static CalibrationDiscountingSimpleEurStdTenorsTest()
{
for (int i = 0; i < DSC_NB_OIS_NODES; i++)
{
DSC_NODES[i] = FixedOvernightSwapCurveNode.of(FixedOvernightSwapTemplate.of(Period.ZERO, Tenor.of(DSC_OIS_TENORS[i]), EUR_FIXED_1Y_EONIA_OIS), QuoteId.of(StandardId.of(SCHEME, DSC_ID_VALUE[i])));
}
for (int i = 0; i < FWD3_NB_IRS_NODES; i++)
{
FWD3_NODES[i] = FixedIborSwapCurveNode.of(FixedIborSwapTemplate.of(Period.ZERO, Tenor.of(FWD3_IRS_TENORS[i]), EUR_FIXED_1Y_EURIBOR_3M), QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[i])));
}
for (int i = 0; i < FWD6_NB_IRS_NODES; i++)
{
FWD6_NODES[i] = FixedIborSwapCurveNode.of(FixedIborSwapTemplate.of(Period.ZERO, Tenor.of(FWD6_IRS_TENORS[i]), EUR_FIXED_1Y_EURIBOR_6M), QuoteId.of(StandardId.of(SCHEME, FWD6_ID_VALUE[i])));
}
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();
}
/// <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);
}
internal static FixedIborSwapCurveNode fixedIborSwapNode(Tenor tenor, string id)
{
QuoteId quoteId = QuoteId.of(StandardId.of(TEST_SCHEME, id));
FixedIborSwapTemplate template = FixedIborSwapTemplate.of(Period.ZERO, tenor, SWAP_CONVENTION);
return(FixedIborSwapCurveNode.of(template, quoteId));
}
//-------------------------------------------------------------------------
private static FraCurveNode fraNode(int startTenor, string marketDataId)
{
Period periodToStart = Period.ofMonths(startTenor);
FraTemplate template = FraTemplate.of(periodToStart, IborIndices.USD_LIBOR_3M);
return(FraCurveNode.of(template, QuoteId.of(StandardId.of("test", marketDataId))));
}
static CalibrationDiscountingSimple1Test()
{
IBOR_INDICES.Add(USD_LIBOR_3M);
DSC_NAMES[ALL_CURVE_NAME] = USD;
IDX_NAMES[ALL_CURVE_NAME] = IBOR_INDICES;
ALL_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++)
{
ALL_NODES[i + 1] = FraCurveNode.of(FraTemplate.of(FWD3_FRA_TENORS[i], USD_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[1])));
}
for (int i = 0; i < FWD3_NB_IRS_NODES; i++)
{
ALL_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])));
}
ImmutableMarketDataBuilder builder = ImmutableMarketData.builder(VAL_DATE);
for (int i = 0; i < FWD3_NB_NODES; i++)
{
builder.addValue(QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[i])), FWD3_MARKET_QUOTES[i]);
}
ALL_QUOTES = builder.build();
IList <CurveNode[]> groupNodes = new List <CurveNode[]>();
groupNodes.Add(ALL_NODES);
CURVES_NODES.Add(groupNodes);
IList <CurveMetadata> groupMetadata = new List <CurveMetadata>();
groupMetadata.Add(DefaultCurveMetadata.builder().curveName(ALL_CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(CURVE_DC).build());
CURVES_METADATA.Add(groupMetadata);
}
internal static FraCurveNode fraNode(int startMonths, string id)
{
Period periodToStart = Period.ofMonths(startMonths);
QuoteId quoteId = QuoteId.of(StandardId.of(TEST_SCHEME, id));
return(FraCurveNode.of(FraTemplate.of(periodToStart, IborIndices.USD_LIBOR_3M), quoteId));
}
static IsdaCompliantIndexCurveCalibratorTest()
{
ImmutableList.Builder <StandardId> legalEntityIdsbuilder = ImmutableList.builder();
ImmutableMarketDataBuilder marketDataBuilder = ImmutableMarketData.builder(VALUATION_DATE);
ImmutableMarketDataBuilder marketDataPsBuilder = ImmutableMarketData.builder(VALUATION_DATE);
for (int?i = 0; i.Value < INDEX_SIZE; ++i)
{
StandardId legalEntityId = StandardId.of("OG", "ABC" + i.ToString());
LegalEntityInformation information = DEFAULTED_NAMES.contains(i) ? LegalEntityInformation.isDefaulted(legalEntityId) : LegalEntityInformation.isNotDefaulted(legalEntityId);
legalEntityIdsbuilder.add(legalEntityId);
marketDataBuilder.addValue(LegalEntityInformationId.of(legalEntityId), information);
marketDataPsBuilder.addValue(LegalEntityInformationId.of(legalEntityId), information);
}
LEGAL_ENTITIES = legalEntityIdsbuilder.build();
ImmutableList.Builder <CdsIndexIsdaCreditCurveNode> curveNodesBuilder = ImmutableList.builder();
ImmutableList.Builder <CdsIndexIsdaCreditCurveNode> curveNodesPsBuilder = ImmutableList.builder();
for (int i = 0; i < NUM_PILLARS; ++i)
{
QuoteId id = QuoteId.of(StandardId.of("OG", INDEX_TENORS[i].ToString()));
CdsTemplate temp = TenorCdsTemplate.of(INDEX_TENORS[i], CONVENTION);
curveNodesBuilder.add(CdsIndexIsdaCreditCurveNode.ofPointsUpfront(temp, id, INDEX_ID, LEGAL_ENTITIES, COUPON));
curveNodesPsBuilder.add(CdsIndexIsdaCreditCurveNode.ofParSpread(temp, id, INDEX_ID, LEGAL_ENTITIES));
marketDataBuilder.addValue(id, PUF_QUOTES[i]);
marketDataPsBuilder.addValue(id, PS_QUOTES[i]);
}
CURVE_NODES = curveNodesBuilder.build();
MARKET_DATA = marketDataBuilder.build();
CURVE_NODES_PS = curveNodesPsBuilder.build();
MARKET_DATA_PS = marketDataPsBuilder.build();
}
static CalibrationDiscountingSmithWilsonTest()
{
IBOR_INDICES.Add(GBP_LIBOR_6M);
DSC_NAMES[CURVE_NAME] = GBP;
IDX_NAMES[CURVE_NAME] = IBOR_INDICES;
for (int i = 0; i < FWD6_NB_NODES; i++)
{
ALL_NODES[i] = FixedIborSwapCurveNode.of(FixedIborSwapTemplate.of(Period.ZERO, Tenor.of(FWD6_IRS_TENORS[i]), GBP_FIXED_6M_LIBOR_6M), QuoteId.of(StandardId.of(SCHEME, FWD6_ID_VALUE[i])));
NODE_TIMES[i] = CURVE_DC.relativeYearFraction(VAL_DATE, ALL_NODES[i].date(VAL_DATE, REF_DATA));
}
ImmutableMarketDataBuilder builder = ImmutableMarketData.builder(VAL_DATE);
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[]> groupNodes = new List <CurveNode[]>();
groupNodes.Add(ALL_NODES);
CURVES_NODES.Add(groupNodes);
IList <CurveMetadata> groupMetadata = new List <CurveMetadata>();
groupMetadata.Add(DefaultCurveMetadata.builder().curveName(CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.DISCOUNT_FACTOR).dayCount(CURVE_DC).build());
CURVES_METADATA.Add(groupMetadata);
}
//-------------------------------------------------------------------------
// loads a single curves CSV file
// requestedDate can be null, meaning load all dates
private static IList <CurveDefinition> parseSingle(CharSource resource, IDictionary <CurveName, LoadedCurveSettings> settingsMap)
{
CsvFile csv = CsvFile.of(resource, true);
IDictionary <CurveName, IList <CurveNode> > allNodes = new Dictionary <CurveName, IList <CurveNode> >();
foreach (CsvRow row in csv.rows())
{
string curveNameStr = row.getField(CURVE_NAME);
string label = row.getField(CURVE_LABEL);
string symbologyQuoteStr = row.getField(CURVE_SYMBOLOGY_QUOTE);
string tickerQuoteStr = row.getField(CURVE_TICKER_QUOTE);
string fieldQuoteStr = row.getField(CURVE_FIELD_QUOTE);
string typeStr = row.getField(CURVE_TYPE);
