//-------------------------------------------------------------------------
// Check market data computation
public virtual void market_data()
{
RatesCurveGroupDefinition group = GROUPS_SYN_EUR;
RatesProvider multicurveTsLarge = MULTICURVE_INPUT_EUR_TSEMPTY.toBuilder().timeSeries(TS_LARGE).build();
MarketData madTsEmpty = CALIBRATOR_SYNTHETIC.marketData(group, MULTICURVE_INPUT_EUR_TSEMPTY, REF_DATA);
MarketData madTsLarge = CALIBRATOR_SYNTHETIC.marketData(group, multicurveTsLarge, REF_DATA);
assertEquals(madTsEmpty.ValuationDate, VALUATION_DATE);
foreach (CurveDefinition entry in group.CurveDefinitions)
{
ImmutableList <CurveNode> nodes = entry.Nodes;
foreach (CurveNode node in nodes)
{
ResolvedTrade tradeTsEmpty = node.resolvedTrade(1d, madTsEmpty, REF_DATA);
double mqTsEmpty = MQ_MEASURES.value(tradeTsEmpty, MULTICURVE_INPUT_EUR_TSEMPTY);
assertEquals(mqTsEmpty, (double?)madTsEmpty.getValue(node.requirements().GetEnumerator().next()), TOLERANCE_MQ);
ResolvedTrade tradeTsLarge = node.resolvedTrade(1d, madTsLarge, REF_DATA);
double mqTsLarge = MQ_MEASURES.value(tradeTsLarge, multicurveTsLarge);
assertEquals(mqTsLarge, (double?)madTsLarge.getValue(node.requirements().GetEnumerator().next()), TOLERANCE_MQ);
// Market Quote for Fixed v ibor swaps should have changed with the fixing
if ((tradeTsLarge is ResolvedSwapTrade) && (((ResolvedSwapTrade)tradeTsLarge)).Product.getLegs(SwapLegType.IBOR).size() == 1)
{
assertTrue(Math.Abs(mqTsEmpty - mqTsLarge) > TOLERANCE_MQ);
}
}
}
assertEquals(madTsEmpty.TimeSeriesIds, ImmutableSet.of());
assertEquals(madTsLarge.TimeSeriesIds, ImmutableSet.of(IndexQuoteId.of(EUR_EURIBOR_3M), IndexQuoteId.of(EUR_EURIBOR_6M)));
}
public virtual void test_combinedWith_sameCurveNamesClash()
{
RatesCurveGroupDefinition base1 = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("Test")).addCurve(CURVE_DEFN1, GBP, GBP_LIBOR_1M, GBP_LIBOR_3M).addForwardCurve(CURVE_DEFN_I, GB_RPI).build();
RatesCurveGroupDefinition base2 = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("TestX")).addCurve(CURVE_DEFN1B, GBP, GBP_LIBOR_6M).build();
assertThrowsIllegalArg(() => base1.combinedWith(base2));
}
/// <summary>
/// Test that inputs are correctly built from market data.
/// </summary>
public virtual void build()
{
FraCurveNode node1x4 = fraNode(1, "a");
FraCurveNode node2x5 = fraNode(2, "b");
FraCurveNode node3x6 = fraNode(3, "c");
InterpolatedNodalCurveDefinition curveDefn = InterpolatedNodalCurveDefinition.builder().name(CurveName.of("curve")).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(DayCounts.ACT_ACT_ISDA).interpolator(CurveInterpolators.DOUBLE_QUADRATIC).extrapolatorLeft(CurveExtrapolators.FLAT).extrapolatorRight(CurveExtrapolators.FLAT).nodes(node1x4, node2x5, node3x6).build();
RatesCurveGroupDefinition groupDefn = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("curve group")).addDiscountCurve(curveDefn, Currency.USD).build();
MarketDataConfig marketDataConfig = MarketDataConfig.builder().add(groupDefn.Name, groupDefn).build();
QuoteId idA = QuoteId.of(StandardId.of("test", "a"));
QuoteId idB = QuoteId.of(StandardId.of("test", "b"));
QuoteId idC = QuoteId.of(StandardId.of("test", "c"));
ScenarioMarketData marketData = ImmutableScenarioMarketData.builder(VAL_DATE).addValue(idA, 1d).addValue(idB, 2d).addValue(idC, 3d).build();
RatesCurveInputsMarketDataFunction marketDataFunction = new RatesCurveInputsMarketDataFunction();
RatesCurveInputsId curveInputsId = RatesCurveInputsId.of(groupDefn.Name, curveDefn.Name, ObservableSource.NONE);
MarketDataBox <RatesCurveInputs> result = marketDataFunction.build(curveInputsId, marketDataConfig, marketData, REF_DATA);
RatesCurveInputs curveInputs = result.SingleValue;
assertThat(curveInputs.MarketData.get(idA)).isEqualTo(1d);
assertThat(curveInputs.MarketData.get(idB)).isEqualTo(2d);
assertThat(curveInputs.MarketData.get(idC)).isEqualTo(3d);
IList <ParameterMetadata> expectedMetadata = ImmutableList.of(node1x4.metadata(VAL_DATE, REF_DATA), node2x5.metadata(VAL_DATE, REF_DATA), node3x6.metadata(VAL_DATE, REF_DATA));
assertThat(curveInputs.CurveMetadata.ParameterMetadata).hasValue(expectedMetadata);
}
/// <summary>
/// Creates a curve group using a curve group definition and a list of existing curves.
