FRAMarketComponent.java
package org.drip.product.fra;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2020 Lakshmi Krishnamurthy
* Copyright (C) 2019 Lakshmi Krishnamurthy
* Copyright (C) 2018 Lakshmi Krishnamurthy
* Copyright (C) 2017 Lakshmi Krishnamurthy
* Copyright (C) 2016 Lakshmi Krishnamurthy
* Copyright (C) 2015 Lakshmi Krishnamurthy
* Copyright (C) 2014 Lakshmi Krishnamurthy
*
* This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
* asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
* analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
* equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
* numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
* and computational support.
*
* https://lakshmidrip.github.io/DROP/
*
* DROP is composed of three modules:
*
* - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
* - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
* - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
*
* DROP Product Core implements libraries for the following:
* - Fixed Income Analytics
* - Loan Analytics
* - Transaction Cost Analytics
*
* DROP Portfolio Core implements libraries for the following:
* - Asset Allocation Analytics
* - Asset Liability Management Analytics
* - Capital Estimation Analytics
* - Exposure Analytics
* - Margin Analytics
* - XVA Analytics
*
* DROP Computational Core implements libraries for the following:
* - Algorithm Support
* - Computation Support
* - Function Analysis
* - Model Validation
* - Numerical Analysis
* - Numerical Optimizer
* - Spline Builder
* - Statistical Learning
*
* Documentation for DROP is Spread Over:
*
* - Main => https://lakshmidrip.github.io/DROP/
* - Wiki => https://github.com/lakshmiDRIP/DROP/wiki
* - GitHub => https://github.com/lakshmiDRIP/DROP
* - Repo Layout Taxonomy => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
* - Javadoc => https://lakshmidrip.github.io/DROP/Javadoc/index.html
* - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
* - Release Versions => https://lakshmidrip.github.io/DROP/version.html
* - Community Credits => https://lakshmidrip.github.io/DROP/credits.html
* - Issues Catalog => https://github.com/lakshmiDRIP/DROP/issues
* - JUnit => https://lakshmidrip.github.io/DROP/junit/index.html
* - Jacoco => https://lakshmidrip.github.io/DROP/jacoco/index.html
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
*
* You may obtain a copy of the License at
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
*
* See the License for the specific language governing permissions and
* limitations under the License.
*/
/**
* <i>FRAMarketComponent</i> contains the implementation of the Standard Multi-Curve FRA product whose payoff
* is dictated off of Market FRA Conventions.
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
* <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/product/README.md">Product Components/Baskets for Credit, FRA, FX, Govvie, Rates, and Option AssetClasses</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/product/fra/README.md">Standard/Market FRAs - Caps/Floors</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class FRAMarketComponent extends org.drip.product.fra.FRAStandardComponent {
/**
* FRAMarketComponent constructor
*
* @param strName Futures Component Name
* @param stream Futures Stream
* @param dblStrike Futures Strike
* @param csp Cash Settle Parameters Instance
*
* @throws java.lang.Exception Thrown if Inputs are Invalid
*/
public FRAMarketComponent (
final java.lang.String strName,
final org.drip.product.rates.Stream stream,
final double dblStrike,
final org.drip.param.valuation.CashSettleParams csp)
throws java.lang.Exception
{
super (strName, stream, dblStrike, csp);
}
@Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> value (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.pricer.CreditPricerParams pricerParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp)
{
if (null == valParams || null == csqs) return null;
long lStart = System.nanoTime();
int iValueDate = valParams.valueDate();
int iEffectiveDate = effectiveDate().julian();
if (iValueDate > iEffectiveDate) return null;
org.drip.state.identifier.FundingLabel fundingLabel = org.drip.state.identifier.FundingLabel.Standard
(payCurrency());
org.drip.state.discount.MergedDiscountForwardCurve dcFunding = csqs.fundingState (fundingLabel);
if (null == dcFunding) return null;
org.drip.analytics.date.JulianDate dtMaturity = maturityDate();
int iMaturityDate = dtMaturity.julian();
org.drip.state.identifier.ForwardLabel forwardLabel = forwardLabel().get ("DERIVED");
org.drip.state.forward.ForwardRateEstimator fc = csqs.forwardState (forwardLabel);
if (null == fc || !forwardLabel.match (fc.index())) return null;
org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapResult = super.value
(valParams, pricerParams, csqs, vcp);
if (null == mapResult || 0 == mapResult.size()) return null;
try {
double dblParStandardFRA = csqs.available (dtMaturity, forwardLabel) ? csqs.fixing (dtMaturity,
forwardLabel) : fc.forward (iMaturityDate);
double dblForwardDCF = org.drip.analytics.daycount.Convention.YearFraction (iMaturityDate, new
org.drip.analytics.date.JulianDate (iMaturityDate).addTenor (forwardLabel.tenor()).julian(),
stream().couponDC(), false, null, stream().calendar());
double dblParDCForward = dcFunding.libor (iEffectiveDate, iMaturityDate);
double dblShiftedLogNormalScaler = dblForwardDCF * dblParStandardFRA;
dblShiftedLogNormalScaler = dblShiftedLogNormalScaler / (1. + dblShiftedLogNormalScaler);
double dblForwardPrice = dblForwardDCF * (dblParStandardFRA - strike()) / (1. + dblForwardDCF *
dblParStandardFRA);
double dblShiftedLogNormalConvexityAdjustmentExponent =
org.drip.analytics.support.OptionHelper.IntegratedFRACrossVolConvexityExponent
(csqs.forwardVolatility (forwardLabel), csqs.fundingVolatility (fundingLabel),
csqs.forwardFundingCorrelation (forwardLabel, fundingLabel),
dblShiftedLogNormalScaler, dblShiftedLogNormalScaler, iValueDate,
iEffectiveDate);
double dblShiftedLogNormalParMarketFRA = ((dblForwardDCF * dblParStandardFRA + 1.) *
java.lang.Math.exp (dblShiftedLogNormalConvexityAdjustmentExponent) - 1.) / dblForwardDCF;
mapResult.put ("discountcurveparforward", dblParDCForward);
mapResult.put ("forwardprice", dblForwardPrice);
mapResult.put ("parstandardfra", dblParStandardFRA);
mapResult.put ("parstandardfradc", dblParDCForward);
mapResult.put ("shiftedlognormalconvexityadjustment",
dblShiftedLogNormalConvexityAdjustmentExponent);
mapResult.put ("shiftedlognormalconvexitycorrection", dblShiftedLogNormalParMarketFRA -
dblParStandardFRA);
mapResult.put ("shiftedlognormalparmarketfra", dblShiftedLogNormalParMarketFRA);
} catch (java.lang.Exception e) {
e.printStackTrace();
return null;
}
mapResult.put ("calctime", (System.nanoTime() - lStart) * 1.e-09);
return mapResult;
}
}