string conventionStr = row.getField(CURVE_CONVENTION);
string timeStr = row.getField(CURVE_TIME);
string dateStr = row.findField(CURVE_DATE).orElse("");
string minGapStr = row.findField(CURVE_MIN_GAP).orElse("");
string clashActionStr = row.findField(CURVE_CLASH_ACTION).orElse("");
string spreadStr = row.findField(CURVE_SPREAD).orElse("");
CurveName curveName = CurveName.of(curveNameStr);
StandardId quoteStandardId = StandardId.of(symbologyQuoteStr, tickerQuoteStr);
FieldName quoteField = fieldQuoteStr.Length == 0 ? FieldName.MARKET_VALUE : FieldName.of(fieldQuoteStr);
QuoteId quoteId = QuoteId.of(quoteStandardId, quoteField);
double spread = spreadStr.Length == 0 ? 0d : double.Parse(spreadStr);
CurveNodeDate date = parseDate(dateStr);
CurveNodeDateOrder order = parseDateOrder(minGapStr, clashActionStr);
IList <CurveNode> curveNodes = allNodes.computeIfAbsent(curveName, k => new List <CurveNode>());
curveNodes.Add(createCurveNode(typeStr, conventionStr, timeStr, label, quoteId, spread, date, order));
}
return(buildCurveDefinition(settingsMap, allNodes));
}
static CalibrationZeroRateUsdEur2OisFxTest()
{
DSC_NAMES[USD_DSCON_CURVE_NAME] = USD;
ISet <Index> usdFedFundSet = new HashSet <Index>();
usdFedFundSet.Add(USD_FED_FUND);
IDX_NAMES[USD_DSCON_CURVE_NAME] = usdFedFundSet;
USD_DSC_NODES[0] = TermDepositCurveNode.of(TermDepositTemplate.of(Period.ofDays(1), USD_SHORT_DEPOSIT_T0), QuoteId.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[0])));
USD_DSC_NODES[1] = TermDepositCurveNode.of(TermDepositTemplate.of(Period.ofDays(1), USD_SHORT_DEPOSIT_T1), QuoteId.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[1])));
for (int i = 0; i < USD_DSC_NB_OIS_NODES; i++)
{
USD_DSC_NODES[USD_DSC_NB_DEPO_NODES + i] = FixedOvernightSwapCurveNode.of(FixedOvernightSwapTemplate.of(Period.ZERO, Tenor.of(USD_DSC_OIS_TENORS[i]), USD_FIXED_1Y_FED_FUND_OIS), QuoteId.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[USD_DSC_NB_DEPO_NODES + i])));
}
for (int i = 0; i < EUR_DSC_NB_FX_NODES; i++)
{
EUR_DSC_NODES[i] = FxSwapCurveNode.of(FxSwapTemplate.of(EUR_DSC_FX_TENORS[i], EUR_USD), QuoteId.of(StandardId.of(SCHEME, EUR_DSC_ID_VALUE[i])));
}
ImmutableMarketDataBuilder builder = ImmutableMarketData.builder(VAL_DATE);
for (int i = 0; i < USD_DSC_NB_NODES; i++)
{
builder.addValue(QuoteId.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[i])), USD_DSC_MARKET_QUOTES[i]);
}
for (int i = 0; i < EUR_DSC_NB_NODES; i++)
{
builder.addValue(QuoteId.of(StandardId.of(SCHEME, EUR_DSC_ID_VALUE[i])), EUR_DSC_MARKET_QUOTES[i]);
}
builder.addValue(FxRateId.of(EUR, USD), FX_RATE_EUR_USD);
ALL_QUOTES = builder.build();
}
//-------------------------------------------------------------------------
public virtual FunctionRequirements requirements(SecurityTrade trade, ISet <Measure> measures, CalculationParameters parameters, ReferenceData refData)
{
Security security = refData.getValue(trade.SecurityId);
QuoteId id = QuoteId.of(trade.SecurityId.StandardId);
return(FunctionRequirements.builder().valueRequirements(ImmutableSet.of(id)).outputCurrencies(security.Currency).build());
}
// loads a single CSV file, filtering by date
private static void parseSingle(System.Predicate <LocalDate> datePredicate, CharSource resource, IDictionary <LocalDate, ImmutableMap.Builder <QuoteId, double> > mutableMap)
{
try
{
CsvFile csv = CsvFile.of(resource, true);
foreach (CsvRow row in csv.rows())
{
string dateText = row.getField(DATE_FIELD);
LocalDate date = LoaderUtils.parseDate(dateText);
if (datePredicate(date))
{
string symbologyStr = row.getField(SYMBOLOGY_FIELD);
string tickerStr = row.getField(TICKER_FIELD);
string fieldNameStr = row.getField(FIELD_NAME_FIELD);
string valueStr = row.getField(VALUE_FIELD);
double value = Convert.ToDouble(valueStr);
StandardId id = StandardId.of(symbologyStr, tickerStr);
FieldName fieldName = fieldNameStr.Length == 0 ? FieldName.MARKET_VALUE : FieldName.of(fieldNameStr);
ImmutableMap.Builder <QuoteId, double> builderForDate = mutableMap.computeIfAbsent(date, k => ImmutableMap.builder());
builderForDate.put(QuoteId.of(id, fieldName), value);
}
}
}
catch (Exception ex)
{
throw new System.ArgumentException(Messages.format("Error processing resource as CSV file: {}", resource), ex);
}
}
static CalibrationZeroRateAndDiscountFactorUsd2OisIrsTest()
{
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;
double fixingValue = 0.002345;
LocalDateDoubleTimeSeries tsBdUsdLibor3M = LocalDateDoubleTimeSeries.builder().put(VAL_DATE_BD, fixingValue).build();
LocalDate fixingDateHo = LocalDate.of(2015, 12, 24);
LocalDateDoubleTimeSeries tsHoUsdLibor3M = LocalDateDoubleTimeSeries.builder().put(fixingDateHo, fixingValue).build();
TS_BD_LIBOR3M = ImmutableMarketData.builder(VAL_DATE_BD).addTimeSeries(IndexQuoteId.of(USD_LIBOR_3M), tsBdUsdLibor3M).build();
TS_HO_LIBOR3M = ImmutableMarketData.builder(VAL_DATE_HO).addTimeSeries(IndexQuoteId.of(USD_LIBOR_3M), tsHoUsdLibor3M).build();
for (int i = 0; i < DSC_NB_OIS_NODES; i++)
{
DSC_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[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])));
}
ImmutableMarketDataBuilder builder = ImmutableMarketData.builder(VAL_DATE_BD);
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 < DSC_NB_NODES; i++)
{
builder.addValue(QuoteId.of(StandardId.of(SCHEME, DSC_ID_VALUE[i])), DSC_MARKET_QUOTES[i]);
}
ALL_QUOTES_BD = 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 <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);
}
static CalibrationZeroRateUsdOisIrsEurFxXCcyIrsTest()
{
USD_DSC_NODES[0] = TermDepositCurveNode.of(TermDepositTemplate.of(Period.ofDays(1), USD_SHORT_DEPOSIT_T0), QuoteId.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[0])));
USD_DSC_NODES[1] = TermDepositCurveNode.of(TermDepositTemplate.of(Period.ofDays(1), USD_SHORT_DEPOSIT_T1), QuoteId.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[1])));
for (int i = 0; i < USD_DSC_NB_OIS_NODES; i++)
{
USD_DSC_NODES[2 + i] = FixedOvernightSwapCurveNode.of(FixedOvernightSwapTemplate.of(Period.ZERO, Tenor.of(USD_DSC_OIS_TENORS[i]), USD_FIXED_1Y_FED_FUND_OIS), QuoteId.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[2 + i])));
}
USD_FWD3_NODES[0] = IborFixingDepositCurveNode.of(IborFixingDepositTemplate.of(USD_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, USD_FWD3_ID_VALUE[0])));
for (int i = 0; i < USD_FWD3_NB_FRA_NODES; i++)
{
