com.opengamma.strata.pricer.curve.SyntheticRatesCurveCalibrator Maven / Gradle / Ivy
/*
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.pricer.curve;
import java.time.LocalDate;
import java.util.ArrayList;
import java.util.HashMap;
import java.util.HashSet;
import java.util.List;
import java.util.Map;
import java.util.Set;
import com.google.common.collect.ImmutableList;
import com.google.common.collect.Sets;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.currency.CurrencyPair;
import com.opengamma.strata.basics.currency.FxRate;
import com.opengamma.strata.basics.index.Index;
import com.opengamma.strata.collect.Messages;
import com.opengamma.strata.collect.timeseries.LocalDateDoubleTimeSeries;
import com.opengamma.strata.data.FxRateId;
import com.opengamma.strata.data.ImmutableMarketData;
import com.opengamma.strata.data.MarketData;
import com.opengamma.strata.data.MarketDataId;
import com.opengamma.strata.market.curve.CurveDefinition;
import com.opengamma.strata.market.curve.CurveNode;
import com.opengamma.strata.market.curve.RatesCurveGroupDefinition;
import com.opengamma.strata.market.curve.RatesCurveGroupEntry;
import com.opengamma.strata.market.observable.IndexQuoteId;
import com.opengamma.strata.market.observable.QuoteId;
import com.opengamma.strata.pricer.rate.ImmutableRatesProvider;
import com.opengamma.strata.pricer.rate.RatesProvider;
import com.opengamma.strata.product.ResolvedTrade;
/**
* Synthetic curve calibrator.
*
* A synthetic curve is a curve calibrated on synthetic instruments.
* A synthetic instrument is an instrument for which a theoretical or synthetic quote
* can be computed from a {@link RatesProvider}.
*
* This curve transformation is often used to have a different risk view or to standardize
* all risk to a common set of instruments, even if they are not the most liquid in a market.
*/
public final class SyntheticRatesCurveCalibrator {
/**
* The standard synthetic curve calibrator.
*
* This uses the standard {@link RatesCurveCalibrator} and {@link CalibrationMeasures}.
*/
private static final SyntheticRatesCurveCalibrator STANDARD = SyntheticRatesCurveCalibrator.of(
RatesCurveCalibrator.standard(), CalibrationMeasures.MARKET_QUOTE);
/**
* The curve calibrator.
*/
private final RatesCurveCalibrator calibrator;
/**
* The market-quotes measures used to produce the synthetic quotes.
*/
private final CalibrationMeasures measures;
//-------------------------------------------------------------------------
/**
* The standard synthetic curve calibrator.
*
* The {@link CalibrationMeasures#MARKET_QUOTE} measures are used for calibration.
* The underlying calibrator is {@link RatesCurveCalibrator#standard()}.
*
* @return the standard synthetic curve calibrator
*/
public static SyntheticRatesCurveCalibrator standard() {
return STANDARD;
}
/**
* Obtains an instance, specifying market quotes measures to use and calibrator.
*
* @param calibrator the mechanism used to calibrate curves once the synthetic market quotes are known
* @param marketQuotesMeasures the measures used to compute the market quotes
* @return the synthetic curve calibrator
*/
public static SyntheticRatesCurveCalibrator of(RatesCurveCalibrator calibrator, CalibrationMeasures marketQuotesMeasures) {
return new SyntheticRatesCurveCalibrator(calibrator, marketQuotesMeasures);
}
// restricted constructor
private SyntheticRatesCurveCalibrator(RatesCurveCalibrator calibrator, CalibrationMeasures marketQuotesMeasures) {
this.measures = marketQuotesMeasures;
this.calibrator = calibrator;
}
//-------------------------------------------------------------------------
/**
* Gets the market quote measures.
*
* @return the measures
*/
public CalibrationMeasures getMeasures() {
return measures;
}
/**
* Gets the curve calibrator.
*
* @return the calibrator
*/
public RatesCurveCalibrator getCalibrator() {
return calibrator;
}
//-------------------------------------------------------------------------
/**
* Calibrates synthetic curves from the configuration of the new curves and an existing rates provider.
*
* @param group the curve group definition for the synthetic curves and instruments
* @param inputProvider the input rates provider
* @param refData the reference data, used to resolve the trades
* @return the rates provider
*/
public ImmutableRatesProvider calibrate(
RatesCurveGroupDefinition group,
RatesProvider inputProvider,
ReferenceData refData) {
// Computes the synthetic market quotes
MarketData marketQuotesSy = marketData(group, inputProvider, refData);
// Calibrate to the synthetic instrument with the synthetic quotes
return calibrator.calibrate(group, marketQuotesSy, refData);
}
/**
* Constructs the synthetic market data from an existing rates provider and the configuration of the new curves.
*
* @param group the curve group definition for the synthetic curves and instruments
* @param inputProvider the input rates provider
* @param refData the reference data, used to resolve the trades
* @return the market data
*/
public ImmutableMarketData marketData(
RatesCurveGroupDefinition group,
RatesProvider inputProvider,
ReferenceData refData) {
// Retrieve the set of required indices and the list of required currencies
Set indicesRequired = new HashSet<>();
List ccyRequired = new ArrayList<>();
for (RatesCurveGroupEntry entry : group.getEntries()) {
indicesRequired.addAll(entry.getIndices());
ccyRequired.addAll(entry.getDiscountCurrencies());
}
// Retrieve the required time series if present in the original provider
Map ts = new HashMap<>();
for (Index idx : Sets.intersection(inputProvider.getTimeSeriesIndices(), indicesRequired)) {
ts.put(IndexQuoteId.of(idx), inputProvider.timeSeries(idx));
}
LocalDate valuationDate = inputProvider.getValuationDate();
ImmutableList curveGroups = group.getCurveDefinitions();
// Generate market quotes from the trades
Map, Object> mapIdSy = new HashMap<>();
// Generate quotes for FX pairs. The first currency is arbitrarily selected as starting point.
// The crosses are automatically generated by the MarketDataFxRateProvider used in calibration.
for (int loopccy = 1; loopccy < ccyRequired.size(); loopccy++) {
CurrencyPair ccyPair = CurrencyPair.of(ccyRequired.get(0), ccyRequired.get(loopccy));
FxRateId fxId = FxRateId.of(ccyPair);
mapIdSy.put(fxId, FxRate.of(ccyPair, inputProvider.fxRate(ccyPair)));
}
// create a synthetic value for each node
for (CurveDefinition entry : curveGroups) {
ImmutableList nodes = entry.getNodes();
for (CurveNode node : nodes) {
ResolvedTrade trade = node.sampleResolvedTrade(valuationDate, inputProvider, refData);
double mq = measures.value(trade, inputProvider);
for (MarketDataId key : node.requirements()) {
if (key instanceof QuoteId) {
mapIdSy.put(key, mq);
}
}
}
}
return ImmutableMarketData.builder(valuationDate)
.addValueMap(mapIdSy)
.addTimeSeriesMap(ts).build();
}
//-------------------------------------------------------------------------
@Override
public String toString() {
return Messages.format("SyntheticCurveCalibrator[{}, {}]", calibrator, measures);
}
}