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); }
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(); }
public virtual void test_initialGuess_wrongType() { FixedInflationSwapCurveNode node = FixedInflationSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD); MarketData marketData = ImmutableMarketData.builder(VAL_DATE).build(); assertThrowsIllegalArg(() => node.initialGuess(marketData, ValueType.BLACK_VOLATILITY)); }
/// <summary> /// Tests the combinedWith method when the other set of market data is not an instance of ImmutableScenarioMarketData /// </summary> public virtual void test_combinedWithDifferentImpl() { LocalDateDoubleTimeSeries timeSeries1 = LocalDateDoubleTimeSeries.builder().put(date(2011, 3, 8), 1).put(date(2011, 3, 9), 2).put(date(2011, 3, 10), 3).build(); LocalDateDoubleTimeSeries timeSeries2 = LocalDateDoubleTimeSeries.builder().put(date(2011, 3, 8), 10).put(date(2011, 3, 9), 20).put(date(2011, 3, 10), 30).build(); LocalDateDoubleTimeSeries timeSeries2a = LocalDateDoubleTimeSeries.builder().put(date(2011, 3, 8), 1000).put(date(2011, 3, 9), 2000).put(date(2011, 3, 10), 3000).build(); LocalDateDoubleTimeSeries timeSeries3 = LocalDateDoubleTimeSeries.builder().put(date(2011, 3, 8), 100).put(date(2011, 3, 9), 200).put(date(2011, 3, 10), 300).build(); MarketData marketData = ImmutableMarketData.builder(LocalDate.of(2011, 3, 8)).addTimeSeries(TEST_ID1, timeSeries1).addTimeSeries(TEST_ID2, timeSeries2).addValue(TEST_ID1, 1.1).addValue(TEST_ID2, 1.2).build(); RepeatedScenarioMarketData repeatedScenarioMarketData = RepeatedScenarioMarketData.of(3, marketData); ImmutableScenarioMarketData immutableScenarioMarketData = ImmutableScenarioMarketData.builder(LocalDate.of(2011, 3, 8)).addTimeSeries(TEST_ID2, timeSeries2a).addTimeSeries(TEST_ID3, timeSeries3).addBox(TEST_ID2, MarketDataBox.ofScenarioValues(2.0, 2.1, 2.2)).addBox(TEST_ID3, MarketDataBox.ofScenarioValues(3.0, 3.1, 3.2)).build(); ScenarioMarketData combinedData = immutableScenarioMarketData.combinedWith(repeatedScenarioMarketData); assertThat(combinedData.ScenarioCount).isEqualTo(3); assertThat(combinedData.getValue(TEST_ID1).getValue(0)).isEqualTo(1.1); assertThat(combinedData.getValue(TEST_ID1).getValue(2)).isEqualTo(1.1); assertThat(combinedData.getValue(TEST_ID1).getValue(3)).isEqualTo(1.1); assertThat(combinedData.getValue(TEST_ID2)).isEqualTo(MarketDataBox.ofScenarioValues(2.0, 2.1, 2.2)); assertThat(combinedData.getValue(TEST_ID3)).isEqualTo(MarketDataBox.ofScenarioValues(3.0, 3.1, 3.2)); assertThat(combinedData.getTimeSeries(TEST_ID1)).isEqualTo(timeSeries1); assertThat(combinedData.getTimeSeries(TEST_ID2)).isEqualTo(timeSeries2a); assertThat(combinedData.getTimeSeries(TEST_ID3)).isEqualTo(timeSeries3); }
public virtual void test_quote_secenarioDefinition() { //JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET: //ORIGINAL LINE: java.util.List<com.opengamma.strata.calc.marketdata.PerturbationMapping<?>> perturbationMapping = new java.util.ArrayList<>(); IList <PerturbationMapping <object> > perturbationMapping = new List <PerturbationMapping <object> >(); int nScenarios = 3; foreach (KeyValuePair <QuoteId, double> entry in MARKET_QUOTES.entrySet()) { DoubleArray shifts = DoubleArray.of(nScenarios, n => Math.Pow(0.9, n)); ScenarioPerturbation <double> perturb = GenericDoubleShifts.of(ShiftType.SCALED, shifts); perturbationMapping.Add(PerturbationMapping.of(MarketDataFilter.ofId(entry.Key), perturb)); } ScenarioDefinition scenarioDefinition = ScenarioDefinition.ofMappings(perturbationMapping); ScenarioMarketData marketDataCalibrated = StandardComponents.marketDataFactory().createMultiScenario(REQUIREMENTS, SCENARIO_CONFIG, MARKET_DATA, REF_DATA, scenarioDefinition); Results