com.opengamma.strata.pricer.curve.CalibrationMeasures Maven / Gradle / Ivy
/*
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.pricer.curve;
import static com.opengamma.strata.collect.Guavate.toImmutableMap;
import java.util.List;
import com.google.common.collect.ImmutableList;
import com.google.common.collect.ImmutableMap;
import com.google.common.collect.ImmutableSet;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.collect.Messages;
import com.opengamma.strata.collect.array.DoubleArray;
import com.opengamma.strata.market.curve.CurveParameterSize;
import com.opengamma.strata.market.param.CurrencyParameterSensitivities;
import com.opengamma.strata.market.param.CurrencyParameterSensitivity;
import com.opengamma.strata.market.param.UnitParameterSensitivities;
import com.opengamma.strata.pricer.rate.RatesProvider;
import com.opengamma.strata.product.ResolvedTrade;
/**
* Provides access to the measures needed to perform curve calibration.
*
* The most commonly used measures are par spread and converted present value.
*/
public final class CalibrationMeasures {
/**
* The par spread instance, which is the default used in curve calibration.
*
* This computes par spread for Term Deposits, IborFixingDeposit, FRA, Ibor Futures
* Swap and FX Swap by discounting.
*/
public static final CalibrationMeasures PAR_SPREAD = CalibrationMeasures.of(
"ParSpread",
TradeCalibrationMeasure.FRA_PAR_SPREAD,
TradeCalibrationMeasure.FX_SWAP_PAR_SPREAD,
TradeCalibrationMeasure.IBOR_FIXING_DEPOSIT_PAR_SPREAD,
TradeCalibrationMeasure.IBOR_FUTURE_PAR_SPREAD,
TradeCalibrationMeasure.OVERNIGHT_FUTURE_PAR_SPREAD,
TradeCalibrationMeasure.SWAP_PAR_SPREAD,
TradeCalibrationMeasure.TERM_DEPOSIT_PAR_SPREAD);
/**
* The market quote instance, which is the default used in synthetic curve calibration.
*
* This computes par rate for Term Deposits, IborFixingDeposit, FRA and Swap by discounting,
* and price Ibor Futures by discounting.
*/
public static final CalibrationMeasures MARKET_QUOTE = CalibrationMeasures.of(
"MarketQuote",
MarketQuoteMeasure.FRA_MQ,
MarketQuoteMeasure.IBOR_FIXING_DEPOSIT_MQ,
MarketQuoteMeasure.IBOR_FUTURE_MQ,
MarketQuoteMeasure.OVERNIGHT_FUTURE_MQ,
MarketQuoteMeasure.SWAP_MQ,
MarketQuoteMeasure.TERM_DEPOSIT_MQ);
/**
* The present value instance, which is the default used in present value sensitivity to market quote stored during
* curve calibration.
*
* This computes present value for Term Deposits, IborFixingDeposit, FRA and Swap by discounting,
* and price Ibor Futures by discounting; the derivative is the derivative with respect to the market quotes.
*/
public static final CalibrationMeasures PRESENT_VALUE = CalibrationMeasures.of(
"PresentValue",
PresentValueCalibrationMeasure.FRA_PV,
PresentValueCalibrationMeasure.IBOR_FIXING_DEPOSIT_PV,
PresentValueCalibrationMeasure.IBOR_FUTURE_PV,
PresentValueCalibrationMeasure.OVERNIGHT_FUTURE_PV,
PresentValueCalibrationMeasure.SWAP_PV,
PresentValueCalibrationMeasure.TERM_DEPOSIT_PV);
/**
* The name of the set of measures.
*/
private final String name;
/**
* The calibration measure providers keyed by type.
*/
private final ImmutableMap, CalibrationMeasure> measuresByTrade;
//-------------------------------------------------------------------------
/**
* Obtains an instance from a list of individual trade-specific measures.
*
* Each measure must be for a different trade type.
*
* @param name the name of the set of measures
* @param measures the list of measures
* @return the calibration measures
* @throws IllegalArgumentException if a trade type is specified more than once
*/
public static CalibrationMeasures of(String name, List> measures) {
return new CalibrationMeasures(name, measures);
}
/**
* Obtains an instance from a list of individual trade-specific measures.
*
* Each measure must be for a different trade type.
*
* @param name the name of the set of measures
* @param measures the list of measures
* @return the calibration measures
* @throws IllegalArgumentException if a trade type is specified more than once
*/
@SafeVarargs
public static CalibrationMeasures of(String name, CalibrationMeasure... measures) {
return new CalibrationMeasures(name, ImmutableList.copyOf(measures));
}
//-------------------------------------------------------------------------
// restricted constructor
private CalibrationMeasures(String name, List> measures) {
this.name = ArgChecker.notEmpty(name, "name");
this.measuresByTrade = measures.stream()
.collect(toImmutableMap(CalibrationMeasure::getTradeType, m -> m));
}
//-------------------------------------------------------------------------
/**
* Gets the name of the set of measures.
*
* @return the name
*/
public String getName() {
return name;
}
/**
* Gets the supported trade types.
*
* @return the supported trade types
*/
public ImmutableSet> getTradeTypes() {
return measuresByTrade.keySet();
}
//-------------------------------------------------------------------------
/**
* Calculates the value, such as par spread.
*
* The value must be calculated using the specified rates provider.
*
* @param trade the trade
* @param provider the rates provider
* @return the sensitivity
* @throws IllegalArgumentException if the trade cannot be valued
*/
public double value(ResolvedTrade trade, RatesProvider provider) {
CalibrationMeasure measure = getMeasure(trade);
return measure.value(trade, provider);
}
/**
* Calculates the sensitivity with respect to the rates provider.
*
* The result array is composed of the concatenated curve sensitivities from
* all curves currently being processed.
*
* @param trade the trade
* @param provider the rates provider
* @param curveOrder the order of the curves
* @return the sensitivity derivative
*/
public DoubleArray derivative(ResolvedTrade trade, RatesProvider provider, List curveOrder) {
UnitParameterSensitivities unitSens = extractSensitivities(trade, provider);
// expand to a concatenated array
DoubleArray result = DoubleArray.EMPTY;
for (CurveParameterSize curveParams : curveOrder) {
DoubleArray sens = unitSens.findSensitivity(curveParams.getName())
.map(s -> s.getSensitivity())
.orElseGet(() -> DoubleArray.filled(curveParams.getParameterCount()));
result = result.concat(sens);
}
return result;
}
// determine the curve parameter sensitivities, removing the curency
private UnitParameterSensitivities extractSensitivities(ResolvedTrade trade, RatesProvider provider) {
CalibrationMeasure measure = getMeasure(trade);
CurrencyParameterSensitivities paramSens = measure.sensitivities(trade, provider);
UnitParameterSensitivities unitSens = UnitParameterSensitivities.empty();
for (CurrencyParameterSensitivity ccySens : paramSens.getSensitivities()) {
unitSens = unitSens.combinedWith(ccySens.toUnitParameterSensitivity());
}
return unitSens;
}
//-------------------------------------------------------------------------
// finds the correct measure implementation
@SuppressWarnings("unchecked")
private CalibrationMeasure getMeasure(ResolvedTrade trade) {
Class tradeType = trade.getClass();
CalibrationMeasure measure = measuresByTrade.get(tradeType);
if (measure == null) {
throw new IllegalArgumentException(Messages.format(
"Trade type '{}' is not supported for calibration", tradeType.getSimpleName()));
}
// cast makes life easier for the code using this method
return (CalibrationMeasure) measure;
}
//-------------------------------------------------------------------------
@Override
public String toString() {
return name;
}
}