/// <para>
/// If there are curves named in the definition which are not present in the curves the group is built using
/// whatever curves are available.
/// </para>
/// <para>
/// If there are multiple curves with the same name in the curves one of them is arbitrarily chosen.
/// </para>
/// <para>
/// Multiple curves with the same name are allowed to support the use case where the list contains the same
/// curve multiple times. This means the caller doesn't have to filter the input curves to remove duplicates.
///
/// </para>
/// </summary>
/// <param name="curveGroupDefinition"> the definition of a curve group </param>
/// <param name="curves"> some curves </param>
/// <returns> a curve group built from the definition and the list of curves </returns>
public static RatesCurveGroup ofCurves <T1>(RatesCurveGroupDefinition curveGroupDefinition, ICollection <T1> curves) where T1 : Curve
{
IDictionary <Currency, Curve> discountCurves = new Dictionary <Currency, Curve>();
IDictionary <Index, Curve> forwardCurves = new Dictionary <Index, Curve>();
IDictionary <CurveName, Curve> curveMap = curves.ToDictionary(curve => curve.Metadata.CurveName, curve => curve, (curve1, curve2) => curve1);
foreach (RatesCurveGroupEntry entry in curveGroupDefinition.Entries)
{
CurveName curveName = entry.CurveName;
Curve curve = curveMap[curveName];
if (curve == null)
{
log.debug("No curve found named '{}' when building curve group '{}'", curveName, curveGroupDefinition.Name);
continue;
}
foreach (Currency currency in entry.DiscountCurrencies)
{
discountCurves[currency] = curve;
}
foreach (Index index in entry.Indices)
{
forwardCurves[index] = curve;
}
}
return(RatesCurveGroup.of(curveGroupDefinition.Name, discountCurves, forwardCurves));
}
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());
}
private RatesCurveGroup buildGroup(RatesCurveGroupDefinition groupDefn, RatesCurveCalibrator calibrator, MarketData marketData, ReferenceData refData)
{
// perform the calibration
ImmutableRatesProvider calibratedProvider = calibrator.calibrate(groupDefn, marketData, refData);
return(RatesCurveGroup.of(groupDefn.Name, calibratedProvider.DiscountCurves, calibratedProvider.IndexCurves));
}
public virtual void test_bind_no_seasonality()
{
RatesCurveGroupDefinition test = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("Test")).addCurve(CURVE_DEFN1, GBP, GBP_LIBOR_1M, GBP_LIBOR_3M).addForwardCurve(CURVE_DEFN_I, GB_RPI).build();
LocalDate valuationDate = LocalDate.of(2015, 11, 10);
LocalDate lastFixingDate = LocalDate.of(2015, 10, 31);
LocalDate otherFixingDate = LocalDate.of(2015, 9, 30);
double lastFixingValue = 234.56;
IDictionary <Index, LocalDateDoubleTimeSeries> map = ImmutableMap.of(GB_RPI, LocalDateDoubleTimeSeries.builder().put(lastFixingDate, 234.56).put(otherFixingDate, lastFixingValue - 1).build());