USD_FWD3_NODES[i + 1] = FraCurveNode.of(FraTemplate.of(USD_FWD3_FRA_TENORS[i], USD_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, USD_FWD3_ID_VALUE[i + 1])));
}
for (int i = 0; i < USD_FWD3_NB_IRS_NODES; i++)
{
USD_FWD3_NODES[i + 1 + USD_FWD3_NB_FRA_NODES] = FixedIborSwapCurveNode.of(FixedIborSwapTemplate.of(Period.ZERO, Tenor.of(USD_FWD3_IRS_TENORS[i]), USD_FIXED_6M_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, USD_FWD3_ID_VALUE[i + 1 + USD_FWD3_NB_FRA_NODES])));
}
for (int i = 0; i < EUR_DSC_NB_FX_NODES; i++)
{
EUR_DSC_NODES[i] = FxSwapCurveNode.of(FxSwapTemplate.of(EUR_DSC_FX_TENORS[i], EUR_USD), QuoteId.of(StandardId.of(SCHEME, EUR_DSC_ID_VALUE[i])));
}
for (int i = 0; i < EUR_DSC_NB_XCCY_NODES; i++)
{
EUR_DSC_NODES[EUR_DSC_NB_FX_NODES + i] = XCcyIborIborSwapCurveNode.of(XCcyIborIborSwapTemplate.of(Tenor.of(EUR_DSC_XCCY_TENORS[i]), EUR_EURIBOR_3M_USD_LIBOR_3M), QuoteId.of(StandardId.of(SCHEME, EUR_DSC_ID_VALUE[EUR_DSC_NB_FX_NODES + i])));
}
EUR_FWD3_NODES[0] = IborFixingDepositCurveNode.of(IborFixingDepositTemplate.of(EUR_EURIBOR_3M), QuoteId.of(StandardId.of(SCHEME, EUR_FWD3_ID_VALUE[0])));
for (int i = 0; i < EUR_FWD3_NB_FRA_NODES; i++)
{
EUR_FWD3_NODES[i + 1] = FraCurveNode.of(FraTemplate.of(EUR_FWD3_FRA_TENORS[i], EUR_EURIBOR_3M), QuoteId.of(StandardId.of(SCHEME, EUR_FWD3_ID_VALUE[i + 1])));
}
for (int i = 0; i < EUR_FWD3_NB_IRS_NODES; i++)
{
EUR_FWD3_NODES[i + 1 + EUR_FWD3_NB_FRA_NODES] = FixedIborSwapCurveNode.of(FixedIborSwapTemplate.of(Period.ZERO, Tenor.of(EUR_FWD3_IRS_TENORS[i]), EUR_FIXED_1Y_EURIBOR_3M), QuoteId.of(StandardId.of(SCHEME, EUR_FWD3_ID_VALUE[i + 1 + EUR_FWD3_NB_FRA_NODES])));
}
ImmutableMarketDataBuilder builder = ImmutableMarketData.builder(VAL_DATE);
for (int i = 0; i < USD_DSC_NB_NODES; i++)
{
builder.addValue(QuoteId.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[i])), USD_DSC_MARKET_QUOTES[i]);
}
for (int i = 0; i < USD_FWD3_NB_NODES; i++)
{
builder.addValue(QuoteId.of(StandardId.of(SCHEME, USD_FWD3_ID_VALUE[i])), USD_FWD3_MARKET_QUOTES[i]);
}
for (int i = 0; i < EUR_DSC_NB_NODES; i++)
{
builder.addValue(QuoteId.of(StandardId.of(SCHEME, EUR_DSC_ID_VALUE[i])), EUR_DSC_MARKET_QUOTES[i]);
}
for (int i = 0; i < EUR_FWD3_NB_NODES; i++)
{
builder.addValue(QuoteId.of(StandardId.of(SCHEME, EUR_FWD3_ID_VALUE[i])), EUR_FWD3_MARKET_QUOTES[i]);
}
builder.addValue(QuoteId.of(StandardId.of(SCHEME, EUR_USD_ID_VALUE)), FX_RATE_EUR_USD);
builder.addValue(FxRateId.of(EUR, USD), FxRate.of(EUR, USD, FX_RATE_EUR_USD));
ALL_QUOTES = builder.build();
}
private void calibration_market_quote_sensitivity_check(System.Func <ImmutableMarketData, RatesProvider> calibrator, double shift)
{
double notional = 100_000_000.0;
double fx = 1.1111;
double fxPts = 0.0012;
ResolvedFxSwapTrade trade = EUR_USD.createTrade(VAL_DATE, Period.ofWeeks(6), Period.ofMonths(5), BuySell.BUY, notional, fx, fxPts, REF_DATA).resolve(REF_DATA);
RatesProvider result = CALIBRATOR.calibrate(CURVE_GROUP_CONFIG, ALL_QUOTES, REF_DATA);
PointSensitivities pts = FX_PRICER.presentValueSensitivity(trade.Product, result);
CurrencyParameterSensitivities ps = result.parameterSensitivity(pts);
CurrencyParameterSensitivities mqs = MQC.sensitivity(ps, result);
double pvUsd = FX_PRICER.presentValue(trade.Product, result).getAmount(USD).Amount;
double pvEur = FX_PRICER.presentValue(trade.Product, result).getAmount(EUR).Amount;
double[] mqsUsd1Computed = mqs.getSensitivity(USD_DSCON_CURVE_NAME, USD).Sensitivity.toArray();
for (int i = 0; i < USD_DSC_NB_NODES; i++)
{
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, Object> map = new java.util.HashMap<>(ALL_QUOTES.getValues());
IDictionary <MarketDataId <object>, object> map = new Dictionary <MarketDataId <object>, object>(ALL_QUOTES.Values);
map[QuoteId.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[i]))] = USD_DSC_MARKET_QUOTES[i] + shift;
ImmutableMarketData marketData = ImmutableMarketData.of(VAL_DATE, map);
RatesProvider rpShifted = calibrator(marketData);
double pvS = FX_PRICER.presentValue(trade.Product, rpShifted).getAmount(USD).Amount;
assertEquals(mqsUsd1Computed[i], (pvS - pvUsd) / shift, TOLERANCE_PV_DELTA);
}
double[] mqsUsd2Computed = mqs.getSensitivity(USD_DSCON_CURVE_NAME, EUR).Sensitivity.toArray();
for (int i = 0; i < USD_DSC_NB_NODES; i++)
{
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, Object> map = new java.util.HashMap<>(ALL_QUOTES.getValues());
IDictionary <MarketDataId <object>, object> map = new Dictionary <MarketDataId <object>, object>(ALL_QUOTES.Values);
map[QuoteId.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[i]))] = USD_DSC_MARKET_QUOTES[i] + shift;
ImmutableMarketData marketData = ImmutableMarketData.of(VAL_DATE, map);
RatesProvider rpShifted = calibrator(marketData);
double pvS = FX_PRICER.presentValue(trade.Product, rpShifted).getAmount(EUR).Amount;
assertEquals(mqsUsd2Computed[i], (pvS - pvEur) / shift, TOLERANCE_PV_DELTA);
}
double[] mqsEur1Computed = mqs.getSensitivity(EUR_DSC_CURVE_NAME, USD).Sensitivity.toArray();
for (int i = 0; i < EUR_DSC_NB_NODES; i++)
{
assertEquals(mqsEur1Computed[i], 0.0, TOLERANCE_PV_DELTA);
}
double[] mqsEur2Computed = mqs.getSensitivity(EUR_DSC_CURVE_NAME, EUR).Sensitivity.toArray();
for (int i = 0; i < EUR_DSC_NB_NODES; i++)
{
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, Object> map = new java.util.HashMap<>(ALL_QUOTES.getValues());
IDictionary <MarketDataId <object>, object> map = new Dictionary <MarketDataId <object>, object>(ALL_QUOTES.Values);
map[QuoteId.of(StandardId.of(SCHEME, EUR_DSC_ID_VALUE[i]))] = EUR_DSC_MARKET_QUOTES[i] + shift;
ImmutableMarketData marketData = ImmutableMarketData.of(VAL_DATE, map);
RatesProvider rpShifted = calibrator(marketData);
double pvS = FX_PRICER.presentValue(trade.Product, rpShifted).getAmount(EUR).Amount;
assertEquals(mqsEur2Computed[i], (pvS - pvEur) / shift, TOLERANCE_PV_DELTA, "Node " + i);
}
}
//-------------------------------------------------------------------------
public virtual void test_requirementsAndCurrency()
{
GenericSecurityPositionCalculationFunction function = new GenericSecurityPositionCalculationFunction();
ISet <Measure> measures = function.supportedMeasures();
FunctionRequirements reqs = function.requirements(TRADE, measures, PARAMS, REF_DATA);
assertThat(reqs.OutputCurrencies).containsOnly(CURRENCY);
assertThat(reqs.ValueRequirements).isEqualTo(ImmutableSet.of(QuoteId.of(SEC_ID.StandardId)));
