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crossassetmodeldata.cpp
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1/*
2 Copyright (C) 2016 Quaternion Risk Management Ltd
3 All rights reserved.
4
5 This file is part of ORE, a free-software/open-source library
6 for transparent pricing and risk analysis - http://opensourcerisk.org
7
8 ORE is free software: you can redistribute it and/or modify it
9 under the terms of the Modified BSD License. You should have received a
10 copy of the license along with this program.
11 The license is also available online at <http://opensourcerisk.org>
12
13 This program is distributed on the basis that it will form a useful
14 contribution to risk analytics and model standardisation, but WITHOUT
15 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
16 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
17*/
18
19#include <boost/test/unit_test.hpp>
20#include <oret/datapaths.hpp>
21#include <oret/fileutilities.hpp>
22#include <oret/toplevelfixture.hpp>
23
24#include <ored/model/irlgmdata.hpp>
25
26#include <ored/model/calibrationinstruments/cpicapfloor.hpp>
27#include <ored/model/crossassetmodeldata.hpp>
28#include <ored/model/inflation/infdkdata.hpp>
29#include <ored/utilities/correlationmatrix.hpp>
30
31using namespace QuantLib;
32using namespace QuantExt;
33using namespace boost::unit_test_framework;
34using namespace std;
35using namespace ore;
36using namespace ore::data;
37
38using ore::test::TopLevelFixture;
39
40namespace {
41
42QuantLib::ext::shared_ptr<vector<QuantLib::ext::shared_ptr<IrModelData>>> irConfigsData() {
43
44 // Create three instances
45 QuantLib::ext::shared_ptr<IrLgmData> lgmData1(new data::IrLgmData());
46 QuantLib::ext::shared_ptr<IrLgmData> lgmData2(new data::IrLgmData());
47 QuantLib::ext::shared_ptr<IrLgmData> lgmData3(new data::IrLgmData());
48
49 vector<std::string> expiries = {"1Y", "2Y", "36M"};
50 vector<std::string> terms = {"5Y", "2Y", "6M"};
51 vector<std::string> strikes = {"ATM", "ATM", "ATM"};
52
53 // First instance
54 lgmData1->qualifier() = "EUR";
55
56 lgmData1->calibrationType() = parseCalibrationType("BOOTSTRAP");
57 lgmData1->reversionType() = parseReversionType("HULLWHITE");
58 lgmData1->volatilityType() = parseVolatilityType("HAGAN");
59 std::vector<Time> hTimes = {1.0, 2.0, 3.0, 4.0};
60 std::vector<Real> hValues = {1.0, 2.0, 3.0, 4.0};
61 std::vector<Time> aTimes = {1.0, 2.0, 3.0, 4.0};
62 std::vector<Real> aValues = {1.0, 2.0, 3.0, 4.0};
63
64 lgmData1->calibrateH() = false;
65 lgmData1->hParamType() = parseParamType("PIECEWISE");
66
67 lgmData1->hTimes() = hTimes;
68
69 lgmData1->hValues() = hValues;
70
71 lgmData1->calibrateA() = false;
72 lgmData1->aParamType() = parseParamType("PIECEWISE");
73 lgmData1->aTimes() = aTimes;
74 lgmData1->aValues() = aValues;
75 lgmData1->shiftHorizon() = 1.0;
76
77 lgmData1->optionExpiries() = expiries;
78 lgmData1->optionTerms() = terms;
79 lgmData1->optionStrikes() = strikes;
80
81 lgmData1->scaling() = 1.0;
82
83 // Second instance
84 lgmData2->qualifier() = "USD";
85
86 lgmData2->calibrationType() = parseCalibrationType("BOOTSTRAP");
87 lgmData2->reversionType() = parseReversionType("HULLWHITE");
88 lgmData2->volatilityType() = parseVolatilityType("HAGAN");
89
90 lgmData2->calibrateH() = false;
91 lgmData2->hParamType() = parseParamType("PIECEWISE");
