/// <summary>
/// Obtains an instance from {@code ZeroRateSensitivity} and {@code StandardId}.
/// </summary>
/// <param name="legalEntityId"> the legal entity identifier </param>
/// <param name="zeroRateSensitivity"> the zero rate sensitivity </param>
/// <returns> the point sensitivity object </returns>
public static CreditCurveZeroRateSensitivity of(StandardId legalEntityId, ZeroRateSensitivity zeroRateSensitivity)
{
return(new CreditCurveZeroRateSensitivity(legalEntityId, zeroRateSensitivity));
}
// Create an overnight averaged vs libor 3m swap with spread
private static Trade createOvernightAveragedWithSpreadVsLibor3mSwap()
{
NotionalSchedule notional = NotionalSchedule.of(Currency.USD, 100_000_000);
SwapLeg payLeg = RateCalculationSwapLeg.builder().payReceive(PayReceive.PAY).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 9, 12)).endDate(LocalDate.of(2020, 9, 12)).frequency(Frequency.P3M).businessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.USNY)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(notional).calculation(IborRateCalculation.of(IborIndices.USD_LIBOR_3M)).build();
SwapLeg receiveLeg = RateCalculationSwapLeg.builder().payReceive(PayReceive.RECEIVE).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 9, 12)).endDate(LocalDate.of(2020, 9, 12)).frequency(Frequency.P3M).businessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.USNY)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(notional).calculation(OvernightRateCalculation.builder().dayCount(DayCounts.ACT_360).index(OvernightIndices.USD_FED_FUND).accrualMethod(OvernightAccrualMethod.AVERAGED).spread(ValueSchedule.of(0.0025)).build()).build();
return(SwapTrade.builder().product(Swap.of(payLeg, receiveLeg)).info(TradeInfo.builder().id(StandardId.of("example", "3")).addAttribute(AttributeType.DESCRIPTION, "Fed Funds averaged + spread vs Libor 3m").counterparty(StandardId.of("example", "A")).settlementDate(LocalDate.of(2014, 9, 12)).build()).build());
}
// Create a fixed vs overnight swap with fixing
private static Trade createFixedVsOvernightWithFixingSwap()
{
TradeInfo tradeInfo = TradeInfo.builder().id(StandardId.of("example", "5")).addAttribute(AttributeType.DESCRIPTION, "Fixed vs ON (with fixing)").counterparty(StandardId.of("example", "A")).settlementDate(LocalDate.of(2014, 1, 17)).build();
return(FixedOvernightSwapConventions.USD_FIXED_TERM_FED_FUND_OIS.toTrade(tradeInfo, LocalDate.of(2014, 1, 17), LocalDate.of(2014, 3, 17), BuySell.BUY, 100_000_000, 0.00123)); // the fixed interest rate
}
/// <summary>
/// Creates an instance for a legal entity which has not defaulted.
/// </summary>
/// <param name="legalEntityId"> the legal entity </param>
/// <returns> the instance </returns>
public static LegalEntityInformation isNotDefaulted(StandardId legalEntityId)
{
return(new LegalEntityInformation(legalEntityId, false));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
FraCurveNode test = FraCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
coverImmutableBean(test);
FraCurveNode test2 = FraCurveNode.of(FraTemplate.of(Period.ofMonths(1), GBP_LIBOR_6M), QuoteId.of(StandardId.of("OG-Ticker", "Deposit2")));
coverBeanEquals(test, test2);
}
//-----------------------------------------------------------------------
/// <summary>
/// Sets the identifier of the item, optional. </summary>
/// <param name="id"> the new value </param>
/// <returns> this, for chaining, not null </returns>
public Builder id(StandardId id)
{
this.id_Renamed = id;
return(this);
}
static CalibrationInflationUsdTest()
{
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[CPI_CURVE_NAME] = usdLibor3Set;
for (int i = 0; i < DSC_NB_DEPO_NODES; i++)
{
BusinessDayAdjustment bda = BusinessDayAdjustment.of(FOLLOWING, USNY);
TermDepositConvention convention = ImmutableTermDepositConvention.of("USD-Dep", USD, bda, ACT_360, DaysAdjustment.ofBusinessDays(DSC_DEPO_OFFSET[i], USNY));