RatesCurveGroupDefinition testBound = test.bindTimeSeries(valuationDate, map);
IList <CurveDefinition> list = testBound.CurveDefinitions;
assertEquals(list.Count, 2);
assertTrue(list[0] is InterpolatedNodalCurveDefinition);
assertTrue(list[1] is InflationNodalCurveDefinition);
InflationNodalCurveDefinition seasonDef = (InflationNodalCurveDefinition)list[1];
assertEquals(seasonDef.CurveWithoutFixingDefinition, CURVE_DEFN_I);
assertEquals(seasonDef.LastFixingMonth, YearMonth.from(lastFixingDate));
assertEquals(seasonDef.LastFixingValue, lastFixingValue);
assertEquals(seasonDef.Name, CURVE_NAME_I);
assertEquals(seasonDef.YValueType, ValueType.PRICE_INDEX);
// Check the default
assertTrue(seasonDef.SeasonalityDefinition.SeasonalityMonthOnMonth.equalWithTolerance(DoubleArray.filled(12, 1d), 1.0E-10));
assertEquals(seasonDef.SeasonalityDefinition.AdjustmentType, ShiftType.SCALED);
}
//-------------------------------------------------------------------------
private void assertDefinition(RatesCurveGroupDefinition defn)
{
assertEquals(defn.Name, CurveGroupName.of("Default"));
assertEquals(defn.Entries.size(), 3);
assertEquals(defn.SeasonalityDefinitions.size(), 1);
assertEquals(defn.SeasonalityDefinitions.get(CurveName.of("USD-CPI")).AdjustmentType, ShiftType.SCALED);
RatesCurveGroupEntry entry0 = findEntry(defn, "USD-Disc");
RatesCurveGroupEntry entry1 = findEntry(defn, "USD-3ML");
RatesCurveGroupEntry entry2 = findEntry(defn, "USD-CPI");
CurveDefinition defn0 = defn.findCurveDefinition(entry0.CurveName).get();
CurveDefinition defn1 = defn.findCurveDefinition(entry1.CurveName).get();
CurveDefinition defn2 = defn.findCurveDefinition(entry2.CurveName).get();
assertEquals(entry0.DiscountCurrencies, ImmutableSet.of(Currency.USD));
assertEquals(entry0.Indices, ImmutableSet.of());
assertEquals(defn0.Name, CurveName.of("USD-Disc"));
assertEquals(defn0.YValueType, ValueType.ZERO_RATE);
assertEquals(defn0.ParameterCount, 17);
assertEquals(entry1.DiscountCurrencies, ImmutableSet.of());
assertEquals(entry1.Indices, ImmutableSet.of(IborIndices.USD_LIBOR_3M));
assertEquals(defn1.Name, CurveName.of("USD-3ML"));
assertEquals(defn1.YValueType, ValueType.ZERO_RATE);
assertEquals(defn1.ParameterCount, 27);
assertEquals(entry2.DiscountCurrencies, ImmutableSet.of());
assertEquals(entry2.Indices, ImmutableSet.of(PriceIndices.US_CPI_U));
assertEquals(defn2.Name, CurveName.of("USD-CPI"));
assertEquals(defn2.YValueType, ValueType.PRICE_INDEX);
assertEquals(defn2.ParameterCount, 2);
}
/// <summary>
/// End-to-end test for curve calibration and round-tripping that uses the <seealso cref="MarketDataFactory"/>
/// to calibrate a curve and calculate PVs for the instruments at the curve nodes.
