/// <summary>
/// Calculates the market quote sensitivities from parameter sensitivity.
/// <para>
/// This calculates the market quote sensitivities of fixed incomes.
/// The input parameter sensitivities must be computed based on the legal entity discounting provider.
///
/// </para>
/// </summary>
/// <param name="paramSensitivities"> the curve parameter sensitivities </param>
/// <param name="provider"> the legal entity discounting provider, containing Jacobian calibration information </param>
/// <returns> the market quote sensitivities </returns>
public virtual CurrencyParameterSensitivities sensitivity(CurrencyParameterSensitivities paramSensitivities, LegalEntityDiscountingProvider provider)
{
ArgChecker.notNull(paramSensitivities, "paramSensitivities");
ArgChecker.notNull(provider, "provider");
CurrencyParameterSensitivities result = CurrencyParameterSensitivities.empty();
foreach (CurrencyParameterSensitivity paramSens in paramSensitivities.Sensitivities)
{
// find the matching calibration info
Curve curve = provider.findData(paramSens.MarketDataName).filter(v => v is Curve).map(v => (Curve)v).orElseThrow(() => new System.ArgumentException("Market Quote sensitivity requires curve: " + paramSens.MarketDataName));
JacobianCalibrationMatrix info = curve.Metadata.findInfo(CurveInfoType.JACOBIAN).orElseThrow(() => new System.ArgumentException("Market Quote sensitivity requires Jacobian calibration information"));
// calculate the market quote sensitivity using the Jacobian
DoubleMatrix jacobian = info.JacobianMatrix;
DoubleArray paramSensMatrix = paramSens.Sensitivity;
DoubleArray marketQuoteSensMatrix = (DoubleArray)MATRIX_ALGEBRA.multiply(paramSensMatrix, jacobian);
DoubleArray marketQuoteSens = marketQuoteSensMatrix;
// split between different curves
IDictionary <CurveName, DoubleArray> split = info.splitValues(marketQuoteSens);
foreach (KeyValuePair <CurveName, DoubleArray> entry in split.SetOfKeyValuePairs())
{
CurveName curveName = entry.Key;
CurrencyParameterSensitivity maketQuoteSens = provider.findData(curveName).map(c => c.createParameterSensitivity(paramSens.Currency, entry.Value)).orElse(CurrencyParameterSensitivity.of(curveName, paramSens.Currency, entry.Value));
result = result.combinedWith(maketQuoteSens);
}
}
return(result);
}
// jacobian indirect, merging groups
private static DoubleMatrix jacobianIndirect(DoubleMatrix res, DoubleMatrix pDmCurrentMatrix, int nbTrades, int totalParamsGroup, int totalParamsPrevious, ImmutableList <CurveParameterSize> orderPrevious, ImmutableMap <CurveName, JacobianCalibrationMatrix> jacobiansPrevious)
{
if (totalParamsPrevious == 0)
{
return(DoubleMatrix.EMPTY);
}
//JAVA TO C# CONVERTER NOTE: The following call to the 'RectangularArrays' helper class reproduces the rectangular array initialization that is automatic in Java:
//ORIGINAL LINE: double[][] nonDirect = new double[totalParamsGroup][totalParamsPrevious];
double[][] nonDirect = RectangularArrays.ReturnRectangularDoubleArray(totalParamsGroup, totalParamsPrevious);
for (int i = 0; i < nbTrades; i++)
{
Array.Copy(res.rowArray(i), 0, nonDirect[i], 0, totalParamsPrevious);
}
DoubleMatrix pDpPreviousMatrix = (DoubleMatrix)MATRIX_ALGEBRA.scale(MATRIX_ALGEBRA.multiply(pDmCurrentMatrix, DoubleMatrix.copyOf(nonDirect)), -1d);
// all curves: order and size
int[] startIndexBefore = new int[orderPrevious.size()];
for (int i = 1; i < orderPrevious.size(); i++)
{
startIndexBefore[i] = startIndexBefore[i - 1] + orderPrevious.get(i - 1).ParameterCount;
}
// transition Matrix: all curves from previous groups
//JAVA TO C# CONVERTER NOTE: The following call to the 'RectangularArrays' helper class reproduces the rectangular array initialization that is automatic in Java:
//ORIGINAL LINE: double[][] transition = new double[totalParamsPrevious][totalParamsPrevious];