DSC_NODES[i] = TermDepositCurveNode.of(TermDepositTemplate.of(Period.ofDays(1), convention), QuoteId.of(StandardId.of(SCHEME, DSC_ID_VALUE[i])));
}
for (int i = 0; i < DSC_NB_OIS_NODES; i++)
{
DSC_NODES[DSC_NB_DEPO_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[DSC_NB_DEPO_NODES + i])));
}
for (int i = 0; i < CPI_NB_NODES; i++)
{
CPI_NODES[i] = FixedInflationSwapCurveNode.builder().template(FixedInflationSwapTemplate.of(Tenor.of(CPI_TENORS[i]), FixedInflationSwapConventions.USD_FIXED_ZC_US_CPI)).rateId(QuoteId.of(StandardId.of(SCHEME, CPI_ID_VALUE[i]))).date(CurveNodeDate.LAST_FIXING).build();
}
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 < CPI_NB_NODES; i++)
{
builder.addValue(QuoteId.of(StandardId.of(SCHEME, CPI_ID_VALUE[i])), CPI_MARKET_QUOTES[i]);
}
builder.addTimeSeries(IndexQuoteId.of(US_CPI_U), TS_USD_CPI);
ALL_QUOTES = builder.build();
IList <CurveNode[]> groupDsc = new List <CurveNode[]>();
groupDsc.Add(DSC_NODES);
CURVES_NODES.Add(groupDsc);
IList <CurveNode[]> groupCpi = new List <CurveNode[]>();
groupCpi.Add(CPI_NODES);
CURVES_NODES.Add(groupCpi);
}
/// <summary>
/// Sets the CDS index identifier.
/// <para>
/// This identifier is used to refer this CDS index product.
/// </para>
/// </summary>
/// <param name="cdsIndexId"> the new value, not null </param>
/// <returns> this, for chaining, not null </returns>
public Builder cdsIndexId(StandardId cdsIndexId)
{
JodaBeanUtils.notNull(cdsIndexId, "cdsIndexId");
this.cdsIndexId_Renamed = cdsIndexId;
return(this);
}
/// <summary>
/// Obtains an instance used to obtain an observable value,
/// specifying the source of observable market data.
/// </summary>
/// <param name="standardId"> the standard identifier of the data in the underlying data provider </param>
/// <param name="fieldName"> the name of the field in the market data record holding the data </param>
/// <param name="obsSource"> the source of observable market data </param>
/// <returns> the identifier </returns>
public static QuoteId of(StandardId standardId, FieldName fieldName, ObservableSource obsSource)
{
return(new QuoteId(standardId, fieldName, obsSource));
}
/// <summary>
/// Returns a curve node with quoted spread convention.
/// </summary>
/// <param name="template"> the template </param>
/// <param name="observableId"> the observable ID </param>
/// <param name="cdsIndexId"> the CDS index ID </param>
/// <param name="legalEntityIds"> the legal entity IDs </param>
/// <param name="fixedRate"> the fixed rate </param>
/// <returns> the curve node </returns>
public static CdsIndexIsdaCreditCurveNode ofQuotedSpread(CdsTemplate template, ObservableId observableId, StandardId cdsIndexId, IList <StandardId> legalEntityIds, double?fixedRate)
{
return(builder().template(template).observableId(observableId).cdsIndexId(cdsIndexId).legalEntityIds(legalEntityIds).quoteConvention(CdsQuoteConvention.QUOTED_SPREAD).fixedRate(fixedRate).build());
}
private CdsIndexIsdaCreditCurveNode(CdsTemplate template, string label, ObservableId observableId, StandardId cdsIndexId, IList <StandardId> legalEntityIds, CdsQuoteConvention quoteConvention, double?fixedRate)
{
JodaBeanUtils.notNull(template, "template");
JodaBeanUtils.notEmpty(label, "label");
JodaBeanUtils.notNull(observableId, "observableId");
JodaBeanUtils.notNull(cdsIndexId, "cdsIndexId");
JodaBeanUtils.notNull(legalEntityIds, "legalEntityIds");
JodaBeanUtils.notNull(quoteConvention, "quoteConvention");
this.template = template;
this.label = label;
this.observableId = observableId;
this.cdsIndexId = cdsIndexId;
this.legalEntityIds = ImmutableList.copyOf(legalEntityIds);
this.quoteConvention = quoteConvention;
this.fixedRate = fixedRate;
validate();
}
/// <summary>
/// Returns a curve node with points upfront convention.
