/// <summary>
/// Construct the inverse Jacobian matrix from the sensitivities of the trades market quotes to the curve parameters.
/// <para>
/// All the trades and sensitivities must be in the same currency. The data should be coherent with the
/// market quote sensitivities passed in an order coherent with the list of curves.
/// </para>
/// <para>
/// For each trade describing the market quotes, the sensitivity provided should be the sensitivity of that
/// market quote to the curve parameters.
///
/// </para>
/// </summary>
/// <param name="curveOrder"> the order in which the curves should be represented in the jacobian </param>
/// <param name="marketQuoteSensitivities"> the market quotes sensitivity to the curve parameters </param>
/// <returns> inverse jacobian matrix, which correspond to the sensitivity of the parameters to the market quotes </returns>
public static DoubleMatrix jacobianFromMarketQuoteSensitivities(IList <CurveParameterSize> curveOrder, IList <CurrencyParameterSensitivities> marketQuoteSensitivities)
{
Currency ccy = marketQuoteSensitivities[0].Sensitivities.get(0).Currency;
DoubleMatrix jacobianMatrix = DoubleMatrix.ofArrayObjects(marketQuoteSensitivities.Count, marketQuoteSensitivities.Count, i => row(curveOrder, marketQuoteSensitivities[i], ccy));
return(MATRIX_ALGEBRA.getInverse(jacobianMatrix));
}
// jacobian direct, for the current group
private static DoubleMatrix jacobianDirect(DoubleMatrix res, int nbTrades, int totalParamsGroup, int totalParamsPrevious)
{
//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[][] direct = new double[totalParamsGroup][totalParamsGroup];
double[][] direct = RectangularArrays.ReturnRectangularDoubleArray(totalParamsGroup, totalParamsGroup);
for (int i = 0; i < nbTrades; i++)
{
Array.Copy(res.rowArray(i), totalParamsPrevious, direct[i], 0, totalParamsGroup);
}
return(MATRIX_ALGEBRA.getInverse(DoubleMatrix.copyOf(direct)));
}
//-------------------------------------------------------------------------
/// <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)));
}
internal virtual LegalEntitySurvivalProbabilities calibrate(IList <CdsIsdaCreditCurveNode> curveNodes, CurveName name, MarketData marketData, ImmutableCreditRatesProvider ratesProvider, DayCount definitionDayCount, Currency definitionCurrency, bool computeJacobian, bool storeTrade, ReferenceData refData)
{
//JAVA TO C# CONVERTER TODO TASK: Method reference arbitrary object instance method syntax is not converted by Java to C# Converter:
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IEnumerator <StandardId> legalEntities = curveNodes.Select(CdsIsdaCreditCurveNode::getLegalEntityId).collect(Collectors.toSet()).GetEnumerator();
//JAVA TO C# CONVERTER TODO TASK: Java iterators are only converted within the context of 'while' and 'for' loops:
StandardId legalEntityId = legalEntities.next();
//JAVA TO C# CONVERTER TODO TASK: Java iterators are only converted within the context of 'while' and 'for' loops:
ArgChecker.isFalse(legalEntities.hasNext(), "legal entity must be common to curve nodes");
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IEnumerator <Currency> currencies = curveNodes.Select(n => n.Template.Convention.Currency).collect(Collectors.toSet()).GetEnumerator();
//JAVA TO C# CONVERTER TODO TASK: Java iterators are only converted within the context of 'while' and 'for' loops:
Currency currency = currencies.next();
//JAVA TO C# CONVERTER TODO TASK: Java iterators are only converted within the context of 'while' and 'for' loops:
ArgChecker.isFalse(currencies.hasNext(), "currency must be common to curve nodes");
ArgChecker.isTrue(definitionCurrency.Equals(currency), "curve definition currency must be the same as the currency of CDS");