results = CALC_RUNNER.calculateMultiScenario(RULES, TARGETS, COLUMN, marketDataCalibrated, REF_DATA); CurrencyScenarioArray pvs = results.get(0, 0, typeof(CurrencyScenarioArray)).Value; for (int i = 0; i < nScenarios; ++i) { ImmutableMap.Builder <QuoteId, double> builder = ImmutableMap.builder(); foreach (KeyValuePair <QuoteId, double> entry in MARKET_QUOTES.entrySet()) { builder.put(entry.Key, entry.Value * Math.Pow(0.9, i)); } ImmutableMarketData shiftedMarketData = ImmutableMarketData.builder(VALUATION_DATE).addValueMap(builder.build()).addValueMap(MARKET_FX_QUOTES).build(); MarketData shiftedMarketDataCalibrated = StandardComponents.marketDataFactory().create(REQUIREMENTS, CONFIG, shiftedMarketData, REF_DATA); Results shiftedResults = CALC_RUNNER.calculate(RULES, TARGETS, COLUMN, shiftedMarketDataCalibrated, REF_DATA); CurrencyAmount pv = shiftedResults.get(0, 0, typeof(CurrencyAmount)).Value; assertEquals(pvs.get(i), pv); } }
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); }
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(); }
/// <summary> /// Extracts the underlying quotes from the <seealso cref="RatesCurveInputs"/> instances and returns them in a map. /// </summary> /// <param name="valuationDate"> the valuation date </param> /// <param name="inputs"> input data for the curve </param> /// <param name="fixings"> the fixings </param> /// <returns> the underlying quotes from the input data </returns> private static MarketData inputsByKey(LocalDate valuationDate, IList <RatesCurveInputs> inputs, IDictionary <ObservableId, LocalDateDoubleTimeSeries> fixings) { //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> marketDataMap = new java.util.HashMap<>(); IDictionary <MarketDataId <object>, object> marketDataMap = new Dictionary <MarketDataId <object>, object>(); foreach (RatesCurveInputs input in inputs) { //JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET: //ORIGINAL LINE: java.util.Map<? extends com.opengamma.strata.data.MarketDataId<?>, ?> inputMarketData = input.getMarketData(); IDictionary <MarketDataId <object>, ?> inputMarketData = input.MarketData; //JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET: //ORIGINAL LINE: for (java.util.Map.Entry<? extends com.opengamma.strata.data.MarketDataId<?>, ?> entry : inputMarketData.entrySet()) foreach (KeyValuePair <MarketDataId <object>, ?> entry in inputMarketData.SetOfKeyValuePairs()) { object existingValue = marketDataMap[entry.Key]; // If the same identifier is used by multiple different curves the corresponding market data value must be equal if (existingValue == null) { marketDataMap[entry.Key] = entry.Value; } else if (!existingValue.Equals(entry.Value)) { throw new System.ArgumentException(Messages.format("Multiple unequal values found for identifier {}. Values: {} and {}", entry.Key, existingValue, entry.Value)); } } } return(ImmutableMarketData.builder(valuationDate).values(marketDataMap).timeSeries(fixings).build()); }
protected internal virtual void testJacobian(IsdaCompliantCreditCurveCalibrator builder, LegalEntitySurvivalProbabilities curve, ImmutableCreditRatesProvider ratesProvider, IList <CdsIsdaCreditCurveNode> nodes, double[] quotes, double quoteScale, double eps) { LocalDate valuationDate = curve.ValuationDate; int nNode = nodes.Count; IsdaCreditDiscountFactors df = (IsdaCreditDiscountFactors)curve.SurvivalProbabilities; CurveName name = df.Curve.Name; int nCurveNode = df.ParameterCount; for (int i = 0; i < nCurveNode; ++i) { double[] quotesUp = Arrays.copyOf(quotes, nNode); double[] quotesDw = Arrays.copyOf(quotes, nNode); quotesUp[i] += eps / quoteScale; quotesDw[i] -= eps / quoteScale; ImmutableMarketDataBuilder builderCreditUp = ImmutableMarketData.builder(valuationDate); ImmutableMarketDataBuilder builderCreditDw = ImmutableMarketData.builder(valuationDate); for (int j = 0; j < nNode; ++j) { builderCreditUp.addValue(nodes[j].ObservableId, quotesUp[j] * quoteScale); builderCreditDw.addValue(nodes[j].ObservableId, quotesDw[j] * quoteScale); } ImmutableMarketData marketDataUp = builderCreditUp.build(); ImmutableMarketData marketDataDw = builderCreditDw.build(); IsdaCreditDiscountFactors ccUp = (IsdaCreditDiscountFactors)builder.calibrate(nodes, name, marketDataUp, ratesProvider, curve.SurvivalProbabilities.DayCount, curve.Currency, false, false, REF_DATA).SurvivalProbabilities; IsdaCreditDiscountFactors ccDw = (IsdaCreditDiscountFactors)builder.calibrate(nodes, name, marketDataDw, ratesProvider, curve.SurvivalProbabilities.DayCount, curve.Currency, false, false, REF_DATA).SurvivalProbabilities; for (int j = 0; j < nNode; ++j) { double computed = df.Curve.Metadata.findInfo(CurveInfoType.JACOBIAN).get().JacobianMatrix.get(j, i); double expected = 0.5 * (ccUp.Curve.YValues.get(j) - ccDw.Curve.YValues.get(j)) / eps; assertEquals(computed, expected, eps * 10d); } } }
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(); }
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); }
public virtual void test_initialGuess() { IborIborSwapCurveNode node = IborIborSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD); double rate = 0.035; MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, rate).build(); assertEquals(node.initialGuess(marketData, ValueType.ZERO_RATE), 0d); assertEquals(node.initialGuess(marketData, ValueType.DISCOUNT_FACTOR), 1.0d); }
static SyntheticRatesCurveCalibratorTest() { // Fixing unnaturally high to see the difference in the calibration LocalDateDoubleTimeSeries tsEur3 = LocalDateDoubleTimeSeries.builder().put(VALUATION_DATE, 0.0200).build(); LocalDateDoubleTimeSeries tsEur6 = LocalDateDoubleTimeSeries.builder().put(VALUATION_DATE, 0.0250).build(); TS_LARGE[EUR_EURIBOR_3M] = tsEur3; TS_LARGE[EUR_EURIBOR_6M] = tsEur6; TS_LARGE_MD = ImmutableMarketData.builder(VALUATION_DATE).addTimeSeries(IndexQuoteId.of(EUR_EURIBOR_3M), tsEur3).addTimeSeries(IndexQuoteId.of(EUR_EURIBOR_6M), tsEur6).build(); }
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(); }
public virtual void test_initialGuess() { IborFixingDepositCurveNode node = IborFixingDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD); double rate = 0.035; MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, rate).build(); assertEquals(node.initialGuess(marketData, ValueType.ZERO_RATE), rate); assertEquals(node.initialGuess(marketData, ValueType.FORWARD_RATE), rate); assertEquals(node.initialGuess(marketData, ValueType.DISCOUNT_FACTOR), Math.Exp(-rate * 0.25d), 1.0E-12); }
public virtual void test_initialGuess() { FixedOvernightSwapCurveNode node = FixedOvernightSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD); double rate = 0.035; MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, rate).build(); assertEquals(node.initialGuess(marketData, ValueType.ZERO_RATE), rate); assertEquals(node.initialGuess(marketData, ValueType.FORWARD_RATE), rate); assertEquals(node.initialGuess(marketData, ValueType.DISCOUNT_FACTOR), Math.Exp(-rate * TENOR_10Y.Period.toTotalMonths() / 12d), 1.0E-12); }
public virtual void test_trade() { IborFutureCurveNode node = IborFutureCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD); double price = 0.99; MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, price).build(); IborFutureTrade trade = node.trade(1d, marketData, REF_DATA); IborFutureTrade expected = TEMPLATE.createTrade(VAL_DATE, SecurityId.of(STANDARD_ID), 1L, 1.0, price + SPREAD, REF_DATA); assertEquals(trade, expected); }
