Java tutorial
/** * Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.analytics.financial.provider.curve; import static org.testng.AssertJUnit.assertEquals; import static org.testng.internal.junit.ArrayAsserts.assertArrayEquals; import java.util.ArrayList; import java.util.LinkedHashMap; import java.util.List; import org.apache.commons.lang.ArrayUtils; import org.testng.annotations.BeforeSuite; import org.testng.annotations.Test; import org.threeten.bp.Period; import org.threeten.bp.ZonedDateTime; import com.opengamma.analytics.financial.curve.inflation.generator.GeneratorPriceIndexCurve; import com.opengamma.analytics.financial.curve.inflation.generator.GeneratorPriceIndexCurveInterpolated; import com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorCurve; import com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorCurveYieldInterpolated; import com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorYDCurve; import com.opengamma.analytics.financial.forex.method.FXMatrix; import com.opengamma.analytics.financial.instrument.InstrumentDefinition; import com.opengamma.analytics.financial.instrument.cash.CashDefinition; import com.opengamma.analytics.financial.instrument.fra.ForwardRateAgreementDefinition; import com.opengamma.analytics.financial.instrument.index.GeneratorAttribute; import com.opengamma.analytics.financial.instrument.index.GeneratorAttributeIR; import com.opengamma.analytics.financial.instrument.index.GeneratorDepositON; import com.opengamma.analytics.financial.instrument.index.GeneratorInstrument; import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedInflationMaster; import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedInflationZeroCoupon; import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedON; import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedONMaster; import com.opengamma.analytics.financial.instrument.index.IndexON; import com.opengamma.analytics.financial.instrument.index.IndexPrice; import com.opengamma.analytics.financial.instrument.inflation.CouponInflationZeroCouponInterpolationDefinition; import com.opengamma.analytics.financial.instrument.inflation.CouponInflationZeroCouponMonthlyDefinition; import com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition; import com.opengamma.analytics.financial.instrument.swap.SwapFixedInflationZeroCouponDefinition; import com.opengamma.analytics.financial.instrument.swap.SwapFixedONDefinition; import com.opengamma.analytics.financial.interestrate.InstrumentDerivative; import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor; import com.opengamma.analytics.financial.interestrate.annuity.derivative.Annuity; import com.opengamma.analytics.financial.interestrate.payments.derivative.Payment; import com.opengamma.analytics.financial.interestrate.swap.derivative.Swap; import com.opengamma.analytics.financial.model.interestrate.curve.PriceIndexCurve; import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve; import com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve; import com.opengamma.analytics.financial.provider.calculator.generic.LastTimeCalculator; import com.opengamma.analytics.financial.provider.calculator.inflation.MarketQuoteInflationSensitivityBlockCalculator; import com.opengamma.analytics.financial.provider.calculator.inflation.ParSpreadInflationMarketQuoteCurveSensitivityDiscountingCalculator; import com.opengamma.analytics.financial.provider.calculator.inflation.ParSpreadInflationMarketQuoteDiscountingCalculator; import com.opengamma.analytics.financial.provider.calculator.inflation.PresentValueCurveSensitivityDiscountingInflationCalculator; import com.opengamma.analytics.financial.provider.calculator.inflation.PresentValueDiscountingInflationCalculator; import com.opengamma.analytics.financial.provider.curve.inflation.InflationDiscountBuildingRepository; import