net.finmath.smartcontract.simulation.curvecalibration.CalibrationParserDataPoints Maven / Gradle / Ivy

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package net.finmath.smartcontract.simulation.curvecalibration;

import java.util.Arrays;
import java.util.HashSet;
import java.util.Optional;
import java.util.Set;
import java.util.stream.Stream;

import com.google.common.collect.Streams;

/**
 * Parses calibration data points and converts it to calibration specs
 */
public class CalibrationParserDataPoints implements CalibrationParser {
	private final Set maturityGrid = new HashSet(Arrays.asList(new String[] { "1W", "2W", "3W", "1M", "2M", "3M", "4M", "5M", "6M", "7M", "8M", "9M", "10M", "11M", "12M", "15M", "18M", "2Y", "3Y", "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "15Y", "20Y", "25Y", "30Y", "40Y", "50Y" }));

	@Override
	public Stream parse(final Stream datapoints) {
		return datapoints.flatMap(d -> Streams.stream(parseDatapointIfPresent(d)));
	}

	private Optional parseDatapointIfPresent(final CalibrationDatapoint datapoint) {
		if (!maturityGrid.contains(datapoint.getMaturity()))
		{
			return Optional.empty();
		}

		switch (datapoint.getCurveName()) {
		case "EONIA":
			return Optional.of(new CalibrationSpecProviderOis(datapoint.getMaturity(), "annual", datapoint.getQuote() / 100.0));
		case "Euribor1M":
			return Optional.of(new CalibrationSpecProviderSwap("1M", "monthly", datapoint.getMaturity(), datapoint.getQuote() / 100.0));
		case "Euribor3M":
			return Optional.of(new CalibrationSpecProviderSwap("3M", "quarterly", datapoint.getMaturity(), datapoint.getQuote() / 100.0));
		case "Euribor6M":
			return Optional.of(new CalibrationSpecProviderSwap("6M", "semiannual", datapoint.getMaturity(), datapoint.getQuote() / 100.0));
		default:
			//TODO: Log that we ignore something
			return Optional.empty();
		}
	}
}