public virtual void hard_coded_value_two_curves_one_date()
{
for (int loopdate = 0; loopdate < SENSITIVITY_DATES.Count - 1; loopdate++)
{
IList <ParameterMetadata> pmdInput1 = new List <ParameterMetadata>();
pmdInput1.Add(LabelDateParameterMetadata.of(SENSITIVITY_DATES[loopdate], "test"));
CurrencyParameterSensitivity s1 = CurrencyParameterSensitivity.of(NAME_1, pmdInput1, CCY_1, DoubleArray.of(SENSITIVITY_AMOUNT));
IList <ParameterMetadata> pmdInput2 = new List <ParameterMetadata>();
pmdInput2.Add(LabelDateParameterMetadata.of(SENSITIVITY_DATES[loopdate + 1], "test"));
CurrencyParameterSensitivity s2 = CurrencyParameterSensitivity.of(NAME_2, pmdInput2, CCY_2, DoubleArray.of(SENSITIVITY_AMOUNT));
CurrencyParameterSensitivities sList = CurrencyParameterSensitivities.of(s1, s2);
CurrencyParameterSensitivities sTarget = CurveSensitivityUtils.linearRebucketing(sList, TARGET_DATES);
assertTrue(sTarget.Sensitivities.size() == 2);
CurrencyParameterSensitivity sTarget1 = sTarget.Sensitivities.get(0);
assertTrue(sTarget1.MarketDataName.Equals(NAME_1));
assertTrue(sTarget1.Currency.Equals(CCY_1));
assertTrue(sTarget1.Sensitivity.size() == TARGET_DATES.Count);
assertEquals(sTarget1.Sensitivity.get(WEIGHTS_START[loopdate]), WEIGHTS_HC[loopdate] * SENSITIVITY_AMOUNT, TOLERANCE_SENSI);
assertEquals(sTarget1.Sensitivity.get(WEIGHTS_START[loopdate] + 1), (1.0d - WEIGHTS_HC[loopdate]) * SENSITIVITY_AMOUNT, TOLERANCE_SENSI);
CurrencyParameterSensitivity sTarget2 = sTarget.Sensitivities.get(1);
assertTrue(sTarget2.MarketDataName.Equals(NAME_2));
assertTrue(sTarget2.Currency.Equals(CCY_2));
assertTrue(sTarget2.Sensitivity.size() == TARGET_DATES.Count);
assertEquals(sTarget2.Sensitivity.get(WEIGHTS_START[loopdate + 1]), WEIGHTS_HC[loopdate + 1] * SENSITIVITY_AMOUNT, TOLERANCE_SENSI);
assertEquals(sTarget2.Sensitivity.get(WEIGHTS_START[loopdate + 1] + 1), (1.0d - WEIGHTS_HC[loopdate + 1]) * SENSITIVITY_AMOUNT, TOLERANCE_SENSI);
}
}
/// <summary>
/// Calibrate a single curve to 4 points. Use the resulting calibrated curves as starting point of the computation
/// of a Jacobian. Compare the direct Jacobian and the one reconstructed from trades.
/// </summary>
public virtual void direct_one_curve()
{
/* Create trades */
IList <ResolvedTrade> trades = new List <ResolvedTrade>();
IList <LocalDate> nodeDates = new List <LocalDate>();
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);
double rate = MARKET_QUOTE.value(t0, MULTICURVE_EUR_SINGLE_CALIBRATED);
ResolvedSwapTrade t = EUR_FIXED_1Y_EURIBOR_6M.createTrade(VALUATION_DATE, TENORS_STD_1[looptenor], BuySell.BUY, 1.0, rate, REF_DATA).resolve(REF_DATA);
nodeDates.Add(t.Product.EndDate);
trades.Add(t);
}
/* Par rate sensitivity */
System.Func <ResolvedTrade, CurrencyParameterSensitivities> sensitivityFunction = (t) => MULTICURVE_EUR_SINGLE_CALIBRATED.parameterSensitivity(PRICER_SWAP_PRODUCT.parRateSensitivity(((ResolvedSwapTrade)t).Product, MULTICURVE_EUR_SINGLE_CALIBRATED).build());
DoubleMatrix jiComputed = CurveSensitivityUtils.jacobianFromMarketQuoteSensitivities(LIST_CURVE_NAMES_1, trades, sensitivityFunction);
DoubleMatrix jiExpected = MULTICURVE_EUR_SINGLE_CALIBRATED.findData(EUR_SINGLE_NAME).get().Metadata.findInfo(CurveInfoType.JACOBIAN).get().JacobianMatrix;
/* Comparison */
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);
}
}
}
public virtual void wrong_metadata()
{
IList <ParameterMetadata> pmdInput = new List <ParameterMetadata>();
