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Working on historical and MC simulation
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‎pom.xml‎

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<artifactId>gson</artifactId>
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<version>2.11.0</version>
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</dependency>
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<dependency>
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<groupId>org.apache.poi</groupId>
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<artifactId>poi-ooxml</artifactId>
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<version>5.2.5</version>
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</dependency>
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</dependencies>
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<profiles>

‎src/main/java/net/finmath/smartcontract/simulation/InterestRateAnalyticCalibration.java‎

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package net.finmath.smartcontract.simulation;
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import java.time.LocalDate;
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import java.util.ArrayList;
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import java.util.Arrays;
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import java.util.Comparator;
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import java.util.List;
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import java.util.stream.IntStream;
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import java.util.stream.Stream;
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import org.apache.commons.lang3.ArrayUtils;
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import net.finmath.marketdata.calibration.CalibratedCurves;
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import net.finmath.marketdata.model.AnalyticModel;
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import net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols;
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import net.finmath.marketdata.model.curves.Curve;
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import net.finmath.marketdata.model.curves.CurveInterpolation;
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import net.finmath.marketdata.model.curves.DiscountCurveInterpolation;
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import net.finmath.marketdata.model.curves.ForwardCurve;
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import net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve;
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import net.finmath.marketdata.model.curves.ForwardCurveInterpolation;
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import net.finmath.marketdata.model.curves.ForwardCurveWithFixings;
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import net.finmath.optimizer.SolverException;
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import net.finmath.smartcontract.valuation.marketdata.curvecalibration.CalibrationDataItem;
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import net.finmath.time.FloatingpointDate;
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import net.finmath.time.Period;
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import net.finmath.time.Schedule;
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import net.finmath.time.ScheduleFromPeriods;
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import net.finmath.time.ScheduleGenerator;
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import net.finmath.time.businessdaycalendar.BusinessdayCalendar;
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import net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingTARGETHolidays;
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import net.finmath.time.daycount.DayCountConvention_ACT_360;
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public class InterestRateAnalyticCalibration {
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public static String DISCOUNT_EUR_OIS = "discount-EUR-OIS";
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public static String FORWARD_EUR_6M = "forward-EUR-6M";
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private static String FORWARD_EUR_OIS = "forward-EUR-OIS";
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private static String FIXED_EUR_6M = "fixed-EUR-6M";
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private List<CalibrationDataItem> fixings;
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public InterestRateAnalyticCalibration() {
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this.fixings = new ArrayList<>();
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}
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public AnalyticModel getCalibratedModel(LocalDate referenceDate, double[] discountCurveQuotes, double[] forwardCurveQuotes) throws CloneNotSupportedException, SolverException {
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final AnalyticModelFromCurvesAndVols model = new AnalyticModelFromCurvesAndVols(new Curve[] { getDiscountCurveEurOIS(referenceDate), getForwardCurveEurOIS(referenceDate), getForwardCurveEur6M(referenceDate)});
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CalibratedCurves.CalibrationSpec[] specs =
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Stream.of(getCalibrationSpecsEurOIS(referenceDate, discountCurveQuotes), getCalibrationSpecsEur6M(referenceDate, forwardCurveQuotes))
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.flatMap(Arrays::stream)
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.toArray(CalibratedCurves.CalibrationSpec[]::new);
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CalibratedCurves calibratedCurves = new CalibratedCurves(specs, model, 1E-9);
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return calibratedCurves.getModel();
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}
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public void addFixingItem(CalibrationDataItem fixingItem) {