double[][] transition = RectangularArrays.ReturnRectangularDoubleArray(totalParamsPrevious, totalParamsPrevious);
for (int i = 0; i < orderPrevious.size(); i++)
{
int paramCountOuter = orderPrevious.get(i).ParameterCount;
JacobianCalibrationMatrix thisInfo = jacobiansPrevious.get(orderPrevious.get(i).Name);
DoubleMatrix thisMatrix = thisInfo.JacobianMatrix;
int startIndexInner = 0;
for (int j = 0; j < orderPrevious.size(); j++)
{
int paramCountInner = orderPrevious.get(j).ParameterCount;
if (thisInfo.containsCurve(orderPrevious.get(j).Name))
{ // If not, the matrix stay with 0
for (int k = 0; k < paramCountOuter; k++)
{
Array.Copy(thisMatrix.rowArray(k), startIndexInner, transition[startIndexBefore[i] + k], startIndexBefore[j], paramCountInner);
}
}
startIndexInner += paramCountInner;
}
}
DoubleMatrix transitionMatrix = DoubleMatrix.copyOf(transition);
return((DoubleMatrix)MATRIX_ALGEBRA.multiply(pDpPreviousMatrix, transitionMatrix));
}
//-------------------------------------------------------------------------
internal static ScenarioMarketData marketData(CurveName curveName)
{
DoubleMatrix jacobian = DoubleMatrix.ofUnsafe(new double[][]
{
new double[] { 0.985d, 0.01d, 0d },
new double[] { 0.01d, 0.98d, 0.01d },
new double[] { 0.005d, 0.01d, 0.99d }
});
JacobianCalibrationMatrix jcm = JacobianCalibrationMatrix.of(ImmutableList.of(CurveParameterSize.of(curveName, 3)), jacobian);
DoubleArray time = DoubleArray.of(0.1, 0.25, 0.5d);
DoubleArray rate = DoubleArray.of(0.01, 0.015, 0.008d);
Curve curve = InterpolatedNodalCurve.of(Curves.zeroRates(curveName, ACT_360).withInfo(CurveInfoType.JACOBIAN, jcm), time, rate, NATURAL_SPLINE);
TestMarketDataMap md = new TestMarketDataMap(VAL_DATE, ImmutableMap.of(FORWARD_CURVE_ID, curve, QUOTE_KEY, MARKET_PRICE), ImmutableMap.of());
return(md);
}
//-------------------------------------------------------------------------
// calculates the Jacobian and builds the result, called once per group
// this uses, but does not alter, data from previous groups
private ImmutableMap <CurveName, JacobianCalibrationMatrix> updateJacobiansForGroup(ImmutableRatesProvider provider, ImmutableList <ResolvedTrade> trades, ImmutableList <CurveParameterSize> orderGroup, ImmutableList <CurveParameterSize> orderPrev, ImmutableList <CurveParameterSize> orderAll, ImmutableMap <CurveName, JacobianCalibrationMatrix> jacobians)
{
// sensitivity to all parameters in the stated order
int totalParamsAll = orderAll.Select(e => e.ParameterCount).Sum();
DoubleMatrix res = derivatives(trades, provider, orderAll, totalParamsAll);
// jacobian direct
int nbTrades = trades.size();
int totalParamsGroup = orderGroup.Select(e => e.ParameterCount).Sum();
int totalParamsPrevious = totalParamsAll - totalParamsGroup;
DoubleMatrix pDmCurrentMatrix = jacobianDirect(res, nbTrades, totalParamsGroup, totalParamsPrevious);
// jacobian indirect: when totalParamsPrevious > 0
DoubleMatrix pDmPrevious = jacobianIndirect(res, pDmCurrentMatrix, nbTrades, totalParamsGroup, totalParamsPrevious, orderPrev, jacobians);
// add to the map of jacobians, one entry for each curve in this group
ImmutableMap.Builder <CurveName, JacobianCalibrationMatrix> jacobianBuilder = ImmutableMap.builder();
jacobianBuilder.putAll(jacobians);
int startIndex = 0;
foreach (CurveParameterSize order in orderGroup)
{
int paramCount = order.ParameterCount;
//JAVA TO C# CONVERTER NOTE: The following call to the 'RectangularArrays' helper class reproduces the rectangular array initialization that is automatic in Java:
//ORIGINAL LINE: double[][] pDmCurveArray = new double[paramCount][totalParamsAll];
double[][] pDmCurveArray = RectangularArrays.ReturnRectangularDoubleArray(paramCount, totalParamsAll);
// copy data for previous groups
if (totalParamsPrevious > 0)
{
for (int p = 0; p < paramCount; p++)
{
Array.Copy(pDmPrevious.rowArray(startIndex + p), 0, pDmCurveArray[p], 0, totalParamsPrevious);