assertThat(reqs.TimeSeriesRequirements).Empty;
assertThat(function.naturalCurrency(TRADE, REF_DATA)).isEqualTo(CURRENCY);
}
//-------------------------------------------------------------------------
private static ImmutableCreditRatesProvider createRatesProvider(LocalDate tradeDate, LocalDate snapDate, double rateScale, double recoveryRate)
{
ImmutableMarketDataBuilder builder = ImmutableMarketData.builder(snapDate);
for (int j = 0; j < NUM_INSTRUMENTS; j++)
{
builder.addValue(QuoteId.of(StandardId.of("OG", ID_VALUES[j])), RATES[j] * rateScale);
}
ImmutableMarketData quotes = builder.build();
IsdaCreditCurveDefinition curveDefinition = IsdaCreditCurveDefinition.of(CurveName.of("yield"), EUR, tradeDate, ACT_365F, DSC_NODES, false, false);
IsdaCreditDiscountFactors yc = IsdaCompliantDiscountCurveCalibrator.standard().calibrate(curveDefinition, quotes, REF_DATA);
return(ImmutableCreditRatesProvider.builder().valuationDate(tradeDate).discountCurves(ImmutableMap.of(EUR, yc)).recoveryRateCurves(ImmutableMap.of(LEGAL_ENTITY, ConstantRecoveryRates.of(LEGAL_ENTITY, tradeDate, recoveryRate))).creditCurves(ImmutableMap.of()).build());
}
public virtual void parSpreadTest()
{
LocalDate valuationDate = LocalDate.of(2013, 2, 27);
DoubleArray ycTime = DoubleArray.ofUnsafe(new double[] { 0.09041095890410959, 0.1726027397260274, 0.26301369863013696, 0.5123287671232877, 0.7616438356164383, 1.010958904109589, 2.008219178082192, 3.008219178082192, 4.008219178082192, 5.008219178082192, 6.008219178082192, 7.013698630136987, 8.01095890410959, 9.01095890410959, 10.01095890410959, 12.01917808219178, 15.016438356164384, 20.01917808219178, 25.021917808219175, 30.027397260273972 });
DoubleArray ycRate = DoubleArray.ofUnsafe(new double[] { 0.0020651105531615476, 0.0024506037920717797, 0.0028872269869485313, 0.004599628230463427, 0.006160809466806469, 0.0075703969168129295, 0.003965128877560435, 0.005059104202201957, 0.0069669135253734825, 0.009361825469323602, 0.011916895611422482, 0.014311922779901886, 0.016519187063048578, 0.018512121993907647, 0.020289623737560873, 0.02329885162861984, 0.026399509889410745, 0.029087919732133784, 0.03037740056662963, 0.03110021763406523 });
IsdaCreditDiscountFactors yc = IsdaCreditDiscountFactors.of(EUR, valuationDate, CurveName.of("yc_usd"), ycTime, ycRate, ACT_365F);
double[] timeNodeExp = new double[] { 0.5616438356164384, 1.0575342465753426, 2.0575342465753423, 3.0602739726027397, 4.06027397260274, 5.06027397260274, 6.06027397260274, 7.063013698630137, 8.063013698630137, 9.063013698630137, 10.063013698630137 };
double[] rateNodeExp = new double[] { 0.00876054089781935, 0.011037345646850688, 0.015955126945240167, 0.020617953392829177, 0.025787811343896218, 0.030329992053915133, 0.03313419899444371, 0.03528129159875671, 0.03675340516560903, 0.037946169956317416, 0.038951101800190346 };
double[] rateNodeExpMf = new double[] { 0.008754510260229803, 0.011030502992814844, 0.01594817866773906, 0.02060947097554756, 0.025776720596175737, 0.030316032527460755, 0.03311839631615255, 0.03526404051997617, 0.03673513322394772, 0.03792689865945585, 0.03893107891569398 };
ImmutableCreditRatesProvider ratesProvider = ImmutableCreditRatesProvider.builder().valuationDate(valuationDate).discountCurves(ImmutableMap.of(EUR, yc)).recoveryRateCurves(ImmutableMap.of(LEGAL_ENTITY, ConstantRecoveryRates.of(LEGAL_ENTITY, valuationDate, 0.25))).creditCurves(ImmutableMap.of()).build();
LocalDate startDate = LocalDate.of(2012, 12, 20);
LocalDate[] pillarDates = new LocalDate[] { LocalDate.of(2013, 9, 20), LocalDate.of(2014, 3, 20), LocalDate.of(2015, 3, 20), LocalDate.of(2016, 3, 20), LocalDate.of(2017, 3, 20), LocalDate.of(2018, 3, 20), LocalDate.of(2019, 3, 20), LocalDate.of(2020, 3, 20), LocalDate.of(2021, 3, 20), LocalDate.of(2022, 3, 20), LocalDate.of(2023, 3, 20) };
int nPillars = pillarDates.Length;
ImmutableMarketDataBuilder builderCredit = ImmutableMarketData.builder(valuationDate);
IList <CdsIsdaCreditCurveNode> nodes = new List <CdsIsdaCreditCurveNode>(nPillars);
double[] quotes = new double[] { 0.006485, 0.008163, 0.011763, 0.015136, 0.018787, 0.021905, 0.023797, 0.025211, 0.02617, 0.026928, 0.027549 };
for (int i = 0; i < nPillars; ++i)
{
CdsConvention conv = ImmutableCdsConvention.of("conv", EUR, ACT_360, Frequency.P3M, BUS_ADJ, CDS_SETTLE_STD);
CdsTemplate temp = DatesCdsTemplate.of(startDate, pillarDates[i], conv);
QuoteId id = QuoteId.of(StandardId.of("OG", pillarDates[i].ToString()));
nodes.Add(CdsIsdaCreditCurveNode.ofParSpread(temp, id, LEGAL_ENTITY));
builderCredit.addValue(id, quotes[i]);
}
ImmutableMarketData marketData = builderCredit.build();
IsdaCreditCurveDefinition curveDefinition = IsdaCreditCurveDefinition.of(CurveName.of("zz"), EUR, valuationDate, ACT_365F, nodes, true, true);
LegalEntitySurvivalProbabilities cc = BUILDER_ISDA.calibrate(curveDefinition, marketData, ratesProvider, REF_DATA);
NodalCurve resCurve = ((IsdaCreditDiscountFactors)cc.SurvivalProbabilities).Curve;
for (int i = 0; i < nPillars; ++i)
{
ParameterMetadata param = resCurve.getParameterMetadata(i);
assertTrue(param is ResolvedTradeParameterMetadata);
ResolvedTradeParameterMetadata tradeParam = (ResolvedTradeParameterMetadata)param;
assertTrue(tradeParam.Trade is ResolvedCdsTrade);
}
assertTrue(DoubleArrayMath.fuzzyEquals(resCurve.XValues.toArray(), timeNodeExp, TOL));
assertTrue(DoubleArrayMath.fuzzyEquals(resCurve.YValues.toArray(), rateNodeExp, TOL));
testJacobian(BUILDER_ISDA, cc, ratesProvider, nodes, quotes, 1d, EPS);
LegalEntitySurvivalProbabilities ccMf = BUILDER_MARKIT.calibrate(curveDefinition, marketData, ratesProvider, REF_DATA);
NodalCurve resCurveMf = ((IsdaCreditDiscountFactors)ccMf.SurvivalProbabilities).Curve;
assertTrue(DoubleArrayMath.fuzzyEquals(resCurveMf.XValues.toArray(), timeNodeExp, TOL));
assertTrue(DoubleArrayMath.fuzzyEquals(resCurveMf.YValues.toArray(), rateNodeExpMf, TOL));
testJacobian(BUILDER_MARKIT, ccMf, ratesProvider, nodes, quotes, 1d, EPS);
}
private void calibration_market_quote_sensitivity_check(System.Func <MarketData, RatesProvider> calibrator, double shift)
{
double notional = 100_000_000.0;
double spread = 0.0050;
SwapTrade trade = IborIborSwapConventions.USD_LIBOR_3M_LIBOR_6M.createTrade(VAL_DATE, Period.ofMonths(8), Tenor.TENOR_7Y, BuySell.BUY, notional, spread, REF_DATA);
RatesProvider result = calibrator(ALL_QUOTES);
ResolvedSwap product = trade.Product.resolve(REF_DATA);
