private static CurveNode curveIborIborCurveNode(string conventionStr, string timeStr, string label, QuoteId quoteId, double spread, CurveNodeDate date, CurveNodeDateOrder order)
{
Matcher matcher = SIMPLE_YM_TIME_REGEX.matcher(timeStr.ToUpper(Locale.ENGLISH));
if (!matcher.matches())
{
throw new System.ArgumentException(Messages.format("Invalid time format for Ibor-Ibor swap: {}", timeStr));
}
Period periodToEnd = Period.parse("P" + matcher.group(1));
IborIborSwapConvention convention = IborIborSwapConvention.of(conventionStr);
IborIborSwapTemplate template = IborIborSwapTemplate.of(Tenor.of(periodToEnd), convention);
return(IborIborSwapCurveNode.builder().template(template).rateId(quoteId).additionalSpread(spread).label(label).date(date).dateOrder(order).build());
}
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);
}