///
/// This tests the full pipeline of market data functions:
/// - Par rates
/// - Curve group (including calibration)
/// - Individual curves
/// - Discount factors
/// </summary>
public virtual void roundTripFraAndFixedFloatSwap()
{
// Configuration and market data for the curve ---------------------------------
string fra3x6 = "fra3x6";
string fra6x9 = "fra6x9";
string swap1y = "swap1y";
string swap2y = "swap2y";
string swap3y = "swap3y";
FraCurveNode fra3x6Node = fraNode(3, fra3x6);
FraCurveNode fra6x9Node = fraNode(6, fra6x9);
FixedIborSwapCurveNode swap1yNode = fixedIborSwapNode(Tenor.TENOR_1Y, swap1y);
FixedIborSwapCurveNode swap2yNode = fixedIborSwapNode(Tenor.TENOR_2Y, swap2y);
FixedIborSwapCurveNode swap3yNode = fixedIborSwapNode(Tenor.TENOR_3Y, swap3y);
IDictionary <ObservableId, double> parRateData = ImmutableMap.builder <ObservableId, double>().put(id(fra3x6), 0.0037).put(id(fra6x9), 0.0054).put(id(swap1y), 0.005).put(id(swap2y), 0.0087).put(id(swap3y), 0.012).build();
LocalDate valuationDate = date(2011, 3, 8);
// Build the trades from the node instruments
MarketData quotes = ImmutableMarketData.of(valuationDate, parRateData);
Trade fra3x6Trade = fra3x6Node.trade(1d, quotes, REF_DATA);
Trade fra6x9Trade = fra6x9Node.trade(1d, quotes, REF_DATA);
Trade swap1yTrade = swap1yNode.trade(1d, quotes, REF_DATA);
Trade swap2yTrade = swap2yNode.trade(1d, quotes, REF_DATA);
Trade swap3yTrade = swap3yNode.trade(1d, quotes, REF_DATA);
IList <Trade> trades = ImmutableList.of(fra3x6Trade, fra6x9Trade, swap1yTrade, swap2yTrade, swap3yTrade);
IList <CurveNode> nodes = ImmutableList.of(fra3x6Node, fra6x9Node, swap1yNode, swap2yNode, swap3yNode);
CurveGroupName groupName = CurveGroupName.of("Curve Group");
CurveName curveName = CurveName.of("FRA and Fixed-Float Swap Curve");
InterpolatedNodalCurveDefinition curveDefn = InterpolatedNodalCurveDefinition.builder().name(curveName).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(DayCounts.ACT_ACT_ISDA).nodes(nodes).interpolator(CurveInterpolators.DOUBLE_QUADRATIC).extrapolatorLeft(CurveExtrapolators.FLAT).extrapolatorRight(CurveExtrapolators.FLAT).build();
RatesCurveGroupDefinition groupDefn = RatesCurveGroupDefinition.builder().name(groupName).addCurve(curveDefn, Currency.USD, IborIndices.USD_LIBOR_3M).build();
MarketDataConfig marketDataConfig = MarketDataConfig.builder().add(groupName, groupDefn).build();
// Rules for market data and calculations ---------------------------------
RatesMarketDataLookup ratesLookup = RatesMarketDataLookup.of(groupDefn);
CalculationRules calculationRules = CalculationRules.of(functions(), Currency.USD, ratesLookup);
// Calculate the results and check the PVs for the node instruments are zero ----------------------
IList <Column> columns = ImmutableList.of(Column.of(Measures.PRESENT_VALUE));
MarketData knownMarketData = MarketData.of(date(2011, 3, 8), parRateData);
// using the direct executor means there is no need to close/shutdown the runner
CalculationTasks tasks = CalculationTasks.of(calculationRules, trades, columns, REF_DATA);
MarketDataRequirements reqs = tasks.requirements(REF_DATA);
MarketData enhancedMarketData = marketDataFactory().create(reqs, marketDataConfig, knownMarketData, REF_DATA);
CalculationTaskRunner runner = CalculationTaskRunner.of(MoreExecutors.newDirectExecutorService());
Results results = runner.calculate(tasks, enhancedMarketData, REF_DATA);
results.Cells.ForEach(this.checkPvIsZero);
}
public virtual void test_withName()
{
RatesCurveGroupDefinition test = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("Test")).addDiscountCurve(CURVE_DEFN1, GBP).build();
RatesCurveGroupDefinition expected = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("NewName")).addDiscountCurve(CURVE_DEFN1, GBP).build();
RatesCurveGroupDefinition withNewName = test.withName(CurveGroupName.of("NewName"));
assertEquals(withNewName, expected);
}
public virtual void test_ofCurves_duplicateCurveName()
{
RatesCurveGroupDefinition definition = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("group")).addForwardCurve(IBOR_NAME, USD_LIBOR_1M, USD_LIBOR_2M).build();
RatesCurveGroup group = RatesCurveGroup.ofCurves(definition, IBOR_CURVE, IBOR_CURVE);
assertThat(group.findForwardCurve(USD_LIBOR_1M)).hasValue(IBOR_CURVE);
assertThat(group.findForwardCurve(USD_LIBOR_2M)).hasValue(IBOR_CURVE);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calibrates synthetic curves from the configuration of the new curves and an existing rates provider.
