// obtains the data and calculates the grid of results
private static void calculate(CalculationRunner runner)
{
// the trades that will have measures calculated
IList <Trade> trades = createSwapTrades();
// the columns, specifying the measures to be calculated
IList <Column> columns = ImmutableList.of(Column.of(Measures.PRESENT_VALUE), Column.of(Measures.PAR_RATE), Column.of(Measures.PV01_MARKET_QUOTE_BUCKETED), Column.of(Measures.PV01_CALIBRATED_BUCKETED));
// load quotes
ImmutableMap <QuoteId, double> quotesCcp1 = QuotesCsvLoader.load(VAL_DATE, QUOTES_RESOURCE_CCP1);
ImmutableMap <QuoteId, double> quotesCcp2 = QuotesCsvLoader.load(VAL_DATE, QUOTES_RESOURCE_CCP2);
// load fixings
ImmutableMap <ObservableId, LocalDateDoubleTimeSeries> fixings = FixingSeriesCsvLoader.load(FIXINGS_RESOURCE);
// create the market data
MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValueMap(quotesCcp1).addValueMap(quotesCcp2).addTimeSeriesMap(fixings).build();
// the reference data, such as holidays and securities
ReferenceData refData = ReferenceData.standard();
// load the curve definition
IDictionary <CurveGroupName, RatesCurveGroupDefinition> defnsCcp1 = RatesCalibrationCsvLoader.load(GROUPS_RESOURCE_CCP1, SETTINGS_RESOURCE_CCP1, CALIBRATION_RESOURCE_CCP1);
IDictionary <CurveGroupName, RatesCurveGroupDefinition> defnsCcp2 = RatesCalibrationCsvLoader.load(GROUPS_RESOURCE_CCP2, SETTINGS_RESOURCE_CCP2, CALIBRATION_RESOURCE_CCP2);
RatesCurveGroupDefinition curveGroupDefinitionCcp1 = defnsCcp1[CURVE_GROUP_NAME_CCP1].filtered(VAL_DATE, refData);
RatesCurveGroupDefinition curveGroupDefinitionCcp2 = defnsCcp2[CURVE_GROUP_NAME_CCP2].filtered(VAL_DATE, refData);
// the configuration that defines how to create the curves when a curve group is requested
MarketDataConfig marketDataConfig = MarketDataConfig.builder().add(CURVE_GROUP_NAME_CCP1, curveGroupDefinitionCcp1).add(CURVE_GROUP_NAME_CCP2, curveGroupDefinitionCcp2).build();
// the complete set of rules for calculating measures
CalculationFunctions functions = StandardComponents.calculationFunctions();
RatesMarketDataLookup ratesLookupCcp1 = RatesMarketDataLookup.of(curveGroupDefinitionCcp1);
RatesMarketDataLookup ratesLookupCcp2 = RatesMarketDataLookup.of(curveGroupDefinitionCcp2);
// choose RatesMarketDataLookup instance based on counterparty
TradeCounterpartyCalculationParameter perCounterparty = TradeCounterpartyCalculationParameter.of(ImmutableMap.of(CCP1_ID, ratesLookupCcp1, CCP2_ID, ratesLookupCcp2), ratesLookupCcp1);
CalculationRules rules = CalculationRules.of(functions, perCounterparty);
// calibrate the curves and calculate the results
MarketDataRequirements reqs = MarketDataRequirements.of(rules, trades, columns, refData);
MarketData calibratedMarketData = marketDataFactory().create(reqs, marketDataConfig, marketData, refData);
Results results = runner.calculate(rules, trades, columns, calibratedMarketData, refData);
// use the report runner to transform the engine results into a trade report
ReportCalculationResults calculationResults = ReportCalculationResults.of(VAL_DATE, trades, columns, results, functions, refData);
TradeReportTemplate reportTemplate = ExampleData.loadTradeReportTemplate("swap-report-template2");