/// </summary>
/// <param name="template"> the template </param>
/// <param name="observableId"> the observable ID </param>
/// <param name="cdsIndexId"> the CDS index ID </param>
/// <param name="legalEntityIds"> the legal entity IDs </param>
/// <param name="fixedRate"> the fixed rate </param>
/// <returns> the curve node </returns>
public static CdsIndexIsdaCreditCurveNode ofPointsUpfront(CdsTemplate template, ObservableId observableId, StandardId cdsIndexId, IList <StandardId> legalEntityIds, double?fixedRate)
{
return(builder().template(template).observableId(observableId).cdsIndexId(cdsIndexId).legalEntityIds(legalEntityIds).quoteConvention(CdsQuoteConvention.POINTS_UPFRONT).fixedRate(fixedRate).build());
}
//-----------------------------------------------------------------------
// create a trade
private static Trade createTrade1(ReferenceData refData)
{
Swap swap = FixedIborSwapConventions.USD_FIXED_6M_LIBOR_3M.createTrade(LocalDate.of(2015, 3, 18), Tenor.TENOR_5Y, BuySell.SELL, 1, 0.02, refData).Product;
Dsf product = Dsf.builder().securityId(SecurityId.of("OG-Future", "CME-F1U-Mar15")).lastTradeDate(LocalDate.of(2015, 3, 16)).deliveryDate(LocalDate.of(2015, 3, 18)).notional(100_000).underlyingSwap(swap).build();
return(DsfTrade.builder().info(TradeInfo.builder().id(StandardId.of("example", "1")).addAttribute(AttributeType.DESCRIPTION, "CME-5Y-DSF Mar15").counterparty(StandardId.of("mn", "Dealer G")).tradeDate(LocalDate.of(2015, 3, 18)).settlementDate(LocalDate.of(2015, 3, 18)).build()).product(product).quantity(20).price(1.0075).build());
}
private static Trade createTrade1()
{
NotionalSchedule notional = NotionalSchedule.of(Currency.USD, 12_000_000);
PeriodicSchedule accrual = PeriodicSchedule.builder().startDate(LocalDate.of(2006, 2, 24)).endDate(LocalDate.of(2011, 2, 24)).frequency(Frequency.P3M).businessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.USNY)).build();
PaymentSchedule payment = PaymentSchedule.builder().paymentFrequency(Frequency.P3M).paymentDateOffset(DaysAdjustment.ofBusinessDays(2, HolidayCalendarIds.USNY)).build();
SwapLeg payLeg = RateCalculationSwapLeg.builder().payReceive(PayReceive.PAY).accrualSchedule(accrual).paymentSchedule(payment).notionalSchedule(notional).calculation(FixedRateCalculation.of(0.05004, DayCounts.ACT_360)).build();
SwapLeg receiveLeg = RateCalculationSwapLeg.builder().payReceive(PayReceive.RECEIVE).accrualSchedule(accrual).paymentSchedule(payment).notionalSchedule(notional).calculation(IborRateCalculation.of(IborIndices.USD_LIBOR_3M)).build();
return(SwapTrade.builder().product(Swap.builder().legs(payLeg, receiveLeg).build()).info(TradeInfo.builder().id(StandardId.of("mn", "14248")).counterparty(StandardId.of("mn", "Dealer A")).settlementDate(LocalDate.of(2006, 2, 24)).build()).build());
}
private LegalEntityInformationId(StandardId legalEntityId)
{
JodaBeanUtils.notNull(legalEntityId, "legalEntityId");
this.legalEntityId = legalEntityId;
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an instance used to obtain an observable value.
/// <para>
/// The field name containing the data is <seealso cref="FieldName#MARKET_VALUE"/> and the market
/// data source is <seealso cref="ObservableSource#NONE"/>.