pmdInput.Add(TenorParameterMetadata.of(Tenor.TENOR_10M));
CurrencyParameterSensitivity s1 = CurrencyParameterSensitivity.of(NAME_1, pmdInput, CCY_1, DoubleArray.of(SENSITIVITY_AMOUNT));
CurrencyParameterSensitivities s2 = CurrencyParameterSensitivities.of(s1);
assertThrowsIllegalArg(() => CurveSensitivityUtils.linearRebucketing(s2, TARGET_DATES));
}
public virtual void missing_metadata()
{
CurrencyParameterSensitivity s1 = CurrencyParameterSensitivity.of(NAME_1, CCY_1, DoubleArray.of(SENSITIVITY_AMOUNT));
CurrencyParameterSensitivities s2 = CurrencyParameterSensitivities.of(s1);
assertThrowsIllegalArg(() => CurveSensitivityUtils.linearRebucketing(s2, TARGET_DATES));
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final java.time.LocalDate sensitivityDate = java.time.LocalDate.of(2015, 8, 18);
LocalDate sensitivityDate = LocalDate.of(2015, 8, 18);
assertThrowsIllegalArg(() => CurveSensitivityUtils.linearRebucketing(s2, TARGET_DATES, sensitivityDate));
}
/// <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
}
}
}
/// <summary>
/// Calibrate a single curve to 4 points. Use the resulting calibrated curves as starting point of the computation
/// of a Jacobian. Compare the direct Jacobian and the one reconstructed from trades.
/// </summary>
public virtual void direct_two_curves()
{
JacobianCalibrationMatrix jiObject = MULTICURVE_EUR_2_CALIBRATED.findData(EUR_DSCON_OIS).get().Metadata.findInfo(CurveInfoType.JACOBIAN).get();
ImmutableList <CurveParameterSize> order = jiObject.Order; // To obtain the order of the curves in the jacobian
/* Create trades */
IList <ResolvedTrade> tradesDsc = new List <ResolvedTrade>();
for (int looptenor = 0; looptenor < TENORS_STD_2_OIS.Length; looptenor++)
{
ResolvedSwapTrade t0 = EUR_FIXED_1Y_EONIA_OIS.createTrade(VALUATION_DATE, TENORS_STD_2_OIS[looptenor], BuySell.BUY, 1.0, 0.0, REF_DATA).resolve(REF_DATA);
double rate = MARKET_QUOTE.value(t0, MULTICURVE_EUR_2_CALIBRATED);
ResolvedSwapTrade t = EUR_FIXED_1Y_EONIA_OIS.createTrade(VALUATION_DATE, TENORS_STD_2_OIS[looptenor], BuySell.BUY, 1.0, rate, REF_DATA).resolve(REF_DATA);
tradesDsc.Add(t);
}
IList <ResolvedTrade> tradesE3 = new List <ResolvedTrade>();
// Fixing
IborFixingDepositConvention c = IborFixingDepositConvention.of(EUR_EURIBOR_6M);
ResolvedIborFixingDepositTrade fix0 = c.createTrade(VALUATION_DATE, EUR_EURIBOR_6M.Tenor.Period, BuySell.BUY, 1.0, 0.0, REF_DATA).resolve(REF_DATA);
double rateFixing = MARKET_QUOTE.value(fix0, MULTICURVE_EUR_2_CALIBRATED);
ResolvedIborFixingDepositTrade fix = c.createTrade(VALUATION_DATE, EUR_EURIBOR_6M.Tenor.Period, BuySell.BUY, 1.0, rateFixing, REF_DATA).resolve(REF_DATA);
tradesE3.Add(fix);
// IRS
for (int looptenor = 0; looptenor < TENORS_STD_2_IRS.Length; looptenor++)
{
ResolvedSwapTrade t0 = EUR_FIXED_1Y_EURIBOR_6M.createTrade(VALUATION_DATE, TENORS_STD_2_IRS[looptenor], BuySell.BUY, 1.0, 0.0, REF_DATA).resolve(REF_DATA);
double rate = MARKET_QUOTE.value(t0, MULTICURVE_EUR_2_CALIBRATED);
ResolvedSwapTrade t = EUR_FIXED_1Y_EURIBOR_6M.createTrade(VALUATION_DATE, TENORS_STD_2_IRS[looptenor], BuySell.BUY, 1.0, rate, REF_DATA).resolve(REF_DATA);
tradesE3.Add(t);
}
IList <ResolvedTrade> trades = new List <ResolvedTrade>();
if (order.get(0).Name.Equals(EUR_DSCON_OIS))
{
((IList <ResolvedTrade>)trades).AddRange(tradesDsc);
((IList <ResolvedTrade>)trades).AddRange(tradesE3);
}
else
{
((IList <ResolvedTrade>)trades).AddRange(tradesE3);
((IList <ResolvedTrade>)trades).AddRange(tradesDsc);