}
}
// copy data for this group
for (int p = 0; p < paramCount; p++)
{
Array.Copy(pDmCurrentMatrix.rowArray(startIndex + p), 0, pDmCurveArray[p], totalParamsPrevious, totalParamsGroup);
}
// build final Jacobian matrix
DoubleMatrix pDmCurveMatrix = DoubleMatrix.ofUnsafe(pDmCurveArray);
jacobianBuilder.put(order.Name, JacobianCalibrationMatrix.of(orderAll, pDmCurveMatrix));
startIndex += paramCount;
}
return(jacobianBuilder.build());
}
// build the map of additional info
private CurveMetadata childMetadata(CurveMetadata metadata, CurveDefinition curveDefn, IDictionary <CurveName, JacobianCalibrationMatrix> jacobians, IDictionary <CurveName, DoubleArray> sensitivitiesMarketQuote)
{
JacobianCalibrationMatrix jacobian = jacobians[curveDefn.Name];
CurveMetadata metadataResult = metadata;
if (jacobian != null)
{
metadataResult = metadata.withInfo(CurveInfoType.JACOBIAN, jacobian);
}
DoubleArray sensitivity = sensitivitiesMarketQuote[curveDefn.Name];
if (sensitivity != null)
{
metadataResult = metadataResult.withInfo(CurveInfoType.PV_SENSITIVITY_TO_MARKET_QUOTE, sensitivity);
}
return(metadataResult);
}
//-------------------------------------------------------------------------
internal static ScenarioMarketData marketData()
{
CurveParameterSize issuerSize = CurveParameterSize.of(ISSUER_CURVE_ID.CurveName, 3);
CurveParameterSize repoSize = CurveParameterSize.of(REPO_CURVE_ID.CurveName, 2);
JacobianCalibrationMatrix issuerMatrix = JacobianCalibrationMatrix.of(ImmutableList.of(issuerSize, repoSize), DoubleMatrix.copyOf(new double[][]
{
new double[] { 0.95, 0.03, 0.01, 0.006, 0.004 },
new double[] { 0.03, 0.95, 0.01, 0.005, 0.005 },
new double[] { 0.03, 0.01, 0.95, 0.002, 0.008 }
}));
JacobianCalibrationMatrix repoMatrix = JacobianCalibrationMatrix.of(ImmutableList.of(issuerSize, repoSize), DoubleMatrix.copyOf(new double[][]
{
new double[] { 0.003, 0.003, 0.004, 0.97, 0.02 },
new double[] { 0.003, 0.006, 0.001, 0.05, 0.94 }
}));
CurveMetadata issuerMetadata = Curves.zeroRates(ISSUER_CURVE_ID.CurveName, ACT_360).withInfo(CurveInfoType.JACOBIAN, issuerMatrix);
CurveMetadata repoMetadata = Curves.zeroRates(REPO_CURVE_ID.CurveName, ACT_360).withInfo(CurveInfoType.JACOBIAN, repoMatrix);
Curve issuerCurve = InterpolatedNodalCurve.of(issuerMetadata, DoubleArray.of(1.0, 5.0, 10.0), DoubleArray.of(0.02, 0.04, 0.01), CurveInterpolators.LINEAR);
Curve repoCurve = InterpolatedNodalCurve.of(repoMetadata, DoubleArray.of(0.5, 3.0), DoubleArray.of(0.005, 0.008), CurveInterpolators.LINEAR);
return(new TestMarketDataMap(VALUATION_DATE, ImmutableMap.of(REPO_CURVE_ID, repoCurve, ISSUER_CURVE_ID, issuerCurve), ImmutableMap.of()));
}
//-------------------------------------------------------------------------
// shift the curve
private NodalCurve withShift(InterpolatedNodalCurve curve, IList <ParameterMetadata> parameterMetadata, DoubleMatrix sensitivity, bool computeJacobian, double shift)
{
int nNode = curve.ParameterCount;
if (shift < curve.XValues.get(0))
{
//offset less than t value of 1st knot, so no knots are not removed
double eta = curve.YValues.get(0) * shift;
DoubleArray time = DoubleArray.of(nNode, i => curve.XValues.get(i) - shift);
DoubleArray rate = DoubleArray.of(nNode, i => (curve.YValues.get(i) * curve.XValues.get(i) - eta) / time.get(i));
CurveMetadata metadata = curve.Metadata.withParameterMetadata(parameterMetadata);
if (computeJacobian)
{
//JAVA TO C# CONVERTER NOTE: The following call to the 'RectangularArrays' helper class reproduces the rectangular array initialization that is automatic in Java:
//ORIGINAL LINE: double[][] transf = new double[nNode][nNode];
double[][] transf = RectangularArrays.ReturnRectangularDoubleArray(nNode, nNode);
for (int i = 0; i < nNode; ++i)
{
transf[i][0] = -shift / time.get(i);
transf[i][i] += curve.XValues.get(i) / time.get(i);
}