com.opengamma.analytics.financial.provider.description.inflation.InflationProviderDiscount; import com.opengamma.analytics.financial.provider.description.inflation.InflationProviderInterface; import com.opengamma.analytics.financial.provider.sensitivity.inflation.InflationSensitivity; import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyParameterSensitivity; import com.opengamma.analytics.financial.provider.sensitivity.parameter.ParameterInflationSensitivityParameterCalculator; import com.opengamma.analytics.math.interpolation.CombinedInterpolatorExtrapolatorFactory; import com.opengamma.analytics.math.interpolation.Interpolator1D; import com.opengamma.analytics.math.interpolation.Interpolator1DFactory; import com.opengamma.financial.convention.calendar.Calendar; import com.opengamma.financial.convention.calendar.MondayToFridayCalendar; import com.opengamma.timeseries.precise.zdt.ImmutableZonedDateTimeDoubleTimeSeries; import com.opengamma.timeseries.precise.zdt.ZonedDateTimeDoubleTimeSeries; import com.opengamma.util.money.Currency; import com.opengamma.util.time.DateUtils; import com.opengamma.util.tuple.Pair; /** * Build of inflation curve and discount curve simultaneously in several blocks with relevant Jacobian matrices. */ public class InflationBuildingCurveWithDiscountTestEUR { private static final Interpolator1D INTERPOLATOR_LINEAR = CombinedInterpolatorExtrapolatorFactory .getInterpolator(Interpolator1DFactory.LOG_LINEAR, Interpolator1DFactory.FLAT_EXTRAPOLATOR, Interpolator1DFactory.FLAT_EXTRAPOLATOR); private static final LastTimeCalculator MATURITY_CALCULATOR = LastTimeCalculator.getInstance(); private static final double TOLERANCE_ROOT = 1.0E-10; private static final int STEP_MAX = 100; private static final Currency USD = Currency.USD; private static final Calendar NYC = new MondayToFridayCalendar("NYC"); private static final FXMatrix FX_MATRIX = new FXMatrix(USD); private static final double NOTIONAL = 1.0; private static final GeneratorSwapFixedON GENERATOR_OIS_USD = GeneratorSwapFixedONMaster.getInstance() .getGenerator("USD1YFEDFUND", NYC); private static final IndexON INDEX_ON_USD = GENERATOR_OIS_USD.getIndex(); private static final GeneratorDepositON GENERATOR_DEPOSIT_ON_USD = new GeneratorDepositON("USD Deposit ON", USD, NYC, INDEX_ON_USD.getDayCount()); private static final GeneratorSwapFixedInflationZeroCoupon GENERATOR_INFALTION_SWAP = GeneratorSwapFixedInflationMaster .getInstance().getGenerator("USCPI"); private static final IndexPrice US_CPI = GENERATOR_INFALTION_SWAP.getIndexPrice(); private static final ZonedDateTime NOW = DateUtils.getUTCDate(2012, 9, 28); private static final ZonedDateTimeDoubleTimeSeries TS_PRICE_INDEX_USD_WITH_TODAY = ImmutableZonedDateTimeDoubleTimeSeries .ofUTC(new ZonedDateTime[] { DateUtils.getUTCDate(2011, 9, 27), DateUtils.getUTCDate(2011, 9, 28), DateUtils.getUTCDate(2012, 6, 30), DateUtils.getUTCDate(2012, 7, 31) }, new double[] { 200, 200, 200, 200 }); private static final String CURVE_NAME_DSC_USD = "USD Dsc"; private static final String CURVE_NAME_CPI_USD = "USD CPI"; /** Market values for the dsc USD curve */ private static final double[] DSC_USD_MARKET_QUOTES = new double[] { 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400 }; /** Generators for the dsc USD curve */ private static final GeneratorInstrument<? extends GeneratorAttribute>[] DSC_USD_GENERATORS = new GeneratorInstrument<?>[] { GENERATOR_DEPOSIT_ON_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD, GENERATOR_OIS_USD }; /** Tenors for the dsc USD curve */ private static final Period[] DSC_USD_TENOR = new Period[] { Period.ofDays(0), Period.ofMonths(1), Period.ofMonths(2), Period.ofMonths(3), Period.ofMonths(6), Period.ofMonths(9), Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(4), Period.ofYears(5), Period.ofYears(10) }; private static final GeneratorAttributeIR[] DSC_USD_ATTR = new GeneratorAttributeIR[DSC_USD_TENOR.length]; static { for (int loopins = 0; loopins < DSC_USD_TENOR.length; loopins++) { DSC_USD_ATTR[loopins] = new GeneratorAttributeIR(DSC_USD_TENOR[loopins]); } } /** Market values for the CPI USD curve */ public static final double[] CPI_USD_MARKET_QUOTES = new double[] { 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200, 0.0200 }; /** Generators for the CPI USD curve */ public static final GeneratorInstrument<? extends GeneratorAttribute>[] CPI_USD_GENERATORS = new GeneratorInstrument<?