}
/* Par rate sensitivity */
System.Func <ResolvedTrade, CurrencyParameterSensitivities> sensitivityFunction = (t) => MULTICURVE_EUR_2_CALIBRATED.parameterSensitivity((t is ResolvedSwapTrade) ? PRICER_SWAP_PRODUCT.parRateSensitivity(((ResolvedSwapTrade)t).Product, MULTICURVE_EUR_2_CALIBRATED).build() : PRICER_IBORFIX_PRODUCT.parRateSensitivity(((ResolvedIborFixingDepositTrade)t).Product, MULTICURVE_EUR_2_CALIBRATED));
DoubleMatrix jiComputed = CurveSensitivityUtils.jacobianFromMarketQuoteSensitivities(order, trades, sensitivityFunction);
DoubleMatrix jiExpectedDsc = MULTICURVE_EUR_2_CALIBRATED.findData(EUR_DSCON_OIS).get().Metadata.getInfo(CurveInfoType.JACOBIAN).JacobianMatrix;
DoubleMatrix jiExpectedE3 = MULTICURVE_EUR_2_CALIBRATED.findData(EUR_EURIBOR6M_IRS).get().Metadata.getInfo(CurveInfoType.JACOBIAN).JacobianMatrix;
/* Comparison */
assertEquals(jiComputed.rowCount(), jiExpectedDsc.rowCount() + jiExpectedE3.rowCount());
assertEquals(jiComputed.columnCount(), jiExpectedDsc.columnCount());
assertEquals(jiComputed.columnCount(), jiExpectedE3.columnCount());
int shiftDsc = order.get(0).Name.Equals(EUR_DSCON_OIS) ? 0 : jiExpectedE3.rowCount();
for (int i = 0; i < jiExpectedDsc.rowCount(); i++)
{
for (int j = 0; j < jiExpectedDsc.columnCount(); j++)
{
assertEquals(jiComputed.get(i + shiftDsc, j), jiExpectedDsc.get(i, j), TOLERANCE_JAC);
}
}
int shiftE3 = order.get(0).Name.Equals(EUR_DSCON_OIS) ? jiExpectedDsc.rowCount() : 0;
for (int i = 0; i < jiExpectedE3.rowCount(); i++)
{
for (int j = 0; j < jiExpectedDsc.columnCount(); j++)
{
assertEquals(jiComputed.get(i + shiftE3, j), jiExpectedE3.get(i, j), TOLERANCE_JAC);
}
}
}
public virtual void hard_coded_value_one_curve_one_date_dated_sd()
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final java.time.LocalDate sensitivityDate = java.time.LocalDate.of(2015, 8, 18);
LocalDate sensitivityDate = LocalDate.of(2015, 8, 18);
System.Func <LocalDate, ParameterMetadata> parameterMetadataFunction = (d) => LabelDateParameterMetadata.of(d, "test");
System.Func <CurrencyParameterSensitivities, CurrencyParameterSensitivities> rebucketFunction = (s) => CurveSensitivityUtils.linearRebucketing(s, TARGET_DATES, sensitivityDate);
test_from_functions_one_curve_one_date(parameterMetadataFunction, rebucketFunction);
}
public virtual void hard_coded_value_one_curve_one_date_dated()
{
System.Func <LocalDate, ParameterMetadata> parameterMetadataFunction = (d) => LabelDateParameterMetadata.of(d, "test");
System.Func <CurrencyParameterSensitivities, CurrencyParameterSensitivities> rebucketFunction = (s) => CurveSensitivityUtils.linearRebucketing(s, TARGET_DATES);
test_from_functions_one_curve_one_date(parameterMetadataFunction, rebucketFunction);
}
public virtual void hard_coded_value_one_curve_all_dates_tenor()
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final java.time.LocalDate sensitivityDate = java.time.LocalDate.of(2015, 8, 18);
LocalDate sensitivityDate = LocalDate.of(2015, 8, 18);
System.Func <LocalDate, ParameterMetadata> parameterMetadataFunction = (d) => TenorParameterMetadata.of(Tenor.of(Period.ofDays((int)(d.toEpochDay() - sensitivityDate.toEpochDay()))));
System.Func <CurrencyParameterSensitivities, CurrencyParameterSensitivities> rebucketFunction = (s) => CurveSensitivityUtils.linearRebucketing(s, TARGET_DATES, sensitivityDate);
test_from_functions_one_curve_all_dates(parameterMetadataFunction, rebucketFunction);
}