DoubleMatrix jacobianMatrix = (DoubleMatrix)MATRIX_ALGEBRA.multiply(DoubleMatrix.ofUnsafe(transf), MATRIX_ALGEBRA.getInverse(sensitivity));
JacobianCalibrationMatrix jacobian = JacobianCalibrationMatrix.of(ImmutableList.of(CurveParameterSize.of(curve.Name, nNode)), jacobianMatrix);
return(curve.withValues(time, rate).withMetadata(metadata.withInfo(CurveInfoType.JACOBIAN, jacobian)));
}
return(curve.withValues(time, rate).withMetadata(metadata));
}
if (shift >= curve.XValues.get(nNode - 1))
{
//new base after last knot. The new 'curve' has a constant zero rate which we represent with a nominal knot at 1.0
double time = 1d;
double interval = curve.XValues.get(nNode - 1) - curve.XValues.get(nNode - 2);
double rate = (curve.YValues.get(nNode - 1) * curve.XValues.get(nNode - 1) - curve.YValues.get(nNode - 2) * curve.XValues.get(nNode - 2)) / interval;
if (computeJacobian)
{
//JAVA TO C# CONVERTER NOTE: The following call to the 'RectangularArrays' helper class reproduces the rectangular array initialization that is automatic in Java:
//ORIGINAL LINE: double[][] transf = new double[1][nNode];
double[][] transf = RectangularArrays.ReturnRectangularDoubleArray(1, nNode);
transf[0][nNode - 2] = -curve.XValues.get(nNode - 2) / interval;
transf[0][nNode - 1] = curve.XValues.get(nNode - 1) / interval;
DoubleMatrix jacobianMatrix = (DoubleMatrix)MATRIX_ALGEBRA.multiply(DoubleMatrix.ofUnsafe(transf), MATRIX_ALGEBRA.getInverse(sensitivity));
JacobianCalibrationMatrix jacobian = JacobianCalibrationMatrix.of(ImmutableList.of(CurveParameterSize.of(curve.Name, nNode)), jacobianMatrix);
return(ConstantNodalCurve.of(curve.Metadata.withInfo(CurveInfoType.JACOBIAN, jacobian), time, rate));
}
return(ConstantNodalCurve.of(curve.Metadata, time, rate));
}
//offset greater than (or equal to) t value of 1st knot, so at least one knot must be removed
int index = Arrays.binarySearch(curve.XValues.toArray(), shift);
if (index < 0)
{
index = -(index + 1);
}
else
{
index++;
}
double interval = curve.XValues.get(index) - curve.XValues.get(index - 1);
double tt1 = curve.XValues.get(index - 1) * (curve.XValues.get(index) - shift);
double tt2 = curve.XValues.get(index) * (shift - curve.XValues.get(index - 1));
double eta = (curve.YValues.get(index - 1) * tt1 + curve.YValues.get(index) * tt2) / interval;
int m = nNode - index;
CurveMetadata metadata = curve.Metadata.withParameterMetadata(parameterMetadata.subList(index, nNode));
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final int indexFinal = index;
int indexFinal = index;
DoubleArray time = DoubleArray.of(m, i => curve.XValues.get(i + indexFinal) - shift);
DoubleArray rate = DoubleArray.of(m, i => (curve.YValues.get(i + indexFinal) * curve.XValues.get(i + indexFinal) - eta) / time.get(i));
if (computeJacobian)
{
//JAVA TO C# CONVERTER NOTE: The following call to the 'RectangularArrays' helper class reproduces the rectangular array initialization that is automatic in Java:
//ORIGINAL LINE: double[][] transf = new double[m][nNode];
double[][] transf = RectangularArrays.ReturnRectangularDoubleArray(m, nNode);
for (int i = 0; i < m; ++i)
{
transf[i][index - 1] -= tt1 / (time.get(i) * interval);
transf[i][index] -= tt2 / (time.get(i) * interval);
transf[i][i + index] += curve.XValues.get(i + index) / time.get(i);
}
DoubleMatrix jacobianMatrix = (DoubleMatrix)MATRIX_ALGEBRA.multiply(DoubleMatrix.ofUnsafe(transf), MATRIX_ALGEBRA.getInverse(sensitivity));
JacobianCalibrationMatrix jacobian = JacobianCalibrationMatrix.of(ImmutableList.of(CurveParameterSize.of(curve.Name, nNode)), jacobianMatrix);
return(curve.withValues(time, rate).withMetadata(metadata.withInfo(CurveInfoType.JACOBIAN, jacobian)));
}
return(curve.withValues(time, rate).withMetadata(metadata));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calibrates the ISDA compliant discount curve to the market data.