>[] { GENERATOR_INFALTION_SWAP, GENERATOR_INFALTION_SWAP, GENERATOR_INFALTION_SWAP, GENERATOR_INFALTION_SWAP, GENERATOR_INFALTION_SWAP, GENERATOR_INFALTION_SWAP, GENERATOR_INFALTION_SWAP, GENERATOR_INFALTION_SWAP, GENERATOR_INFALTION_SWAP, GENERATOR_INFALTION_SWAP, GENERATOR_INFALTION_SWAP, GENERATOR_INFALTION_SWAP, GENERATOR_INFALTION_SWAP, GENERATOR_INFALTION_SWAP, GENERATOR_INFALTION_SWAP }; /** Tenors for the CPI USD curve */ public static final Period[] CPI_USD_TENOR = new Period[] { Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(4), Period.ofYears(5), Period.ofYears(6), Period.ofYears(7), Period.ofYears(8), Period.ofYears(9), Period.ofYears(10), Period.ofYears(12), Period.ofYears(15), Period.ofYears(20), Period.ofYears(25), Period.ofYears(30) }; public static final GeneratorAttributeIR[] CPI_USD_ATTR = new GeneratorAttributeIR[CPI_USD_TENOR.length]; static { for (int loopins = 0; loopins < CPI_USD_TENOR.length; loopins++) { CPI_USD_ATTR[loopins] = new GeneratorAttributeIR(CPI_USD_TENOR[loopins]); } } /** Standard USD discounting curve instrument definitions */ private static final InstrumentDefinition<?>[] DEFINITIONS_DSC_USD; /** Standard USD CPI curve instrument definitions */ public static final InstrumentDefinition<?>[] DEFINITIONS_CPI_USD; /** Units of curves */ public static final int[] NB_UNITS = new int[] { 2, 1 }; public static final int NB_BLOCKS = NB_UNITS.length; public static final InstrumentDefinition<?>[][][][] DEFINITIONS_UNITS = new InstrumentDefinition<?>[NB_BLOCKS][][][]; public static final GeneratorCurve[][][] GENERATORS_UNITS = new GeneratorCurve[NB_BLOCKS][][]; public static final String[][][] NAMES_UNITS = new String[NB_BLOCKS][][]; private static final InflationProviderDiscount KNOWN_DATA = new InflationProviderDiscount(FX_MATRIX); private static final LinkedHashMap<String, Currency> DSC_MAP = new LinkedHashMap<>(); private static final LinkedHashMap<String, IndexON[]> FWD_ON_MAP = new LinkedHashMap<>(); public static final LinkedHashMap<String, IndexPrice[]> US_CPI_MAP = new LinkedHashMap<>(); static { DEFINITIONS_DSC_USD = getDefinitions(DSC_USD_MARKET_QUOTES, DSC_USD_GENERATORS, DSC_USD_ATTR); DEFINITIONS_CPI_USD = getDefinitions(CPI_USD_MARKET_QUOTES, CPI_USD_GENERATORS, CPI_USD_ATTR); for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) { DEFINITIONS_UNITS[loopblock] = new InstrumentDefinition<?>[NB_UNITS[loopblock]][][]; GENERATORS_UNITS[loopblock] = new GeneratorCurve[NB_UNITS[loopblock]][]; NAMES_UNITS[loopblock] = new String[NB_UNITS[loopblock]][]; } DEFINITIONS_UNITS[0][0] = new InstrumentDefinition<?>[][] { DEFINITIONS_DSC_USD }; DEFINITIONS_UNITS[0][1] = new InstrumentDefinition<?>[][] { DEFINITIONS_CPI_USD }; DEFINITIONS_UNITS[1][0] = new InstrumentDefinition<?>[][] { DEFINITIONS_DSC_USD, DEFINITIONS_CPI_USD }; final GeneratorYDCurve genIntLinDiscount = new GeneratorCurveYieldInterpolated(MATURITY_CALCULATOR, INTERPOLATOR_LINEAR); final GeneratorPriceIndexCurve genIntLinInflation = new GeneratorPriceIndexCurveInterpolated( MATURITY_CALCULATOR, INTERPOLATOR_LINEAR); GENERATORS_UNITS[0][0] = new GeneratorYDCurve[] { genIntLinDiscount }; GENERATORS_UNITS[0][1] = new GeneratorPriceIndexCurve[] { genIntLinInflation }; GENERATORS_UNITS[1][0] = new GeneratorCurve[] { genIntLinDiscount, genIntLinInflation }; NAMES_UNITS[0][0] = new String[] { CURVE_NAME_DSC_USD }; NAMES_UNITS[0][1] = new String[] { CURVE_NAME_CPI_USD }; NAMES_UNITS[1][0] = new String[] { CURVE_NAME_DSC_USD, CURVE_NAME_CPI_USD }; DSC_MAP.put(CURVE_NAME_DSC_USD, USD); FWD_ON_MAP.put(CURVE_NAME_DSC_USD, new IndexON[] { INDEX_ON_USD }); US_CPI_MAP.put(CURVE_NAME_CPI_USD, new IndexPrice[] { US_CPI }); } @SuppressWarnings({ "unchecked", "rawtypes" }) public static InstrumentDefinition<?