public static void Main(string[] arg)
{
int nbRrpWarm = 2;
int nbRunPerf = 2;
/* Load the curve configurations from csv files */
IDictionary <CurveGroupName, RatesCurveGroupDefinition> configs = RatesCalibrationCsvLoader.load(GROUP_RESOURCE, SETTINGS_RESOURCE, NODES_RESOURCE);
/* Construct a swaps */
ResolvedSwapTrade[] swaps = new ResolvedSwapTrade[NB_COUPONS * NB_TENORS];
for (int loopswap = 0; loopswap < NB_COUPONS; loopswap++)
{
for (int looptenor = 0; looptenor < NB_TENORS; looptenor++)
{
double coupon = SWAP_COUPON + loopswap * SWAP_COUPON_RANGE / NB_COUPONS;
swaps[looptenor * NB_COUPONS + loopswap] = GBP_FIXED_6M_LIBOR_6M.createTrade(VALUATION_DATE, SWAP_PERIOD_TO_START, Tenor.of(Period.ofYears(TENOR_START + looptenor)), BuySell.BUY, SWAP_NOTIONAL, coupon, REF_DATA).resolve(REF_DATA);
}
}
/* Warm-up */
Pair <MultiCurrencyAmount[], CurrencyParameterSensitivities[]> r = Pair.of(new MultiCurrencyAmount[0], new CurrencyParameterSensitivities[0]);
for (int i = 0; i < nbRrpWarm; i++)
{
r = computation(configs, swaps);
}
long start, end;
start = DateTimeHelper.CurrentUnixTimeMillis();
for (int i = 0; i < nbRunPerf; i++)
{
r = computation(configs, swaps);
}
end = DateTimeHelper.CurrentUnixTimeMillis();
Console.WriteLine("Computation time: " + (end - start) + " ms");
Console.WriteLine("Performance estimate for curve calibration, " + (NB_COUPONS * NB_TENORS) + " trades and " + nbRunPerf + " repetitions.\n" + Arrays.ToString(r.First) + Arrays.ToString(r.Second));
}
private const double BP1 = 1.0E-4; // Scaling by 1 bp.
public static void Main(string[] arg)
{
/* Load the curve configurations from csv files */
IList <IDictionary <CurveGroupName, RatesCurveGroupDefinition> > configs = new List <IDictionary <CurveGroupName, RatesCurveGroupDefinition> >();
for (int loopconfig = 0; loopconfig < NB_SETTINGS; loopconfig++)
{
configs.Add(RatesCalibrationCsvLoader.load(GROUP_RESOURCE, SETTINGS_RESOURCE[loopconfig], NODES_RESOURCE));
}
/* Construct a swap */
ResolvedSwapTrade swap = GBP_FIXED_6M_LIBOR_6M.createTrade(VALUATION_DATE, SWAP_PERIOD_TO_START, Tenor.of(SWAP_TENOR), BuySell.BUY, SWAP_NOTIONAL, SWAP_COUPON, REF_DATA).resolve(REF_DATA);
/* Calibrate curves */
ImmutableRatesProvider[] multicurve = new ImmutableRatesProvider[3];
for (int loopconfig = 0; loopconfig < NB_SETTINGS; loopconfig++)
{
multicurve[loopconfig] = CALIBRATOR.calibrate(configs[loopconfig][CONFIG_NAME], MARKET_QUOTES, REF_DATA);
}
/* Computes PV and bucketed PV01 */
MultiCurrencyAmount[] pv = new MultiCurrencyAmount[NB_SETTINGS];
CurrencyParameterSensitivities[] mqs = new CurrencyParameterSensitivities[NB_SETTINGS];
for (int loopconfig = 0; loopconfig < NB_SETTINGS; loopconfig++)
{
pv[loopconfig] = PRICER_SWAP.presentValue(swap, multicurve[loopconfig]);
PointSensitivities pts = PRICER_SWAP.presentValueSensitivity(swap, multicurve[loopconfig]);
CurrencyParameterSensitivities ps = multicurve[loopconfig].parameterSensitivity(pts);
mqs[loopconfig] = MQC.sensitivity(ps, multicurve[loopconfig]);
}
/* Export to csv files. */
for (int loopconfig = 0; loopconfig < NB_SETTINGS; loopconfig++)
{
ExportUtils.export(mqs[loopconfig], BP1, PATH_RESULTS + CONFIG_STR + SETTINGS_SUFFIX[loopconfig] + "-mqs" + SUFFIX_CSV);
ExportUtils.export(pv[loopconfig], PATH_RESULTS + CONFIG_STR + SETTINGS_SUFFIX[loopconfig] + "-pv" + SUFFIX_CSV);
}
Console.WriteLine("Calibration and export finished: " + CONFIG_STR);
}
private const double BP1 = 1.0E-4; // Scaling by 1 bp.
public static void Main(string[] arg)
{
/* Load the curve configurations from csv files */
IDictionary <CurveGroupName, RatesCurveGroupDefinition> configs = RatesCalibrationCsvLoader.load(GROUP_RESOURCE, SETTINGS_RESOURCE, NODES_RESOURCE);
/* Calibrate curves */
ImmutableRatesProvider multicurve = CALIBRATOR.calibrate(configs[CONFIG_NAME], MARKET_QUOTES, REF_DATA);
/* Construct a swap */
ResolvedSwapTrade swap = GBP_FIXED_6M_LIBOR_6M.createTrade(VALUATION_DATE, SWAP_PERIOD_TO_START, Tenor.of(SWAP_TENOR), BuySell.BUY, SWAP_NOTIONAL, SWAP_COUPON, REF_DATA).resolve(REF_DATA);
/* Computes PV and bucketed PV01 */
MultiCurrencyAmount pv = PRICER_SWAP.presentValue(swap, multicurve);
PointSensitivities pts = PRICER_SWAP.presentValueSensitivity(swap, multicurve);
CurrencyParameterSensitivities ps = multicurve.parameterSensitivity(pts);
CurrencyParameterSensitivities mqs = MQC.sensitivity(ps, multicurve);
/* Export to csv files. */
ExportUtils.export(mqs, BP1, PATH_RESULTS + CONFIG_STR + "-delta" + SUFFIX_CSV);
ExportUtils.export(pv, PATH_RESULTS + CONFIG_STR + "-pv" + SUFFIX_CSV);
Console.WriteLine("Calibration and export finished: " + CONFIG_STR);
}
