Java tutorial
/** * Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.analytics.financial.provider.curve.multicurve; import java.util.ArrayList; import java.util.Arrays; import java.util.LinkedHashMap; import java.util.List; import org.apache.commons.lang.ArrayUtils; import com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorYDCurve; import com.opengamma.analytics.financial.instrument.index.IborIndex; import com.opengamma.analytics.financial.instrument.index.IndexON; import com.opengamma.analytics.financial.interestrate.InstrumentDerivative; import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor; import com.opengamma.analytics.financial.provider.curve.CurveBuildingBlock; import com.opengamma.analytics.financial.provider.curve.CurveBuildingBlockBundle; import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderForward; import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderInterface; import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity; import com.opengamma.analytics.financial.provider.sensitivity.multicurve.ParameterSensitivityMulticurveMatrixCalculator; import com.opengamma.analytics.math.function.Function1D; import com.opengamma.analytics.math.linearalgebra.DecompositionFactory; import com.opengamma.analytics.math.matrix.CommonsMatrixAlgebra; import com.opengamma.analytics.math.matrix.DoubleMatrix1D; import com.opengamma.analytics.math.matrix.DoubleMatrix2D; import com.opengamma.analytics.math.matrix.MatrixAlgebra; import com.opengamma.analytics.math.rootfinding.newton.BroydenVectorRootFinder; import com.opengamma.util.money.Currency; import com.opengamma.util.tuple.ObjectsPair; import com.opengamma.util.tuple.Pair; /** * Functions to build curves. */ //TODO: REVIEW: Embed in a better object. public class MulticurveProviderForwardBuildingRepository { /** * The absolute tolerance for the root finder. */ private final double _toleranceAbs; /** * The relative tolerance for the root finder. */ private final double _toleranceRel; /** * The relative tolerance for the root finder. */ private final int _stepMaximum; /** * The root finder used for curve calibration. */ private final BroydenVectorRootFinder _rootFinder; /** * The matrix algebra used for matrix inversion. */ private static final MatrixAlgebra MATRIX_ALGEBRA = new CommonsMatrixAlgebra(); /** * Constructor. * @param toleranceAbs The absolute tolerance for the root finder. * @param toleranceRel The relative tolerance for the root finder. * @param stepMaximum The maximum number of step for the root finder. */ public MulticurveProviderForwardBuildingRepository(final double toleranceAbs, final double toleranceRel, final int stepMaximum) { _toleranceAbs = toleranceAbs; _toleranceRel = toleranceRel; _stepMaximum = stepMaximum; _rootFinder = new BroydenVectorRootFinder(_toleranceAbs, _toleranceRel, _stepMaximum, DecompositionFactory.getDecomposition(DecompositionFactory.SV_COLT_NAME)); // TODO: make the root finder flexible. } /** * Build a unit of curves. * @param instruments The instruments used for the unit calibration. * @param initGuess The initial parameters guess. * @param knownData The known data (fx rates, other curves, model parameters, ...) * @param discountingMap The discounting curves names map. * @param forwardIborMap The forward curves names map. * @param forwardONMap The forward curves names map. * @param generatorsMap The generators map. * @param calculator The calculator of the value on which the calibration is done (usually ParSpreadMarketQuoteCalculator (recommended) or converted present value). * @param sensitivityCalculator The parameter sensitivity calculator. * @return The new curves and the calibrated parameters. */ private Pair<MulticurveProviderForward, Double[]> makeUnit(final InstrumentDerivative[] instruments, final double[] initGuess, final MulticurveProviderForward knownData, final LinkedHashMap<String, Currency> discountingMap, final LinkedHashMap<String, IborIndex> forwardIborMap, final LinkedHashMap<String, IndexON> forwardONMap, final LinkedHashMap<String, GeneratorYDCurve> generatorsMap, final InstrumentDerivativeVisitor<MulticurveProviderInterface, Double> calculator, final InstrumentDerivativeVisitor<MulticurveProviderInterface, MulticurveSensitivity> sensitivityCalculator) { final