TradeReport tradeReport = TradeReport.of(calculationResults, reportTemplate);
tradeReport.writeAsciiTable(System.out);
}
// obtains the data and calculates the grid of results
private static void calculate(CalculationRunner runner)
{
// the trades that will have measures calculated
IList <Trade> trades = createSwapTrades();
// the columns, specifying the measures to be calculated
IList <Column> columns = ImmutableList.of(Column.of(Measures.LEG_INITIAL_NOTIONAL), Column.of(Measures.PRESENT_VALUE), Column.of(Measures.LEG_PRESENT_VALUE), Column.of(Measures.PV01_CALIBRATED_SUM), Column.of(Measures.PAR_RATE), Column.of(Measures.ACCRUED_INTEREST), Column.of(Measures.PV01_CALIBRATED_BUCKETED), Column.of(AdvancedMeasures.PV01_SEMI_PARALLEL_GAMMA_BUCKETED));
// load quotes
ImmutableMap <QuoteId, double> quotes = QuotesCsvLoader.load(VAL_DATE, QUOTES_RESOURCE);
// load fixings
ImmutableMap <ObservableId, LocalDateDoubleTimeSeries> fixings = FixingSeriesCsvLoader.load(FIXINGS_RESOURCE);
// create the market data
MarketData marketData = MarketData.of(VAL_DATE, quotes, fixings);
// the reference data, such as holidays and securities
ReferenceData refData = ReferenceData.standard();
// load the curve definition
IDictionary <CurveGroupName, RatesCurveGroupDefinition> defns = RatesCalibrationCsvLoader.load(GROUPS_RESOURCE, SETTINGS_RESOURCE, CALIBRATION_RESOURCE);
RatesCurveGroupDefinition curveGroupDefinition = defns[CURVE_GROUP_NAME].filtered(VAL_DATE, refData);
// the configuration that defines how to create the curves when a curve group is requested
MarketDataConfig marketDataConfig = MarketDataConfig.builder().add(CURVE_GROUP_NAME, curveGroupDefinition).build();
// the complete set of rules for calculating measures
CalculationFunctions functions = StandardComponents.calculationFunctions();
RatesMarketDataLookup ratesLookup = RatesMarketDataLookup.of(curveGroupDefinition);
CalculationRules rules = CalculationRules.of(functions, ratesLookup);
// calibrate the curves and calculate the results
MarketDataRequirements reqs = MarketDataRequirements.of(rules, trades, columns, refData);
MarketData calibratedMarketData = marketDataFactory().create(reqs, marketDataConfig, marketData, refData);
Results results = runner.calculate(rules, trades, columns, calibratedMarketData, refData);
// use the report runner to transform the engine results into a trade report
ReportCalculationResults calculationResults = ReportCalculationResults.of(VAL_DATE, trades, columns, results, functions, refData);
TradeReportTemplate reportTemplate = ExampleData.loadTradeReportTemplate("swap-report-template");
TradeReport tradeReport = TradeReport.of(calculationResults, reportTemplate);
tradeReport.writeAsciiTable(System.out);
}
public static void Main(string[] arg)
{
int nbRrpWarm = 2;
int nbRunPerf = 2;
/* Load the curve configurations from csv files */
IDictionary <CurveGroupName, RatesCurveGroupDefinition> configs = RatesCalibrationCsvLoader.load(GROUP_RESOURCE, SETTINGS_RESOURCE, NODES_RESOURCE);
/* Construct a swaps */
ResolvedSwapTrade[] swaps = new ResolvedSwapTrade[NB_COUPONS * NB_TENORS];
for (int loopswap = 0; loopswap < NB_COUPONS; loopswap++)
{
