValuationDate, valDate);
assertEquals(provider.findData(CURVE_ID_USD1.CurveName), repoCurve);
assertEquals(provider.findData(CURVE_ID_USD3.CurveName), issuerCurve);
assertEquals(provider.findData(CurveName.of("Rubbish")), null);
// check repo
RepoCurveDiscountFactors rcdf = provider.repoCurveDiscountFactors(SEC_A1, ISSUER_A, USD);
SimpleDiscountFactors rdf = (SimpleDiscountFactors)rcdf.DiscountFactors;
assertEquals(rdf.Curve.Name, repoCurve.Name);
assertEquals(rcdf, provider.repoCurveDiscountFactors(SEC_B1, ISSUER_B, USD));
assertThrowsIllegalArg(() => provider.repoCurveDiscountFactors(SEC_A1, ISSUER_A, GBP));
assertThrowsIllegalArg(() => provider.repoCurveDiscountFactors(SEC_C1, ISSUER_C, USD));
// check issuer
IssuerCurveDiscountFactors icdf = provider.issuerCurveDiscountFactors(ISSUER_A, USD);
SimpleDiscountFactors idf = (SimpleDiscountFactors)icdf.DiscountFactors;
assertEquals(idf.Curve.Name, issuerCurve.Name);
assertThrowsIllegalArg(() => provider.issuerCurveDiscountFactors(ISSUER_A, GBP));
assertThrowsIllegalArg(() => provider.issuerCurveDiscountFactors(ISSUER_C, USD));
}