GeneratorMulticurveProviderForward generator = new GeneratorMulticurveProviderForward(knownData, discountingMap, forwardIborMap, forwardONMap, generatorsMap); final MulticurveProviderForwardBuildingData data = new MulticurveProviderForwardBuildingData(instruments, generator); final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new MulticurveProviderForwardFinderFunction( calculator, data); final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MulticurveProviderForwardFinderJacobian( new ParameterSensitivityMulticurveMatrixCalculator(sensitivityCalculator), data); final double[] parameters = _rootFinder .getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(initGuess)).getData(); final MulticurveProviderForward newCurves = data.getGeneratorMarket() .evaluate(new DoubleMatrix1D(parameters)); return new ObjectsPair<>(newCurves, ArrayUtils.toObject(parameters)); } /** * Build the Jacobian matrixes associated to a unit of curves. * @param instruments The instruments used for the block calibration. * @param startBlock The index of the first parameter of the unit in the block. * @param nbParameters The number of parameters for each curve in the unit. * @param parameters The parameters used to build each curve in the block. * @param knownData The known data (FX rates, other curves, model parameters, ...) for the block calibration. * @param discountingMap The discounting curves names map. * @param forwardIborMap The forward curves names map. * @param forwardONMap The forward curves names map. * @param generatorsMap The generators map. * @param sensitivityCalculator The parameter sensitivity calculator for the value on which the calibration is done (usually ParSpreadMarketQuoteDiscountingProviderCalculator (recommended) or converted present value). * @return The part of the inverse Jacobian matrix associated to each curve. * The Jacobian matrix is the transition matrix between the curve parameters and the par spread. * TODO: Currently only for the ParSpreadMarketQuoteDiscountingProviderCalculator. */ private DoubleMatrix2D[] makeCurveMatrix(final InstrumentDerivative[] instruments, final int startBlock, final int[] nbParameters, final Double[] parameters, final MulticurveProviderForward knownData, final LinkedHashMap<String, Currency> discountingMap, final LinkedHashMap<String, IborIndex> forwardIborMap, final LinkedHashMap<String, IndexON> forwardONMap, final LinkedHashMap<String, GeneratorYDCurve> generatorsMap, final InstrumentDerivativeVisitor<MulticurveProviderInterface, MulticurveSensitivity> sensitivityCalculator) { final GeneratorMulticurveProviderForward generator = new GeneratorMulticurveProviderForward(knownData, discountingMap, forwardIborMap, forwardONMap, generatorsMap); final MulticurveProviderForwardBuildingData data = new MulticurveProviderForwardBuildingData(instruments, generator); final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MulticurveProviderForwardFinderJacobian( new ParameterSensitivityMulticurveMatrixCalculator(sensitivityCalculator), data); final DoubleMatrix2D jacobian = jacobianCalculator.evaluate(new DoubleMatrix1D(parameters)); final DoubleMatrix2D inverseJacobian = MATRIX_ALGEBRA.getInverse(jacobian); final double[][] matrixTotal = inverseJacobian.getData(); final DoubleMatrix2D[] result = new DoubleMatrix2D[nbParameters.length]; int startCurve = 0; for (int loopmat = 0; loopmat < nbParameters.length; loopmat++) { final double[][] matrixCurve = new double[nbParameters[loopmat]][matrixTotal.length]; for (int loopparam = 0; loopparam < nbParameters[loopmat]; loopparam++) { matrixCurve[loopparam] = matrixTotal[startBlock + startCurve + loopparam].clone(); } result[loopmat] = new DoubleMatrix2D(matrixCurve); startCurve += nbParameters[loopmat]; } return result; } /** * Build a block of curves. * @param instruments The instruments used for the block calibration. * @param curveGenerators The curve generators (final version). As an array of arrays, representing the units and the curves within the units. * @param curveNames The names of the different curves. As an array of arrays, representing the units and the curves within the units. * @param parametersGuess The initial guess for the parameters. As an array of arrays, representing