net.finmath.smartcontract.valuation.marketdata.curvecalibration.CalibrationSpecProviderFRA Maven / Gradle / Ivy

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package net.finmath.smartcontract.valuation.marketdata.curvecalibration;


import net.finmath.marketdata.calibration.CalibratedCurves;
import net.finmath.time.Schedule;
import net.finmath.time.ScheduleGenerator;
import net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingTARGETHolidays;

/**
 * A calibration spec provider for fras.
 *
 * @author Luca Del Re
 * @author Peter Kohl-Landgraf
 * @author Christian Fries
 */
public class CalibrationSpecProviderFRA implements CalibrationSpecProvider {
	private final String tenorLabel;
	private final String maturityLabel;
	private final double fraRate;
	private final String startOffsetLabel;

	/**
	 * @param tenorLabel    The tenor label of the IBOR.
	 * @param maturityLabel The maturity label provided in months
	 * @param fraRate       The fra rate (use 0.05 for 5%).
	 */
	public CalibrationSpecProviderFRA(final String tenorLabel, final String maturityLabel, final double fraRate) {
		this.tenorLabel = tenorLabel;
		this.maturityLabel = maturityLabel;
		this.fraRate = fraRate;
		int nMonthTenor = Integer.parseInt(tenorLabel.replace("M", ""));
		int nMonthMaturity = Integer.parseInt(maturityLabel.replace("M", ""));
		int nMonthOffset = nMonthMaturity - nMonthTenor;
		this.startOffsetLabel = nMonthOffset + "M";
	}

	@Override
	public CalibratedCurves.CalibrationSpec getCalibrationSpec(final CalibrationContext ctx) {
		final Schedule scheduleInterfaceRec = ScheduleGenerator.createScheduleFromConventions(ctx.getReferenceDate(), 2, startOffsetLabel, tenorLabel, "tenor", "ACT/360", "first", "modfollow", new BusinessdayCalendarExcludingTARGETHolidays(), -2, 0);
		final double calibrationTime = scheduleInterfaceRec.getFixing(scheduleInterfaceRec.getNumberOfPeriods() - 1);

		final String curveName = String.format("forward-EUR-%1$s", tenorLabel);

		return new CalibratedCurves.CalibrationSpec("EUR-" + tenorLabel + maturityLabel, "FRA", scheduleInterfaceRec, curveName, fraRate, "discount-EUR-OIS", null, "", 0.0, null, curveName, calibrationTime);
	}
}