//-------------------------------------------------------------------------
public override NodalCurve calibrate(IList <ResolvedCdsTrade> calibrationCDSs, DoubleArray premiums, DoubleArray pointsUpfront, CurveName name, LocalDate valuationDate, CreditDiscountFactors discountFactors, RecoveryRates recoveryRates, ReferenceData refData)
{
int n = calibrationCDSs.Count;
double[] guess = new double[n];
double[] t = new double[n];
double[] lgd = new double[n];
for (int i = 0; i < n; i++)
{
LocalDate endDate = calibrationCDSs[i].Product.ProtectionEndDate;
t[i] = discountFactors.relativeYearFraction(endDate);
lgd[i] = 1d - recoveryRates.recoveryRate(endDate);
guess[i] = (premiums.get(i) + pointsUpfront.get(i) / t[i]) / lgd[i];
}
DoubleArray times = DoubleArray.ofUnsafe(t);
CurveMetadata baseMetadata = DefaultCurveMetadata.builder().xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).curveName(name).dayCount(discountFactors.DayCount).build();
NodalCurve creditCurve = n == 1 ? ConstantNodalCurve.of(baseMetadata, t[0], guess[0]) : InterpolatedNodalCurve.of(baseMetadata, times, DoubleArray.ofUnsafe(guess), CurveInterpolators.PRODUCT_LINEAR, CurveExtrapolators.FLAT, CurveExtrapolators.PRODUCT_LINEAR);
for (int i = 0; i < n; i++)
{
System.Func <double, double> func = getPriceFunction(i, calibrationCDSs[i], premiums.get(i), pointsUpfront.get(i), valuationDate, creditCurve, discountFactors, recoveryRates, refData);
double[] bracket = BRACKER.getBracketedPoints(func, 0.8 * guess[i], 1.25 * guess[i], 0.0, double.PositiveInfinity);
double zeroRate = bracket[0] > bracket[1] ? ROOTFINDER.getRoot(func, bracket[1], bracket[0]) : ROOTFINDER.getRoot(func, bracket[0], bracket[1]); //Negative guess handled
creditCurve = creditCurve.withParameter(i, zeroRate);
}
return(creditCurve);
}
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);
}
//-------------------------------------------------------------------------
// constructs an interpolated nodal curve
internal InterpolatedNodalCurve createCurve(LocalDate date, IList <LoadedCurveNode> curveNodes)
{
// copy and sort
IList <LoadedCurveNode> nodes = new List <LoadedCurveNode>(curveNodes);
nodes.sort(System.Collections.IComparer.naturalOrder());
// build each node
double[] xValues = new double[nodes.Count];
double[] yValues = new double[nodes.Count];
IList <ParameterMetadata> pointsMetadata = new List <ParameterMetadata>(nodes.Count);
for (int i = 0; i < nodes.Count; i++)
{
LoadedCurveNode point = nodes[i];
double yearFraction = dayCount.yearFraction(date, point.Date);
xValues[i] = yearFraction;
yValues[i] = point.Value;
ParameterMetadata pointMetadata = LabelDateParameterMetadata.of(point.Date, point.Label);
pointsMetadata.Add(pointMetadata);
}
// create metadata
CurveMetadata curveMetadata = DefaultCurveMetadata.builder().curveName(curveName).xValueType(xValueType).yValueType(yValueType).dayCount(dayCount).parameterMetadata(pointsMetadata).build();
return(InterpolatedNodalCurve.builder().metadata(curveMetadata).xValues(DoubleArray.copyOf(xValues)).yValues(DoubleArray.copyOf(yValues)).interpolator(interpolator).extrapolatorLeft(extrapolatorLeft).extrapolatorRight(extrapolatorRight).build());
}
static CalibrationDiscountingSmithWilsonTest()
{
IBOR_INDICES.Add(GBP_LIBOR_6M);
DSC_NAMES[CURVE_NAME] = GBP;
IDX_NAMES[CURVE_NAME] = IBOR_INDICES;
for (int i = 0; i < FWD6_NB_NODES; i++)
{
ALL_NODES[i] = FixedIborSwapCurveNode.of(FixedIborSwapTemplate.of(Period.ZERO, Tenor.of(FWD6_IRS_TENORS[i]), GBP_FIXED_6M_LIBOR_6M), QuoteId.of(StandardId.of(SCHEME, FWD6_ID_VALUE[i])));
NODE_TIMES[i] = CURVE_DC.relativeYearFraction(VAL_DATE, ALL_NODES[i].date(VAL_DATE, REF_DATA));
}
ImmutableMarketDataBuilder builder = ImmutableMarketData.builder(VAL_DATE);
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[]> groupNodes = new List <CurveNode[]>();
groupNodes.Add(ALL_NODES);
CURVES_NODES.Add(groupNodes);
IList <CurveMetadata> groupMetadata = new List <CurveMetadata>();
groupMetadata.Add(DefaultCurveMetadata.builder().curveName(CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.DISCOUNT_FACTOR).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>
/// Creates an instance from year fraction and zero rate values.
