// load quotes
private void loadQuotes(ImmutableMarketDataBuilder builder, LocalDate marketDataDate)
{
if (!subdirectoryExists(QUOTES_DIR))
{
log.debug("No quotes directory found");
return;
}
ResourceLocator quotesResource = getResource(QUOTES_DIR, QUOTES_FILE);
if (quotesResource == null)
{
log.error("Unable to load quotes: quotes file not found at {}/{}", QUOTES_DIR, QUOTES_FILE);
return;
}
try
{
IDictionary <QuoteId, double> quotes = QuotesCsvLoader.load(marketDataDate, quotesResource);
builder.addValueMap(quotes);
}
catch (Exception ex)
{
log.error("Error loading quotes", ex);
}
}
// 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);
}
// 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.LEG_INITIAL_NOTIONAL), Column.of(Measures.PRESENT_VALUE), Column.of(Measures.LEG_PRESENT_VALUE), Column.of(Measures.PV01_CALIBRATED_SUM), Column.of(Measures.PAR_RATE), Column.of(Measures.ACCRUED_INTEREST), Column.of(Measures.PV01_CALIBRATED_BUCKETED), Column.of(AdvancedMeasures.PV01_SEMI_PARALLEL_GAMMA_BUCKETED));
// load quotes
ImmutableMap <QuoteId, double> quotes = QuotesCsvLoader.load(VAL_DATE, QUOTES_RESOURCE);
// load fixings
ImmutableMap <ObservableId, LocalDateDoubleTimeSeries> fixings = FixingSeriesCsvLoader.load(FIXINGS_RESOURCE);
// create the market data
MarketData marketData = MarketData.of(VAL_DATE, quotes, fixings);
// the reference data, such as holidays and securities
ReferenceData refData = ReferenceData.standard();
// load the curve definition
IDictionary <CurveGroupName, RatesCurveGroupDefinition> defns = RatesCalibrationCsvLoader.load(GROUPS_RESOURCE, SETTINGS_RESOURCE, CALIBRATION_RESOURCE);
RatesCurveGroupDefinition curveGroupDefinition = defns[CURVE_GROUP_NAME].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, curveGroupDefinition).build();
// the complete set of rules for calculating measures
CalculationFunctions functions = StandardComponents.calculationFunctions();
RatesMarketDataLookup ratesLookup = RatesMarketDataLookup.of(curveGroupDefinition);
CalculationRules rules = CalculationRules.of(functions, ratesLookup);
// 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-template");
TradeReport tradeReport = TradeReport.of(calculationResults, reportTemplate);
tradeReport.writeAsciiTable(System.out);
}
// calculates the PV results for the instruments used in calibration from the config
private static Pair <IList <Trade>, Results> calculate(CalculationRunner runner)
{
// the reference data, such as holidays and securities
ReferenceData refData = ReferenceData.standard();
// load quotes
ImmutableMap <QuoteId, double> quotes = QuotesCsvLoader.load(VAL_DATE, QUOTES_RESOURCE);
// load time series
IDictionary <ObservableId, LocalDateDoubleTimeSeries> fixings = FixingSeriesCsvLoader.load(FIXING_RESOURCE);
// create the market data
MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValueMap(quotes).addTimeSeriesMap(fixings).build();
// load the curve definition
IDictionary <CurveGroupName, RatesCurveGroupDefinition> defns = RatesCalibrationCsvLoader.load(GROUPS_RESOURCE, SETTINGS_RESOURCE, CALIBRATION_RESOURCE);
RatesCurveGroupDefinition curveGroupDefinition = defns[CURVE_GROUP_NAME].filtered(VAL_DATE, refData);
// extract the trades used for calibration
IList <Trade> trades = curveGroupDefinition.CurveDefinitions.stream().flatMap(defn => defn.Nodes.stream()).filter(node => !(node is IborFixingDepositCurveNode)).map(node => node.trade(1d, marketData, refData)).collect(toImmutableList());
// the columns, specifying the measures to be calculated
IList <Column> columns = ImmutableList.of(Column.of(Measures.PRESENT_VALUE));
// the configuration that defines how to create the curves when a curve group is requested
MarketDataConfig marketDataConfig = MarketDataConfig.builder().add(CURVE_GROUP_NAME, curveGroupDefinition).build();
// the complete set of rules for calculating measures
CalculationFunctions functions = StandardComponents.calculationFunctions();
RatesMarketDataLookup ratesLookup = RatesMarketDataLookup.of(curveGroupDefinition);
CalculationRules rules = CalculationRules.of(functions, ratesLookup);
// 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);
return(Pair.of(trades, results));
}
