//-------------------------------------------------------------------------
public virtual void coverage()
{
SwapIsdaCreditCurveNode test1 = SwapIsdaCreditCurveNode.of(OBS_ID, ADJ_3D, BUS_ADJ, TENOR, THIRTY_U_360, FREQUENCY);
coverImmutableBean(test1);
SwapIsdaCreditCurveNode test2 = SwapIsdaCreditCurveNode.builder().observableId(QuoteId.of(StandardId.of("OG", "foo"))).spotDateOffset(DaysAdjustment.NONE).businessDayAdjustment(BusinessDayAdjustment.NONE).tenor(Tenor.TENOR_15Y).dayCount(DayCounts.ACT_365F).paymentFrequency(Frequency.P3M).label("test2").build();
coverBeanEquals(test1, test2);
}
public virtual void test_of()
{
SwapIsdaCreditCurveNode test = SwapIsdaCreditCurveNode.of(OBS_ID, ADJ_3D, BUS_ADJ, TENOR, THIRTY_U_360, FREQUENCY);
assertEquals(test.BusinessDayAdjustment, BUS_ADJ);
assertEquals(test.DayCount, THIRTY_U_360);
assertEquals(test.Label, TENOR.ToString());
assertEquals(test.ObservableId, OBS_ID);
assertEquals(test.PaymentFrequency, FREQUENCY);
assertEquals(test.SpotDateOffset, ADJ_3D);
assertEquals(test.Tenor, TENOR);
assertEquals(test.date(TRADE_DATE, REF_DATA), LocalDate.of(2026, 10, 5));
assertEquals(test.metadata(LocalDate.of(2026, 10, 5)), TenorDateParameterMetadata.of(LocalDate.of(2026, 10, 5), TENOR));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calibrates the ISDA compliant discount curve to the market data.
/// <para>
/// This creates the single discount curve for a specified currency.
/// The curve nodes in {@code IsdaCreditCurveDefinition} should be term deposit or fixed-for-Ibor swap,
/// and the number of nodes should be greater than 1.
///
/// </para>
/// </summary>
/// <param name="curveDefinition"> the curve definition </param>
/// <param name="marketData"> the market data </param>
/// <param name="refData"> the reference data </param>
/// <returns> the ISDA compliant discount curve </returns>
public IsdaCreditDiscountFactors calibrate(IsdaCreditCurveDefinition curveDefinition, MarketData marketData, ReferenceData refData)
{
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.List<? extends com.opengamma.strata.market.curve.IsdaCreditCurveNode> curveNodes = curveDefinition.getCurveNodes();
IList <IsdaCreditCurveNode> curveNodes = curveDefinition.CurveNodes;
int nNodes = curveNodes.Count;
ArgChecker.isTrue(nNodes > 1, "the number of curve nodes must be greater than 1");
LocalDate curveSnapDate = marketData.ValuationDate;
LocalDate curveValuationDate = curveDefinition.CurveValuationDate;
DayCount curveDayCount = curveDefinition.DayCount;
BasicFixedLeg[] swapLeg = new BasicFixedLeg[nNodes];
double[] termDepositYearFraction = new double[nNodes];
double[] curveNodeTime = new double[nNodes];
double[] rates = new double[nNodes];
ImmutableList.Builder <ParameterMetadata> paramMetadata = ImmutableList.builder();
int nTermDeposit = 0;
LocalDate curveSpotDate = null;
for (int i = 0; i < nNodes; i++)
{
LocalDate cvDateTmp;
IsdaCreditCurveNode node = curveNodes[i];
rates[i] = marketData.getValue(node.ObservableId);