/// </summary>
/// <param name="currency"> the currency </param>
/// <param name="valuationDate"> the valuation date </param>
/// <param name="curveName"> the curve name </param>
/// <param name="yearFractions"> the year fractions </param>
/// <param name="zeroRates"> the zero rates </param>
/// <param name="dayCount"> the day count </param>
/// <returns> the instance </returns>
public static IsdaCreditDiscountFactors of(Currency currency, LocalDate valuationDate, CurveName curveName, DoubleArray yearFractions, DoubleArray zeroRates, DayCount dayCount)
{
ArgChecker.notNull(yearFractions, "yearFractions");
ArgChecker.notNull(zeroRates, "zeroRates");
DefaultCurveMetadata metadata = DefaultCurveMetadata.builder().xValueType(YEAR_FRACTION).yValueType(ZERO_RATE).curveName(curveName).dayCount(dayCount).build();
NodalCurve curve = (yearFractions.size() == 1 && zeroRates.size() == 1) ? ConstantNodalCurve.of(metadata, yearFractions.get(0), zeroRates.get(0)) : InterpolatedNodalCurve.of(metadata, yearFractions, zeroRates, CurveInterpolators.PRODUCT_LINEAR, CurveExtrapolators.FLAT, CurveExtrapolators.PRODUCT_LINEAR);
return(new IsdaCreditDiscountFactors(currency, valuationDate, curve));
}
public virtual void test_of_badCurve()
{
InterpolatedNodalCurve notYearFraction = InterpolatedNodalCurve.of(Curves.prices(NAME), DoubleArray.of(0, 10), DoubleArray.of(1, 2), INTERPOLATOR);
InterpolatedNodalCurve notDiscountFactor = InterpolatedNodalCurve.of(Curves.zeroRates(NAME, ACT_365F), DoubleArray.of(0, 10), DoubleArray.of(1, 2), INTERPOLATOR);
CurveMetadata noDayCountMetadata = DefaultCurveMetadata.builder().curveName(NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.DISCOUNT_FACTOR).build();
InterpolatedNodalCurve notDayCount = InterpolatedNodalCurve.of(noDayCountMetadata, DoubleArray.of(0, 10), DoubleArray.of(1, 2), INTERPOLATOR);
assertThrowsIllegalArg(() => SimpleDiscountFactors.of(GBP, DATE_VAL, notYearFraction));
assertThrowsIllegalArg(() => SimpleDiscountFactors.of(GBP, DATE_VAL, notDiscountFactor));
assertThrowsIllegalArg(() => SimpleDiscountFactors.of(GBP, DATE_VAL, notDayCount));
}
public virtual void test_of_fail()
{
DefaultCurveMetadata metadata = DefaultCurveMetadata.builder().xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).curveName("yieldUsd").build();
InterpolatedNodalCurve curveNoDcc = InterpolatedNodalCurve.of(metadata, TIME, RATE, CurveInterpolators.PRODUCT_LINEAR, CurveExtrapolators.FLAT, CurveExtrapolators.PRODUCT_LINEAR);
assertThrowsIllegalArg(() => IsdaCreditDiscountFactors.of(USD, VALUATION, curveNoDcc));
InterpolatedNodalCurve curveWrongLeft = InterpolatedNodalCurve.of(METADATA, TIME, RATE, CurveInterpolators.PRODUCT_LINEAR, CurveExtrapolators.PRODUCT_LINEAR, CurveExtrapolators.PRODUCT_LINEAR);
assertThrowsIllegalArg(() => IsdaCreditDiscountFactors.of(USD, VALUATION, curveWrongLeft));
InterpolatedNodalCurve curveWrongInterp = InterpolatedNodalCurve.of(METADATA, TIME, RATE, CurveInterpolators.NATURAL_SPLINE, CurveExtrapolators.FLAT, CurveExtrapolators.PRODUCT_LINEAR);