92 lgmData2->hTimes() = hTimes;
93 lgmData2->hValues() = hValues;
94
95 lgmData2->calibrateA() = false;
96 lgmData2->aParamType() = parseParamType("PIECEWISE");
97
98 lgmData2->aTimes() = aTimes;
99 lgmData2->aValues() = aValues;
100 lgmData2->shiftHorizon() = 1.0;
101
102 lgmData2->optionExpiries() = expiries;
103 lgmData2->optionTerms() = terms;
104 lgmData2->optionStrikes() = strikes;
105
106 lgmData2->scaling() = 1.0;
107
108 // Third instance
109 lgmData3->qualifier() = "JPY";
110
111 lgmData3->calibrationType() = parseCalibrationType("BOOTSTRAP");
112 lgmData3->reversionType() = parseReversionType("HULLWHITE");
113 lgmData3->volatilityType() = parseVolatilityType("HAGAN");
114
115 lgmData3->calibrateH() = false;
116 lgmData3->hParamType() = parseParamType("PIECEWISE");
117 lgmData3->hTimes() = hTimes;
118 lgmData3->hValues() = hValues;
119
120 lgmData3->calibrateA() = false;
121 lgmData3->aParamType() = parseParamType("PIECEWISE");
122
123 lgmData3->aTimes() = aTimes;
124 lgmData3->aValues() = aValues;
125 lgmData3->shiftHorizon() = 1.0;
126
127 lgmData3->optionExpiries() = expiries;
128 lgmData3->optionTerms() = terms;
129 lgmData3->optionStrikes() = strikes;
130
131 lgmData3->scaling() = 1.0;
132
133 QuantLib::ext::shared_ptr<vector<QuantLib::ext::shared_ptr<IrModelData>>> lgmDataVector(new vector<QuantLib::ext::shared_ptr<IrModelData>>);
134 *lgmDataVector = {lgmData1, lgmData2, lgmData3};
135 return lgmDataVector;
136}
137
138vector<QuantLib::ext::shared_ptr<InflationModelData>> infConfigsData() {
139
140 // TODO: Replacing the data that was here for now. It doesn't make sense.
141
142 vector<QuantLib::ext::shared_ptr<CalibrationInstrument>> instruments;
143 vector<Period> expiries = { 1 * Years, 2 * Years, 36 * Months };
144 auto strike = QuantLib::ext::make_shared<AbsoluteStrike>(0.03);
145 for (const Period& expiry : expiries) {
146 instruments.push_back(QuantLib::ext::make_shared<CpiCapFloor>(CapFloor::Floor, expiry, strike));
147 }
148 CalibrationBasket cb(instruments);
149 vector<CalibrationBasket> calibrationBaskets = { cb };
150
151 ReversionParameter reversion(LgmData::ReversionType::HullWhite, false, ParamType::Piecewise,
152 { 1.0, 2.0, 3.0, 4.0 }, { 1.0, 2.0, 3.0, 4.0, 4.0 });
153
154 VolatilityParameter volatility(LgmData::VolatilityType::Hagan, false, ParamType::Piecewise,
155 { 1.0, 2.0, 3.0, 4.0 }, { 1.0, 2.0, 3.0, 4.0, 4.0 });
156
157 LgmReversionTransformation rt(1.0, 1.0);
158
159 QuantLib::ext::shared_ptr<InfDkData> data = QuantLib::ext::make_shared<InfDkData>(CalibrationType::Bootstrap, calibrationBaskets,
160 "EUR", "EUHICPXT", reversion, volatility, rt);
161
162 return {data};
163}
164
165QuantLib::ext::shared_ptr<vector<QuantLib::ext::shared_ptr<FxBsData>>> fxConfigsData() {
166
167 // Create two instances
168 QuantLib::ext::shared_ptr<FxBsData> fxBsData1(new data::FxBsData());
169 QuantLib::ext::shared_ptr<FxBsData> fxBsData2(new data::FxBsData());
170
171 vector<std::string> expiries = {"1Y", "2Y", "36M"};
172 vector<std::string> strikes = {"ATMF", "ATMF", "ATMF"};
173 std::vector<Time> times = {1.0, 2.0, 3.0, 4.0};
174
175 // First instance
176 fxBsData1->foreignCcy() = "USD";
177 fxBsData1->domesticCcy() = "EUR";
178 fxBsData1->calibrationType() = parseCalibrationType("BOOTSTRAP");
179 fxBsData1->calibrateSigma() = true;