LocalDate adjMatDate = node.date(curveSnapDate, refData);
paramMetadata.add(node.metadata(adjMatDate));
if (node is DepositIsdaCreditCurveNode)
{
DepositIsdaCreditCurveNode termDeposit = (DepositIsdaCreditCurveNode)node;
cvDateTmp = termDeposit.SpotDateOffset.adjust(curveSnapDate, refData);
curveNodeTime[i] = curveDayCount.relativeYearFraction(cvDateTmp, adjMatDate);
termDepositYearFraction[i] = termDeposit.DayCount.relativeYearFraction(cvDateTmp, adjMatDate);
ArgChecker.isTrue(nTermDeposit == i, "TermDepositCurveNode should not be after FixedIborSwapCurveNode");
++nTermDeposit;
}
else if (node is SwapIsdaCreditCurveNode)
{
SwapIsdaCreditCurveNode swap = (SwapIsdaCreditCurveNode)node;
cvDateTmp = swap.SpotDateOffset.adjust(curveSnapDate, refData);
curveNodeTime[i] = curveDayCount.relativeYearFraction(cvDateTmp, adjMatDate);
BusinessDayAdjustment busAdj = swap.BusinessDayAdjustment;
swapLeg[i] = new BasicFixedLeg(this, cvDateTmp, cvDateTmp.plus(swap.Tenor), swap.PaymentFrequency.Period, swap.DayCount, curveDayCount, busAdj, refData);
}
else
{
throw new System.ArgumentException("unsupported cuve node type");
}
if (i > 0)
{
ArgChecker.isTrue(curveNodeTime[i] - curveNodeTime[i - 1] > 0, "curve nodes should be ascending in terms of tenor");
ArgChecker.isTrue(cvDateTmp.Equals(curveSpotDate), "spot lag should be common for all of the curve nodes");
}
else
{
ArgChecker.isTrue(curveNodeTime[i] >= 0d, "the first node should be after curve spot date");
curveSpotDate = cvDateTmp;
}
}
ImmutableList <ParameterMetadata> parameterMetadata = paramMetadata.build();
double[] ratesMod = Arrays.copyOf(rates, nNodes);
for (int i = 0; i < nTermDeposit; ++i)
{
double dfInv = 1d + ratesMod[i] * termDepositYearFraction[i];
ratesMod[i] = Math.Log(dfInv) / curveNodeTime[i];
}
InterpolatedNodalCurve curve = curveDefinition.curve(DoubleArray.ofUnsafe(curveNodeTime), DoubleArray.ofUnsafe(ratesMod));
for (int i = nTermDeposit; i < nNodes; ++i)
{
curve = fitSwap(i, swapLeg[i], curve, rates[i]);
}
Currency currency = curveDefinition.Currency;
DoubleMatrix sensi = quoteValueSensitivity(nTermDeposit, termDepositYearFraction, swapLeg, ratesMod, curve, curveDefinition.ComputeJacobian);
if (curveValuationDate.isEqual(curveSpotDate))
{
if (curveDefinition.ComputeJacobian)
{
JacobianCalibrationMatrix jacobian = JacobianCalibrationMatrix.of(ImmutableList.of(CurveParameterSize.of(curveDefinition.Name, nNodes)), MATRIX_ALGEBRA.getInverse(sensi));
NodalCurve curveWithParamMetadata = curve.withMetadata(curve.Metadata.withInfo(CurveInfoType.JACOBIAN, jacobian).withParameterMetadata(parameterMetadata));
return(IsdaCreditDiscountFactors.of(currency, curveValuationDate, curveWithParamMetadata));
}
NodalCurve curveWithParamMetadata = curve.withMetadata(curve.Metadata.withParameterMetadata(parameterMetadata));
return(IsdaCreditDiscountFactors.of(currency, curveValuationDate, curveWithParamMetadata));
}
double offset = curveDayCount.relativeYearFraction(curveSpotDate, curveValuationDate);
