public static RatesProvider calibrateEurStandard(LocalDate valuationDate, double[] dscOisQuotes, Period[] dscOisTenors, double fwd3FixingQuote, double[] fwd3FraQuotes, double[] fwd3IrsQuotes, Period[] fwd3FraTenors, Period[] fwd3IrsTenors, double fwd6FixingQuote, double[] fwd6FraQuotes, double[] fwd6IrsQuotes, Period[] fwd6FraTenors, Period[] fwd6IrsTenors)
{
/* Curve Discounting/EUR-EONIA */
string[] dscIdValues = CalibrationEurStandard.dscIdValues(dscOisTenors);
/* Curve EUR-EURIBOR-3M */
double[] fwd3MarketQuotes = fwdMarketQuotes(fwd3FixingQuote, fwd3FraQuotes, fwd3IrsQuotes);
string[] fwd3IdValues = fwdIdValue(3, fwd3FixingQuote, fwd3FraQuotes, fwd3IrsQuotes, fwd3FraTenors, fwd3IrsTenors);
/* Curve EUR-EURIBOR-6M */
double[] fwd6MarketQuotes = fwdMarketQuotes(fwd6FixingQuote, fwd6FraQuotes, fwd6IrsQuotes);
string[] fwd6IdValues = fwdIdValue(6, fwd6FixingQuote, fwd6FraQuotes, fwd6IrsQuotes, fwd6FraTenors, fwd6IrsTenors);
/* All quotes for the curve calibration */
MarketData allQuotes = CalibrationEurStandard.allQuotes(valuationDate, dscOisQuotes, dscIdValues, fwd3MarketQuotes, fwd3IdValues, fwd6MarketQuotes, fwd6IdValues);
/* All nodes by groups. */
RatesCurveGroupDefinition config = CalibrationEurStandard.config(dscOisTenors, dscIdValues, fwd3FraTenors, fwd3IrsTenors, fwd3IdValues, fwd6FraTenors, fwd6IrsTenors, fwd6IdValues);
/* Results */
return(CALIBRATOR.calibrate(config, allQuotes, REF_DATA));
}
//-------------------------------------------------------------------------
public virtual void calibration_present_value()
{
RatesProvider result = CalibrationEurStandard.calibrateEurStandard(VAL_DATE, DSC_MARKET_QUOTES, DSC_OIS_TENORS, FWD3_FIXING_QUOTE, FWD3_FRA_QUOTES, FWD3_IRS_QUOTES, FWD3_FRA_TENORS, FWD3_IRS_TENORS, FWD6_FIXING_QUOTE, FWD6_FRA_QUOTES, FWD6_IRS_QUOTES, FWD6_FRA_TENORS, FWD6_IRS_TENORS);
/* Curve Discounting/EUR-EONIA */
string[] dscIdValues = CalibrationEurStandard.dscIdValues(DSC_OIS_TENORS);
/* Curve EUR-EURIBOR-3M */
double[] fwd3MarketQuotes = CalibrationEurStandard.fwdMarketQuotes(FWD3_FIXING_QUOTE, FWD3_FRA_QUOTES, FWD3_IRS_QUOTES);
string[] fwd3IdValue = CalibrationEurStandard.fwdIdValue(3, FWD3_FIXING_QUOTE, FWD3_FRA_QUOTES, FWD3_IRS_QUOTES, FWD3_FRA_TENORS, FWD3_IRS_TENORS);
/* Curve EUR-EURIBOR-6M */
double[] fwd6MarketQuotes = CalibrationEurStandard.fwdMarketQuotes(FWD6_FIXING_QUOTE, FWD6_FRA_QUOTES, FWD6_IRS_QUOTES);
string[] fwd6IdValue = CalibrationEurStandard.fwdIdValue(6, FWD6_FIXING_QUOTE, FWD6_FRA_QUOTES, FWD6_IRS_QUOTES, FWD6_FRA_TENORS, FWD6_IRS_TENORS);
/* All quotes for the curve calibration */
MarketData allQuotes = CalibrationEurStandard.allQuotes(VAL_DATE, DSC_MARKET_QUOTES, dscIdValues, fwd3MarketQuotes, fwd3IdValue, fwd6MarketQuotes, fwd6IdValue);
/* All nodes by groups. */