/// </summary>
/// <param name="group"> the curve group definition for the synthetic curves and instruments </param>
/// <param name="inputProvider"> the input rates provider </param>
/// <param name="refData"> the reference data, used to resolve the trades </param>
/// <returns> the rates provider </returns>
public ImmutableRatesProvider calibrate(RatesCurveGroupDefinition group, RatesProvider inputProvider, ReferenceData refData)
{
// Computes the synthetic market quotes
MarketData marketQuotesSy = marketData(group, inputProvider, refData);
// Calibrate to the synthetic instrument with the synthetic quotes
return(calibrator.calibrate(group, marketQuotesSy, refData));
}
public virtual void test_combinedWith_differentCurveNames()
{
RatesCurveGroupDefinition base1 = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("Test")).addCurve(CURVE_DEFN1, GBP, GBP_LIBOR_1M, GBP_LIBOR_3M).addForwardCurve(CURVE_DEFN_I, GB_RPI).build();
RatesCurveGroupDefinition base2 = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("TestX")).addForwardCurve(CURVE_DEFN2, GBP_LIBOR_6M).build();
RatesCurveGroupDefinition expected = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("Test")).addCurve(CURVE_DEFN1, GBP, GBP_LIBOR_1M, GBP_LIBOR_3M).addForwardCurve(CURVE_DEFN_I, GB_RPI).addForwardCurve(CURVE_DEFN2, GBP_LIBOR_6M).build();
assertEquals(base1.combinedWith(base2), expected);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calibrates a single curve group, containing one or more curves.
/// <para>
/// The calibration is defined using <seealso cref="RatesCurveGroupDefinition"/>.
/// Observable market data, time-series and FX are also needed to complete the calibration.
/// The valuation date is defined by the market data.
/// </para>
/// <para>
/// The Jacobian matrices are computed and stored in curve metadata.
///
/// </para>
/// </summary>
/// <param name="curveGroupDefn"> the curve group definition </param>
/// <param name="marketData"> the market data required to build a trade for the instrument, including time-series </param>
/// <param name="refData"> the reference data, used to resolve the trades </param>
/// <returns> the rates provider resulting from the calibration </returns>
public ImmutableRatesProvider calibrate(RatesCurveGroupDefinition curveGroupDefn, MarketData marketData, ReferenceData refData)
{
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IDictionary <Index, LocalDateDoubleTimeSeries> timeSeries = marketData.TimeSeriesIds.Where(typeof(IndexQuoteId).isInstance).Select(typeof(IndexQuoteId).cast).collect(toImmutableMap(id => id.Index, id => marketData.getTimeSeries(id)));
ImmutableRatesProvider knownData = ImmutableRatesProvider.builder(marketData.ValuationDate).fxRateProvider(MarketDataFxRateProvider.of(marketData)).timeSeries(timeSeries).build();
return(calibrate(ImmutableList.of(curveGroupDefn), knownData, marketData, refData));
}
//-------------------------------------------------------------------------
public virtual void test_metadata()
{
RatesCurveGroupDefinition test = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("Test")).addCurve(CURVE_DEFN1, GBP, GBP_LIBOR_1M, GBP_LIBOR_3M).build();
LocalDate valuationDate = date(2015, 6, 30);
CurveMetadata meta = CURVE_DEFN1.metadata(valuationDate, REF_DATA);
assertEquals(test.metadata(valuationDate, REF_DATA), ImmutableList.of(meta));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
RatesCurveGroupDefinition test = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("Test")).addDiscountCurve(CURVE_DEFN1, GBP).build();
coverImmutableBean(test);
RatesCurveGroupDefinition test2 = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("Test2")).addForwardCurve(CURVE_DEFN2, GBP_LIBOR_1M).build();
coverBeanEquals(test, test2);
}
/// <summary>
/// Test that requirements are empty if the curve group config exists but not the curve
/// </summary>
public virtual void requirementsMissingCurveDefinition()
{
RatesCurveInputsMarketDataFunction marketDataFunction = new RatesCurveInputsMarketDataFunction();
RatesCurveInputsId curveInputsId = RatesCurveInputsId.of(CurveGroupName.of("curve group"), CurveName.of("curve"), ObservableSource.NONE);
RatesCurveGroupDefinition groupDefn = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("curve group")).build();
MarketDataConfig marketDataConfig = MarketDataConfig.builder().add(groupDefn.Name, groupDefn).build();
MarketDataRequirements requirements = marketDataFunction.requirements(curveInputsId, marketDataConfig);
assertThat(requirements.Observables).Empty;
}
/// <summary>
/// Test that a failure is returned if there is config for the curve group but it doesn't contain the named curve.