/// <para>
/// This creates the single discount curve for a specified currency.
/// The curve nodes in {@code IsdaCreditCurveDefinition} should be term deposit or fixed-for-Ibor swap,
/// and the number of nodes should be greater than 1.
///
/// </para>
/// </summary>
/// <param name="curveDefinition"> the curve definition </param>
/// <param name="marketData"> the market data </param>
/// <param name="refData"> the reference data </param>
/// <returns> the ISDA compliant discount curve </returns>
public IsdaCreditDiscountFactors calibrate(IsdaCreditCurveDefinition curveDefinition, MarketData marketData, ReferenceData refData)
{
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.List<? extends com.opengamma.strata.market.curve.IsdaCreditCurveNode> curveNodes = curveDefinition.getCurveNodes();
IList <IsdaCreditCurveNode> curveNodes = curveDefinition.CurveNodes;
int nNodes = curveNodes.Count;
ArgChecker.isTrue(nNodes > 1, "the number of curve nodes must be greater than 1");
LocalDate curveSnapDate = marketData.ValuationDate;
LocalDate curveValuationDate = curveDefinition.CurveValuationDate;
DayCount curveDayCount = curveDefinition.DayCount;
BasicFixedLeg[] swapLeg = new BasicFixedLeg[nNodes];
double[] termDepositYearFraction = new double[nNodes];
double[] curveNodeTime = new double[nNodes];
double[] rates = new double[nNodes];
ImmutableList.Builder <ParameterMetadata> paramMetadata = ImmutableList.builder();
int nTermDeposit = 0;
LocalDate curveSpotDate = null;
for (int i = 0; i < nNodes; i++)
{
LocalDate cvDateTmp;
IsdaCreditCurveNode node = curveNodes[i];
rates[i] = marketData.getValue(node.ObservableId);
LocalDate adjMatDate = node.date(curveSnapDate, refData);
paramMetadata.add(node.metadata(adjMatDate));
if (node is DepositIsdaCreditCurveNode)
{
DepositIsdaCreditCurveNode termDeposit = (DepositIsdaCreditCurveNode)node;
cvDateTmp = termDeposit.SpotDateOffset.adjust(curveSnapDate, refData);
curveNodeTime[i] = curveDayCount.relativeYearFraction(cvDateTmp, adjMatDate);
termDepositYearFraction[i] = termDeposit.DayCount.relativeYearFraction(cvDateTmp, adjMatDate);
ArgChecker.isTrue(nTermDeposit == i, "TermDepositCurveNode should not be after FixedIborSwapCurveNode");
++nTermDeposit;
}
else if (node is SwapIsdaCreditCurveNode)
{
SwapIsdaCreditCurveNode swap = (SwapIsdaCreditCurveNode)node;
cvDateTmp = swap.SpotDateOffset.adjust(curveSnapDate, refData);
curveNodeTime[i] = curveDayCount.relativeYearFraction(cvDateTmp, adjMatDate);
BusinessDayAdjustment busAdj = swap.BusinessDayAdjustment;
swapLeg[i] = new BasicFixedLeg(this, cvDateTmp, cvDateTmp.plus(swap.Tenor), swap.PaymentFrequency.Period, swap.DayCount, curveDayCount, busAdj, refData);
}
else
{
throw new System.ArgumentException("unsupported cuve node type");
}
if (i > 0)
{
ArgChecker.isTrue(curveNodeTime[i] - curveNodeTime[i - 1] > 0, "curve nodes should be ascending in terms of tenor");
ArgChecker.isTrue(cvDateTmp.Equals(curveSpotDate), "spot lag should be common for all of the curve nodes");
}
else
{
ArgChecker.isTrue(curveNodeTime[i] >= 0d, "the first node should be after curve spot date");
curveSpotDate = cvDateTmp;
}
}
ImmutableList <ParameterMetadata> parameterMetadata = paramMetadata.build();
double[] ratesMod = Arrays.copyOf(rates, nNodes);
for (int i = 0; i < nTermDeposit; ++i)
{
double dfInv = 1d + ratesMod[i] * termDepositYearFraction[i];
ratesMod[i] = Math.Log(dfInv) / curveNodeTime[i];
}
InterpolatedNodalCurve curve = curveDefinition.curve(DoubleArray.ofUnsafe(curveNodeTime), DoubleArray.ofUnsafe(ratesMod));
for (int i = nTermDeposit; i < nNodes; ++i)
{
curve = fitSwap(i, swapLeg[i], curve, rates[i]);