return(IsdaCreditDiscountFactors.of(currency, curveValuationDate, withShift(curve, parameterMetadata, sensi, curveDefinition.ComputeJacobian, offset)));
}
public virtual void test_serialization()
{
SwapIsdaCreditCurveNode test = SwapIsdaCreditCurveNode.of(OBS_ID, ADJ_3D, BUS_ADJ, TENOR, THIRTY_U_360, FREQUENCY);
assertSerialization(test);
}
static IsdaCompliantCreditCurveCalibratorBase()
{
ImmutableList.Builder <IsdaCreditCurveNode> dscNodeBuilder = ImmutableList.builder();
for (int i = 0; i < NUM_MM; i++)
{
Tenor tenor = Tenor.ofMonths(MM_MONTHS[i]);
dscNodeBuilder.add(DepositIsdaCreditCurveNode.of(QuoteId.of(StandardId.of("OG", ID_VALUES[i])), ADJ_3D, BUS_ADJ, tenor, ACT_360));
}
for (int i = NUM_MM; i < NUM_INSTRUMENTS; i++)
{
Tenor tenor = Tenor.ofYears(SWAP_YEARS[i - NUM_MM]);
dscNodeBuilder.add(SwapIsdaCreditCurveNode.of(QuoteId.of(StandardId.of("OG", ID_VALUES[i])), ADJ_3D, BUS_ADJ, tenor, THIRTY_U_360, Frequency.P12M));
}
DSC_NODES = dscNodeBuilder.build();
EXP_NODE_CDS = new ResolvedCdsTrade[NUM_TESTS][];
NODE_CDS = new CdsIsdaCreditCurveNode[NUM_TESTS][];
CDS_MARKET_DATA = new ImmutableMarketData[NUM_TESTS];
SPREADS = new double[NUM_TESTS][];
YIELD_CURVES = new ImmutableCreditRatesProvider[NUM_TESTS];
// case0
LocalDate tradeDate0 = LocalDate.of(2011, 6, 19);
LocalDate startDate0 = LocalDate.of(2011, 3, 21);
YIELD_CURVES[0] = createRatesProvider(tradeDate0, tradeDate0, 1d, 0.4);
Period[] tenors = new Period[] { Period.ofMonths(6), Period.ofYears(1), Period.ofYears(3), Period.ofYears(5), Period.ofYears(7), Period.ofYears(10) };
int nTenors = tenors.Length;
EXP_NODE_CDS[0] = new ResolvedCdsTrade[nTenors];
NODE_CDS[0] = new CdsIsdaCreditCurveNode[nTenors];
ImmutableMarketDataBuilder builderCredit0 = ImmutableMarketData.builder(tradeDate0);
SPREADS[0] = new double[] { 0.00886315689995649, 0.00886315689995649, 0.0133044689825873, 0.0171490070952563, 0.0183903639181293, 0.0194721890639724 };
for (int i = 0; i < nTenors; ++i)
{
Cds product = Cds.of(BUY, LEGAL_ENTITY, EUR, 1d, startDate0, LocalDate.of(2011, 6, 20).plus(tenors[i]), Frequency.P3M, DEFAULT_CALENDAR, SPREADS[0][i]);
EXP_NODE_CDS[0][i] = CdsTrade.builder().info(TradeInfo.builder().settlementDate(product.SettlementDateOffset.adjust(tradeDate0, REF_DATA)).build()).product(product).build().resolve(REF_DATA);
CdsConvention conv = ImmutableCdsConvention.of("conv", EUR, ACT_360, Frequency.P3M, BUS_ADJ, CDS_SETTLE_STD);
CdsTemplate temp = DatesCdsTemplate.of(startDate0, LocalDate.of(2011, 6, 20).plus(tenors[i]), conv);
QuoteId id = QuoteId.of(StandardId.of("OG", tenors[i].ToString()));
NODE_CDS[0][i] = CdsIsdaCreditCurveNode.ofParSpread(temp, id, LEGAL_ENTITY);
builderCredit0.addValue(id, SPREADS[0][i]);
}
CDS_MARKET_DATA[0] = builderCredit0.build();
// case1
LocalDate tradeDate1 = LocalDate.of(2011, 3, 21);
LocalDate snapDate1 = LocalDate.of(2011, 3, 18);
LocalDate effDate1 = LocalDate.of(2011, 3, 20); //note this is a Sunday - for a standard CDS this would roll to the Monday.