/// </summary>
public virtual void buildMissingCurveDefinition()
{
RatesCurveInputsMarketDataFunction marketDataFunction = new RatesCurveInputsMarketDataFunction();
RatesCurveInputsId curveInputsId = RatesCurveInputsId.of(CurveGroupName.of("curve group"), CurveName.of("curve"), ObservableSource.NONE);
RatesCurveGroupDefinition groupDefn = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("curve group")).build();
MarketDataConfig marketDataConfig = MarketDataConfig.builder().add(groupDefn.Name, groupDefn).build();
ScenarioMarketData emptyData = ScenarioMarketData.empty();
assertThrows(() => marketDataFunction.build(curveInputsId, marketDataConfig, emptyData, REF_DATA), typeof(System.ArgumentException), "No curve named .*");
}
public virtual void test_builder3()
{
RatesCurveGroupDefinition test = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("Test")).addDiscountCurve(CURVE_NAME1, GBP).addForwardCurve(CURVE_NAME1, GBP_SONIA).addForwardCurve(CURVE_NAME1, GBP_LIBOR_1W).addForwardCurve(CURVE_NAME2, GBP_LIBOR_1M, GBP_LIBOR_3M).build();
assertEquals(test.Name, CurveGroupName.of("Test"));
assertEquals(test.Entries, ImmutableList.of(ENTRY1, ENTRY2));
assertEquals(test.findEntry(CurveName.of("Test")), ENTRY1);
assertEquals(test.findEntry(CurveName.of("Test2")), ENTRY2);
assertEquals(test.findEntry(CurveName.of("Rubbish")), null);
}
public virtual void test_builder4()
{
RatesCurveGroupDefinition test = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("Test")).addCurve(CURVE_NAME1, GBP, GBP_LIBOR_1M, GBP_LIBOR_3M).build();
assertEquals(test.Name, CurveGroupName.of("Test"));
assertEquals(test.Entries, ImmutableList.of(ENTRY3));
assertEquals(test.findEntry(CurveName.of("Test")), ENTRY3);
assertEquals(test.findEntry(CurveName.of("Test2")), null);
assertEquals(test.findEntry(CurveName.of("Rubbish")), null);
}
public virtual void test_ofCurves()
{
RatesCurveGroupDefinition definition = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("group")).addCurve(DISCOUNT_NAME, GBP, GBP_LIBOR_1M).addForwardCurve(IBOR_NAME, USD_LIBOR_1M, USD_LIBOR_2M).addForwardCurve(OVERNIGHT_NAME, EUR_EONIA).build();
RatesCurveGroup group = RatesCurveGroup.ofCurves(definition, DISCOUNT_CURVE, OVERNIGHT_CURVE, IBOR_CURVE);
assertThat(group.findDiscountCurve(GBP)).hasValue(DISCOUNT_CURVE);
assertThat(group.findForwardCurve(USD_LIBOR_1M)).hasValue(IBOR_CURVE);
assertThat(group.findForwardCurve(USD_LIBOR_2M)).hasValue(IBOR_CURVE);
assertThat(group.findForwardCurve(EUR_EONIA)).hasValue(OVERNIGHT_CURVE);
}
//-------------------------------------------------------------------------
public virtual void test_loadCurveGroupDefinition()
{
IList <RatesCurveGroupDefinition> defns = RatesCurveGroupDefinitionCsvLoader.loadCurveGroupDefinitions(ResourceLocator.of(GROUPS_1));
assertEquals(defns.Count, 1);
RatesCurveGroupDefinition defn = defns[0];
assertEquals(defn.Entries.get(0), RatesCurveGroupEntry.builder().curveName(CurveName.of("USD-Disc")).discountCurrencies(USD).build());
assertEquals(defn.Entries.get(1), RatesCurveGroupEntry.builder().curveName(CurveName.of("USD-3ML")).indices(USD_LIBOR_3M).build());
}
// calibrates when there is a single group
private MarketDataBox <RatesCurveGroup> buildSingleCurveGroup(RatesCurveGroupDefinition configuredGroup, RatesCurveCalibrator calibrator, LocalDate valuationDate, IList <MarketDataBox <RatesCurveInputs> > inputBoxes, IDictionary <ObservableId, LocalDateDoubleTimeSeries> fixings, ReferenceData refData)
{
RatesCurveGroupDefinition filteredGroup = configuredGroup.filtered(valuationDate, 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:
IList <RatesCurveInputs> inputs = inputBoxes.Select(MarketDataBox::getSingleValue).collect(toImmutableList());
MarketData inputValues = inputsByKey(valuationDate, inputs, fixings);
RatesCurveGroup curveGroup = buildGroup(filteredGroup, calibrator, inputValues, refData);
return(MarketDataBox.ofSingleValue(curveGroup));
}