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IEnumerator <CdsQuoteConvention> quoteConventions = curveNodes.Select(n => n.QuoteConvention).collect(Collectors.toSet()).GetEnumerator();
//JAVA TO C# CONVERTER TODO TASK: Java iterators are only converted within the context of 'while' and 'for' loops:
CdsQuoteConvention quoteConvention = quoteConventions.next();
//JAVA TO C# CONVERTER TODO TASK: Java iterators are only converted within the context of 'while' and 'for' loops:
ArgChecker.isFalse(quoteConventions.hasNext(), "quote convention must be common to curve nodes");
LocalDate valuationDate = marketData.ValuationDate;
ArgChecker.isTrue(valuationDate.Equals(marketData.ValuationDate), "ratesProvider and marketDate must be based on the same valuation date");
CreditDiscountFactors discountFactors = ratesProvider.discountFactors(currency);
ArgChecker.isTrue(definitionDayCount.Equals(discountFactors.DayCount), "credit curve and discount curve must be based on the same day count convention");
RecoveryRates recoveryRates = ratesProvider.recoveryRates(legalEntityId);
int nNodes = curveNodes.Count;
double[] coupons = new double[nNodes];
double[] pufs = new double[nNodes];
//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[][] diag = new double[nNodes][nNodes];
double[][] diag = RectangularArrays.ReturnRectangularDoubleArray(nNodes, nNodes);
ImmutableList.Builder <ResolvedCdsTrade> tradesBuilder = ImmutableList.builder();
for (int i = 0; i < nNodes; i++)
{
CdsCalibrationTrade tradeCalibration = curveNodes[i].trade(1d, marketData, refData);
ResolvedCdsTrade trade = tradeCalibration.UnderlyingTrade.resolve(refData);
tradesBuilder.add(trade);
double[] temp = getStandardQuoteForm(trade, tradeCalibration.Quote, valuationDate, discountFactors, recoveryRates, computeJacobian, refData);
coupons[i] = temp[0];
pufs[i] = temp[1];
diag[i][i] = temp[2];
}
ImmutableList <ResolvedCdsTrade> trades = tradesBuilder.build();
NodalCurve nodalCurve = calibrate(trades, DoubleArray.ofUnsafe(coupons), DoubleArray.ofUnsafe(pufs), name, valuationDate, discountFactors, recoveryRates, refData);
if (computeJacobian)
{
LegalEntitySurvivalProbabilities creditCurve = LegalEntitySurvivalProbabilities.of(legalEntityId, IsdaCreditDiscountFactors.of(currency, valuationDate, nodalCurve));
ImmutableCreditRatesProvider ratesProviderNew = ratesProvider.toBuilder().creditCurves(ImmutableMap.of(Pair.of(legalEntityId, currency), creditCurve)).build();
System.Func <ResolvedCdsTrade, DoubleArray> sensiFunc = quoteConvention.Equals(CdsQuoteConvention.PAR_SPREAD) ? getParSpreadSensitivityFunction(ratesProviderNew, name, currency, refData) : getPointsUpfrontSensitivityFunction(ratesProviderNew, name, currency, refData);
DoubleMatrix sensi = DoubleMatrix.ofArrayObjects(nNodes, nNodes, i => sensiFunc(trades.get(i)));
sensi = (DoubleMatrix)MATRIX_ALGEBRA.multiply(DoubleMatrix.ofUnsafe(diag), sensi);
JacobianCalibrationMatrix jacobian = JacobianCalibrationMatrix.of(ImmutableList.of(CurveParameterSize.of(name, nNodes)), MATRIX_ALGEBRA.getInverse(sensi));
nodalCurve = nodalCurve.withMetadata(nodalCurve.Metadata.withInfo(CurveInfoType.JACOBIAN, jacobian));
}
ImmutableList <ParameterMetadata> parameterMetadata;
if (storeTrade)
{
parameterMetadata = IntStream.range(0, nNodes).mapToObj(n => ResolvedTradeParameterMetadata.of(trades.get(n), curveNodes[n].Label)).collect(Guavate.toImmutableList());
}
else
{
parameterMetadata = IntStream.range(0, nNodes).mapToObj(n => curveNodes[n].metadata(trades.get(n).Product.ProtectionEndDate)).collect(Guavate.toImmutableList());
}
nodalCurve = nodalCurve.withMetadata(nodalCurve.Metadata.withParameterMetadata(parameterMetadata));
return(LegalEntitySurvivalProbabilities.of(legalEntityId, IsdaCreditDiscountFactors.of(currency, valuationDate, nodalCurve)));
}