the units and the parameters for one unit (all the curves of the unit concatenated). * @param knownData The known data (fx rates, other curves, model parameters, ...) * @param discountingMap The discounting curves names map. * @param forwardIborMap The forward curves names map. * @param forwardONMap The forward curves names map. * @param calculator The calculator of the value on which the calibration is done (usually ParSpreadMarketQuoteCalculator (recommended) or converted present value). * @param sensitivityCalculator The parameter sensitivity calculator. * @return A pair with the calibrated yield curve bundle (including the known data) and the CurveBuildingBlckBundle with the relevant inverse Jacobian Matrix. */ public Pair<MulticurveProviderForward, CurveBuildingBlockBundle> makeCurvesFromDerivatives( final InstrumentDerivative[][][] instruments, final GeneratorYDCurve[][] curveGenerators, final String[][] curveNames, final double[][] parametersGuess, final MulticurveProviderForward knownData, final LinkedHashMap<String, Currency> discountingMap, final LinkedHashMap<String, IborIndex> forwardIborMap, final LinkedHashMap<String, IndexON> forwardONMap, final InstrumentDerivativeVisitor<MulticurveProviderInterface, Double> calculator, final InstrumentDerivativeVisitor<MulticurveProviderInterface, MulticurveSensitivity> sensitivityCalculator) { final int nbUnits = curveGenerators.length; final MulticurveProviderForward knownSoFarData = knownData.copy(); final List<InstrumentDerivative> instrumentsSoFar = new ArrayList<>(); final LinkedHashMap<String, GeneratorYDCurve> generatorsSoFar = new LinkedHashMap<>(); final LinkedHashMap<String, Pair<CurveBuildingBlock, DoubleMatrix2D>> unitBundleSoFar = new LinkedHashMap<>(); final List<Double> parametersSoFar = new ArrayList<>(); final LinkedHashMap<String, Pair<Integer, Integer>> unitMap = new LinkedHashMap<>(); int startUnit = 0; for (int loopunit = 0; loopunit < nbUnits; loopunit++) { final int nbCurve = curveGenerators[loopunit].length; final int[] startCurve = new int[nbCurve]; // First parameter index of the curve in the unit. final LinkedHashMap<String, GeneratorYDCurve> gen = new LinkedHashMap<>(); final int[] nbIns = new int[curveGenerators[loopunit].length]; int nbInsUnit = 0; // Number of instruments in the unit. for (int loopcurve = 0; loopcurve < nbCurve; loopcurve++) { startCurve[loopcurve] = nbInsUnit; nbIns[loopcurve] = instruments[loopunit][loopcurve].length; nbInsUnit += nbIns[loopcurve]; instrumentsSoFar.addAll(Arrays.asList(instruments[loopunit][loopcurve])); } final InstrumentDerivative[] instrumentsUnit = new InstrumentDerivative[nbInsUnit]; final InstrumentDerivative[] instrumentsSoFarArray = instrumentsSoFar .toArray(new InstrumentDerivative[instrumentsSoFar.size()]); for (int loopcurve = 0; loopcurve < nbCurve; loopcurve++) { System.arraycopy(instruments[loopunit][loopcurve], 0, instrumentsUnit, startCurve[loopcurve], nbIns[loopcurve]); } for (int loopcurve = 0; loopcurve < nbCurve; loopcurve++) { final GeneratorYDCurve tmp = curveGenerators[loopunit][loopcurve] .finalGenerator(instruments[loopunit][loopcurve]); gen.put(curveNames[loopunit][loopcurve], tmp); generatorsSoFar.put(curveNames[loopunit][loopcurve], tmp); unitMap.put(curveNames[loopunit][loopcurve], new ObjectsPair<>(startUnit + startCurve[loopcurve], nbIns[loopcurve])); } final Pair<MulticurveProviderForward, Double[]> unitCal = makeUnit(instrumentsUnit, parametersGuess[loopunit], knownSoFarData, discountingMap, forwardIborMap, forwardONMap, gen, calculator, sensitivityCalculator); parametersSoFar.addAll(Arrays.asList(unitCal.getSecond())); final DoubleMatrix2D[] mat = makeCurveMatrix(instrumentsSoFarArray, startUnit, nbIns, parametersSoFar.toArray(new Double[parametersSoFar.size()]), knownData, discountingMap, forwardIborMap, forwardONMap, generatorsSoFar, sensitivityCalculator); for (int loopcurve = 0; loopcurve < curveGenerators[loopunit].length; loopcurve++) { unitBundleSoFar.put(curveNames[loopunit][loopcurve], new ObjectsPair<>(new CurveBuildingBlock(unitMap), mat[loopcurve])); } knownSoFarData.setAll(unitCal.getFirst()); startUnit = startUnit + nbInsUnit; } return new ObjectsPair<>(knownSoFarData, new CurveBuildingBlockBundle(unitBundleSoFar)); } }