>[] getDefinitions(final double[] marketQuotes, final GeneratorInstrument[] generators, final GeneratorAttribute[] attribute) { final InstrumentDefinition<?>[] definitions = new InstrumentDefinition<?>[marketQuotes.length]; for (int loopmv = 0; loopmv < marketQuotes.length; loopmv++) { definitions[loopmv] = generators[loopmv].generateInstrument(NOW, marketQuotes[loopmv], NOTIONAL, attribute[loopmv]); } return definitions; } private static List<Pair<InflationProviderDiscount, CurveBuildingBlockBundle>> CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK = new ArrayList<>(); // Calculator private static final PresentValueDiscountingInflationCalculator PVIC = PresentValueDiscountingInflationCalculator .getInstance(); private static final PresentValueCurveSensitivityDiscountingInflationCalculator PVCSDIC = PresentValueCurveSensitivityDiscountingInflationCalculator .getInstance(); private static final ParSpreadInflationMarketQuoteDiscountingCalculator PSIMQC = ParSpreadInflationMarketQuoteDiscountingCalculator .getInstance(); private static final ParSpreadInflationMarketQuoteCurveSensitivityDiscountingCalculator PSIMQCSC = ParSpreadInflationMarketQuoteCurveSensitivityDiscountingCalculator .getInstance(); private static final InflationDiscountBuildingRepository CURVE_BUILDING_REPOSITORY = new InflationDiscountBuildingRepository( TOLERANCE_ROOT, TOLERANCE_ROOT, STEP_MAX); private static final double TOLERANCE_CAL = 1.0E-9; @BeforeSuite static void initClass() { for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) { CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.add(makeCurvesFromDefinitions(DEFINITIONS_UNITS[loopblock], GENERATORS_UNITS[loopblock], NAMES_UNITS[loopblock], KNOWN_DATA, PSIMQC, PSIMQCSC)); } } @Test(enabled = false) public void comparison1Unit2Units() { final InflationProviderDiscount[] units = new InflationProviderDiscount[2]; final CurveBuildingBlockBundle[] bb = new CurveBuildingBlockBundle[2]; final YieldAndDiscountCurve[] curveDsc = new YieldAndDiscountCurve[2]; final PriceIndexCurve[] curveInflation = new PriceIndexCurve[2]; for (int loopblock = 0; loopblock < 2; loopblock++) { units[loopblock] = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getFirst(); bb[loopblock] = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getSecond(); curveDsc[loopblock] = units[loopblock].getCurve(USD); curveInflation[loopblock] = units[loopblock].getCurve(US_CPI); } assertEquals("Curve construction: 1 unit / 3 units ", curveDsc[0].getNumberOfParameters(), curveDsc[1].getNumberOfParameters()); assertEquals("Curve construction: 1 unit / 3 units ", curveInflation[0].getNumberOfParameters(), curveInflation[1].getNumberOfParameters()); assertArrayEquals("Curve construction: 1 unit / 3 units ", ArrayUtils.toPrimitive(((YieldCurve) curveDsc[0]).getCurve().getXData()), ArrayUtils.toPrimitive(((YieldCurve) curveDsc[1]).getCurve().getXData()), TOLERANCE_CAL); assertArrayEquals("Curve construction: 1 unit / 3 units ", ArrayUtils.toPrimitive(((YieldCurve) curveDsc[0]).getCurve().getYData()), ArrayUtils.toPrimitive(((YieldCurve) curveDsc[1]).getCurve().getYData()), TOLERANCE_CAL); assertArrayEquals("Curve construction: 1 unit / 3 units ", ArrayUtils.toPrimitive(curveInflation[0].getCurve().getXData()), ArrayUtils.toPrimitive(curveInflation[1].getCurve().getXData()), TOLERANCE_CAL); assertArrayEquals("Curve construction: 1 unit / 3 units ", ArrayUtils.toPrimitive(curveInflation[0].getCurve().getYData()), ArrayUtils.toPrimitive(curveInflation[1].getCurve().getYData()), TOLERANCE_CAL); } @Test(enabled = false) public void performance() { long startTime, endTime; final int nbTest = 1000; startTime = System.currentTimeMillis(); for (int looptest = 0; looptest < nbTest; looptest++) { makeCurvesFromDefinitions(DEFINITIONS_UNITS[0], GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PSIMQC, PSIMQCSC); } endTime = System.currentTimeMillis(); System.out.println("MulticurveBuildingDiscountingDiscountXCcyTest - " + nbTest + " curve construction / USD/EUR 3 units: " + (endTime - startTime) + " ms"); // Performance note: curve construction Price index EUR and discount EUR 1 units: 27-Mar-13: On Dell Precision T1850 3.5 GHz Quad-Core Intel Xeon: 5869 ms for 1000 sets. startTime = System.currentTimeMillis(); for (int looptest = 0; looptest < nbTest; looptest++) { makeCurvesFromDefinitions(DEFINITIONS_UNITS[1], GENERATORS_UNITS[1], NAMES_UNITS[1], KNOWN_DATA, PSIMQC, PSIMQCSC); } endTime = System.currentTimeMillis(); System.out.println(nbTest + " curve construction / 1 unit: " + (endTime - startTime) + " ms"); // Performance note: curve construction Price index EUR and discount EUR 1 units: 27-Mar-13: On Dell Precision T1850 3.5 GHz Quad-Core Intel Xeon: 9153 ms for 1000 sets. } @Test public void curveConstructionGeneratorOtherBlocks() { for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) { curveConstructionTest(DEFINITIONS_UNITS[loopblock], CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getFirst(), loopblock); } } @Test(enabled = true) /** * Analyzes the shape of the forward curve. */ public void marketQuoteSensitivityAnalysis() { final InflationProviderDiscount multicurves7 = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(1).getFirst(); multicurves7.setAll(CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).getFirst()); final CurveBuildingBlockBundle blocks7 = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(1).getSecond(); blocks7.addAll(CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).getSecond()); final double spreadJPYEUR = 0.0010; // 10bps final double notional = 100000; final GeneratorAttributeIR swapAttribute = new GeneratorAttributeIR(Period.ofYears(4)); final SwapFixedInflationZeroCouponDefinition swapDefinition = GENERATOR_INFALTION_SWAP .generateInstrument(NOW, spreadJPYEUR, notional, swapAttribute); final InstrumentDerivative swap = swapDefinition.toDerivative(NOW, new ZonedDateTimeDoubleTimeSeries[] { TS_PRICE_INDEX_USD_WITH_TODAY, TS_PRICE_INDEX_USD_WITH_TODAY }); final ParameterInflationSensitivityParameterCalculator<InflationProviderInterface> PSC = new ParameterInflationSensitivityParameterCalculator<>( PVCSDIC); final MarketQuoteInflationSensitivityBlockCalculator<InflationProviderInterface> MQSC = new MarketQuoteInflationSensitivityBlockCalculator<>( PSC); @SuppressWarnings("unused") final MultipleCurrencyParameterSensitivity mqs = MQSC.fromInstrument(swap, multicurves7, blocks7); } public void curveConstructionTest(final InstrumentDefinition<?>[][][] definitions, final InflationProviderDiscount curves, final int block) { final int nbBlocks = definitions.length; for (int loopblock = 0; loopblock < nbBlocks; loopblock++) { final InstrumentDerivative[][] instruments = convert(definitions[loopblock]); final double[][] pv = new double[instruments.length][]; for (int loopcurve = 0; loopcurve < instruments.length; loopcurve++) { pv[loopcurve] = new double[instruments[loopcurve].length]; for (int loopins = 0; loopins < instruments[loopcurve].length; loopins++) { pv[loopcurve][loopins] = curves.getFxRates() .convert(instruments[loopcurve][loopins].accept(PVIC, curves), USD).getAmount(); assertEquals("Curve construction: block " + block + ", unit " + loopblock + " - instrument " + loopins, 0, pv[loopcurve][loopins], TOLERANCE_CAL); } } } } @SuppressWarnings("unchecked") private static Pair<InflationProviderDiscount, CurveBuildingBlockBundle> makeCurvesFromDefinitions( final InstrumentDefinition<?