assertThrowsIllegalArg(() => IsdaCreditDiscountFactors.of(USD, VALUATION, curveWrongInterp));
InterpolatedNodalCurve curveWrongRight = InterpolatedNodalCurve.of(METADATA, TIME, RATE, CurveInterpolators.PRODUCT_LINEAR, CurveExtrapolators.FLAT, CurveExtrapolators.FLAT);
assertThrowsIllegalArg(() => IsdaCreditDiscountFactors.of(USD, VALUATION, curveWrongRight));
}
public virtual void test_of_badCurve()
{
InterpolatedNodalCurve notYearFraction = InterpolatedNodalCurve.of(Curves.prices(NAME), DoubleArray.of(0, 10), DoubleArray.of(1, 2), INTERPOLATOR);
InterpolatedNodalCurve notZeroRate = InterpolatedNodalCurve.of(Curves.discountFactors(NAME, ACT_365F), DoubleArray.of(0, 10), DoubleArray.of(1, 2), INTERPOLATOR);
CurveMetadata noDayCountMetadata = DefaultCurveMetadata.builder().curveName(NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).addInfo(CurveInfoType.COMPOUNDING_PER_YEAR, 4).build();
InterpolatedNodalCurve notDayCount = InterpolatedNodalCurve.of(noDayCountMetadata, DoubleArray.of(0, 10), DoubleArray.of(1, 2), INTERPOLATOR);
CurveMetadata metaNoCompoundPerYear = DefaultCurveMetadata.builder().curveName(NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(ACT_365F).build();
InterpolatedNodalCurve notCompoundPerYear = InterpolatedNodalCurve.of(metaNoCompoundPerYear, DoubleArray.of(0, 10), DoubleArray.of(1, 2), INTERPOLATOR);
CurveMetadata metaNegativeNb = DefaultCurveMetadata.builder().curveName(NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(ACT_365F).addInfo(CurveInfoType.COMPOUNDING_PER_YEAR, -1).build();
InterpolatedNodalCurve curveNegativeNb = InterpolatedNodalCurve.of(metaNegativeNb, DoubleArray.of(0, 10), DoubleArray.of(1, 2), INTERPOLATOR);
assertThrowsIllegalArg(() => ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, notYearFraction));
assertThrowsIllegalArg(() => ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, notZeroRate));
assertThrowsIllegalArg(() => ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, notDayCount));
assertThrowsIllegalArg(() => ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, notCompoundPerYear));
assertThrowsIllegalArg(() => ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, curveNegativeNb));
}
static CurveSensitivityUtilsJacobianTest()
{
Tenor[] tenors = new Tenor[] { Tenor.TENOR_1D, Tenor.TENOR_1M, Tenor.TENOR_3M, Tenor.TENOR_6M, Tenor.TENOR_1Y, Tenor.TENOR_2Y, Tenor.TENOR_3Y, Tenor.TENOR_4Y, Tenor.TENOR_5Y, Tenor.TENOR_7Y, Tenor.TENOR_10Y, Tenor.TENOR_15Y, Tenor.TENOR_20Y, Tenor.TENOR_30Y };
IList <TenorParameterMetadata> metadataList = new List <TenorParameterMetadata>();
for (int looptenor = 0; looptenor < tenors.Length; looptenor++)
{
metadataList.Add(TenorParameterMetadata.of(tenors[looptenor]));
}
DoubleArray rate_eur = DoubleArray.of(0.0160, 0.0165, 0.0155, 0.0155, 0.0155, 0.0150, 0.0150, 0.0160, 0.0165, 0.0155, 0.0155, 0.0155, 0.0150, 0.0140);