180 fxBsData1->sigmaParamType() = parseParamType("CONSTANT");
181 fxBsData1->sigmaTimes() = times;
182 fxBsData1->optionExpiries() = expiries;
183 fxBsData1->optionStrikes() = strikes;
184
185 // Second instance
186 fxBsData2->foreignCcy() = "JPY";
187 fxBsData2->domesticCcy() = "EUR";
188 fxBsData2->calibrationType() = parseCalibrationType("BOOTSTRAP");
189 fxBsData2->calibrateSigma() = true;
190 fxBsData2->sigmaParamType() = parseParamType("CONSTANT");
191 fxBsData2->sigmaTimes() = times;
192 fxBsData2->optionExpiries() = expiries;
193 fxBsData2->optionStrikes() = strikes;
194
195 QuantLib::ext::shared_ptr<vector<QuantLib::ext::shared_ptr<FxBsData>>> fxBsDataVector(new vector<QuantLib::ext::shared_ptr<FxBsData>>);
196 *fxBsDataVector = {fxBsData1, fxBsData2};
197 return fxBsDataVector;
198}
199
200QuantLib::ext::shared_ptr<vector<QuantLib::ext::shared_ptr<EqBsData>>> eqConfigsData() {
201
202 // Create two instances
203 QuantLib::ext::shared_ptr<EqBsData> eqBsData1(new data::EqBsData());
204
205 vector<std::string> expiries = {"1Y", "2Y", "36M"};
206 vector<std::string> strikes = {"ATMF", "ATMF", "ATMF"};
207 std::vector<Time> times = {1.0, 2.0, 3.0, 4.0};
208
209 // First instance
210 eqBsData1->eqName() = "SP5";
211 eqBsData1->currency() = "EUR";
212 eqBsData1->calibrationType() = parseCalibrationType("BOOTSTRAP");
213 eqBsData1->calibrateSigma() = true;
214 eqBsData1->sigmaParamType() = parseParamType("CONSTANT");
215 eqBsData1->sigmaTimes() = times;
216 eqBsData1->optionExpiries() = expiries;
217 eqBsData1->optionStrikes() = strikes;
218
219 QuantLib::ext::shared_ptr<vector<QuantLib::ext::shared_ptr<EqBsData>>> eqBsDataVector(new vector<QuantLib::ext::shared_ptr<EqBsData>>);
220 *eqBsDataVector = {eqBsData1};
221 return eqBsDataVector;
222}
223
224QuantLib::ext::shared_ptr<vector<QuantLib::ext::shared_ptr<CrLgmData>>> crLgmConfigsData() {
225
226 // Create three instances
227 QuantLib::ext::shared_ptr<CrLgmData> lgmData(new data::CrLgmData());
228
229 lgmData->name() = "ItraxxEuropeS9V1";
230
231 lgmData->calibrationType() = parseCalibrationType("BOOTSTRAP");
232 lgmData->reversionType() = parseReversionType("HULLWHITE");
233 lgmData->volatilityType() = parseVolatilityType("HAGAN");
234 std::vector<Time> hTimes = {1.0, 2.0, 3.0, 4.0};
235 std::vector<Real> hValues = {1.0, 2.0, 3.0, 4.0};
236 std::vector<Time> aTimes = {1.0, 2.0, 3.0, 4.0};
237 std::vector<Real> aValues = {1.0, 2.0, 3.0, 4.0};
238
239 lgmData->calibrateH() = false;
240 lgmData->hParamType() = parseParamType("CONSTANT");
241
242 lgmData->hTimes() = hTimes;
243
244 lgmData->hValues() = hValues;
245
246 lgmData->calibrateA() = false;
247 lgmData->aParamType() = parseParamType("CONSTANT");
248 lgmData->aTimes() = aTimes;
249 lgmData->aValues() = aValues;
250 lgmData->shiftHorizon() = 1.0;
251
252 lgmData->scaling() = 1.0;
253
254 QuantLib::ext::shared_ptr<vector<QuantLib::ext::shared_ptr<CrLgmData>>> lgmDataVector(new vector<QuantLib::ext::shared_ptr<CrLgmData>>);
255 *lgmDataVector = {lgmData};
256 return lgmDataVector;
257}
258
259QuantLib::ext::shared_ptr<vector<QuantLib::ext::shared_ptr<CrCirData>>> crCirConfigsData() {
260
261 // Create three instances
262 QuantLib::ext::shared_ptr<CrCirData> cirData(new data::CrCirData());
263
264 cirData->name() = "CDX.NA.S33v1";
265
266 cirData->currency() = "USD";
267 cirData->calibrationType() = parseCalibrationType("None");