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this.fixings.add(fixingItem);
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}
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private DiscountCurveInterpolation getDiscountCurveEurOIS(LocalDate referenceDate) {
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ArrayList<Double> fixingValuesList = new ArrayList<>();
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ArrayList<Double> fixingTimesList = new ArrayList<>();
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ArrayList<Double> dfList = new ArrayList<>();
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ArrayList<Double> dfTimesList = new ArrayList<>();
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fixings.stream().filter(x -> x.getCurveName().equals("ESTR"))
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.sorted(Comparator.comparing(CalibrationDataItem::getDate).reversed())
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.forEach(x -> {
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double time = FloatingpointDate.getFloatingPointDateFromDate(
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referenceDate,
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x.getDate());
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if (time < 0) {
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fixingTimesList.add(time);
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fixingValuesList.add(365.0 * Math.log(1 + x.getQuote() / 360.0));
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//conversion from 1-day ESTR (ACT/360) to zero-rate (ACT/ACT)
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//see https://quant.stackexchange.com/questions/73522/how-does-bloomberg-calculate-the-discount-rate-from-eur-estr-curve
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}
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});
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// Add initial zero entries for calculations
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fixingTimesList.add(0, 0.0);
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fixingValuesList.add(0, 0.0);
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// Add time zero discount factor
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dfTimesList.add(0, 0.0);
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dfList.add(0, 1.0);
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IntStream.range(1, fixingTimesList.size()).forEach(i -> {
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double df = dfList.get(i - 1) * Math.exp(-fixingValuesList.get(i) * (fixingTimesList.get(i) - fixingTimesList.get(i - 1)));
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dfList.add(df);
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dfTimesList.add(fixingTimesList.get(i));
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});
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boolean[] isParameters = ArrayUtils.toPrimitive(
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IntStream.range(0, dfTimesList.size()).boxed().map(x -> false).toList().toArray(Boolean[]::new));
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double[] dfTimes = dfTimesList.stream().mapToDouble(Double::doubleValue).toArray();
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double[] dfValues = dfList.stream().mapToDouble(Double::doubleValue).toArray();
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return DiscountCurveInterpolation.createDiscountCurveFromDiscountFactors(DISCOUNT_EUR_OIS,
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referenceDate, dfTimes, dfValues, isParameters, CurveInterpolation.InterpolationMethod.LINEAR,
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CurveInterpolation.ExtrapolationMethod.CONSTANT, CurveInterpolation.InterpolationEntity.LOG_OF_VALUE);
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}
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private ForwardCurve getForwardCurveEurOIS(LocalDate referenceDate) {
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final ForwardCurve forwardCurve = new ForwardCurveFromDiscountCurve(FORWARD_EUR_OIS,
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DISCOUNT_EUR_OIS,
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DISCOUNT_EUR_OIS,
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referenceDate,
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"1D",
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new BusinessdayCalendarExcludingTARGETHolidays(),
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BusinessdayCalendar.DateRollConvention.FOLLOWING,
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365.0 / 360.0, 0.0);
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return forwardCurve;
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}
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private ForwardCurve getForwardCurveEur6M(LocalDate referenceDate) {
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double[] fixingTimes = fixings.stream().filter(x -> x.getCurveName().equals("Euribor6M")).map(x -> x.getDate())
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.map(x -> FloatingpointDate.getFloatingPointDateFromDate(referenceDate, x))
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.mapToDouble(Double::doubleValue).sorted().toArray();
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if (fixingTimes.length == 0) { //if there are no fixings return empty curve
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return new ForwardCurveInterpolation(FORWARD_EUR_6M,
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referenceDate,
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"6M",
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new BusinessdayCalendarExcludingTARGETHolidays(),
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BusinessdayCalendar.DateRollConvention.FOLLOWING,
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CurveInterpolation.InterpolationMethod.LINEAR,
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CurveInterpolation.ExtrapolationMethod.CONSTANT,