//-------------------------------------------------------------------------
public virtual MarketDataRequirements requirements(RatesCurveGroupId id, MarketDataConfig marketDataConfig)
{
RatesCurveGroupDefinition groupDefn = marketDataConfig.get(typeof(RatesCurveGroupDefinition), id.CurveGroupName);
// request input data for any curves that need market data
// no input data is requested if the curve definition contains all the market data needed to build the curve
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IList <RatesCurveInputsId> curveInputsIds = groupDefn.CurveDefinitions.Where(defn => requiresMarketData(defn)).Select(defn => defn.Name).Select(curveName => RatesCurveInputsId.of(groupDefn.Name, curveName, id.ObservableSource)).collect(toImmutableList());
IList <ObservableId> timeSeriesIds = groupDefn.Entries.stream().flatMap(entry => entry.Indices.stream()).distinct().map(index => IndexQuoteId.of(index)).collect(toImmutableList());
return(MarketDataRequirements.builder().addValues(curveInputsIds).addTimeSeries(timeSeriesIds).build());
}
public virtual MarketDataBox <RatesCurveGroup> build(RatesCurveGroupId id, MarketDataConfig marketDataConfig, ScenarioMarketData marketData, ReferenceData refData)
{
// create the calibrator, using the configured RootFinderConfig if found
RootFinderConfig rfc = marketDataConfig.find(typeof(RootFinderConfig)).orElse(RootFinderConfig.standard());
RatesCurveCalibrator calibrator = RatesCurveCalibrator.of(rfc.AbsoluteTolerance, rfc.RelativeTolerance, rfc.MaximumSteps, calibrationMeasures);
// calibrate
CurveGroupName groupName = id.CurveGroupName;
RatesCurveGroupDefinition configuredDefn = marketDataConfig.get(typeof(RatesCurveGroupDefinition), groupName);
return(buildCurveGroup(configuredDefn, calibrator, marketData, refData, id.ObservableSource));
}
// Check synthetic calibration in case no definitions
public virtual void calibrate_noDefinitions()
{
RatesCurveGroupDefinition empty = RatesCurveGroupDefinition.of(CurveGroupName.of("Group"), ImmutableList.of(), ImmutableList.of());
MarketData mad = CALIBRATOR_SYNTHETIC.marketData(empty, MULTICURVE_INPUT_EUR_TSLARGE, REF_DATA);
RatesProvider multicurveSyn = CALIBRATOR_SYNTHETIC.calibrate(empty, MULTICURVE_INPUT_EUR_TSLARGE, REF_DATA);
assertEquals(multicurveSyn.DiscountCurrencies, ImmutableSet.of());
assertEquals(multicurveSyn.IborIndices, ImmutableSet.of());
assertEquals(multicurveSyn.OvernightIndices, ImmutableSet.of());
assertEquals(multicurveSyn.PriceIndices, ImmutableSet.of());
assertEquals(mad.TimeSeriesIds, ImmutableSet.of());
}
//-------------------------------------------------------------------------
public virtual void test_tradesInitialGuesses()
{
RatesCurveGroupDefinition test = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("Test")).addCurve(CURVE_DEFN1, GBP, GBP_LIBOR_1M, GBP_LIBOR_3M).build();
MarketData marketData = ImmutableMarketData.of(date(2015, 6, 30), ImmutableMap.of(GBP_LIBOR_1M_ID, 0.5d, GBP_LIBOR_3M_ID, 1.5d));
Trade trade1 = NODE1.trade(1d, marketData, REF_DATA);
Trade trade2 = NODE2.trade(1d, marketData, REF_DATA);
assertEquals(test.TotalParameterCount, 2);
assertEquals(test.resolvedTrades(marketData, REF_DATA), ImmutableList.of(trade1, trade2));
assertEquals(test.initialGuesses(marketData), ImmutableList.of(0.5d, 1.5d));
}
public MarketDataRequirements requirements(RatesCurveInputsId id, MarketDataConfig marketDataConfig)
{
RatesCurveGroupDefinition groupConfig = marketDataConfig.get(typeof(RatesCurveGroupDefinition), id.CurveGroupName);
Optional <CurveDefinition> optionalDefinition = groupConfig.findCurveDefinition(id.CurveName);
if (!optionalDefinition.Present)
{
return(MarketDataRequirements.empty());
}
CurveDefinition definition = optionalDefinition.get();
return(MarketDataRequirements.builder().addValues(nodeRequirements(ImmutableList.of(definition))).build());
}
/// <summary>
/// Calibrates a list of curve groups, each containing one or more curves.
