{"action":"created","comment":{"url":"https://api.github.com/repos/OpenGamma/Strata/pulls/comments/87432075","pull_request_review_id":8045675,"id":87432075,"diff_hunk":"@@ -0,0 +1,454 @@\n+/**\n+ * Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies\n+ *\n+ * Please see distribution for license.\n+ */\n+package com.opengamma.strata.pricer.credit.cds;\n+\n+import java.time.LocalDate;\n+import java.time.Period;\n+import java.util.ArrayList;\n+import java.util.Arrays;\n+import java.util.List;\n+import java.util.function.Function;\n+\n+import com.google.common.collect.ImmutableList;\n+import com.google.common.collect.ImmutableList.Builder;\n+import com.opengamma.strata.basics.ReferenceData;\n+import com.opengamma.strata.basics.currency.Currency;\n+import com.opengamma.strata.basics.date.BusinessDayAdjustment;\n+import com.opengamma.strata.basics.date.DayCount;\n+import com.opengamma.strata.collect.ArgChecker;\n+import com.opengamma.strata.collect.array.DoubleArray;\n+import com.opengamma.strata.collect.array.DoubleMatrix;\n+import com.opengamma.strata.data.MarketData;\n+import com.opengamma.strata.market.ValueType;\n+import com.opengamma.strata.market.curve.ConstantNodalCurve;\n+import com.opengamma.strata.market.curve.CurveInfoType;\n+import com.opengamma.strata.market.curve.CurveMetadata;\n+import com.opengamma.strata.market.curve.CurveName;\n+import com.opengamma.strata.market.curve.CurveNode;\n+import com.opengamma.strata.market.curve.CurveParameterSize;\n+import com.opengamma.strata.market.curve.DefaultCurveMetadata;\n+import com.opengamma.strata.market.curve.DepositIsdaCreditCurveNode;\n+import com.opengamma.strata.market.curve.InterpolatedNodalCurve;\n+import com.opengamma.strata.market.curve.IsdaCreditCurveNode;\n+import com.opengamma.strata.market.curve.JacobianCalibrationMatrix;\n+import com.opengamma.strata.market.curve.NodalCurve;\n+import com.opengamma.strata.market.curve.SwapIsdaCreditCurveNode;\n+import com.opengamma.strata.market.curve.interpolator.CurveExtrapolators;\n+import com.opengamma.strata.market.curve.interpolator.CurveInterpolators;\n+import com.opengamma.strata.market.param.ParameterMetadata;\n+import com.opengamma.strata.market.param.UnitParameterSensitivities;\n+import com.opengamma.strata.math.impl.matrix.CommonsMatrixAlgebra;\n+import com.opengamma.strata.math.impl.matrix.MatrixAlgebra;\n+import com.opengamma.strata.math.impl.rootfinding.BracketRoot;\n+import com.opengamma.strata.math.impl.rootfinding.NewtonRaphsonSingleRootFinder;\n+\n+/**\n+ * ISDA compliant discount curve calibrator.\n+ * <p>\n+ * A single discounting curve is calibrated for a specified currency.\n+ * <p>\n+ * The curve is defined using two or more {@linkplain CurveNode nodes}.\n+ * Each node primarily defines enough information to produce a reference trade.\n+ * Calibration involves pricing, and re-pricing, these trades to find the best fit using a root finder.\n+ * <p>\n+ * Once calibrated, the curves are then available for use.\n+ * Each node in the curve definition becomes a parameter in the matching output curve.\n+ */\n+public final class IsdaCompliantDiscountCurveCalibrator {\n+\n+  /**\n+   * Default implementation.\n+   */\n+  public static final IsdaCompliantDiscountCurveCalibrator DEFAULT = new IsdaCompliantDiscountCurveCalibrator();\n+\n+  /**\n+   * The matrix algebra used for matrix inversion.