}
Currency currency = curveDefinition.Currency;
DoubleMatrix sensi = quoteValueSensitivity(nTermDeposit, termDepositYearFraction, swapLeg, ratesMod, curve, curveDefinition.ComputeJacobian);
if (curveValuationDate.isEqual(curveSpotDate))
{
if (curveDefinition.ComputeJacobian)
{
JacobianCalibrationMatrix jacobian = JacobianCalibrationMatrix.of(ImmutableList.of(CurveParameterSize.of(curveDefinition.Name, nNodes)), MATRIX_ALGEBRA.getInverse(sensi));
NodalCurve curveWithParamMetadata = curve.withMetadata(curve.Metadata.withInfo(CurveInfoType.JACOBIAN, jacobian).withParameterMetadata(parameterMetadata));
return(IsdaCreditDiscountFactors.of(currency, curveValuationDate, curveWithParamMetadata));
}
NodalCurve curveWithParamMetadata = curve.withMetadata(curve.Metadata.withParameterMetadata(parameterMetadata));
return(IsdaCreditDiscountFactors.of(currency, curveValuationDate, curveWithParamMetadata));
}
double offset = curveDayCount.relativeYearFraction(curveSpotDate, curveValuationDate);
return(IsdaCreditDiscountFactors.of(currency, curveValuationDate, withShift(curve, parameterMetadata, sensi, curveDefinition.ComputeJacobian, offset)));
}
/// <summary>
/// Calibrate a single curve to 4 points. Use the resulting calibrated curves as starting point of the computation
/// of a Jacobian. Compare the direct Jacobian and the one reconstructed from trades.
/// </summary>
public virtual void direct_two_curves()
{
JacobianCalibrationMatrix jiObject = MULTICURVE_EUR_2_CALIBRATED.findData(EUR_DSCON_OIS).get().Metadata.findInfo(CurveInfoType.JACOBIAN).get();
ImmutableList <CurveParameterSize> order = jiObject.Order; // To obtain the order of the curves in the jacobian
/* Create trades */
IList <ResolvedTrade> tradesDsc = new List <ResolvedTrade>();
for (int looptenor = 0; looptenor < TENORS_STD_2_OIS.Length; looptenor++)
{
ResolvedSwapTrade t0 = EUR_FIXED_1Y_EONIA_OIS.createTrade(VALUATION_DATE, TENORS_STD_2_OIS[looptenor], BuySell.BUY, 1.0, 0.0, REF_DATA).resolve(REF_DATA);
double rate = MARKET_QUOTE.value(t0, MULTICURVE_EUR_2_CALIBRATED);
ResolvedSwapTrade t = EUR_FIXED_1Y_EONIA_OIS.createTrade(VALUATION_DATE, TENORS_STD_2_OIS[looptenor], BuySell.BUY, 1.0, rate, REF_DATA).resolve(REF_DATA);
tradesDsc.Add(t);
}
IList <ResolvedTrade> tradesE3 = new List <ResolvedTrade>();
// Fixing
IborFixingDepositConvention c = IborFixingDepositConvention.of(EUR_EURIBOR_6M);
ResolvedIborFixingDepositTrade fix0 = c.createTrade(VALUATION_DATE, EUR_EURIBOR_6M.Tenor.Period, BuySell.BUY, 1.0, 0.0, REF_DATA).resolve(REF_DATA);
double rateFixing = MARKET_QUOTE.value(fix0, MULTICURVE_EUR_2_CALIBRATED);
ResolvedIborFixingDepositTrade fix = c.createTrade(VALUATION_DATE, EUR_EURIBOR_6M.Tenor.Period, BuySell.BUY, 1.0, rateFixing, REF_DATA).resolve(REF_DATA);
tradesE3.Add(fix);
// IRS
for (int looptenor = 0; looptenor < TENORS_STD_2_IRS.Length; looptenor++)
{
ResolvedSwapTrade t0 = EUR_FIXED_1Y_EURIBOR_6M.createTrade(VALUATION_DATE, TENORS_STD_2_IRS[looptenor], BuySell.BUY, 1.0, 0.0, REF_DATA).resolve(REF_DATA);
double rate = MARKET_QUOTE.value(t0, MULTICURVE_EUR_2_CALIBRATED);
ResolvedSwapTrade t = EUR_FIXED_1Y_EURIBOR_6M.createTrade(VALUATION_DATE, TENORS_STD_2_IRS[looptenor], BuySell.BUY, 1.0, rate, REF_DATA).resolve(REF_DATA);
tradesE3.Add(t);
}
IList <ResolvedTrade> trades = new List <ResolvedTrade>();
if (order.get(0).Name.Equals(EUR_DSCON_OIS))
{
((IList <ResolvedTrade>)trades).AddRange(tradesDsc);
((IList <ResolvedTrade>)trades).AddRange(tradesE3);
}
else
{
((IList <ResolvedTrade>)trades).AddRange(tradesE3);
((IList <ResolvedTrade>)trades).AddRange(tradesDsc);
}
/* Par rate sensitivity */