PointSensitivityBuilder pts = SWAP_PRICER.presentValueSensitivity(product, result);
CurrencyParameterSensitivities ps = result.parameterSensitivity(pts.build());
CurrencyParameterSensitivities mqs = MQC.sensitivity(ps, result);
double pv0 = SWAP_PRICER.presentValue(product, result).getAmount(USD).Amount;
double[] mqsDscComputed = mqs.getSensitivity(DSCON_CURVE_NAME, USD).Sensitivity.toArray();
for (int i = 0; i < DSC_NB_NODES; i++)
{
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, Object> map = new java.util.HashMap<>(ALL_QUOTES.getValues());
IDictionary <MarketDataId <object>, object> map = new Dictionary <MarketDataId <object>, object>(ALL_QUOTES.Values);
map[QuoteId.of(StandardId.of(SCHEME, DSC_ID_VALUE[i]))] = DSC_MARKET_QUOTES[i] + shift;
ImmutableMarketData marketData = ImmutableMarketData.of(VAL_DATE, map);
RatesProvider rpShifted = calibrator(marketData);
double pvS = SWAP_PRICER.presentValue(product, rpShifted).getAmount(USD).Amount;
assertEquals(mqsDscComputed[i], (pvS - pv0) / shift, TOLERANCE_PV_DELTA, "DSC - node " + i);
}
double[] mqsFwd3Computed = mqs.getSensitivity(FWD3_CURVE_NAME, USD).Sensitivity.toArray();
for (int i = 0; i < FWD3_NB_NODES; i++)
{
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, Object> map = new java.util.HashMap<>(ALL_QUOTES.getValues());
IDictionary <MarketDataId <object>, object> map = new Dictionary <MarketDataId <object>, object>(ALL_QUOTES.Values);
map[QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[i]))] = FWD3_MARKET_QUOTES[i] + shift;
ImmutableMarketData marketData = ImmutableMarketData.of(VAL_DATE, map);
RatesProvider rpShifted = calibrator(marketData);
double pvS = SWAP_PRICER.presentValue(product, rpShifted).getAmount(USD).Amount;
assertEquals(mqsFwd3Computed[i], (pvS - pv0) / shift, TOLERANCE_PV_DELTA, "FWD3 - node " + i);
}
double[] mqsFwd6Computed = mqs.getSensitivity(FWD6_CURVE_NAME, USD).Sensitivity.toArray();
for (int i = 0; i < FWD6_NB_NODES; i++)
{
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, Object> map = new java.util.HashMap<>(ALL_QUOTES.getValues());
IDictionary <MarketDataId <object>, object> map = new Dictionary <MarketDataId <object>, object>(ALL_QUOTES.Values);
map[QuoteId.of(StandardId.of(SCHEME, FWD6_ID_VALUE[i]))] = FWD6_MARKET_QUOTES[i] + shift;
ImmutableMarketData marketData = ImmutableMarketData.of(VAL_DATE, map);
RatesProvider rpShifted = calibrator(marketData);
double pvS = SWAP_PRICER.presentValue(product, rpShifted).getAmount(USD).Amount;
assertEquals(mqsFwd6Computed[i], (pvS - pv0) / shift, TOLERANCE_PV_DELTA, "FWD6 - node " + i);
}
}
//-------------------------------------------------------------------------
public virtual FunctionRequirements requirements(T target, ISet <Measure> measures, CalculationParameters parameters, ReferenceData refData)
{
// extract data from product
OvernightFuture product = target.Product;
QuoteId quoteId = QuoteId.of(target.Product.SecurityId.StandardId, FieldName.SETTLEMENT_PRICE);
OvernightIndex index = product.Index;
// use lookup to build requirements
RatesMarketDataLookup ratesLookup = parameters.getParameter(typeof(RatesMarketDataLookup));
FunctionRequirements ratesReqs = ratesLookup.requirements(ImmutableSet.of(), ImmutableSet.of(index));
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: com.google.common.collect.ImmutableSet<com.opengamma.strata.data.MarketDataId<?>> valueReqs = com.google.common.collect.ImmutableSet.builder<com.opengamma.strata.data.MarketDataId<?>>().add(quoteId).addAll(ratesReqs.getValueRequirements()).build();
ImmutableSet <MarketDataId <object> > valueReqs = ImmutableSet.builder <MarketDataId <object> >().add(quoteId).addAll(ratesReqs.ValueRequirements).build();
return(ratesReqs.toBuilder().valueRequirements(valueReqs).build());
}
static BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecificationTest()
{
ImmutableList.Builder <FxOptionVolatilitiesNode> nodeBuilder = ImmutableList.builder();
ImmutableList.Builder <QuoteId> quoteIdBuilder = ImmutableList.builder();
for (int i = 0; i < TENORS.Count; ++i)
{
for (int j = 0; j < STRIKES.Count; ++j)
{
QuoteId quoteId = QuoteId.of(StandardId.of("OG", GBP_USD.ToString() + "_" + TENORS[i].ToString() + "_" + STRIKES[j]));
nodeBuilder.add(FxOptionVolatilitiesNode.of(GBP_USD, SPOT_OFFSET, BDA, ValueType.BLACK_VOLATILITY, quoteId, TENORS[i], SimpleStrike.of(STRIKES[j])));
quoteIdBuilder.add(quoteId);
}
}
NODES = nodeBuilder.build();
QUOTE_IDS = quoteIdBuilder.build();
}
static CalibrationInflationUsdTest()
{
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[CPI_CURVE_NAME] = usdLibor3Set;
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])));
}
for (int i = 0; i < CPI_NB_NODES; i++)
{
CPI_NODES[i] = FixedInflationSwapCurveNode.builder().template(FixedInflationSwapTemplate.of(Tenor.of(CPI_TENORS[i]), FixedInflationSwapConventions.USD_FIXED_ZC_US_CPI)).rateId(QuoteId.of(StandardId.of(SCHEME, CPI_ID_VALUE[i]))).date(CurveNodeDate.LAST_FIXING).build();
}
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 < CPI_NB_NODES; i++)
{
builder.addValue(QuoteId.of(StandardId.of(SCHEME, CPI_ID_VALUE[i])), CPI_MARKET_QUOTES[i]);
}
builder.addTimeSeries(IndexQuoteId.of(US_CPI_U), TS_USD_CPI);
ALL_QUOTES = builder.build();
IList <CurveNode[]> groupDsc = new List <CurveNode[]>();
groupDsc.Add(DSC_NODES);
CURVES_NODES.Add(groupDsc);
IList <CurveNode[]> groupCpi = new List <CurveNode[]>();
groupCpi.Add(CPI_NODES);
CURVES_NODES.Add(groupCpi);
}
//-------------------------------------------------------------------------
public virtual FunctionRequirements requirements(T target, ISet <Measure> measures, CalculationParameters parameters, ReferenceData refData)
{
// extract data from product
BondFuture product = target.Product;
QuoteId quoteId = QuoteId.of(product.SecurityId.StandardId, FieldName.SETTLEMENT_PRICE);
Currency currency = product.Currency;
// use lookup to build requirements
FunctionRequirements freqs = FunctionRequirements.builder().valueRequirements(quoteId).outputCurrencies(currency).build();
LegalEntityDiscountingMarketDataLookup ledLookup = parameters.getParameter(typeof(LegalEntityDiscountingMarketDataLookup));
foreach (FixedCouponBond bond in product.DeliveryBasket)
{
freqs = freqs.combinedWith(ledLookup.requirements(bond.SecurityId, bond.LegalEntityId, bond.Currency));
}
return(freqs);
}
/// <summary>
/// Test that the curve node requirements are extracted and returned.