///
/// </para>
/// </summary>
/// <param name="standardId"> the standard identifier of the data in the underlying data provider </param>
/// <returns> the identifier </returns>
public static QuoteId of(StandardId standardId)
{
return(new QuoteId(standardId, FieldName.MARKET_VALUE, ObservableSource.NONE));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
IborFixingDepositCurveNode test = IborFixingDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
coverImmutableBean(test);
IborFixingDepositCurveNode test2 = IborFixingDepositCurveNode.of(IborFixingDepositTemplate.of(GBP_LIBOR_6M), QuoteId.of(StandardId.of("OG-Ticker", "Deposit2")));
coverBeanEquals(test, test2);
}
private static Position trade()
{
PositionInfo info = PositionInfo.of(StandardId.of("OG-Position", "1"));
return(GenericSecurityPosition.ofNet(info, SECURITY, 6));
}
/// <summary>
/// Obtains an instance. </summary>
/// <param name="id"> the value of the property </param>
/// <param name="portfolioItemType"> the value of the property, not null </param>
/// <param name="productType"> the value of the property, not null </param>
/// <param name="currencies"> the value of the property, not null </param>
/// <param name="description"> the value of the property, not blank </param>
/// <returns> the instance </returns>
public static PortfolioItemSummary of(StandardId id, PortfolioItemType portfolioItemType, ProductType productType, ISet <Currency> currencies, string description)
{
return(new PortfolioItemSummary(id, portfolioItemType, productType, currencies, description));
}
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 static RatesCurveGroupDefinition config(Period[] dscOisTenors, string[] dscIdValues, Period[] fwd3FraTenors, Period[] fwd3IrsTenors, string[] fwd3IdValues, Period[] fwd6FraTenors, Period[] fwd6IrsTenors, string[] fwd6IdValues)
{
CurveNode[] dscNodes = new CurveNode[dscOisTenors.Length];
for (int i = 0; i < dscOisTenors.Length; i++)
{
dscNodes[i] = FixedOvernightSwapCurveNode.of(FixedOvernightSwapTemplate.of(Period.ZERO, Tenor.of(dscOisTenors[i]), EUR_FIXED_1Y_EONIA_OIS), QuoteId.of(StandardId.of(SCHEME, dscIdValues[i])));
}
CurveNode[] fwd3Nodes = new CurveNode[fwd3IdValues.Length];
fwd3Nodes[0] = IborFixingDepositCurveNode.of(IborFixingDepositTemplate.of(EUR_EURIBOR_3M), QuoteId.of(StandardId.of(SCHEME, fwd3IdValues[0])));
for (int i = 0; i < fwd3FraTenors.Length; i++)
{
fwd3Nodes[i + 1] = FraCurveNode.of(FraTemplate.of(fwd3FraTenors[i], EUR_EURIBOR_3M), QuoteId.of(StandardId.of(SCHEME, fwd3IdValues[i + 1])));
}
for (int i = 0; i < fwd3IrsTenors.Length; i++)
{
fwd3Nodes[i + 1 + fwd3FraTenors.Length] = FixedIborSwapCurveNode.of(FixedIborSwapTemplate.of(Period.ZERO, Tenor.of(fwd3IrsTenors[i]), EUR_FIXED_1Y_EURIBOR_3M), QuoteId.of(StandardId.of(SCHEME, fwd3IdValues[i + 1 + fwd3FraTenors.Length])));
}
CurveNode[] fwd6Nodes = new CurveNode[fwd6IdValues.Length];
fwd6Nodes[0] = IborFixingDepositCurveNode.of(IborFixingDepositTemplate.of(EUR_EURIBOR_6M), QuoteId.of(StandardId.of(SCHEME, fwd6IdValues[0])));
for (int i = 0; i < fwd6FraTenors.Length; i++)
{
fwd6Nodes[i + 1] = FraCurveNode.of(FraTemplate.of(fwd6FraTenors[i], EUR_EURIBOR_6M), QuoteId.of(StandardId.of(SCHEME, fwd6IdValues[i + 1])));
}
for (int i = 0; i < fwd6IrsTenors.Length; i++)
{
fwd6Nodes[i + 1 + fwd6FraTenors.Length] = FixedIborSwapCurveNode.of(FixedIborSwapTemplate.of(Period.ZERO, Tenor.of(fwd6IrsTenors[i]), EUR_FIXED_1Y_EURIBOR_6M), QuoteId.of(StandardId.of(SCHEME, fwd6IdValues[i + 1 + fwd6FraTenors.Length])));
}
InterpolatedNodalCurveDefinition DSC_CURVE_DEFN = InterpolatedNodalCurveDefinition.builder().name(DSCON_CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(CURVE_DC).interpolator(INTERPOLATOR_LINEAR).extrapolatorLeft(EXTRAPOLATOR_FLAT).extrapolatorRight(EXTRAPOLATOR_FLAT).nodes(dscNodes).build();
InterpolatedNodalCurveDefinition FWD3_CURVE_DEFN = InterpolatedNodalCurveDefinition.builder().name(FWD3_CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(CURVE_DC).interpolator(INTERPOLATOR_LINEAR).extrapolatorLeft(EXTRAPOLATOR_FLAT).extrapolatorRight(EXTRAPOLATOR_FLAT).nodes(fwd3Nodes).build();
InterpolatedNodalCurveDefinition FWD6_CURVE_DEFN = InterpolatedNodalCurveDefinition.builder().name(FWD6_CURVE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).dayCount(CURVE_DC).interpolator(INTERPOLATOR_LINEAR).extrapolatorLeft(EXTRAPOLATOR_FLAT).extrapolatorRight(EXTRAPOLATOR_FLAT).nodes(fwd6Nodes).build();