for (int looptenor = 0; looptenor < NB_TENORS; looptenor++)
{
double coupon = SWAP_COUPON + loopswap * SWAP_COUPON_RANGE / NB_COUPONS;
swaps[looptenor * NB_COUPONS + loopswap] = GBP_FIXED_6M_LIBOR_6M.createTrade(VALUATION_DATE, SWAP_PERIOD_TO_START, Tenor.of(Period.ofYears(TENOR_START + looptenor)), BuySell.BUY, SWAP_NOTIONAL, coupon, REF_DATA).resolve(REF_DATA);
}
}
/* Warm-up */
Pair <MultiCurrencyAmount[], CurrencyParameterSensitivities[]> r = Pair.of(new MultiCurrencyAmount[0], new CurrencyParameterSensitivities[0]);
for (int i = 0; i < nbRrpWarm; i++)
{
r = computation(configs, swaps);
}
long start, end;
start = DateTimeHelper.CurrentUnixTimeMillis();
for (int i = 0; i < nbRunPerf; i++)
{
r = computation(configs, swaps);
}
end = DateTimeHelper.CurrentUnixTimeMillis();
Console.WriteLine("Computation time: " + (end - start) + " ms");
Console.WriteLine("Performance estimate for curve calibration, " + (NB_COUPONS * NB_TENORS) + " trades and " + nbRunPerf + " repetitions.\n" + Arrays.ToString(r.First) + Arrays.ToString(r.Second));
}
private const double BP1 = 1.0E-4; // Scaling by 1 bp.
public static void Main(string[] arg)
{
/* Load the curve configurations from csv files */
IList <IDictionary <CurveGroupName, RatesCurveGroupDefinition> > configs = new List <IDictionary <CurveGroupName, RatesCurveGroupDefinition> >();
for (int loopconfig = 0; loopconfig < NB_SETTINGS; loopconfig++)
{
configs.Add(RatesCalibrationCsvLoader.load(GROUP_RESOURCE, SETTINGS_RESOURCE[loopconfig], NODES_RESOURCE));
}
/* Construct a swap */
ResolvedSwapTrade swap = GBP_FIXED_6M_LIBOR_6M.createTrade(VALUATION_DATE, SWAP_PERIOD_TO_START, Tenor.of(SWAP_TENOR), BuySell.BUY, SWAP_NOTIONAL, SWAP_COUPON, REF_DATA).resolve(REF_DATA);
/* Calibrate curves */
ImmutableRatesProvider[] multicurve = new ImmutableRatesProvider[3];
for (int loopconfig = 0; loopconfig < NB_SETTINGS; loopconfig++)
{
multicurve[loopconfig] = CALIBRATOR.calibrate(configs[loopconfig][CONFIG_NAME], MARKET_QUOTES, REF_DATA);
}
/* Computes PV and bucketed PV01 */
MultiCurrencyAmount[] pv = new MultiCurrencyAmount[NB_SETTINGS];
CurrencyParameterSensitivities[] mqs = new CurrencyParameterSensitivities[NB_SETTINGS];
for (int loopconfig = 0; loopconfig < NB_SETTINGS; loopconfig++)
{
pv[loopconfig] = PRICER_SWAP.presentValue(swap, multicurve[loopconfig]);
PointSensitivities pts = PRICER_SWAP.presentValueSensitivity(swap, multicurve[loopconfig]);
CurrencyParameterSensitivities ps = multicurve[loopconfig].parameterSensitivity(pts);
mqs[loopconfig] = MQC.sensitivity(ps, multicurve[loopconfig]);
}
/* Export to csv files. */
for (int loopconfig = 0; loopconfig < NB_SETTINGS; loopconfig++)
{
ExportUtils.export(mqs[loopconfig], BP1, PATH_RESULTS + CONFIG_STR + SETTINGS_SUFFIX[loopconfig] + "-mqs" + SUFFIX_CSV);
ExportUtils.export(pv[loopconfig], PATH_RESULTS + CONFIG_STR + SETTINGS_SUFFIX[loopconfig] + "-pv" + SUFFIX_CSV);
}
Console.WriteLine("Calibration and export finished: " + CONFIG_STR);
}
// calculates the PV results for the instruments used in calibration from the config
private static Pair <IList <Trade>, Results> calculate(CalculationRunner runner)
{
// the reference data, such as holidays and securities