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CurveInterpolation.InterpolationEntity.VALUE,
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ForwardCurveInterpolation.InterpolationEntityForward.FORWARD,
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DISCOUNT_EUR_OIS);
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}
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double[] fixingValues = fixings.stream().filter(x -> x.getCurveName().equals("Euribor6M"))
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.sorted(Comparator.comparing(CalibrationDataItem::getDate)).map(CalibrationDataItem::getQuote)
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.mapToDouble(Double::doubleValue).toArray();
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ForwardCurve fixedPart = ForwardCurveInterpolation.createForwardCurveFromForwards(FIXED_EUR_6M,
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referenceDate,
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"6M",
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new BusinessdayCalendarExcludingTARGETHolidays(),
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BusinessdayCalendar.DateRollConvention.FOLLOWING,
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CurveInterpolation.InterpolationMethod.LINEAR,
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CurveInterpolation.ExtrapolationMethod.CONSTANT,
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CurveInterpolation.InterpolationEntity.VALUE,
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ForwardCurveInterpolation.InterpolationEntityForward.FORWARD,
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DISCOUNT_EUR_OIS, null, fixingTimes, fixingValues);
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ForwardCurve forwardPart = new ForwardCurveInterpolation(FORWARD_EUR_6M,
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referenceDate,
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"6M",
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new BusinessdayCalendarExcludingTARGETHolidays(),
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BusinessdayCalendar.DateRollConvention.FOLLOWING,
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CurveInterpolation.InterpolationMethod.LINEAR,
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CurveInterpolation.ExtrapolationMethod.CONSTANT,
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CurveInterpolation.InterpolationEntity.VALUE,
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ForwardCurveInterpolation.InterpolationEntityForward.FORWARD,
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DISCOUNT_EUR_OIS);
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// this is a dirty-ish fix: if the extrema of the fixed part lay exactly on the time specified by the data point,
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// some weird jumpiness occurs... TODO: mayb there's a smarter solution
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return new ForwardCurveWithFixings(forwardPart, fixedPart,
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Arrays.stream(fixingTimes).min().orElseThrow() - 1.0 / 365.0,
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Arrays.stream(fixingTimes).max().orElseThrow() + 1.0 / 365.0);
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}
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private static CalibratedCurves.CalibrationSpec[] getCalibrationSpecsEurOIS(LocalDate referenceDate, double[] quotes) {
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final String[] maturities = { "1D", "7D", "14D", "21D", "1M", "2M", "3M", "4M", "5M", "6M", "7M", "8M", "9M", "10M", "11M", "1Y", "15M", "18M", "21M", "2Y", "3Y", "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "12Y", "15Y", "20Y", "25Y", "30Y"};
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final String[] frequency = { "tenor", "annual", "annual", "annual", "annual", "annual", "annual", "annual", "annual", "annual", "annual", "annual", "annual", "annual", "annual", "annual", "annual", "annual", "annual", "annual", "annual", "annual", "annual", "annual", "annual", "annual", "annual", "annual", "annual", "annual", "annual", "annual", "annual"};
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CalibratedCurves.CalibrationSpec[] specs = new CalibratedCurves.CalibrationSpec[maturities.length];
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BusinessdayCalendar calendar = new BusinessdayCalendarExcludingTARGETHolidays();
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// The first product is an overnight cash deposit, followed by 32 swaps
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Schedule scheduleInterfaceRec = ScheduleGenerator.createScheduleFromConventions(referenceDate, 0, "0D", maturities[0], frequency[0], "ACT/360", "first", "follow", calendar, 0, 0);
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double calibrationTime = scheduleInterfaceRec.getPayment(scheduleInterfaceRec.getNumberOfPeriods() - 1);
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specs[0] = new CalibratedCurves.CalibrationSpec(String.format("EUR-OIS-%1$s", maturities[0]), "Deposit", scheduleInterfaceRec, FORWARD_EUR_OIS, quotes[0], DISCOUNT_EUR_OIS, null, "", 0.0, DISCOUNT_EUR_OIS, DISCOUNT_EUR_OIS, calibrationTime);
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// OIS ESTR Swaps
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for (int i=1; i < quotes.length; i++) {
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Schedule scheduleRec = ScheduleGenerator.createScheduleFromConventions(referenceDate, 2, "0D", maturities[i], frequency[i], "ACT/360", "first", "modified_following", calendar, 0, 1);
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Schedule schedulePay = ScheduleGenerator.createScheduleFromConventions(referenceDate, 2, "0D", maturities[i], frequency[i], "ACT/360", "first", "modified_following", calendar, 0, 1);
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calibrationTime = scheduleRec.getPayment(scheduleRec.getNumberOfPeriods() - 1);