268 cirData->calibrationStrategy() = parseCirCalibrationStrategy("None");
269 cirData->startValue() = 0.1;
270 cirData->reversionValue() = 0.1;
271 cirData->longTermValue() = 0.1;
272 cirData->volatility() = 0.1;
273 cirData->relaxedFeller() = true;
274 cirData->fellerFactor() = 1.1;
275 cirData->tolerance() = 1e-8;
276
277 QuantLib::ext::shared_ptr<vector<QuantLib::ext::shared_ptr<CrCirData>>> cirDataVector(new vector<QuantLib::ext::shared_ptr<CrCirData>>);
278 *cirDataVector = {cirData};
279 return cirDataVector;
280}
281
282QuantLib::ext::shared_ptr<data::CrossAssetModelData> crossAssetData() {
283
284 QuantLib::ext::shared_ptr<data::CrossAssetModelData> crossAssetData(new data::CrossAssetModelData());
285
286 crossAssetData->domesticCurrency() = "EUR";
287 crossAssetData->currencies() = {"EUR", "USD", "JPY"}; // need to check how to set this up
288 crossAssetData->equities() = {"SP5"};
289 crossAssetData->infIndices() = {"EUHICPXT"};
290 crossAssetData->creditNames() = {"ItraxxEuropeS9V1", "CDX.NA.S33v1"};
291 crossAssetData->irConfigs() = *irConfigsData();
292 crossAssetData->fxConfigs() = *fxConfigsData();
293 crossAssetData->eqConfigs() = *eqConfigsData();
294 crossAssetData->infConfigs() = infConfigsData();
295 crossAssetData->crLgmConfigs() = *crLgmConfigsData();
296 crossAssetData->crCirConfigs() = *crCirConfigsData();
297
298 CorrelationMatrixBuilder cmb;
299 cmb.addCorrelation("IR:EUR", "IR:USD", 1.0);
300 cmb.addCorrelation("IR:EUR", "IR:JPY", 1.0);
301 cmb.addCorrelation("IR:USD", "IR:JPY", 1.0);
302 cmb.addCorrelation("INF:EUHICPXT", "IR:EUR", 1.0);
303 cmb.addCorrelation("IR:EUR", "CR:ItraxxEuropeS9V1", 1.0);
304 cmb.addCorrelation("IR:USD", "CR:CDX.NA.S33v1", 1.0);
305 cmb.addCorrelation("CR:ItraxxEuropeS9V1", "CR:CDX.NA.S33v1", 1.0);
306
307 crossAssetData->setCorrelations(cmb.correlations());
308
309 crossAssetData->bootstrapTolerance() = 0.001;
310
311 return crossAssetData;
312}
313
314// Fixture to remove output files
315class F : public TopLevelFixture {
316public:
317 F() {}
318 ~F() { clearOutput(TEST_OUTPUT_PATH); }
319};
320} // namespace
321
322BOOST_FIXTURE_TEST_SUITE(OREDataTestSuite, TopLevelFixture)
323
324BOOST_FIXTURE_TEST_SUITE(CrossAssetModelDataTests, F)
325
326BOOST_AUTO_TEST_CASE(testToXMLFromXML) {
327
328 BOOST_TEST_MESSAGE("Testing toXML/fromXML...");
329
330 data::CrossAssetModelData data = *crossAssetData();
331 XMLDocument OutDoc;
332
333 XMLNode* simulationNode = OutDoc.allocNode("Simulation");
334 OutDoc.appendNode(simulationNode);
335
336 XMLNode* crossAssetModelNode = data.toXML(OutDoc);
337 XMLUtils::appendNode(simulationNode, crossAssetModelNode);
338
339 std::string filename = TEST_OUTPUT_FILE("simulationtest.xml");
340 OutDoc.toFile(filename);
341
342 data::CrossAssetModelData newData;
343 newData.fromFile(filename);
344
345 BOOST_CHECK(data == newData);
346
347 newData.irConfigs() = {};
348 BOOST_CHECK(data != newData);
349}
350
351BOOST_AUTO_TEST_SUITE_END()
352
353BOOST_AUTO_TEST_SUITE_END()
ore::data::CorrelationMatrixBuilder::addCorrelation
void addCorrelation(const std::string &factor1, const std::string &factor2, QuantLib::Real correlation)
ore::data::CorrelationMatrixBuilder::correlations
const std::map< CorrelationKey, QuantLib::Handle< QuantLib::Quote > > & correlations()
Get the raw correlation data.