//------------------------------------------------------------------------- /// <summary> /// Builds a market data snapshot from this environment. /// </summary> /// <param name="marketDataDate"> the date of the market data </param> /// <returns> the snapshot </returns> public virtual ImmutableMarketData buildSnapshot(LocalDate marketDataDate) { ImmutableMarketDataBuilder builder = ImmutableMarketData.builder(marketDataDate); loadFixingSeries(builder); loadRatesCurves(builder, marketDataDate); loadQuotes(builder, marketDataDate); loadFxRates(builder); return(builder.build()); }
public virtual void test_initialGuess() { ThreeLegBasisSwapCurveNode node = ThreeLegBasisSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD); LocalDate valuationDate = LocalDate.of(2015, 1, 22); double rate = 0.035; MarketData marketData = ImmutableMarketData.builder(valuationDate).addValue(QUOTE_ID, rate).build(); assertEquals(node.initialGuess(marketData, ValueType.ZERO_RATE), 0d); assertEquals(node.initialGuess(marketData, ValueType.DISCOUNT_FACTOR), 1.0d); }
public virtual void test_trade() { ThreeLegBasisSwapCurveNode node = ThreeLegBasisSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD); double rate = 0.125; double quantity = -1234.56; MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, rate).build(); SwapTrade trade = node.trade(quantity, marketData, REF_DATA); SwapTrade expected = TEMPLATE.createTrade(VAL_DATE, BUY, -quantity, rate + SPREAD, REF_DATA); assertEquals(trade, expected); }
public virtual void test_trade() { FixedInflationSwapCurveNode node = FixedInflationSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD); LocalDate tradeDate = LocalDate.of(2015, 1, 22); double rate = 0.125; double quantity = -1234.56; MarketData marketData = ImmutableMarketData.builder(tradeDate).addValue(QUOTE_ID, rate).build(); SwapTrade trade = node.trade(quantity, marketData, REF_DATA); SwapTrade expected = TEMPLATE.createTrade(tradeDate, BUY, -quantity, rate + SPREAD, REF_DATA); assertEquals(trade, expected); }
public virtual void test_metadata_last_fixing() { IborFixingDepositCurveNode node = IborFixingDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD).withDate(CurveNodeDate.LAST_FIXING); ImmutableMarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, 0.0d).build(); IborFixingDepositTrade trade = node.trade(1d, marketData, REF_DATA); ResolvedIborFixingDeposit product = trade.Product.resolve(REF_DATA); LocalDate fixingDate = ((IborRateComputation)product.FloatingRate).FixingDate; DatedParameterMetadata metadata = node.metadata(VAL_DATE, REF_DATA); assertEquals(((TenorDateParameterMetadata)metadata).Date, fixingDate); assertEquals(((TenorDateParameterMetadata)metadata).Tenor.Period, TEMPLATE.DepositPeriod); }
public virtual void test_metadata_last_fixing() { IborFutureCurveNode node = IborFutureCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD, LABEL).withDate(CurveNodeDate.LAST_FIXING); ImmutableMarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, 0.0d).build(); IborFutureTrade trade = node.trade(1d, marketData, REF_DATA); LocalDate fixingDate = trade.Product.FixingDate; DatedParameterMetadata metadata = node.metadata(VAL_DATE, REF_DATA); assertEquals(metadata.Date, fixingDate); LocalDate referenceDate = TEMPLATE.calculateReferenceDateFromTradeDate(VAL_DATE, REF_DATA); assertEquals(((YearMonthDateParameterMetadata)metadata).YearMonth, YearMonth.from(referenceDate)); }