RatesCurveGroupDefinition config = CalibrationEurStandard.config(DSC_OIS_TENORS, dscIdValues, FWD3_FRA_TENORS, FWD3_IRS_TENORS, fwd3IdValue, FWD6_FRA_TENORS, FWD6_IRS_TENORS, fwd6IdValue);
ImmutableList <CurveDefinition> definitions = config.CurveDefinitions;
// Test PV Dsc
ImmutableList <CurveNode> dscNodes = definitions.get(0).Nodes;
IList <ResolvedTrade> dscTrades = new List <ResolvedTrade>();
for (int i = 0; i < dscNodes.size(); i++)
{
dscTrades.Add(dscNodes.get(i).resolvedTrade(1d, allQuotes, REF_DATA));
}
// OIS
for (int i = 0; i < DSC_MARKET_QUOTES.Length; i++)
{
MultiCurrencyAmount pvIrs = SWAP_PRICER.presentValue(((ResolvedSwapTrade)dscTrades[i]).Product, result);
assertEquals(pvIrs.getAmount(EUR).Amount, 0.0, TOLERANCE_PV);
}
// Test PV Fwd3
ImmutableList <CurveNode> fwd3Nodes = definitions.get(1).Nodes;
IList <ResolvedTrade> fwd3Trades = new List <ResolvedTrade>();
for (int i = 0; i < fwd3Nodes.size(); i++)
{
fwd3Trades.Add(fwd3Nodes.get(i).resolvedTrade(1d, allQuotes, REF_DATA));
}
// FRA
for (int i = 0; i < FWD3_FRA_QUOTES.Length; i++)
{
CurrencyAmount pvFra = PRICER_FRA.presentValue(((ResolvedFraTrade)fwd3Trades[i + 1]).Product, result);
assertEquals(pvFra.Amount, 0.0, TOLERANCE_PV);
}
// IRS
for (int i = 0; i < FWD3_IRS_QUOTES.Length; i++)
{
MultiCurrencyAmount pvIrs = SWAP_PRICER.presentValue(((ResolvedSwapTrade)fwd3Trades[i + 1 + FWD3_FRA_QUOTES.Length]).Product, result);
assertEquals(pvIrs.getAmount(EUR).Amount, 0.0, TOLERANCE_PV);
}
// Test PV Fwd6
ImmutableList <CurveNode> fwd6Nodes = definitions.get(2).Nodes;
IList <ResolvedTrade> fwd6Trades = new List <ResolvedTrade>();
for (int i = 0; i < fwd6Nodes.size(); i++)
{
fwd6Trades.Add(fwd6Nodes.get(i).resolvedTrade(1d, allQuotes, REF_DATA));
}
// IRS
for (int i = 0; i < FWD6_IRS_QUOTES.Length; i++)
{
MultiCurrencyAmount pvIrs = SWAP_PRICER.presentValue(((ResolvedSwapTrade)fwd6Trades[i + 1 + FWD6_FRA_QUOTES.Length]).Product, result);
assertEquals(pvIrs.getAmount(EUR).Amount, 0.0, TOLERANCE_PV);
}
}
//-------------------------------------------------------------------------
public virtual void calibration_transition_coherence_par_rate()
{
RatesProvider provider = CalibrationEurStandard.calibrateEurStandard(VAL_DATE, DSC_MARKET_QUOTES, DSC_OIS_TENORS, FWD3_FIXING_QUOTE, FWD3_FRA_QUOTES, FWD3_IRS_QUOTES, FWD3_FRA_TENORS, FWD3_IRS_TENORS, FWD6_FIXING_QUOTE, FWD6_FRA_QUOTES, FWD6_IRS_QUOTES, FWD6_FRA_TENORS, FWD6_IRS_TENORS);
/* Curve Discounting/EUR-EONIA */
string[] dscIdValues = CalibrationEurStandard.dscIdValues(DSC_OIS_TENORS);
/* Curve EUR-EURIBOR-3M */
double[] fwd3MarketQuotes = CalibrationEurStandard.fwdMarketQuotes(FWD3_FIXING_QUOTE, FWD3_FRA_QUOTES, FWD3_IRS_QUOTES);
string[] fwd3IdValue = CalibrationEurStandard.fwdIdValue(3, FWD3_FIXING_QUOTE, FWD3_FRA_QUOTES, FWD3_IRS_QUOTES, FWD3_FRA_TENORS, FWD3_IRS_TENORS);