/// </summary>
public virtual void requirements()
{
FraCurveNode node1x4 = fraNode(1, "a");
FraCurveNode node2x5 = fraNode(2, "b");
FraCurveNode node3x6 = fraNode(3, "c");
InterpolatedNodalCurveDefinition curve = InterpolatedNodalCurveDefinition.builder().name(CurveName.of("curve")).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(curve, Currency.USD).build();
MarketDataConfig marketDataConfig = MarketDataConfig.builder().add(groupDefn.Name, groupDefn).build();
RatesCurveInputsMarketDataFunction marketDataFunction = new RatesCurveInputsMarketDataFunction();
RatesCurveInputsId curveInputsId = RatesCurveInputsId.of(groupDefn.Name, curve.Name, ObservableSource.NONE);
MarketDataRequirements requirements = marketDataFunction.requirements(curveInputsId, marketDataConfig);
assertThat(requirements.Observables).contains(QuoteId.of(StandardId.of("test", "a"))).contains(QuoteId.of(StandardId.of("test", "b"))).contains(QuoteId.of(StandardId.of("test", "c")));
}
public static MarketData allQuotes(LocalDate valuationDate, double[] dscOisQuotes, string[] dscIdValues, double[] fwd3MarketQuotes, string[] fwd3IdValue, double[] fwd6MarketQuotes, string[] fwd6IdValue)
{
/* All quotes for the curve calibration */
ImmutableMarketDataBuilder builder = ImmutableMarketData.builder(valuationDate);
for (int i = 0; i < dscOisQuotes.Length; i++)
{
builder.addValue(QuoteId.of(StandardId.of(SCHEME, dscIdValues[i])), dscOisQuotes[i]);
}
for (int i = 0; i < fwd3MarketQuotes.Length; i++)
{
builder.addValue(QuoteId.of(StandardId.of(SCHEME, fwd3IdValue[i])), fwd3MarketQuotes[i]);
}
for (int i = 0; i < fwd6MarketQuotes.Length; i++)
{
builder.addValue(QuoteId.of(StandardId.of(SCHEME, fwd6IdValue[i])), fwd6MarketQuotes[i]);
}
return(builder.build());
}
public virtual void pufTest()
{
LocalDate valuationDate = LocalDate.of(2013, 4, 10);
DoubleArray ycTime = DoubleArray.ofUnsafe(new double[] { 0.09041095890410959, 0.1726027397260274, 0.2547945205479452, 0.5123287671232877, 0.7616438356164383, 1.010958904109589, 2.008219178082192, 3.008219178082192, 4.008219178082192, 5.008219178082192, 6.008219178082192, 7.013698630136987, 8.01095890410959, 9.01095890410959, 10.01095890410959, 12.01917808219178, 15.016438356164384, 20.01917808219178, 25.021917808219175, 30.027397260273972 });
DoubleArray ycRate = DoubleArray.ofUnsafe(new double[] { 0.0020205071813561414, 0.0024226927083852126, 0.00280147037504029, 0.004449041082144009, 0.005821804782808804, 0.007254879152733453, 0.00378133614924816, 0.004815163234294319, 0.006576302084547871, 0.00884241431837336, 0.011358805989279104, 0.013793391727035883, 0.016014197840890115, 0.01801564209277191, 0.019757164421290663, 0.022773295945438254, 0.025862337032619587, 0.02848646344754061, 0.029753383126110852, 0.03045277462637107 });
IsdaCreditDiscountFactors yc = IsdaCreditDiscountFactors.of(EUR, valuationDate, CurveName.of("yc_usd"), ycTime, ycRate, ACT_365F);
double[] timeNodeExp = new double[] { 0.19452054794520549, 0.4465753424657534, 0.6958904109589041, 0.9424657534246575, 1.1945205479452055, 1.4465753424657535, 1.6958904109589041, 1.9424657534246574, 2.1945205479452055, 2.4465753424657533, 2.695890410958904, 2.9452054794520546, 3.197260273972603, 3.4493150684931506, 3.6986301369863015, 3.9452054794520546, 4.197260273972603, 4.449315068493151, 4.698630136986301, 4.945205479452055, 5.197260273972603, 5.449315068493151, 5.698630136986301, 5.945205479452055, 6.197260273972603, 6.449315068493151, 6.698630136986301, 6.947945205479452, 7.2, 7.4520547945205475, 7.701369863013698, 7.947945205479452, 8.2, 8.452054794520548, 8.7013698630137, 8.947945205479453, 9.2, 9.452054794520548, 9.7013698630137, 9.947945205479453, 10.2 };
double[] rateNodeExp = new double[] { 0.11219168510100914, 0.11085321179769615, 0.11753783265486063, 0.11806409789291543, 0.12007843111645247, 0.12273722191216528, 0.12541993298405366, 0.12773640093265545, 0.1290535220739981, 0.13294183149211675, 0.13659302947963856, 0.13988488561043758, 0.1429469312254705, 0.14606538453369572, 0.14916286828444447, 0.15219682906227, 0.1548315745851032, 0.158141193071526, 0.16163981714033765, 0.1650400193930357, 0.1682351993447916, 0.1683744003954113, 0.168657453080796, 0.16915067878510565, 0.1694852880010724, 0.16990705130936645, 0.1704456138969621, 0.17105852486248443, 0.1717088423125347, 0.1727906445582425, 0.17407566745397665, 0.17547300248653266, 0.17679395545074758, 0.17769841457372118, 0.1788064602071617, 0.18001498257267778, 0.18123747758791092, 0.18253661761388457, 0.18406319235262744, 0.18582983758830868, 0.18750386499176422 };
double[] rateNodeExpMf = new double[] { 0.11107220823737506, 0.11011543264900588, 0.11685607164947402, 0.11742079953945683, 0.1194445192166302, 0.12220026187805585, 0.12494798294628297, 0.12731185688090763, 0.12860146674492023, 0.1325216904413876, 0.1362014254649678, 0.13951646788193767, 0.14254141853655264, 0.14567581048732742, 0.1487851622438674, 0.15182838855605538, 0.15442415754322128, 0.15774061191016645, 0.16124288871765308, 0.1646451035564102, 0.167796451103847, 0.16794456750248196, 0.16823438468063495, 0.1687328171292339, 0.16904360885724334, 0.16947020572961907, 0.17001201556723175, 0.17062724832190826, 0.17125190473373603, 0.17233319414449558, 0.17361785479583028, 0.1750136127341691, 0.17630530410589512, 0.17720871748506664, 0.17831270423353415, 0.17951604233911425, 0.18070939732103264, 0.18200162521943403, 0.18351891000003046, 0.1852740041292825, 0.18691086960422418 };
ImmutableCreditRatesProvider ratesProvider = ImmutableCreditRatesProvider.builder().valuationDate(valuationDate).discountCurves(ImmutableMap.of(EUR, yc)).recoveryRateCurves(ImmutableMap.of(LEGAL_ENTITY, ConstantRecoveryRates.of(LEGAL_ENTITY, valuationDate, 0.4))).creditCurves(ImmutableMap.of()).build();
LocalDate startDate = LocalDate.of(2013, 3, 20);
LocalDate[] pillarDate = new LocalDate[] { LocalDate.of(2013, 6, 20), LocalDate.of(2013, 9, 20), LocalDate.of(2013, 12, 20), LocalDate.of(2014, 3, 20), LocalDate.of(2014, 6, 20), LocalDate.of(2014, 9, 20), LocalDate.of(2014, 12, 20), LocalDate.of(2015, 3, 20), LocalDate.of(2015, 6, 20), LocalDate.of(2015, 9, 20), LocalDate.of(2015, 12, 20), LocalDate.of(2016, 3, 20), LocalDate.of(2016, 6, 20), LocalDate.of(2016, 9, 20), LocalDate.of(2016, 12, 20), LocalDate.of(2017, 3, 20), LocalDate.of(2017, 6, 20), LocalDate.of(2017, 9, 20), LocalDate.of(2017, 12, 20), LocalDate.of(2018, 3, 20), LocalDate.of(2018, 6, 20), LocalDate.of(2018, 9, 20), LocalDate.of(2018, 12, 20), LocalDate.of(2019, 3, 20), LocalDate.of(2019, 6, 20), LocalDate.of(2019, 9, 20), LocalDate.of(2019, 12, 20), LocalDate.of(2020, 3, 20), LocalDate.of(2020, 6, 20), LocalDate.of(2020, 9, 20), LocalDate.of(2020, 12, 20), LocalDate.of(2021, 3, 20), LocalDate.of(2021, 6, 20), LocalDate.of(2021, 9, 20), LocalDate.of(2021, 12, 20), LocalDate.of(2022, 3, 20), LocalDate.of(2022, 6, 20), LocalDate.of(2022, 9, 20), LocalDate.of(2022, 12, 20), LocalDate.of(2023, 3, 20), LocalDate.of(2023, 6, 20) };
int nPillars = pillarDate.Length;
double coupon = 500d * ONE_BP;
ImmutableMarketDataBuilder builderCredit = ImmutableMarketData.builder(valuationDate);
IList <CdsIsdaCreditCurveNode> nodes = new List <CdsIsdaCreditCurveNode>(nPillars);