InterpolatedNodalCurve curve_single_eur = InterpolatedNodalCurve.builder().metadata(DefaultCurveMetadata.builder().curveName(EUR_SINGLE_NAME).parameterMetadata(metadataList).dayCount(ACT_365F).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).build()).xValues(TIME_EUR).yValues(rate_eur).extrapolatorLeft(CurveExtrapolators.FLAT).extrapolatorRight(CurveExtrapolators.FLAT).interpolator(CurveInterpolators.LINEAR).build();
MULTICURVE_EUR_SINGLE_INPUT = ImmutableRatesProvider.builder(VALUATION_DATE).discountCurve(EUR, curve_single_eur).iborIndexCurve(EUR_EURIBOR_6M, curve_single_eur).build();
LIST_CURVE_NAMES_1.Add(CurveParameterSize.of(EUR_SINGLE_NAME, TIME_EUR.size()));
}
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);
}
//-------------------------------------------------------------------------
public override NodalCurve calibrate(IList <ResolvedCdsTrade> calibrationCDSs, DoubleArray flactionalSpreads, DoubleArray pointsUpfront, CurveName name, LocalDate valuationDate, CreditDiscountFactors discountFactors, RecoveryRates recoveryRates, ReferenceData refData)
{
int n = calibrationCDSs.Count;
double[] guess = new double[n];
double[] t = new double[n];
double[] lgd = new double[n];
for (int i = 0; i < n; i++)
{
LocalDate endDate = calibrationCDSs[i].Product.ProtectionEndDate;
t[i] = discountFactors.relativeYearFraction(endDate);
lgd[i] = 1d - recoveryRates.recoveryRate(endDate);
guess[i] = (flactionalSpreads.get(i) + pointsUpfront.get(i) / t[i]) / lgd[i];
}
DoubleArray times = DoubleArray.ofUnsafe(t);
CurveMetadata baseMetadata = DefaultCurveMetadata.builder().xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).curveName(name).dayCount(discountFactors.DayCount).build();
NodalCurve creditCurve = n == 1 ? ConstantNodalCurve.of(baseMetadata, t[0], guess[0]) : InterpolatedNodalCurve.of(baseMetadata, times, DoubleArray.ofUnsafe(guess), CurveInterpolators.PRODUCT_LINEAR, CurveExtrapolators.FLAT, CurveExtrapolators.PRODUCT_LINEAR);
for (int i = 0; i < n; i++)
{
ResolvedCds cds = calibrationCDSs[i].Product;
LocalDate stepinDate = cds.StepinDateOffset.adjust(valuationDate, refData);
LocalDate effectiveStartDate = cds.calculateEffectiveStartDate(stepinDate);
LocalDate settlementDate = calibrationCDSs[i].Info.SettlementDate.orElse(cds.SettlementDateOffset.adjust(valuationDate, refData));
double accrued = cds.accruedYearFraction(stepinDate);
Pricer pricer = new Pricer(this, cds, discountFactors, times, flactionalSpreads.get(i), pointsUpfront.get(i), lgd[i], stepinDate, effectiveStartDate, settlementDate, accrued);
System.Func <double, double> func = pricer.getPointFunction(i, creditCurve);
switch (ArbitrageHandling)
{
case IGNORE:
{
try
{
double[] bracket = BRACKETER.getBracketedPoints(func, 0.8 * guess[i], 1.25 * guess[i], double.NegativeInfinity, double.PositiveInfinity);
double zeroRate = bracket[0] > bracket[1] ? ROOTFINDER.getRoot(func, bracket[1], bracket[0]) : ROOTFINDER.getRoot(func, bracket[0], bracket[1]); //Negative guess handled