System.Func <ResolvedTrade, CurrencyParameterSensitivities> sensitivityFunction = (t) => MULTICURVE_EUR_2_CALIBRATED.parameterSensitivity((t is ResolvedSwapTrade) ? PRICER_SWAP_PRODUCT.parRateSensitivity(((ResolvedSwapTrade)t).Product, MULTICURVE_EUR_2_CALIBRATED).build() : PRICER_IBORFIX_PRODUCT.parRateSensitivity(((ResolvedIborFixingDepositTrade)t).Product, MULTICURVE_EUR_2_CALIBRATED));
DoubleMatrix jiComputed = CurveSensitivityUtils.jacobianFromMarketQuoteSensitivities(order, trades, sensitivityFunction);
DoubleMatrix jiExpectedDsc = MULTICURVE_EUR_2_CALIBRATED.findData(EUR_DSCON_OIS).get().Metadata.getInfo(CurveInfoType.JACOBIAN).JacobianMatrix;
DoubleMatrix jiExpectedE3 = MULTICURVE_EUR_2_CALIBRATED.findData(EUR_EURIBOR6M_IRS).get().Metadata.getInfo(CurveInfoType.JACOBIAN).JacobianMatrix;
/* Comparison */
assertEquals(jiComputed.rowCount(), jiExpectedDsc.rowCount() + jiExpectedE3.rowCount());
assertEquals(jiComputed.columnCount(), jiExpectedDsc.columnCount());
assertEquals(jiComputed.columnCount(), jiExpectedE3.columnCount());
int shiftDsc = order.get(0).Name.Equals(EUR_DSCON_OIS) ? 0 : jiExpectedE3.rowCount();
for (int i = 0; i < jiExpectedDsc.rowCount(); i++)
{
for (int j = 0; j < jiExpectedDsc.columnCount(); j++)
{
assertEquals(jiComputed.get(i + shiftDsc, j), jiExpectedDsc.get(i, j), TOLERANCE_JAC);
}
}
int shiftE3 = order.get(0).Name.Equals(EUR_DSCON_OIS) ? jiExpectedDsc.rowCount() : 0;
for (int i = 0; i < jiExpectedE3.rowCount(); i++)
{
for (int j = 0; j < jiExpectedDsc.columnCount(); j++)
{
assertEquals(jiComputed.get(i + shiftE3, j), jiExpectedE3.get(i, j), TOLERANCE_JAC);
}
}
}
internal virtual LegalEntitySurvivalProbabilities calibrate(IList <CdsIsdaCreditCurveNode> curveNodes, CurveName name, MarketData marketData, ImmutableCreditRatesProvider ratesProvider, DayCount definitionDayCount, Currency definitionCurrency, bool computeJacobian, bool storeTrade, ReferenceData refData)
{
//JAVA TO C# CONVERTER TODO TASK: Method reference arbitrary object instance method syntax is not converted by Java to C# Converter:
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IEnumerator <StandardId> legalEntities = curveNodes.Select(CdsIsdaCreditCurveNode::getLegalEntityId).collect(Collectors.toSet()).GetEnumerator();
//JAVA TO C# CONVERTER TODO TASK: Java iterators are only converted within the context of 'while' and 'for' loops:
StandardId legalEntityId = legalEntities.next();
//JAVA TO C# CONVERTER TODO TASK: Java iterators are only converted within the context of 'while' and 'for' loops:
ArgChecker.isFalse(legalEntities.hasNext(), "legal entity must be common to curve nodes");
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IEnumerator <Currency> currencies = curveNodes.Select(n => n.Template.Convention.Currency).collect(Collectors.toSet()).GetEnumerator();
//JAVA TO C# CONVERTER TODO TASK: Java iterators are only converted within the context of 'while' and 'for' loops:
Currency currency = currencies.next();
//JAVA TO C# CONVERTER TODO TASK: Java iterators are only converted within the context of 'while' and 'for' loops:
ArgChecker.isFalse(currencies.hasNext(), "currency must be common to curve nodes");
ArgChecker.isTrue(definitionCurrency.Equals(currency), "curve definition currency must be the same as the currency of CDS");
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IEnumerator <CdsQuoteConvention> quoteConventions = curveNodes.Select(n => n.QuoteConvention).collect(Collectors.toSet()).GetEnumerator();
//JAVA TO C# CONVERTER TODO TASK: Java iterators are only converted within the context of 'while' and 'for' loops:
