@tim: Just looked at Bloomberg and they are using
- 3m Libor rates
- Eurodollar futures from Sep 2016 till Dec 2017.(convexity adjusted).
- Swap rates from 2Y - 50Y.
to build a single curve to calculate the DV01. Is this what you mean by a discount and a forward curve in the groups-usd.csv ?
Also, I am getting an exception after loading the 3 curves and running the calculation for floating leg with index = USD_LIBOR_3M
Exception in thread “main” java.lang.IllegalStateException: Unable to get a value from a failure result: yData containing NaN
at com.opengamma.strata.collect.result.Result.getValue(Result.java:610)
My csv files are as given below:
settings-usd.csv
Curve Name,Value Type,Day Count,Interpolator,Left Extrapolator,Right Extrapolator
USD-LIBOR-IRS,df,Act/365F,LogNaturalSplineDiscountFactor,Interpolator,LogLinear
EURODOLLAR-FUTURE,df,Act/365F,LogNaturalSplineDiscountFactor,Interpolator,LogLinear
SWAP-RATES,df,Act/365F,LogNaturalSplineDiscountFactor,Interpolator,LogLinear
groups-usd.csv
Group Name,Curve Type,Reference,Curve Name
SWAP_CURVE,Discount,USD,USD-LIBOR-IRS
SWAP_CURVE,Forward,USD-LIBOR-3M,EURODOLLAR-FUTURE
SWAP_CURVE,Forward,USD-LIBOR-3M,SWAP-RATES
calibrations-usd.csv
Curve Name,Label,Symbology,Ticker,Field Name,Type,Convention,Time,Date,Min Gap,Clash Action,Spread
USD-LIBOR-IRS,USD_LIBOR-IRS-1M,OG-Ticker,USD_LIBOR-IRS-1M,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,1M,
USD-LIBOR-IRS,USD_LIBOR-IRS-2M,OG-Ticker,USD_LIBOR-IRS-2M,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,2M,
USD-LIBOR-IRS,USD_LIBOR-IRS-3M,OG-Ticker,USD_LIBOR-IRS-3M,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,3M,
USD-LIBOR-IRS,USD_LIBOR-IRS-6M,OG-Ticker,USD_LIBOR-IRS-6M,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,6M,
USD-LIBOR-IRS,USD_LIBOR-IRS-1Y,OG-Ticker,USD_LIBOR-IRS-1Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,1Y,
EURODOLLAR-FUTURE,EURODOLLAR-FUTURE-6M,OG-Ticker,EURODOLLAR-FUTURE-6M,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,6M,
EURODOLLAR-FUTURE,EURODOLLAR-FUTURE-9M,OG-Ticker,EURODOLLAR-FUTURE-9M,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,9M,
EURODOLLAR-FUTURE,EURODOLLAR-FUTURE-1Y,OG-Ticker,EURODOLLAR-FUTURE-1Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,1Y,
EURODOLLAR-FUTURE,EURODOLLAR-FUTURE-15M,OG-Ticker,EURODOLLAR-FUTURE-15M,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,15M,
EURODOLLAR-FUTURE,EURODOLLAR-FUTURE-18M,OG-Ticker,EURODOLLAR-FUTURE-18M,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,18M,
EURODOLLAR-FUTURE,EURODOLLAR-FUTURE-21M,OG-Ticker,EURODOLLAR-FUTURE-21M,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,21M,
SWAP-RATES,SWAP-RATES-2Y,OG-Ticker,SWAP-RATES-2Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,2Y,
SWAP-RATES,SWAP-RATES-3Y,OG-Ticker,SWAP-RATES-3Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,3Y,
SWAP-RATES,SWAP-RATES-4Y,OG-Ticker,SWAP-RATES-4Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,4Y,
SWAP-RATES,SWAP-RATES-5Y,OG-Ticker,SWAP-RATES-5Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,5Y,
SWAP-RATES,SWAP-RATES-6Y,OG-Ticker,SWAP-RATES-6Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,6Y,
SWAP-RATES,SWAP-RATES-7Y,OG-Ticker,SWAP-RATES-7Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,7Y,
SWAP-RATES,SWAP-RATES-10Y,OG-Ticker,SWAP-RATES-10Y,MarketValue,IRS,USD-FIXED-6M-LIBOR-3M,10Y,
quotes-usd.csv
Valuation Date,Symbology,Ticker,Field Name,Value
2016-08-15,OG-Ticker,USD_LIBOR-IRS-1M,MarketValue,0.0050665
2016-08-15,OG-Ticker,USD_LIBOR-IRS-2M,MarketValue,0.0063255
2016-08-15,OG-Ticker,USD_LIBOR-IRS-3M,MarketValue,0.0081825
2016-08-15,OG-Ticker,USD_LIBOR-IRS-6M,MarketValue,0.012067
2016-08-15,OG-Ticker,USD_LIBOR-IRS-1Y,MarketValue,0.015257
2016-08-15,OG-Ticker,EURODOLLAR-FUTURE-6M,MarketValue,0.0082727
2016-08-15,OG-Ticker,EURODOLLAR-FUTURE-9M,MarketValue,0.0087891
2016-08-15,OG-Ticker,EURODOLLAR-FUTURE-1Y,MarketValue,0.0090751
2016-08-15,OG-Ticker,EURODOLLAR-FUTURE-15M,MarketValue,0.0094562
2016-08-15,OG-Ticker,EURODOLLAR-FUTURE-18M,MarketValue,0.0097833
2016-08-15,OG-Ticker,EURODOLLAR-FUTURE-21M,MarketValue,0.010256
2016-08-15,OG-Ticker,SWAP-RATES-2Y,MarketValue,0.0095742
2016-08-15,OG-Ticker,SWAP-RATES-3Y,MarketValue,0.0101884
2016-08-15,OG-Ticker,SWAP-RATES-4Y,MarketValue,0.0107997
2016-08-15,OG-Ticker,SWAP-RATES-5Y,MarketValue,0.0114322
2016-08-15,OG-Ticker,SWAP-RATES-6Y,MarketValue,0.0120991
2016-08-15,OG-Ticker,SWAP-RATES-7Y,MarketValue,0.0127277
2016-08-15,OG-Ticker,SWAP-RATES-10Y,MarketValue,0.0143447