/* Curve EUR-EURIBOR-6M */
double[] fwd6MarketQuotes = CalibrationEurStandard.fwdMarketQuotes(FWD6_FIXING_QUOTE, FWD6_FRA_QUOTES, FWD6_IRS_QUOTES);
string[] fwd6IdValue = CalibrationEurStandard.fwdIdValue(6, FWD6_FIXING_QUOTE, FWD6_FRA_QUOTES, FWD6_IRS_QUOTES, FWD6_FRA_TENORS, FWD6_IRS_TENORS);
/* All quotes for the curve calibration */
MarketData allQuotes = CalibrationEurStandard.allQuotes(VAL_DATE, DSC_MARKET_QUOTES, dscIdValues, fwd3MarketQuotes, fwd3IdValue, fwd6MarketQuotes, fwd6IdValue);
/* All nodes by groups. */
RatesCurveGroupDefinition config = CalibrationEurStandard.config(DSC_OIS_TENORS, dscIdValues, FWD3_FRA_TENORS, FWD3_IRS_TENORS, fwd3IdValue, FWD6_FRA_TENORS, FWD6_IRS_TENORS, fwd6IdValue);
ImmutableList <CurveDefinition> definitions = config.CurveDefinitions;
// Test PV Dsc
ImmutableList <CurveNode> dscNodes = definitions.get(0).Nodes;
IList <ResolvedTrade> dscTrades = new List <ResolvedTrade>();
for (int i = 0; i < dscNodes.size(); i++)
{
dscTrades.Add(dscNodes.get(i).resolvedTrade(1d, allQuotes, REF_DATA));
}
// OIS
for (int loopnode = 0; loopnode < DSC_MARKET_QUOTES.Length; loopnode++)
{
PointSensitivities pts = SWAP_PRICER.parRateSensitivity(((ResolvedSwapTrade)dscTrades[loopnode]).Product, provider).build();
CurrencyParameterSensitivities ps = provider.parameterSensitivity(pts);
CurrencyParameterSensitivities mqs = MQC.sensitivity(ps, provider);
assertEquals(mqs.size(), 3); // Calibration of all curves simultaneously
CurrencyParameterSensitivity mqsDsc = mqs.getSensitivity(CalibrationEurStandard.DSCON_CURVE_NAME, EUR);
assertTrue(mqsDsc.MarketDataName.Equals(CalibrationEurStandard.DSCON_CURVE_NAME));
assertTrue(mqsDsc.Currency.Equals(EUR));
DoubleArray mqsData = mqsDsc.Sensitivity;
assertEquals(mqsData.size(), DSC_MARKET_QUOTES.Length);
for (int i = 0; i < mqsData.size(); i++)
{
assertEquals(mqsData.get(i), (i == loopnode) ? 1.0 : 0.0, TOLERANCE_DELTA);
}
}
// Test PV Fwd3
ImmutableList <CurveNode> fwd3Nodes = definitions.get(1).Nodes;
IList <ResolvedTrade> fwd3Trades = new List <ResolvedTrade>();
for (int i = 0; i < fwd3Nodes.size(); i++)
{
fwd3Trades.Add(fwd3Nodes.get(i).resolvedTrade(1d, allQuotes, REF_DATA));
}
for (int loopnode = 0; loopnode < fwd3MarketQuotes.Length; loopnode++)
{
PointSensitivities pts = null;
if (fwd3Trades[loopnode] is ResolvedIborFixingDepositTrade)
{
pts = PRICER_FIXING.parSpreadSensitivity(((ResolvedIborFixingDepositTrade)fwd3Trades[loopnode]).Product, provider);
}
if (fwd3Trades[loopnode] is ResolvedFraTrade)
{
pts = PRICER_FRA.parSpreadSensitivity(((ResolvedFraTrade)fwd3Trades[loopnode]).Product, provider);
}
if (fwd3Trades[loopnode] is ResolvedSwapTrade)
{
pts = SWAP_PRICER.parSpreadSensitivity(((ResolvedSwapTrade)fwd3Trades[loopnode]).Product, provider).build();
}
CurrencyParameterSensitivities ps = provider.parameterSensitivity(pts);