public virtual void test_initialGuess() { FixedIborSwapCurveNode node = FixedIborSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD); double rate = 0.035; MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, rate).build(); assertEquals(node.initialGuess(marketData, ValueType.ZERO_RATE), rate); assertEquals(node.initialGuess(marketData, ValueType.FORWARD_RATE), rate); double df = Math.Exp(-TENOR_10Y.get(ChronoUnit.YEARS) * rate); assertEquals(node.initialGuess(marketData, ValueType.DISCOUNT_FACTOR), df, TOLERANCE_DF); assertEquals(node.initialGuess(marketData, ValueType.PRICE_INDEX), 0d); }
public virtual void test_metadata_last_fixing() { FraCurveNode node = FraCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD).withDate(CurveNodeDate.LAST_FIXING); LocalDate valuationDate = LocalDate.of(2015, 1, 22); ImmutableMarketData marketData = ImmutableMarketData.builder(valuationDate).addValue(QUOTE_ID, 0.0d).build(); FraTrade trade = node.trade(1d, marketData, REF_DATA); ResolvedFra resolved = trade.Product.resolve(REF_DATA); LocalDate fixingDate = ((IborRateComputation)(resolved.FloatingRate)).FixingDate; DatedParameterMetadata metadata = node.metadata(valuationDate, REF_DATA); assertEquals(((TenorDateParameterMetadata)metadata).Date, fixingDate); assertEquals(((TenorDateParameterMetadata)metadata).Tenor, TENOR_5M); }
public virtual void test_initialGuess() { IborFutureCurveNode node = IborFutureCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD); double price = 0.99; MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, price).build(); assertEquals(node.initialGuess(marketData, ValueType.ZERO_RATE), 1.0 - price, TOLERANCE_RATE); assertEquals(node.initialGuess(marketData, ValueType.FORWARD_RATE), 1.0 - price, TOLERANCE_RATE); double approximateMaturity = TEMPLATE.approximateMaturity(VAL_DATE); double df = Math.Exp(-approximateMaturity * (1.0 - price)); assertEquals(node.initialGuess(marketData, ValueType.DISCOUNT_FACTOR), df, TOLERANCE_RATE); assertEquals(node.initialGuess(marketData, ValueType.UNKNOWN), 0.0d, TOLERANCE_RATE); }
public virtual void test_trade() { TermDepositCurveNode node = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD); double rate = 0.035; MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, rate).build(); TermDepositTrade trade = node.trade(1d, marketData, REF_DATA); LocalDate startDateExpected = PLUS_TWO_DAYS.adjust(VAL_DATE, REF_DATA); LocalDate endDateExpected = startDateExpected.plus(DEPOSIT_PERIOD); TermDeposit depositExpected = TermDeposit.builder().buySell(BuySell.BUY).currency(EUR).dayCount(ACT_360).startDate(startDateExpected).endDate(endDateExpected).notional(1.0d).businessDayAdjustment(BDA_MOD_FOLLOW).rate(rate + SPREAD).build(); TradeInfo tradeInfoExpected = TradeInfo.builder().tradeDate(VAL_DATE).build(); assertEquals(trade.Product, depositExpected); assertEquals(trade.Info, tradeInfoExpected); }
public virtual void test_initialGuess() { FixedInflationSwapCurveNode node = FixedInflationSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD); LocalDate valuationDate = LocalDate.of(2015, 1, 22); double rate = 0.035; double lastPriceIndex = 123.4; LocalDateDoubleTimeSeries ts = LocalDateDoubleTimeSeries.builder().put(LocalDate.of(2024, 10, 31), lastPriceIndex).build(); MarketData marketData = ImmutableMarketData.builder(valuationDate).addValue(QUOTE_ID, rate).addTimeSeries(IndexQuoteId.of(PriceIndices.EU_EXT_CPI), ts).build(); assertEquals(node.initialGuess(marketData, ValueType.ZERO_RATE), rate); double priceIndexGuess = lastPriceIndex * Math.Pow(1.0d + rate, TENOR_10Y.get(ChronoUnit.YEARS)); assertEquals(node.initialGuess(marketData, ValueType.PRICE_INDEX), priceIndexGuess, TOLERANCE_GUESS); }