double[] quotes = new double[] { 0.32, 0.69, 1.32, 1.79, 2.36, 3.01, 3.7, 4.39, 5.02, 5.93, 6.85, 7.76, 8.67, 9.6, 10.53, 11.45, 12.33, 13.29, 14.26, 15.2, 16.11, 16.62, 17.12, 17.62, 18.09, 18.55, 19, 19.44, 19.87, 20.33, 20.79, 21.24, 21.67, 22.04, 22.41, 22.77, 23.12, 23.46, 23.8, 24.14, 24.46 };
for (int i = 0; i < nPillars; ++i)
{
CdsConvention conv = ImmutableCdsConvention.of("conv", EUR, ACT_360, Frequency.P3M, BUS_ADJ, CDS_SETTLE_STD);
CdsTemplate temp = DatesCdsTemplate.of(startDate, pillarDate[i], conv);
QuoteId id = QuoteId.of(StandardId.of("OG", pillarDate[i].ToString()));
nodes.Add(CdsIsdaCreditCurveNode.ofPointsUpfront(temp, id, LEGAL_ENTITY, coupon));
builderCredit.addValue(id, quotes[i] * ONE_PC);
}
ImmutableMarketData marketData = builderCredit.build();
IsdaCreditCurveDefinition curveDefinition = IsdaCreditCurveDefinition.of(CurveName.of("cc"), EUR, valuationDate, ACT_365F, nodes, true, false);
LegalEntitySurvivalProbabilities cc = BUILDER_ISDA.calibrate(curveDefinition, marketData, ratesProvider, REF_DATA);
NodalCurve resCurve = ((IsdaCreditDiscountFactors)cc.SurvivalProbabilities).Curve;
assertTrue(DoubleArrayMath.fuzzyEquals(resCurve.XValues.toArray(), timeNodeExp, TOL));
assertTrue(DoubleArrayMath.fuzzyEquals(resCurve.YValues.toArray(), rateNodeExp, TOL));
testJacobian(BUILDER_ISDA, cc, ratesProvider, nodes, quotes, ONE_PC, EPS);
LegalEntitySurvivalProbabilities ccMf = BUILDER_MARKIT.calibrate(curveDefinition, marketData, ratesProvider, REF_DATA);
NodalCurve resCurveMf = ((IsdaCreditDiscountFactors)ccMf.SurvivalProbabilities).Curve;
assertTrue(DoubleArrayMath.fuzzyEquals(resCurveMf.XValues.toArray(), timeNodeExp, TOL));
assertTrue(DoubleArrayMath.fuzzyEquals(resCurveMf.YValues.toArray(), rateNodeExpMf, TOL));
testJacobian(BUILDER_MARKIT, ccMf, ratesProvider, nodes, quotes, ONE_PC, EPS);
}
//-------------------------------------------------------------------------
public virtual void duplicateInputDataKeys()
{
FxSwapTemplate template1 = FxSwapTemplate.of(Period.ofMonths(1), FxSwapConventions.EUR_USD);
FxSwapTemplate template2 = FxSwapTemplate.of(Period.ofMonths(2), FxSwapConventions.EUR_USD);
QuoteId pointsKey1a = QuoteId.of(StandardId.of("test", "1a"));
QuoteId pointsKey1b = QuoteId.of(StandardId.of("test", "1b"));
QuoteId pointsKey2a = QuoteId.of(StandardId.of("test", "2a"));
QuoteId pointsKey2b = QuoteId.of(StandardId.of("test", "2b"));
FxSwapCurveNode node1a = FxSwapCurveNode.of(template1, pointsKey1a);
FxSwapCurveNode node1b = FxSwapCurveNode.of(template2, pointsKey1b);
FxSwapCurveNode node2 = FxSwapCurveNode.of(template1, pointsKey2a);
FxSwapCurveNode node2b = FxSwapCurveNode.of(template2, pointsKey2b);
CurveName curveName1 = CurveName.of("curve1");
InterpolatedNodalCurveDefinition curve1 = InterpolatedNodalCurveDefinition.builder().name(curveName1).nodes(node1a, node1b).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(ACT_360).interpolator(CurveInterpolators.LINEAR).extrapolatorLeft(CurveExtrapolators.LINEAR).extrapolatorRight(CurveExtrapolators.LINEAR).build();
CurveName curveName2 = CurveName.of("curve2");
InterpolatedNodalCurveDefinition curve2 = InterpolatedNodalCurveDefinition.builder().name(curveName2).nodes(node2, node2b).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(ACT_360).interpolator(CurveInterpolators.LINEAR).extrapolatorLeft(CurveExtrapolators.LINEAR).extrapolatorRight(CurveExtrapolators.LINEAR).build();
CurveGroupName curveGroupName = CurveGroupName.of("group");
RatesCurveGroupDefinition groupDefinition = RatesCurveGroupDefinition.builder().name(curveGroupName).addDiscountCurve(curve1, Currency.EUR).addDiscountCurve(curve2, Currency.USD).build();
RatesCurveGroupMarketDataFunction fn = new RatesCurveGroupMarketDataFunction();
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, Object> marketDataMap1 = com.google.common.collect.ImmutableMap.of(com.opengamma.strata.data.FxRateId.of(com.opengamma.strata.basics.currency.Currency.EUR, com.opengamma.strata.basics.currency.Currency.USD), com.opengamma.strata.basics.currency.FxRate.of(com.opengamma.strata.basics.currency.Currency.EUR, com.opengamma.strata.basics.currency.Currency.USD, 1.01), pointsKey1a, 0.1d, pointsKey1b, 0.2d);
IDictionary <MarketDataId <object>, object> marketDataMap1 = ImmutableMap.of(FxRateId.of(Currency.EUR, Currency.USD), FxRate.of(Currency.EUR, Currency.USD, 1.01), pointsKey1a, 0.1d, pointsKey1b, 0.2d);
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, Object> marketDataMap2 = com.google.common.collect.ImmutableMap.of(com.opengamma.strata.data.FxRateId.of(com.opengamma.strata.basics.currency.Currency.EUR, com.opengamma.strata.basics.currency.Currency.USD), com.opengamma.strata.basics.currency.FxRate.of(com.opengamma.strata.basics.currency.Currency.EUR, com.opengamma.strata.basics.currency.Currency.USD, 1.01), pointsKey2a, 0.1d, pointsKey2b, 0.2d);
IDictionary <MarketDataId <object>, object> marketDataMap2 = ImmutableMap.of(FxRateId.of(Currency.EUR, Currency.USD), FxRate.of(Currency.EUR, Currency.USD, 1.01), pointsKey2a, 0.1d, pointsKey2b, 0.2d);
RatesCurveInputs curveInputs1 = RatesCurveInputs.of(marketDataMap1, DefaultCurveMetadata.of("curve1"));
RatesCurveInputs curveInputs2 = RatesCurveInputs.of(marketDataMap2, DefaultCurveMetadata.of("curve2"));
ImmutableScenarioMarketData marketData = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)).addValue(RatesCurveInputsId.of(curveGroupName, curveName1, ObservableSource.NONE), curveInputs1).addValue(RatesCurveInputsId.of(curveGroupName, curveName2, ObservableSource.NONE), curveInputs2).build();
fn.buildCurveGroup(groupDefinition, CALIBRATOR, marketData, REF_DATA, ObservableSource.NONE);
// This has a duplicate key with a different value which should fail
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, Object> badMarketDataMap = com.google.common.collect.ImmutableMap.of(com.opengamma.strata.data.FxRateId.of(com.opengamma.strata.basics.currency.Currency.EUR, com.opengamma.strata.basics.currency.Currency.USD), com.opengamma.strata.basics.currency.FxRate.of(com.opengamma.strata.basics.currency.Currency.EUR, com.opengamma.strata.basics.currency.Currency.USD, 1.02), pointsKey2a, 0.2d);
IDictionary <MarketDataId <object>, object> badMarketDataMap = ImmutableMap.of(FxRateId.of(Currency.EUR, Currency.USD), FxRate.of(Currency.EUR, Currency.USD, 1.02), pointsKey2a, 0.2d);
RatesCurveInputs badCurveInputs = RatesCurveInputs.of(badMarketDataMap, DefaultCurveMetadata.of("curve2"));
ScenarioMarketData badMarketData = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)).addValue(RatesCurveInputsId.of(curveGroupName, curveName1, ObservableSource.NONE), curveInputs1).addValue(RatesCurveInputsId.of(curveGroupName, curveName2, ObservableSource.NONE), badCurveInputs).build();
string msg = "Multiple unequal values found for identifier .*\\. Values: .* and .*";
assertThrowsIllegalArg(() => fn.buildCurveGroup(groupDefinition, CALIBRATOR, badMarketData, REF_DATA, ObservableSource.NONE), msg);
}
/// <summary>
/// Start from a generic zero-coupon curve. Compute the (inverse) Jacobian matrix using linear projection to a small
/// number of points and the Jacobian utility. Compare the direct Jacobian obtained by calibrating a curve
/// based on the trades with market quotes computed from the zero-coupon curve.