/// <para>
/// The calibration is defined using a list of <seealso cref="RatesCurveGroupDefinition"/>.
/// Observable market data and existing known data are also needed to complete the calibration.
/// </para>
/// <para>
/// A curve must only exist in one group.
///
/// </para>
/// </summary>
/// <param name="allGroupsDefn"> the curve group definitions </param>
/// <param name="knownData"> the starting data for the calibration </param>
/// <param name="marketData"> the market data required to build a trade for the instrument </param>
/// <param name="refData"> the reference data, used to resolve the trades </param>
/// <returns> the rates provider resulting from the calibration </returns>
public ImmutableRatesProvider calibrate(IList <RatesCurveGroupDefinition> allGroupsDefn, ImmutableRatesProvider knownData, MarketData marketData, ReferenceData refData)
{
// this method effectively takes one CurveGroupDefinition
// the list is a split of the definition, not multiple independent definitions
if (!knownData.ValuationDate.Equals(marketData.ValuationDate))
{
throw new System.ArgumentException(Messages.format("Valuation dates do not match: {} and {}", knownData.ValuationDate, marketData.ValuationDate));
}
// perform calibration one group at a time, building up the result by mutating these variables
ImmutableRatesProvider providerCombined = knownData;
ImmutableList <CurveParameterSize> orderPrev = ImmutableList.of();
ImmutableMap <CurveName, JacobianCalibrationMatrix> jacobians = ImmutableMap.of();
foreach (RatesCurveGroupDefinition groupDefn in allGroupsDefn)
{
if (groupDefn.Entries.Empty)
{
continue;
}
RatesCurveGroupDefinition groupDefnBound = groupDefn.bindTimeSeries(knownData.ValuationDate, knownData.TimeSeries);
// combine all data in the group into flat lists
ImmutableList <ResolvedTrade> trades = groupDefnBound.resolvedTrades(marketData, refData);
ImmutableList <double> initialGuesses = groupDefnBound.initialGuesses(marketData);
ImmutableList <CurveParameterSize> orderGroup = toOrder(groupDefnBound);
ImmutableList <CurveParameterSize> orderPrevAndGroup = ImmutableList.builder <CurveParameterSize>().addAll(orderPrev).addAll(orderGroup).build();
// calibrate
RatesProviderGenerator providerGenerator = ImmutableRatesProviderGenerator.of(providerCombined, groupDefnBound, refData);
DoubleArray calibratedGroupParams = calibrateGroup(providerGenerator, trades, initialGuesses, orderGroup);
ImmutableRatesProvider calibratedProvider = providerGenerator.generate(calibratedGroupParams);
// use calibration to build Jacobian matrices
if (groupDefnBound.ComputeJacobian)
{
jacobians = updateJacobiansForGroup(calibratedProvider, trades, orderGroup, orderPrev, orderPrevAndGroup, jacobians);
}
ImmutableMap <CurveName, DoubleArray> sensitivityToMarketQuote = ImmutableMap.of();
if (groupDefnBound.ComputePvSensitivityToMarketQuote)
{
ImmutableRatesProvider providerWithJacobian = providerGenerator.generate(calibratedGroupParams, jacobians);
sensitivityToMarketQuote = sensitivityToMarketQuoteForGroup(providerWithJacobian, trades, orderGroup);
}
orderPrev = orderPrevAndGroup;
// use Jacobians to build output curves
providerCombined = providerGenerator.generate(calibratedGroupParams, jacobians, sensitivityToMarketQuote);
}
// return the calibrated provider
return(providerCombined);
}
// 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);
}