YIELD_CURVES[1] = createRatesProvider(tradeDate1, snapDate1, 1d, 0.4);
tenors = new Period[] { Period.ofMonths(6), Period.ofYears(1), Period.ofYears(3), Period.ofYears(5), Period.ofYears(7), Period.ofYears(10) };
nTenors = tenors.Length;
NODE_CDS[1] = new CdsIsdaCreditCurveNode[nTenors];
ImmutableMarketDataBuilder builderCredit1 = ImmutableMarketData.builder(tradeDate1);
EXP_NODE_CDS[1] = new ResolvedCdsTrade[nTenors];
SPREADS[1] = new double[] { 0.027, 0.018, 0.012, 0.009, 0.007, 0.006 };
for (int i = 0; i < nTenors; ++i)
{
Cds product = Cds.of(BUY, LEGAL_ENTITY, EUR, 1d, effDate1, LocalDate.of(2011, 6, 20).plus(tenors[i]), P3M, DEFAULT_CALENDAR, SPREADS[1][i]);
EXP_NODE_CDS[1][i] = CdsTrade.builder().info(TradeInfo.builder().settlementDate(product.SettlementDateOffset.adjust(tradeDate1, REF_DATA)).build()).product(product).build().resolve(REF_DATA);
CdsConvention conv = ImmutableCdsConvention.builder().name("conv").currency(EUR).dayCount(ACT_360).paymentFrequency(P3M).startDateBusinessDayAdjustment(BusinessDayAdjustment.NONE).businessDayAdjustment(BUS_ADJ).settlementDateOffset(CDS_SETTLE_STD).build();
CdsTemplate temp = DatesCdsTemplate.of(effDate1, LocalDate.of(2011, 6, 20).plus(tenors[i]), conv);
QuoteId id = QuoteId.of(StandardId.of("OG", tenors[i].ToString()));
NODE_CDS[1][i] = CdsIsdaCreditCurveNode.ofParSpread(temp, id, LEGAL_ENTITY);
builderCredit1.addValue(id, SPREADS[1][i]);
}
CDS_MARKET_DATA[1] = builderCredit1.build();
// case2
LocalDate tradeDate2 = LocalDate.of(2011, 5, 30);
LocalDate snapDate2 = LocalDate.of(2011, 5, 29);
YIELD_CURVES[2] = createRatesProvider(tradeDate2, snapDate2, 1d, 0.25);
LocalDate[] matDates2 = new LocalDate[] { LocalDate.of(2011, 6, 20), LocalDate.of(2012, 5, 30), LocalDate.of(2014, 6, 20), LocalDate.of(2016, 6, 20), LocalDate.of(2018, 6, 20) };
int nMatDates2 = matDates2.Length;
NODE_CDS[2] = new CdsIsdaCreditCurveNode[nMatDates2];
ImmutableMarketDataBuilder builderCredit2 = ImmutableMarketData.builder(tradeDate2);
EXP_NODE_CDS[2] = new ResolvedCdsTrade[nMatDates2];
SPREADS[2] = new double[] { 0.05, 0.05, 0.05, 0.05, 0.05 };
for (int i = 0; i < nMatDates2; ++i)
{
Cds product = Cds.of(BUY, LEGAL_ENTITY, EUR, 1d, tradeDate2.plusDays(1), matDates2[i], P3M, DEFAULT_CALENDAR, SPREADS[2][i]).toBuilder().dayCount(THIRTY_U_360).build();
EXP_NODE_CDS[2][i] = CdsTrade.builder().info(TradeInfo.builder().settlementDate(product.SettlementDateOffset.adjust(tradeDate2, REF_DATA)).build()).product(product).build().resolve(REF_DATA);
CdsConvention conv = ImmutableCdsConvention.builder().name("conv").currency(EUR).dayCount(THIRTY_U_360).paymentFrequency(P3M).rollConvention(RollConventions.NONE).businessDayAdjustment(BUS_ADJ).settlementDateOffset(CDS_SETTLE_STD).build();
CdsTemplate temp = DatesCdsTemplate.of(tradeDate2.plusDays(1), matDates2[i], conv);
QuoteId id = QuoteId.of(StandardId.of("OG", matDates2[i].ToString()));
NODE_CDS[2][i] = CdsIsdaCreditCurveNode.ofParSpread(temp, id, LEGAL_ENTITY);
builderCredit2.addValue(id, SPREADS[2][i]);
}
CDS_MARKET_DATA[2] = builderCredit2.build();
// case3
LocalDate tradeDate3 = LocalDate.of(2011, 5, 30);
LocalDate snapDate3 = LocalDate.of(2011, 5, 29);
LocalDate effDate3 = LocalDate.of(2011, 7, 31);
YIELD_CURVES[3] = createRatesProvider(tradeDate3, snapDate3, 1d, 0.25);
LocalDate[] matDates3 = new LocalDate[] { LocalDate.of(2011, 11, 30), LocalDate.of(2012, 5, 30), LocalDate.of(2014, 5, 30), LocalDate.of(2016, 5, 30), LocalDate.of(2018, 5, 30), LocalDate.of(2021, 5, 30) };
