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 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 static CurveNode curveFxSwapCurveNode(string conventionStr, string timeStr, string label, QuoteId quoteId, double spread, CurveNodeDate date, CurveNodeDateOrder order) { if (!DoubleMath.fuzzyEquals(spread, 0d, 1e-10d)) { throw new System.ArgumentException("Additional spread must be zero for FX swaps"); } Matcher matcher = SIMPLE_YMD_TIME_REGEX.matcher(timeStr.ToUpper(Locale.ENGLISH)); if (!matcher.matches()) { throw new System.ArgumentException(Messages.format("Invalid time format for FX swap: {}", timeStr)); } Period periodToEnd = Period.parse("P" + matcher.group(1)); FxSwapConvention convention = FxSwapConvention.of(conventionStr); FxSwapTemplate template = FxSwapTemplate.of(periodToEnd, convention); return(FxSwapCurveNode.builder().template(template).farForwardPointsId(quoteId).label(label).date(date).dateOrder(order).build()); }
//------------------------------------------------------------------------- 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); }
static FxOptionVolatilitiesMarketDataFunctionTest() { ImmutableList.Builder <FxOptionVolatilitiesNode> volNodeBuilder = ImmutableList.builder(); ImmutableMap.Builder <QuoteId, double> marketQuoteBuilder = ImmutableMap.builder(); ImmutableMap.Builder <QuoteId, MarketDataBox <double> > scenarioMarketQuoteBuilder = ImmutableMap.builder(); ImmutableList.Builder <FixedOvernightSwapCurveNode> usdNodeBuilder = ImmutableList.builder(); ImmutableList.Builder <FxSwapCurveNode> gbpNodeBuilder = ImmutableList.builder(); for (int i = 0; i < VOL_TENORS.Count; ++i) { for (int j = 0; j < STRIKES.Count; ++j) { QuoteId quoteId = QuoteId.of(StandardId.of("OG", VOL_TENORS[i].ToString() + "_" + STRIKES[j].Label + "_" + VALUE_TYPES[j].ToString())); volNodeBuilder.add(FxOptionVolatilitiesNode.of(GBP_USD, SPOT_OFFSET, BDA, VALUE_TYPES[j], quoteId, VOL_TENORS[i], STRIKES[j])); marketQuoteBuilder.put(quoteId, VOL_QUOTES[i][j]); scenarioMarketQuoteBuilder.put(quoteId, MarketDataBox.ofScenarioValues(VOL_QUOTES[i][j], VOL_QUOTES_1[i][j])); } } for (int i = 0; i < USD_QUOTES.Count; ++i) { QuoteId quoteId = QuoteId.of(StandardId.of("OG", USD.ToString() + "-OIS-" + USD_TENORS[i].ToString())); usdNodeBuilder.add(FixedOvernightSwapCurveNode.of(FixedOvernightSwapTemplate.of(USD_TENORS[i], FixedOvernightSwapConventions.USD_FIXED_TERM_FED_FUND_OIS), quoteId)); marketQuoteBuilder.put(quoteId, USD_QUOTES[i]); scenarioMarketQuoteBuilder.put(quoteId, MarketDataBox.ofScenarioValues(USD_QUOTES[i], USD_QUOTES_1[i])); } for (int i = 0; i < GBP_QUOTES.Count; ++i) { QuoteId quoteId = QuoteId.of(StandardId.of("OG", GBP_USD.ToString() + "-FX-" + GBP_PERIODS[i].ToString())); gbpNodeBuilder.add(FxSwapCurveNode.of(FxSwapTemplate.of(GBP_PERIODS[i], FxSwapConventions.GBP_USD), quoteId)); marketQuoteBuilder.put(quoteId, GBP_QUOTES[i]); scenarioMarketQuoteBuilder.put(quoteId, MarketDataBox.ofScenarioValues(GBP_QUOTES[i], GBP_QUOTES_1[i])); } VOL_NODES = volNodeBuilder.build(); USD_NODES = usdNodeBuilder.build(); GBP_NODES = gbpNodeBuilder.build(); MARKET_QUOTES = marketQuoteBuilder.build(); SCENARIO_MARKET_QUOTES = scenarioMarketQuoteBuilder.build(); IList <double> expiry = VOL_TENORS.Select(t => ACT_365F.relativeYearFraction(VALUATION_DATE, BDA.adjust(SPOT_OFFSET.adjust(VALUATION_DATE, REF_DATA).plus(t), REF_DATA))).ToList(); int nSmiles = expiry.Count; double[] atm = new double[nSmiles]; //JAVA TO C# CONVERTER NOTE: The following call to the 'RectangularArrays' helper class reproduces the rectangular array initialization that is automatic in Java: //ORIGINAL LINE: double[][] rr = new double[nSmiles][2]; double[][] rr = RectangularArrays.ReturnRectangularDoubleArray(nSmiles, 2); //JAVA TO C# CONVERTER NOTE: The following call to the 'RectangularArrays' helper class reproduces the rectangular array initialization that is automatic in Java: //ORIGINAL LINE: double[][] str = new double[nSmiles][2]; double[][] str = RectangularArrays.ReturnRectangularDoubleArray(nSmiles, 2); for (int i = 0; i < nSmiles; ++i) { atm[i] = VOL_QUOTES[i][0]; rr[i][0] = VOL_QUOTES[i][1]; rr[i][1] = VOL_QUOTES[i][3]; str[i][0] = VOL_QUOTES[i][2]; str[i][1] = VOL_QUOTES[i][4]; } InterpolatedStrikeSmileDeltaTermStructure term = InterpolatedStrikeSmileDeltaTermStructure.of(DoubleArray.copyOf(expiry), DoubleArray.of(0.1, 0.25), DoubleArray.copyOf(atm), DoubleMatrix.copyOf(rr), DoubleMatrix.copyOf(str), ACT_365F, LINEAR, FLAT, FLAT, PCHIP, FLAT, FLAT); EXP_VOLS = BlackFxOptionSmileVolatilities.of(VOL_NAME, GBP_USD, VALUATION_DATE.atTime(VALUATION_TIME).atZone(ZONE), term); for (int i = 0; i < nSmiles; ++i) { atm[i] = VOL_QUOTES_1[i][0]; rr[i][0] = VOL_QUOTES_1[i][1]; rr[i][1] = VOL_QUOTES_1[i][3]; str[i][0] = VOL_QUOTES_1[i][2]; str[i][1] = VOL_QUOTES_1[i][4]; } InterpolatedStrikeSmileDeltaTermStructure term1 = InterpolatedStrikeSmileDeltaTermStructure.of(DoubleArray.copyOf(expiry), DoubleArray.of(0.1, 0.25), DoubleArray.copyOf(atm), DoubleMatrix.copyOf(rr), DoubleMatrix.copyOf(str), ACT_365F, LINEAR, FLAT, FLAT, PCHIP, FLAT, FLAT); EXP_VOLS_1 = BlackFxOptionSmileVolatilities.of(VOL_NAME, GBP_USD, VALUATION_DATE_1.atTime(VALUATION_TIME_1).atZone(ZONE), term1); ImmutableList.Builder <FxOptionVolatilitiesNode> nodeBuilder = ImmutableList.builder(); ImmutableMap.Builder <QuoteId, double> quoteBuilder = ImmutableMap.builder(); for (int i = 0; i < SURFACE_TENORS.Count; ++i) { for (int j = 0; j < SURFACE_STRIKES.Count; ++j) { QuoteId quoteId = QuoteId.of(StandardId.of("OG", GBP_USD.ToString() + "_" + SURFACE_TENORS[i].ToString() + "_" + SURFACE_STRIKES[j])); quoteBuilder.put(quoteId, SURFACE_VOL_QUOTES[i][j]); nodeBuilder.add(FxOptionVolatilitiesNode.of(GBP_USD, SPOT_OFFSET, BDA, ValueType.BLACK_VOLATILITY, quoteId, SURFACE_TENORS[i], SimpleStrike.of(SURFACE_STRIKES[j]))); } } SURFACE_NODES = nodeBuilder.build(); SURFACE_QUOTES = quoteBuilder.build(); IList <double> expiry = new List <double>(); IList <double> strike = new List <double>(); IList <double> vols = new List <double>(); for (int i = 0; i < SURFACE_TENORS.Count; ++i) { for (int j = 0; j < SURFACE_STRIKES.Count; ++j) { double yearFraction = ACT_365F.relativeYearFraction(VALUATION_DATE, BDA.adjust(SPOT_OFFSET.adjust(VALUATION_DATE, REF_DATA).plus(SURFACE_TENORS[i]), REF_DATA)); expiry.Add(yearFraction); strike.Add(SURFACE_STRIKES[j]); vols.Add(SURFACE_VOL_QUOTES[i][j]); } } SurfaceInterpolator interp = GridSurfaceInterpolator.of(LINEAR, PCHIP); InterpolatedNodalSurface surface = InterpolatedNodalSurface.ofUnsorted(Surfaces.blackVolatilityByExpiryStrike(VOL_NAME.Name, ACT_365F), DoubleArray.copyOf(expiry), DoubleArray.copyOf(strike), DoubleArray.copyOf(vols), interp); SURFACE_EXP_VOLS = BlackFxOptionSurfaceVolatilities.of(VOL_NAME, GBP_USD, VALUATION_DATE.atTime(VALUATION_TIME).atZone(ZONE), surface); }