creditCurve = creditCurve.withParameter(i, zeroRate);
}
//JAVA TO C# CONVERTER WARNING: 'final' catch parameters are not available in C#:
//ORIGINAL LINE: catch (final com.opengamma.strata.math.MathException e)
catch (MathException e)
{ //handling bracketing failure due to small survival probability
if (Math.Abs(func(creditCurve.YValues.get(i - 1))) < 1.e-12)
{
creditCurve = creditCurve.withParameter(i, creditCurve.YValues.get(i - 1));
}
else
{
throw new MathException(e);
}
}
break;
}
case FAIL:
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double minValue = i == 0 ? 0d : creditCurve.getYValues().get(i - 1) * creditCurve.getXValues().get(i - 1) / creditCurve.getXValues().get(i);
double minValue = i == 0 ? 0d : creditCurve.YValues.get(i - 1) * creditCurve.XValues.get(i - 1) / creditCurve.XValues.get(i);
if (i > 0 && func(minValue) > 0.0)
{ //can never fail on the first spread
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final StringBuilder msg = new StringBuilder();
StringBuilder msg = new StringBuilder();
if (pointsUpfront.get(i) == 0.0)
{
msg.Append("The par spread of " + flactionalSpreads.get(i) + " at index " + i);
}
else
{
msg.Append("The premium of " + flactionalSpreads.get(i) + "and points up-front of " + pointsUpfront.get(i) + " at index " + i);
}
msg.Append(" is an arbitrage; cannot fit a curve with positive forward hazard rate. ");
throw new System.ArgumentException(msg.ToString());
}
guess[i] = Math.Max(minValue, guess[i]);
double[] bracket = BRACKETER.getBracketedPoints(func, guess[i], 1.2 * guess[i], minValue, double.PositiveInfinity);
double zeroRate = ROOTFINDER.getRoot(func, bracket[0], bracket[1]).Value;
creditCurve = creditCurve.withParameter(i, zeroRate);
break;
}
case ZERO_HAZARD_RATE:
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double minValue = i == 0 ? 0.0 : creditCurve.getYValues().get(i - 1) * creditCurve.getXValues().get(i - 1) / creditCurve.getXValues().get(i);
double minValue = i == 0 ? 0.0 : creditCurve.YValues.get(i - 1) * creditCurve.XValues.get(i - 1) / creditCurve.XValues.get(i);
if (i > 0 && func(minValue) > 0.0)
{ //can never fail on the first spread
creditCurve = creditCurve.withParameter(i, minValue);
}
else
{
guess[i] = Math.Max(minValue, guess[i]);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double[] bracket = BRACKETER.getBracketedPoints(func, guess[i], 1.2 * guess[i], minValue, Double.POSITIVE_INFINITY);
double[] bracket = BRACKETER.getBracketedPoints(func, guess[i], 1.2 * guess[i], minValue, double.PositiveInfinity);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double zeroRate = ROOTFINDER.getRoot(func, bracket[0], bracket[1]);
double zeroRate = ROOTFINDER.getRoot(func, bracket[0], bracket[1]).Value;
creditCurve = creditCurve.withParameter(i, zeroRate);
}
break;
}
default:
throw new System.ArgumentException("unknown case " + ArbitrageHandling);
}
}
return(creditCurve);
}
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);
}