ReferenceData refData = ReferenceData.standard();
// load quotes
ImmutableMap <QuoteId, double> quotes = QuotesCsvLoader.load(VAL_DATE, QUOTES_RESOURCE);
// load time series
IDictionary <ObservableId, LocalDateDoubleTimeSeries> fixings = FixingSeriesCsvLoader.load(FIXING_RESOURCE);
// create the market data
MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValueMap(quotes).addTimeSeriesMap(fixings).build();
// load the curve definition
IDictionary <CurveGroupName, RatesCurveGroupDefinition> defns = RatesCalibrationCsvLoader.load(GROUPS_RESOURCE, SETTINGS_RESOURCE, CALIBRATION_RESOURCE);
RatesCurveGroupDefinition curveGroupDefinition = defns[CURVE_GROUP_NAME].filtered(VAL_DATE, refData);
// extract the trades used for calibration
IList <Trade> trades = curveGroupDefinition.CurveDefinitions.stream().flatMap(defn => defn.Nodes.stream()).filter(node => !(node is IborFixingDepositCurveNode)).map(node => node.trade(1d, marketData, refData)).collect(toImmutableList());
// the columns, specifying the measures to be calculated
IList <Column> columns = ImmutableList.of(Column.of(Measures.PRESENT_VALUE));
// the configuration that defines how to create the curves when a curve group is requested
MarketDataConfig marketDataConfig = MarketDataConfig.builder().add(CURVE_GROUP_NAME, curveGroupDefinition).build();
// the complete set of rules for calculating measures
CalculationFunctions functions = StandardComponents.calculationFunctions();
RatesMarketDataLookup ratesLookup = RatesMarketDataLookup.of(curveGroupDefinition);
CalculationRules rules = CalculationRules.of(functions, ratesLookup);
// calibrate the curves and calculate the results
MarketDataRequirements reqs = MarketDataRequirements.of(rules, trades, columns, refData);
MarketData calibratedMarketData = marketDataFactory().create(reqs, marketDataConfig, marketData, refData);
Results results = runner.calculate(rules, trades, columns, calibratedMarketData, refData);
return(Pair.of(trades, results));
}
private const double BP1 = 1.0E-4; // Scaling by 1 bp.
public static void Main(string[] arg)
{
/* Load the curve configurations from csv files */
IDictionary <CurveGroupName, RatesCurveGroupDefinition> configs = RatesCalibrationCsvLoader.load(GROUP_RESOURCE, SETTINGS_RESOURCE, NODES_RESOURCE);
/* Calibrate curves */
ImmutableRatesProvider multicurve = CALIBRATOR.calibrate(configs[CONFIG_NAME], MARKET_QUOTES, REF_DATA);
/* Construct a swap */
ResolvedSwapTrade swap = GBP_FIXED_6M_LIBOR_6M.createTrade(VALUATION_DATE, SWAP_PERIOD_TO_START, Tenor.of(SWAP_TENOR), BuySell.BUY, SWAP_NOTIONAL, SWAP_COUPON, REF_DATA).resolve(REF_DATA);
/* Computes PV and bucketed PV01 */
MultiCurrencyAmount pv = PRICER_SWAP.presentValue(swap, multicurve);
PointSensitivities pts = PRICER_SWAP.presentValueSensitivity(swap, multicurve);
CurrencyParameterSensitivities ps = multicurve.parameterSensitivity(pts);
CurrencyParameterSensitivities mqs = MQC.sensitivity(ps, multicurve);
/* Export to csv files. */
ExportUtils.export(mqs, BP1, PATH_RESULTS + CONFIG_STR + "-delta" + SUFFIX_CSV);
ExportUtils.export(pv, PATH_RESULTS + CONFIG_STR + "-pv" + SUFFIX_CSV);
Console.WriteLine("Calibration and export finished: " + CONFIG_STR);
}