return(RatesCurveGroupDefinition.builder().name(CURVE_GROUP_NAME).addCurve(DSC_CURVE_DEFN, EUR, EUR_EONIA).addForwardCurve(FWD3_CURVE_DEFN, EUR_EURIBOR_3M).addForwardCurve(FWD6_CURVE_DEFN, EUR_EURIBOR_6M).build());
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
coverImmutableBean(PRODUCT);
CdsIndex other = CdsIndex.builder().buySell(SELL).cdsIndexId(StandardId.of("OG", "AA-INDEX")).legalEntityIds(ImmutableList.of(StandardId.of("OG", "ABC1"), StandardId.of("OG", "ABC2"))).currency(JPY).notional(1d).paymentSchedule(PeriodicSchedule.of(LocalDate.of(2014, 1, 4), LocalDate.of(2020, 11, 20), P6M, BusinessDayAdjustment.of(BusinessDayConventions.FOLLOWING, JPTO), StubConvention.SHORT_FINAL, RollConventions.NONE)).fixedRate(0.01).dayCount(ACT_365F).paymentOnDefault(PaymentOnDefault.NONE).protectionStart(ProtectionStartOfDay.NONE).settlementDateOffset(DaysAdjustment.NONE).stepinDateOffset(DaysAdjustment.NONE).build();
coverBeanEquals(PRODUCT, other);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
FixedOvernightSwapCurveNode test = FixedOvernightSwapCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
coverImmutableBean(test);
FixedOvernightSwapCurveNode test2 = FixedOvernightSwapCurveNode.of(FixedOvernightSwapTemplate.of(TENOR_6M, FixedOvernightSwapConventions.USD_FIXED_TERM_FED_FUND_OIS), QuoteId.of(StandardId.of("OG-Ticker", "Deposit2")));
coverBeanEquals(test, test2);
}
/// <summary>
/// Test that the curve node requirements are extracted and returned.
/// </summary>
public virtual void requirements()
{
FraCurveNode node1x4 = fraNode(1, "a");
FraCurveNode node2x5 = fraNode(2, "b");
FraCurveNode node3x6 = fraNode(3, "c");
InterpolatedNodalCurveDefinition curve = InterpolatedNodalCurveDefinition.builder().name(CurveName.of("curve")).interpolator(CurveInterpolators.DOUBLE_QUADRATIC).extrapolatorLeft(CurveExtrapolators.FLAT).extrapolatorRight(CurveExtrapolators.FLAT).nodes(node1x4, node2x5, node3x6).build();
RatesCurveGroupDefinition groupDefn = RatesCurveGroupDefinition.builder().name(CurveGroupName.of("curve group")).addDiscountCurve(curve, Currency.USD).build();
MarketDataConfig marketDataConfig = MarketDataConfig.builder().add(groupDefn.Name, groupDefn).build();
RatesCurveInputsMarketDataFunction marketDataFunction = new RatesCurveInputsMarketDataFunction();
RatesCurveInputsId curveInputsId = RatesCurveInputsId.of(groupDefn.Name, curve.Name, ObservableSource.NONE);
MarketDataRequirements requirements = marketDataFunction.requirements(curveInputsId, marketDataConfig);
assertThat(requirements.Observables).contains(QuoteId.of(StandardId.of("test", "a"))).contains(QuoteId.of(StandardId.of("test", "b"))).contains(QuoteId.of(StandardId.of("test", "c")));
}
// create a libor 3m vs libor 6m basis swap with spread
private static Trade createBasisLibor3mVsLibor6mWithSpreadSwap()
{
NotionalSchedule notional = NotionalSchedule.of(Currency.USD, 100_000_000);
SwapLeg payLeg = RateCalculationSwapLeg.builder().payReceive(PayReceive.PAY).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 8, 27)).endDate(LocalDate.of(2024, 8, 27)).frequency(Frequency.P6M).businessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.USNY)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.P6M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(notional).calculation(IborRateCalculation.of(IborIndices.USD_LIBOR_6M)).build();
SwapLeg receiveLeg = RateCalculationSwapLeg.builder().payReceive(PayReceive.RECEIVE).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 8, 27)).endDate(LocalDate.of(2024, 8, 27)).frequency(Frequency.P3M).businessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.USNY)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(notional).calculation(IborRateCalculation.builder().index(IborIndices.USD_LIBOR_3M).spread(ValueSchedule.of(0.001)).build()).build();
return(SwapTrade.builder().product(Swap.of(payLeg, receiveLeg)).info(TradeInfo.builder().id(StandardId.of("example", "2")).addAttribute(AttributeType.DESCRIPTION, "Libor 3m + spread vs Libor 6m").counterparty(StandardId.of("example", "A")).settlementDate(LocalDate.of(2014, 9, 12)).build()).build());
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an identifier used to find legal entity information.