\n+   */\n+  private static final MatrixAlgebra MATRIX_ALGEBRA = new CommonsMatrixAlgebra();\n+  /**\n+   * The root bracket finder.\n+   */\n+  private static final BracketRoot BRACKETER = new BracketRoot();\n+  /**\n+   * The root finder.\n+   */\n+  private static final NewtonRaphsonSingleRootFinder ROOT_FINDER = new NewtonRaphsonSingleRootFinder();\n+\n+  //-------------------------------------------------------------------------\n+  /**\n+   * Calibrates the ISDA compliant discount curve to the market data.\n+   * <p>\n+   * This creates the single discount curve for a specified currency.\n+   * The curve nodes should be term deposit or fixed-for-Ibor swap, and the number of nodes should be greater than 1.\n+   * Typically, the term deposit nodes are used for tenor < 1Y and the swap nodes are used otherwise.\n+   * <p>\n+   * It is general that the snap date of the market data is different from the valuation date on which \n+   * the resultant curve will be used for pricing CDSs. {@code valuationDate} in {@code marketData} represents \n+   * the snap date, whereas {@code curveValuationDate} does the date on which a credit instrument will be priced.\n+   * \n+   * @param curveNode  the curve node\n+   * @param curveValuationDate  the curve valuation date\n+   * @param curveDcc  the curve day count\n+   * @param name  the curve name\n+   * @param currency  the currency\n+   * @param marketData  the market data\n+   * @param computeJacobian  the Jacobian matrices are computed if true\n+   * @param refData  the reference data\n+   * @return the ISDA compliant discount curve\n+   */\n+  public IsdaCompliantZeroRateDiscountFactors calibrate(\n+      List<IsdaCreditCurveNode> curveNode,\n+      LocalDate curveValuationDate,\n+      DayCount curveDcc,\n+      CurveName name,\n+      Currency currency,\n+      MarketData marketData,\n+      boolean computeJacobian,\n+      ReferenceData refData) {\n+\n+    ArgChecker.isTrue(curveNode.size() > 1, \"the number of curve nodes must be greater than 1\");\n+    LocalDate curveSnapDate = marketData.getValuationDate();\n+    int nNode = curveNode.size();\n+    BasicFixedLeg[] swapLeg = new BasicFixedLeg[nNode];\n+    double[] termDepositYearFraction = new double[nNode];\n+    double[] curveNodeTime = new double[nNode];\n+    double[] rates = new double[nNode];\n+    Builder<ParameterMetadata> paramMetadata = ImmutableList.builder();\n+    int nTermDeposit = 0;\n+    LocalDate curveSpotDate = null;\n+    for (int i = 0; i < nNode; i++) {\n+      LocalDate cvDateTmp;\n+      IsdaCreditCurveNode node = curveNode.get(i);\n+      rates[i] = marketData.getValue(node.getObservableId());\n+      LocalDate adjMatDate = node.getNodeDate(curveSnapDate, refData);\n+      paramMetadata.add(node.metadata(adjMatDate));\n+      if (node instanceof DepositIsdaCreditCurveNode) {\n+        DepositIsdaCreditCurveNode termDeposit = (DepositIsdaCreditCurveNode) node;\n+        cvDateTmp = termDeposit.getSpotDateOffset().adjust(curveSnapDate, refData);\n+        curveNodeTime[i] = curveDcc.relativeYearFraction(cvDateTmp, adjMatDate);\n+        termDepositYearFraction[i] = termDeposit.getDayCount().relativeYearFraction(cvDateTmp, adjMatDate);\n+        ArgChecker.isTrue(nTermDeposit == i, \"TermDepositCurveNode should not be after FixedIborSwapCurveNode\");\n+        ++nTermDeposit;\n+      } else if (node instanceof SwapIsdaCreditCurveNode) {\n+        SwapIsdaCreditCurveNode swap = (SwapIsdaCreditCurveNode) node;\n+        