CurrencyParameterSensitivities mqs = MQC.sensitivity(ps, provider);
assertEquals(mqs.size(), 3); // Calibration of all curves simultaneously
CurrencyParameterSensitivity mqsDsc = mqs.getSensitivity(CalibrationEurStandard.DSCON_CURVE_NAME, EUR);
CurrencyParameterSensitivity mqsFwd3 = mqs.getSensitivity(CalibrationEurStandard.FWD3_CURVE_NAME, EUR);
DoubleArray mqsDscData = mqsDsc.Sensitivity;
assertEquals(mqsDscData.size(), DSC_MARKET_QUOTES.Length);
for (int i = 0; i < mqsDscData.size(); i++)
{
assertEquals(mqsDscData.get(i), 0.0, TOLERANCE_DELTA);
}
DoubleArray mqsFwd3Data = mqsFwd3.Sensitivity;
assertEquals(mqsFwd3Data.size(), fwd3MarketQuotes.Length);
for (int i = 0; i < mqsFwd3Data.size(); i++)
{
assertEquals(mqsFwd3Data.get(i), (i == loopnode) ? 1.0 : 0.0, TOLERANCE_DELTA);
}
}
// Test PV Fwd6
ImmutableList <CurveNode> fwd6Nodes = definitions.get(2).Nodes;
IList <ResolvedTrade> fwd6Trades = new List <ResolvedTrade>();
for (int i = 0; i < fwd6Nodes.size(); i++)
{
fwd6Trades.Add(fwd6Nodes.get(i).resolvedTrade(1d, allQuotes, REF_DATA));
}
for (int loopnode = 0; loopnode < fwd6MarketQuotes.Length; loopnode++)
{
PointSensitivities pts = null;
if (fwd6Trades[loopnode] is ResolvedIborFixingDepositTrade)
{
pts = PRICER_FIXING.parSpreadSensitivity(((ResolvedIborFixingDepositTrade)fwd6Trades[loopnode]).Product, provider);
}
if (fwd6Trades[loopnode] is ResolvedFraTrade)
{
pts = PRICER_FRA.parSpreadSensitivity(((ResolvedFraTrade)fwd6Trades[loopnode]).Product, provider);
}
if (fwd6Trades[loopnode] is ResolvedSwapTrade)
{
pts = SWAP_PRICER.parSpreadSensitivity(((ResolvedSwapTrade)fwd6Trades[loopnode]).Product, provider).build();
}
CurrencyParameterSensitivities ps = provider.parameterSensitivity(pts);
CurrencyParameterSensitivities mqs = MQC.sensitivity(ps, provider);
assertEquals(mqs.size(), 3);
CurrencyParameterSensitivity mqsDsc = mqs.getSensitivity(CalibrationEurStandard.DSCON_CURVE_NAME, EUR);
CurrencyParameterSensitivity mqsFwd3 = mqs.getSensitivity(CalibrationEurStandard.FWD3_CURVE_NAME, EUR);
CurrencyParameterSensitivity mqsFwd6 = mqs.getSensitivity(CalibrationEurStandard.FWD6_CURVE_NAME, EUR);
DoubleArray mqsDscData = mqsDsc.Sensitivity;
assertEquals(mqsDscData.size(), DSC_MARKET_QUOTES.Length);
for (int i = 0; i < mqsDscData.size(); i++)
{
assertEquals(mqsDscData.get(i), 0.0, TOLERANCE_DELTA);
}
DoubleArray mqsFwd3Data = mqsFwd3.Sensitivity;
assertEquals(mqsFwd3Data.size(), fwd3MarketQuotes.Length);
for (int i = 0; i < mqsFwd3Data.size(); i++)
{
assertEquals(mqsFwd3Data.get(i), 0.0, TOLERANCE_DELTA);
}
DoubleArray mqsFwd6Data = mqsFwd6.Sensitivity;
assertEquals(mqsFwd6Data.size(), fwd6MarketQuotes.Length);
for (int i = 0; i < mqsFwd6Data.size(); i++)
{
assertEquals(mqsFwd6Data.get(i), (i == loopnode) ? 1.0 : 0.0, TOLERANCE_DELTA);
}
}
}