Definition: correlationmatrix.cpp:299
ore::data::CrLgmData
CR LGM Model Parameters.
Definition: crlgmdata.hpp:48
ore::data::CrossAssetModelData
Cross Asset Model Parameters.
Definition: crossassetmodeldata.hpp:115
ore::data::CrossAssetModelData::irConfigs
const vector< QuantLib::ext::shared_ptr< IrModelData > > & irConfigs() const
Definition: crossassetmodeldata.hpp:224
ore::data::EqBsData
EQ Model Parameters.
Definition: eqbsdata.hpp:50
ore::data::FxBsData
FX Model Parameters.
Definition: fxbsdata.hpp:50
ore::data::IrLgmData
INF Model Parameters.
Definition: irlgmdata.hpp:51
ore::data::XMLDocument
Small XML Document wrapper class.
Definition: xmlutils.hpp:65
ore::data::XMLDocument::appendNode
void appendNode(XMLNode *)
Definition: xmlutils.cpp:118
ore::data::XMLDocument::allocNode
XMLNode * allocNode(const string &nodeName)
util functions that wrap rapidxml
Definition: xmlutils.cpp:132
ore::data::XMLDocument::toFile
void toFile(const string &filename) const
save the XML Document to the given file.
Definition: xmlutils.cpp:120
ore::data::XMLSerializable::fromFile
void fromFile(const std::string &filename)
Definition: xmlutils.cpp:150
ore::data::XMLUtils::appendNode
static void appendNode(XMLNode *parent, XMLNode *child)
Definition: xmlutils.cpp:406
rapidxml::xml_node
XML Node.
Definition: xmlutils.hpp:43
correlationmatrix.hpp
configuration class for building correlation matrices
crossassetmodeldata.hpp
Cross asset model data.
infdkdata.hpp
Dodgson Kainth inflation model component data for the cross asset model.
irlgmdata.hpp
IR component data for the cross asset model.
data
@ data
Definition: log.hpp:77
cpicapfloor.hpp
class for holding details of a zero coupon CPI cap floor calibration instrument.
ore::data::parseCalibrationType
CalibrationType parseCalibrationType(const string &s)
Convert calibration type string into enumerated class value.
Definition: irmodeldata.cpp:47
ore::data::parseParamType
ParamType parseParamType(const string &s)
Convert parameter type string into enumerated class value.
Definition: irmodeldata.cpp:38
ore::data::parseCirCalibrationStrategy
CrCirData::CalibrationStrategy parseCirCalibrationStrategy(const string &s)
Definition: crcirdata.cpp:42
ore::data::parseReversionType
LgmData::ReversionType parseReversionType(const string &s)
Enum parsers.
Definition: lgmdata.cpp:62
ore::data::parseVolatilityType
LgmData::VolatilityType parseVolatilityType(const string &s)
Definition: lgmdata.cpp:81
ore
Serializable Credit Default Swap.
Definition: namespaces.docs:23
strikes
vector< Real > strikes
BOOST_AUTO_TEST_CASE
BOOST_AUTO_TEST_CASE(testToXMLFromXML)
Definition: crossassetmodeldata.cpp:326
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