/// </summary>
public virtual void with_rebucketing_one_curve()
{
/* Create trades */
IList <ResolvedTrade> trades = new List <ResolvedTrade>();
IList <LocalDate> nodeDates = new List <LocalDate>();
double[] marketQuotes = new double[TENORS_STD_1.Length];
for (int looptenor = 0; looptenor < TENORS_STD_1.Length; looptenor++)
{
ResolvedSwapTrade t0 = EUR_FIXED_1Y_EURIBOR_6M.createTrade(VALUATION_DATE, TENORS_STD_1[looptenor], BuySell.BUY, 1.0, 0.0, REF_DATA).resolve(REF_DATA);
marketQuotes[looptenor] = MARKET_QUOTE.value(t0, MULTICURVE_EUR_SINGLE_INPUT);
ResolvedSwapTrade t = EUR_FIXED_1Y_EURIBOR_6M.createTrade(VALUATION_DATE, TENORS_STD_1[looptenor], BuySell.BUY, 1.0, marketQuotes[looptenor], REF_DATA).resolve(REF_DATA);
nodeDates.Add(t.Product.EndDate);
trades.Add(t);
}
System.Func <ResolvedTrade, CurrencyParameterSensitivities> sensitivityFunction = (t) => CurveSensitivityUtils.linearRebucketing(MULTICURVE_EUR_SINGLE_INPUT.parameterSensitivity(PRICER_SWAP_PRODUCT.parRateSensitivity(((ResolvedSwapTrade)t).Product, MULTICURVE_EUR_SINGLE_INPUT).build()), nodeDates, VALUATION_DATE);
/* Market quotes for comparison */
IDictionary <QuoteId, double> mqCmp = new Dictionary <QuoteId, double>();
for (int looptenor = 0; looptenor < TENORS_STD_1.Length; looptenor++)
{
mqCmp[QuoteId.of(StandardId.of(OG_TICKER, TICKERS_STD_1[looptenor]))] = marketQuotes[looptenor];
}
ImmutableMarketData marketQuotesObject = ImmutableMarketData.of(VALUATION_DATE, mqCmp);
RatesProvider multicurveCmp = CALIBRATOR.calibrate(GROUPS_IN_1, marketQuotesObject, REF_DATA);
/* Comparison */
DoubleMatrix jiComputed = CurveSensitivityUtils.jacobianFromMarketQuoteSensitivities(LIST_CURVE_NAMES_1, trades, sensitivityFunction);
DoubleMatrix jiExpected = multicurveCmp.findData(EUR_SINGLE_NAME).get().Metadata.findInfo(CurveInfoType.JACOBIAN).get().JacobianMatrix;
assertEquals(jiComputed.rowCount(), jiExpected.rowCount());
assertEquals(jiComputed.columnCount(), jiExpected.columnCount());
for (int i = 0; i < jiComputed.rowCount(); i++)
{
for (int j = 0; j < jiComputed.columnCount(); j++)
{
assertEquals(jiComputed.get(i, j), jiExpected.get(i, j), TOLERANCE_JAC_APPROX);
// The comparison is not perfect due to the incoherences introduced by the re-bucketing
}
}
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification test1 = BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.builder().name(VOL_NAME).currencyPair(GBP_USD).dayCount(ACT_365F).nodes(NODES).timeInterpolator(PCHIP).timeExtrapolatorLeft(LINEAR).timeExtrapolatorRight(LINEAR).strikeInterpolator(PCHIP).strikeExtrapolatorLeft(LINEAR).strikeExtrapolatorRight(LINEAR).build();
coverImmutableBean(test1);
CurrencyPair eurUsd = CurrencyPair.of(EUR, USD);
ImmutableList.Builder <FxOptionVolatilitiesNode> nodeBuilder = ImmutableList.builder();
for (int i = 0; i < TENORS.Count; ++i)
{
for (int j = 0; j < STRIKES.Count; ++j)
{
QuoteId quoteId = QuoteId.of(StandardId.of("OG", eurUsd.ToString() + "_" + TENORS[i].ToString() + "_" + STRIKES[j]));
nodeBuilder.add(FxOptionVolatilitiesNode.of(eurUsd, SPOT_OFFSET, BDA, ValueType.BLACK_VOLATILITY, quoteId, TENORS[i], SimpleStrike.of(STRIKES[j])));
}
}
BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification test2 = BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.builder().name(FxOptionVolatilitiesName.of("other")).currencyPair(eurUsd).dayCount(ACT_360).nodes(nodeBuilder.build()).timeInterpolator(DOUBLE_QUADRATIC).strikeInterpolator(DOUBLE_QUADRATIC).build();
coverBeanEquals(test1, test2);
}
//-------------------------------------------------------------------------
public virtual FunctionRequirements requirements(T target, ISet <Measure> measures, CalculationParameters parameters, ReferenceData refData)
{
// extract data from product
BondFutureOption option = target.Product;
BondFuture future = option.UnderlyingFuture;
// use lookup to build requirements
QuoteId optionQuoteId = QuoteId.of(option.SecurityId.StandardId, FieldName.SETTLEMENT_PRICE);
FunctionRequirements freqs = FunctionRequirements.builder().valueRequirements(optionQuoteId).outputCurrencies(future.Currency, option.Currency).build();
LegalEntityDiscountingMarketDataLookup ledLookup = parameters.getParameter(typeof(LegalEntityDiscountingMarketDataLookup));
foreach (FixedCouponBond bond in future.DeliveryBasket)
{
freqs = freqs.combinedWith(ledLookup.requirements(bond.SecurityId, bond.LegalEntityId, bond.Currency));
}
BondFutureOptionMarketDataLookup optionLookup = parameters.getParameter(typeof(BondFutureOptionMarketDataLookup));
FunctionRequirements optionReqs = optionLookup.requirements(future.SecurityId);
return(freqs.combinedWith(optionReqs));
}