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specs[i] = new CalibratedCurves.CalibrationSpec(String.format("EUR-OIS-%1$s", maturities[i]), "Swap", scheduleRec, FORWARD_EUR_OIS, 0.0, DISCOUNT_EUR_OIS, schedulePay, "", quotes[i], DISCOUNT_EUR_OIS, DISCOUNT_EUR_OIS, calibrationTime);
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}
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return specs;
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}
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private static CalibratedCurves.CalibrationSpec[] getCalibrationSpecsEur6M(LocalDate referenceDate, double[] quotes) {
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final String tenorLabel = "6M";
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final String[] maturities = { "7M", "8M", "9M", "10M", "12M", "15M", "18M", "2Y", "3Y", "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "12Y", "15Y", "20Y", "25Y", "30Y"};
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final String[] frequencyFloat = { "", "", "", "", "", "", "", "semiannual", "semiannual", "semiannual", "semiannual", "semiannual", "semiannual", "semiannual", "semiannual", "semiannual", "semiannual", "semiannual", "semiannual", "semiannual", "semiannual"};
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final String[] frequency = { "tenor", "tenor", "tenor", "tenor", "tenor", "tenor", "tenor", "annual", "annual", "annual", "annual", "annual", "annual", "annual", "annual", "annual", "annual", "annual", "annual", "annual", "annual"};
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final String[] daycountConventionsFloat = { "", "", "", "", "", "", "", "ACT/360", "ACT/360", "ACT/360", "ACT/360", "ACT/360", "ACT/360", "ACT/360", "ACT/360", "ACT/360", "ACT/360", "ACT/360", "ACT/360", "ACT/360", "ACT/360"};
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final String[] daycountConventions = { "ACT/360", "ACT/360", "ACT/360", "ACT/360", "ACT/360", "ACT/360", "ACT/360", "E30/360", "E30/360", "E30/360", "E30/360", "E30/360", "E30/360", "E30/360", "E30/360", "E30/360", "E30/360", "E30/360", "E30/360", "E30/360", "E30/360"};
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CalibratedCurves.CalibrationSpec[] specs = new CalibratedCurves.CalibrationSpec[maturities.length];
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BusinessdayCalendar calendar = new BusinessdayCalendarExcludingTARGETHolidays();
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// The first 7 product are FRAs, followed by 14 swaps
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for (int i=0; i < 8; i++) {
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int nMonthMaturity = Integer.parseInt(maturities[i].replace("M", ""));
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int nMonthOffset = nMonthMaturity - Integer.parseInt(tenorLabel.replace("M", ""));
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String startOffsetLabel = nMonthOffset + "M";
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Schedule scheduleInterfacePrelim = ScheduleGenerator.createScheduleFromConventions(referenceDate, 2, startOffsetLabel, tenorLabel, frequency[i], daycountConventions[i], "first", "follow", calendar, -2, 0);
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LocalDate periodStartDate = scheduleInterfacePrelim.getPeriod(0).getPeriodStart();
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LocalDate paymentDate = scheduleInterfacePrelim.getPeriod(0).getPayment();
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LocalDate fixingDate = scheduleInterfacePrelim.getPeriod(0).getFixing();
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LocalDate periodEndDate = calendar.getAdjustedDate(periodStartDate, tenorLabel, BusinessdayCalendar.DateRollConvention.FOLLOWING);
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Period period = new Period(fixingDate, paymentDate, periodStartDate, periodEndDate);
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Schedule scheduleInterfaceFinal = new ScheduleFromPeriods(referenceDate, new DayCountConvention_ACT_360(), period);
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double calibrationTime = scheduleInterfaceFinal.getFixing(scheduleInterfaceFinal.getNumberOfPeriods() - 1);
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// Check correctness of discountCurvePayerName = null
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specs[i] = new CalibratedCurves.CalibrationSpec("EUR-" + tenorLabel + maturities[i], "FRA", scheduleInterfaceFinal, FORWARD_EUR_6M, quotes[i], DISCOUNT_EUR_OIS, null, "", 0.0, null, FORWARD_EUR_6M, calibrationTime);
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}
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// 6M Swaps
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for (int i=8; i < quotes.length; i++) {
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Schedule scheduleInterfaceRec = ScheduleGenerator.createScheduleFromConventions(referenceDate, 2, "0D", maturities[i], frequencyFloat[i], daycountConventionsFloat[i], "first", "modfollow", new BusinessdayCalendarExcludingTARGETHolidays(), -2, 0);
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Schedule scheduleInterfacePay = ScheduleGenerator.createScheduleFromConventions(referenceDate, 2, "0D", maturities[i], frequency[i], daycountConventions[i], "first", "modfollow", new BusinessdayCalendarExcludingTARGETHolidays(), -2, 0);
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double calibrationTime = scheduleInterfaceRec.getFixing(scheduleInterfaceRec.getNumberOfPeriods() - 1);
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specs[i] = new CalibratedCurves.CalibrationSpec("EUR-" + tenorLabel + maturities[i], "Swap", scheduleInterfaceRec, FORWARD_EUR_6M, 0.0, DISCOUNT_EUR_OIS, scheduleInterfacePay, "", quotes[i], DISCOUNT_EUR_OIS, FORWARD_EUR_6M, calibrationTime);
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}
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return specs;
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}
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}

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