// obtains the data and calculates the grid of results private static void calculate(CalculationRunner runner) { // the trades that will have measures calculated IList <Trade> trades = createSwapTrades(); // the columns, specifying the measures to be calculated IList <Column> columns = ImmutableList.of(Column.of(Measures.PRESENT_VALUE), Column.of(Measures.PAR_RATE), Column.of(Measures.PV01_MARKET_QUOTE_BUCKETED), Column.of(Measures.PV01_CALIBRATED_BUCKETED)); // load quotes ImmutableMap <QuoteId, double> quotesCcp1 = QuotesCsvLoader.load(VAL_DATE, QUOTES_RESOURCE_CCP1); ImmutableMap <QuoteId, double> quotesCcp2 = QuotesCsvLoader.load(VAL_DATE, QUOTES_RESOURCE_CCP2); // load fixings ImmutableMap <ObservableId, LocalDateDoubleTimeSeries> fixings = FixingSeriesCsvLoader.load(FIXINGS_RESOURCE); // create the market data MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValueMap(quotesCcp1).addValueMap(quotesCcp2).addTimeSeriesMap(fixings).build(); // the reference data, such as holidays and securities ReferenceData refData = ReferenceData.standard(); // load the curve definition IDictionary <CurveGroupName, RatesCurveGroupDefinition> defnsCcp1 = RatesCalibrationCsvLoader.load(GROUPS_RESOURCE_CCP1, SETTINGS_RESOURCE_CCP1, CALIBRATION_RESOURCE_CCP1); IDictionary <CurveGroupName, RatesCurveGroupDefinition> defnsCcp2 = RatesCalibrationCsvLoader.load(GROUPS_RESOURCE_CCP2, SETTINGS_RESOURCE_CCP2, CALIBRATION_RESOURCE_CCP2); RatesCurveGroupDefinition curveGroupDefinitionCcp1 = defnsCcp1[CURVE_GROUP_NAME_CCP1].filtered(VAL_DATE, refData); RatesCurveGroupDefinition curveGroupDefinitionCcp2 = defnsCcp2[CURVE_GROUP_NAME_CCP2].filtered(VAL_DATE, refData); // the configuration that defines how to create the curves when a curve group is requested MarketDataConfig marketDataConfig = MarketDataConfig.builder().add(CURVE_GROUP_NAME_CCP1, curveGroupDefinitionCcp1).add(CURVE_GROUP_NAME_CCP2, curveGroupDefinitionCcp2).build(); // the complete set of rules for calculating measures CalculationFunctions functions = StandardComponents.calculationFunctions(); RatesMarketDataLookup ratesLookupCcp1 = RatesMarketDataLookup.of(curveGroupDefinitionCcp1); RatesMarketDataLookup ratesLookupCcp2 = RatesMarketDataLookup.of(curveGroupDefinitionCcp2); // choose RatesMarketDataLookup instance based on counterparty TradeCounterpartyCalculationParameter perCounterparty = TradeCounterpartyCalculationParameter.of(ImmutableMap.of(CCP1_ID, ratesLookupCcp1, CCP2_ID, ratesLookupCcp2), ratesLookupCcp1); CalculationRules rules = CalculationRules.of(functions, perCounterparty); // calibrate the curves and calculate the results MarketDataRequirements reqs = MarketDataRequirements.of(rules, trades, columns, refData); MarketData calibratedMarketData = marketDataFactory().create(reqs, marketDataConfig, marketData, refData); Results results = runner.calculate(rules, trades, columns, calibratedMarketData, refData); // use the report runner to transform the engine results into a trade report ReportCalculationResults calculationResults = ReportCalculationResults.of(VAL_DATE, trades, columns, results, functions, refData); TradeReportTemplate reportTemplate = ExampleData.loadTradeReportTemplate("swap-report-template2"); TradeReport tradeReport = TradeReport.of(calculationResults, reportTemplate); tradeReport.writeAsciiTable(System.out); }
public virtual void test_initialGuess() { FraCurveNode node = FraCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD); double rate = 0.035; MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, rate).build(); assertEquals(node.initialGuess(marketData, ValueType.ZERO_RATE), rate); assertEquals(node.initialGuess(marketData, ValueType.FORWARD_RATE), rate); double approximateMaturity = TEMPLATE.PeriodToEnd.toTotalMonths() / 12.0d; double df = Math.Exp(-approximateMaturity * rate); assertEquals(node.initialGuess(marketData, ValueType.DISCOUNT_FACTOR), df); assertEquals(node.initialGuess(marketData, ValueType.PRICE_INDEX), 0d); }