>[][][] definitions, final GeneratorCurve[][] curveGenerators, final String[][] curveNames, final InflationProviderDiscount knownData, final InstrumentDerivativeVisitor<InflationProviderInterface, Double> calculator, final InstrumentDerivativeVisitor<InflationProviderInterface, InflationSensitivity> sensitivityCalculator) { final int nUnits = definitions.length; final MultiCurveBundle<GeneratorCurve>[] curveBundles = new MultiCurveBundle[nUnits]; for (int i = 0; i < nUnits; i++) { final int nCurves = definitions[i].length; final SingleCurveBundle<GeneratorCurve>[] singleCurves = new SingleCurveBundle[nCurves]; for (int j = 0; j < nCurves; j++) { final int nInstruments = definitions[i][j].length; final InstrumentDerivative[] derivatives = new InstrumentDerivative[nInstruments]; final double[] initialGuess = new double[nInstruments]; for (int k = 0; k < nInstruments; k++) { derivatives[k] = convert(definitions[i][j][k]); initialGuess[k] = initialGuess(definitions[i][j][k]); } final GeneratorCurve generator = curveGenerators[i][j].finalGenerator(derivatives); singleCurves[j] = new SingleCurveBundle<>(curveNames[i][j], derivatives, initialGuess, generator); } curveBundles[i] = new MultiCurveBundle<>(singleCurves); } return CURVE_BUILDING_REPOSITORY.makeCurvesFromDerivatives(curveBundles, knownData, DSC_MAP, FWD_ON_MAP, US_CPI_MAP, calculator, sensitivityCalculator); } private static InstrumentDerivative[][] convert(final InstrumentDefinition<?>[][] definitions) { final InstrumentDerivative[][] instruments = new InstrumentDerivative[definitions.length][]; for (int loopcurve = 0; loopcurve < definitions.length; loopcurve++) { instruments[loopcurve] = new InstrumentDerivative[definitions[loopcurve].length]; int loopins = 0; for (final InstrumentDefinition<?> instrument : definitions[loopcurve]) { InstrumentDerivative ird; if (instrument instanceof SwapFixedInflationZeroCouponDefinition) { final Annuity<? extends Payment> ird1 = ((SwapFixedInflationZeroCouponDefinition) instrument) .getFirstLeg().toDerivative(NOW); final Annuity<? extends Payment> ird2 = ((SwapFixedInflationZeroCouponDefinition) instrument) .getSecondLeg().toDerivative(NOW, TS_PRICE_INDEX_USD_WITH_TODAY); ird = new Swap<>(ird1, ird2); } else { ird = instrument.toDerivative(NOW); } instruments[loopcurve][loopins++] = ird; } } return instruments; } private static InstrumentDerivative convert(final InstrumentDefinition<?> instrument) { InstrumentDerivative ird; if (instrument instanceof SwapFixedInflationZeroCouponDefinition) { final Annuity<? extends Payment> ird1 = ((SwapFixedInflationZeroCouponDefinition) instrument) .getFirstLeg().toDerivative(NOW); final Annuity<? extends Payment> ird2 = ((SwapFixedInflationZeroCouponDefinition) instrument) .getSecondLeg().toDerivative(NOW, TS_PRICE_INDEX_USD_WITH_TODAY); ird = new Swap<>(ird1, ird2); } else { ird = instrument.toDerivative(NOW); } return ird; } private static double initialGuess(final InstrumentDefinition<?> instrument) { if (instrument instanceof SwapFixedONDefinition) { return ((SwapFixedONDefinition) instrument).getFixedLeg().getNthPayment(0).getRate(); } if (instrument instanceof SwapFixedIborDefinition) { return ((SwapFixedIborDefinition) instrument).getFixedLeg().getNthPayment(0).getRate(); } if (instrument instanceof SwapFixedInflationZeroCouponDefinition) { if (((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg() .getNthPayment(0) instanceof CouponInflationZeroCouponMonthlyDefinition) { return 100.0; } if (((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg() .getNthPayment(0) instanceof CouponInflationZeroCouponInterpolationDefinition) { return 100.0; } return 100; } if (instrument instanceof ForwardRateAgreementDefinition) { return ((ForwardRateAgreementDefinition) instrument).getRate(); } if (instrument instanceof CashDefinition) { return ((CashDefinition) instrument).getRate(); } return 100; } }