cvDateTmp = swap.getSpotDateOffset().adjust(curveSnapDate, refData);\n+        curveNodeTime[i] = curveDcc.relativeYearFraction(cvDateTmp, adjMatDate);\n+        BusinessDayAdjustment busAdj = swap.getBusinessDayAdjustment();\n+        swapLeg[i] = new BasicFixedLeg(cvDateTmp, cvDateTmp.plus(swap.getTenor()), swap.getPaymentFrequency().getPeriod(),\n+            swap.getDayCount(), curveDcc, busAdj, refData);\n+      } else {\n+        throw new IllegalArgumentException(\"unsupported cuve node type\");\n+      }\n+      if (i > 0) {\n+        ArgChecker.isTrue(curveNodeTime[i] - curveNodeTime[i - 1] > 0, \"curve nodes should be ascending in terms of tenor\");\n+        ArgChecker.isTrue(cvDateTmp.equals(curveSpotDate), \"spot lag should be common for all of the curve nodes\");\n+      } else {\n+        ArgChecker.isTrue(curveNodeTime[i] >= 0d, \"the first node should be after curve spot date\");\n+        curveSpotDate = cvDateTmp;\n+      }\n+    }\n+    ImmutableList<ParameterMetadata> parameterMetadata = paramMetadata.build();\n+    CurveMetadata baseMetadata = DefaultCurveMetadata.builder()","path":"modules/pricer/src/main/java/com/opengamma/strata/pricer/credit/cds/IsdaCompliantDiscountCurveCalibrator.java","position":154,"original_position":154,"commit_id":"cc239f2201fc070204d4e598abb889142e3c4f97","original_commit_id":"cc239f2201fc070204d4e598abb889142e3c4f97","user":{"login":"yukiiwashita","id":3006656,"avatar_url":"https://avatars.githubusercontent.com/u/3006656?v=3","gravatar_id":"","url":"https://api.github.com/users/yukiiwashita","html_url":"https://github.com/yukiiwashita","followers_url":"https://api.github.com/users/yukiiwashita/followers","following_url":"https://api.github.com/users/yukiiwashita/following{/other_user}","gists_url":"https://api.github.com/users/yukiiwashita/gists{/gist_id}","starred_url":"https://api.github.com/users/yukiiwashita/starred{/owner}{/repo}","subscriptions_url":"https://api.github.com/users/yukiiwashita/subscriptions","organizations_url":"https://api.github.com/users/yukiiwashita/orgs","repos_url":"https://api.github.com/users/yukiiwashita/repos","events_url":"https://api.github.com/users/yukiiwashita/events{/privacy}","received_events_url":"https://api.github.com/users/yukiiwashita/received_events","type":"User","site_admin":false},"body":"Curves.zeroRates(CurveName, DayCount) is used. \r\nThe parameter metadata list is kept separated for the latter purpose. ","created_at":"2016-11-10T16:33:17Z","updated_at":"2016-11-10T16:33:17Z","html_url":"https://github.com/OpenGamma/Strata/pull/1339#discussion_r87432075","pull_request_url":"https://api.github.com/repos/OpenGamma/Strata/pulls/1339","_links":{"self":{"href":"https://api.github.com/repos/OpenGamma/Strata/pulls/comments/87432075"},"html":{"href":"https://github.com/OpenGamma/Strata/pull/1339#discussion_r87432075"},"pull_request":{"href":"https://api.github.com/repos/OpenGamma/Strata/pulls/1339"}}},"pull_request":{"url":"https://api.github.com/repos/OpenGamma/Strata/pulls/1339","id":85811578,"html_url":"https://github.com/OpenGamma/Strata/pull/1339","diff_url":"https://github.com/OpenGamma/Strata/pull/1339.diff","patch_url":"https://github.com/OpenGamma/Strata/pull/1339.patch","issue_url":"https://api.github.com/repos/OpenGamma/Strata/issues/1339","number":1339,"state":"open","locked":false,"title":"Discount curve 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