int nMatDates3 = matDates3.Length;
NODE_CDS[3] = new CdsIsdaCreditCurveNode[nMatDates3];
ImmutableMarketDataBuilder builderCredit3 = ImmutableMarketData.builder(tradeDate3);
EXP_NODE_CDS[3] = new ResolvedCdsTrade[nMatDates3];
SPREADS[3] = new double[] { 0.07, 0.06, 0.05, 0.055, 0.06, 0.065 };
for (int i = 0; i < nMatDates3; ++i)
{
Cds product = Cds.builder().buySell(BUY).legalEntityId(LEGAL_ENTITY).currency(EUR).dayCount(ACT_365F).fixedRate(SPREADS[3][i]).notional(1d).paymentSchedule(PeriodicSchedule.builder().businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, DEFAULT_CALENDAR)).startDate(effDate3).endDate(matDates3[i]).startDateBusinessDayAdjustment(BusinessDayAdjustment.NONE).endDateBusinessDayAdjustment(BusinessDayAdjustment.NONE).frequency(Frequency.P6M).rollConvention(RollConventions.NONE).stubConvention(StubConvention.LONG_INITIAL).build()).paymentOnDefault(PaymentOnDefault.ACCRUED_PREMIUM).protectionStart(ProtectionStartOfDay.BEGINNING).stepinDateOffset(DaysAdjustment.ofCalendarDays(1)).settlementDateOffset(CDS_SETTLE_STD).build();
EXP_NODE_CDS[3][i] = CdsTrade.builder().info(TradeInfo.builder().settlementDate(product.SettlementDateOffset.adjust(tradeDate3, REF_DATA)).build()).product(product).build().resolve(REF_DATA);
CdsConvention conv = ImmutableCdsConvention.builder().name("conv").currency(EUR).dayCount(ACT_365F).paymentFrequency(Frequency.P6M).rollConvention(RollConventions.NONE).stubConvention(StubConvention.LONG_INITIAL).startDateBusinessDayAdjustment(BusinessDayAdjustment.NONE).businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, DEFAULT_CALENDAR)).settlementDateOffset(CDS_SETTLE_STD).build();
CdsTemplate temp = DatesCdsTemplate.of(effDate3, matDates3[i], conv);
QuoteId id = QuoteId.of(StandardId.of("OG", matDates3[i].ToString()));
NODE_CDS[3][i] = CdsIsdaCreditCurveNode.ofParSpread(temp, id, LEGAL_ENTITY);
builderCredit3.addValue(id, SPREADS[3][i]);
}
CDS_MARKET_DATA[3] = builderCredit3.build();
// case4: designed to trip the low rates/low spreads branch
LocalDate tradeDate4 = LocalDate.of(2014, 1, 14);
LocalDate snapDate4 = LocalDate.of(2014, 1, 13);
YIELD_CURVES[4] = createRatesProvider(tradeDate4, snapDate4, 1d / 1000d, 0.4);
int nSpreads4 = 6;
NODE_CDS[4] = new CdsIsdaCreditCurveNode[nSpreads4];
ImmutableMarketDataBuilder builderCredit4 = ImmutableMarketData.builder(tradeDate4);
SPREADS[4] = new double[nSpreads4];
Arrays.fill(SPREADS[4], 1.0e-4);
EXP_NODE_CDS[4] = new ResolvedCdsTrade[nSpreads4];
for (int i = 0; i < nSpreads4; ++i)
{
Cds product = Cds.of(BUY, LEGAL_ENTITY, EUR, 1d, LocalDate.of(2013, 12, 20), LocalDate.of(2014, 3, 20).plus(tenors[i]), P3M, DEFAULT_CALENDAR, SPREADS[4][i]);
EXP_NODE_CDS[4][i] = CdsTrade.builder().info(TradeInfo.builder().settlementDate(product.SettlementDateOffset.adjust(tradeDate4, REF_DATA)).build()).product(product).build().resolve(REF_DATA);
CdsConvention conv = ImmutableCdsConvention.of("conv", EUR, ACT_360, P3M, BUS_ADJ, CDS_SETTLE_STD);
CdsTemplate temp = DatesCdsTemplate.of(LocalDate.of(2013, 12, 20), LocalDate.of(2014, 3, 20).plus(tenors[i]), conv);
QuoteId id = QuoteId.of(StandardId.of("OG", tenors[i].ToString()));
NODE_CDS[4][i] = CdsIsdaCreditCurveNode.ofParSpread(temp, id, LEGAL_ENTITY);
builderCredit4.addValue(id, SPREADS[4][i]);
}
CDS_MARKET_DATA[4] = builderCredit4.build();
}