CdsQuoteConvention quoteConvention = quoteConventions.next();
//JAVA TO C# CONVERTER TODO TASK: Java iterators are only converted within the context of 'while' and 'for' loops:
ArgChecker.isFalse(quoteConventions.hasNext(), "quote convention must be common to curve nodes");
LocalDate valuationDate = marketData.ValuationDate;
ArgChecker.isTrue(valuationDate.Equals(marketData.ValuationDate), "ratesProvider and marketDate must be based on the same valuation date");
CreditDiscountFactors discountFactors = ratesProvider.discountFactors(currency);
ArgChecker.isTrue(definitionDayCount.Equals(discountFactors.DayCount), "credit curve and discount curve must be based on the same day count convention");
RecoveryRates recoveryRates = ratesProvider.recoveryRates(legalEntityId);
int nNodes = curveNodes.Count;
double[] coupons = new double[nNodes];
double[] pufs = new double[nNodes];
//JAVA TO C# CONVERTER NOTE: The following call to the 'RectangularArrays' helper class reproduces the rectangular array initialization that is automatic in Java:
//ORIGINAL LINE: double[][] diag = new double[nNodes][nNodes];
double[][] diag = RectangularArrays.ReturnRectangularDoubleArray(nNodes, nNodes);
ImmutableList.Builder <ResolvedCdsTrade> tradesBuilder = ImmutableList.builder();
for (int i = 0; i < nNodes; i++)
{
CdsCalibrationTrade tradeCalibration = curveNodes[i].trade(1d, marketData, refData);
ResolvedCdsTrade trade = tradeCalibration.UnderlyingTrade.resolve(refData);
tradesBuilder.add(trade);
double[] temp = getStandardQuoteForm(trade, tradeCalibration.Quote, valuationDate, discountFactors, recoveryRates, computeJacobian, refData);
coupons[i] = temp[0];
pufs[i] = temp[1];
diag[i][i] = temp[2];
}
ImmutableList <ResolvedCdsTrade> trades = tradesBuilder.build();
NodalCurve nodalCurve = calibrate(trades, DoubleArray.ofUnsafe(coupons), DoubleArray.ofUnsafe(pufs), name, valuationDate, discountFactors, recoveryRates, refData);
if (computeJacobian)
{
LegalEntitySurvivalProbabilities creditCurve = LegalEntitySurvivalProbabilities.of(legalEntityId, IsdaCreditDiscountFactors.of(currency, valuationDate, nodalCurve));
ImmutableCreditRatesProvider ratesProviderNew = ratesProvider.toBuilder().creditCurves(ImmutableMap.of(Pair.of(legalEntityId, currency), creditCurve)).build();
System.Func <ResolvedCdsTrade, DoubleArray> sensiFunc = quoteConvention.Equals(CdsQuoteConvention.PAR_SPREAD) ? getParSpreadSensitivityFunction(ratesProviderNew, name, currency, refData) : getPointsUpfrontSensitivityFunction(ratesProviderNew, name, currency, refData);
DoubleMatrix sensi = DoubleMatrix.ofArrayObjects(nNodes, nNodes, i => sensiFunc(trades.get(i)));
sensi = (DoubleMatrix)MATRIX_ALGEBRA.multiply(DoubleMatrix.ofUnsafe(diag), sensi);
JacobianCalibrationMatrix jacobian = JacobianCalibrationMatrix.of(ImmutableList.of(CurveParameterSize.of(name, nNodes)), MATRIX_ALGEBRA.getInverse(sensi));
nodalCurve = nodalCurve.withMetadata(nodalCurve.Metadata.withInfo(CurveInfoType.JACOBIAN, jacobian));
}
ImmutableList <ParameterMetadata> parameterMetadata;
if (storeTrade)
{
parameterMetadata = IntStream.range(0, nNodes).mapToObj(n => ResolvedTradeParameterMetadata.of(trades.get(n), curveNodes[n].Label)).collect(Guavate.toImmutableList());
}
else
{
parameterMetadata = IntStream.range(0, nNodes).mapToObj(n => curveNodes[n].metadata(trades.get(n).Product.ProtectionEndDate)).collect(Guavate.toImmutableList());
}
nodalCurve = nodalCurve.withMetadata(nodalCurve.Metadata.withParameterMetadata(parameterMetadata));
return(LegalEntitySurvivalProbabilities.of(legalEntityId, IsdaCreditDiscountFactors.of(currency, valuationDate, nodalCurve)));
}