/// </summary>
/// <param name="legalEntityId"> the name </param>
/// <returns> an identifier </returns>
public static LegalEntityInformationId of(string legalEntityId)
{
return(new LegalEntityInformationId(StandardId.parse(legalEntityId)));
}
// Create a vanilla fixed vs libor 3m swap with fixing
private static Trade createFixedVsLibor3mWithFixingSwap()
{
TradeInfo tradeInfo = TradeInfo.builder().id(StandardId.of("example", "4")).addAttribute(AttributeType.DESCRIPTION, "Fixed vs libor 3m (with fixing)").counterparty(StandardId.of("example", "A")).settlementDate(LocalDate.of(2013, 9, 12)).build();
return(FixedIborSwapConventions.USD_FIXED_6M_LIBOR_3M.toTrade(tradeInfo, LocalDate.of(2013, 9, 12), LocalDate.of(2020, 9, 12), BuySell.BUY, 100_000_000, 0.015)); // the fixed interest rate
}
/// <summary>
/// Obtains an identifier used to find legal entity information.
/// </summary>
/// <param name="legalEntityId"> the name </param>
/// <returns> the identifier </returns>
public static LegalEntityInformationId of(StandardId legalEntityId)
{
return(new LegalEntityInformationId(legalEntityId));
}
// Create a fixed vs libor 3m swap
private static Trade createStub1mFixedVsLibor3mSwap()
{
NotionalSchedule notional = NotionalSchedule.of(Currency.USD, 100_000_000);
SwapLeg payLeg = RateCalculationSwapLeg.builder().payReceive(PayReceive.PAY).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 9, 12)).endDate(LocalDate.of(2016, 7, 12)).frequency(Frequency.P3M).businessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.USNY)).stubConvention(StubConvention.SHORT_INITIAL).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(notional).calculation(IborRateCalculation.of(IborIndices.USD_LIBOR_3M)).build();
SwapLeg receiveLeg = RateCalculationSwapLeg.builder().payReceive(PayReceive.RECEIVE).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 9, 12)).endDate(LocalDate.of(2016, 7, 12)).stubConvention(StubConvention.SHORT_INITIAL).frequency(Frequency.P6M).businessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.USNY)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.P6M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(notional).calculation(FixedRateCalculation.of(0.01, DayCounts.THIRTY_U_360)).build();
return(SwapTrade.builder().product(Swap.of(payLeg, receiveLeg)).info(TradeInfo.builder().id(StandardId.of("example", "7")).addAttribute(AttributeType.DESCRIPTION, "Fixed vs Libor 3m (1m short initial stub)").counterparty(StandardId.of("example", "A")).settlementDate(LocalDate.of(2014, 9, 12)).build()).build());
}
/// <summary>
/// Obtains an instance with sensitivity currency specified.
/// </summary>
/// <param name="legalEntityId"> the legal entity identifier </param>
/// <param name="curveCurrency"> the currency of the curve </param>
/// <param name="yearFraction"> the year fraction that was looked up on the curve </param>
/// <param name="sensitivityCurrency"> the currency of the sensitivity </param>
/// <param name="sensitivity"> the value of the sensitivity </param>
/// <returns> the point sensitivity object </returns>
public static CreditCurveZeroRateSensitivity of(StandardId legalEntityId, Currency curveCurrency, double yearFraction, Currency sensitivityCurrency, double sensitivity)
{
ZeroRateSensitivity zeroRateSensitivity = ZeroRateSensitivity.of(curveCurrency, yearFraction, sensitivityCurrency, sensitivity);
return(new CreditCurveZeroRateSensitivity(legalEntityId, zeroRateSensitivity));
}