SWPM.java
package org.drip.sample.bloomberg;
import org.drip.analytics.cashflow.*;
import org.drip.analytics.date.*;
import org.drip.analytics.support.*;
import org.drip.market.otc.*;
import org.drip.numerical.common.FormatUtil;
import org.drip.param.creator.*;
import org.drip.param.market.*;
import org.drip.param.valuation.*;
import org.drip.product.creator.*;
import org.drip.product.definition.*;
import org.drip.product.rates.*;
import org.drip.service.env.EnvManager;
import org.drip.state.creator.ScenarioDiscountCurveBuilder;
import org.drip.state.discount.MergedDiscountForwardCurve;
import org.drip.state.identifier.ForwardLabel;
/*
* -*- 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
* Copyright (C) 2013 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>SWPM</i> contains the sample demonstrating the replication of Bloomberg's SWPM functionality.
*
* <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/sample/README.md">DROP API Construction and Usage</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/bloomberg/README.md">Bloomberg CDSO CDSW SWPM YAS</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class SWPM {
private static final String FIELD_SEPARATOR = " ";
/*
* Construct the Array of Deposit Instruments from the given set of parameters
*
* USE WITH CARE: This sample ignores errors and does not handle exceptions.
*/
private static final CalibratableComponent[] DepositInstrumentsFromMaturityDays (
final JulianDate dtEffective,
final int[] aiDay,
final int iNumFuture,
final String strCurrency)
throws Exception
{
CalibratableComponent[] aCalibComp = new CalibratableComponent[aiDay.length + iNumFuture];
for (int i = 0; i < aiDay.length; ++i)
aCalibComp[i] = SingleStreamComponentBuilder.Deposit (
dtEffective,
dtEffective.addBusDays (
aiDay[i],
strCurrency
),
ForwardLabel.Create (
strCurrency,
aiDay[i] + "D"
)
);
CalibratableComponent[] aEDF = SingleStreamComponentBuilder.ForwardRateFuturesPack (
dtEffective,
iNumFuture,
strCurrency
);
for (int i = aiDay.length; i < aiDay.length + iNumFuture; ++i)
aCalibComp[i] = aEDF[i - aiDay.length];
return aCalibComp;
}
private static final FixFloatComponent OTCIRS (
final JulianDate dtSpot,
final String strCurrency,
final String strMaturityTenor,
final double dblCoupon)
{
FixedFloatSwapConvention ffConv = IBORFixedFloatContainer.ConventionFromJurisdiction (
strCurrency,
"ALL",
strMaturityTenor,
"MAIN"
);
return ffConv.createFixFloatComponent (
dtSpot,
strMaturityTenor,
dblCoupon,
0.,
1.
);
}
/*
* Construct the Array of Swap Instruments from the given set of parameters
*
* USE WITH CARE: This sample ignores errors and does not handle exceptions.
*/
private static final CalibratableComponent[] SwapInstrumentsFromMaturityTenor (
final JulianDate dtEffective,
final String strCurrency,
final String[] astrTenor,
final double[] adblCoupon)
throws Exception
{
CalibratableComponent[] aCalibComp = new CalibratableComponent[astrTenor.length];
for (int i = 0; i < astrTenor.length; ++i)
aCalibComp[i] = OTCIRS (
dtEffective,
strCurrency,
astrTenor[i],
adblCoupon[i]
);
return aCalibComp;
}
/*
* Construct the discount curve using the following steps:
* - Construct the array of cash instruments and their quotes.
* - Construct the array of swap instruments and their quotes.
* - Construct a shape preserving and smoothing KLK Hyperbolic Spline from the cash/swap instruments.
*
* USE WITH CARE: This sample ignores errors and does not handle exceptions.
*/
private static final MergedDiscountForwardCurve MakeDC (
final JulianDate dtSpot,
final String strCurrency,
final double dblBump)
throws Exception
{
/*
* Construct the array of Deposit instruments and their quotes.
*/
CalibratableComponent[] aDepositComp = DepositInstrumentsFromMaturityDays (
dtSpot,
new int[] {},
0,
strCurrency
);
double[] adblDepositQuote = new double[] {}; // Futures
/*
* Construct the array of Swap instruments and their quotes.
*/
double[] adblSwapQuote = new double[] {
0.0009875 + dblBump, // 9M
0.00122 + dblBump, // 1Y
0.00223 + dblBump, // 18M
0.00383 + dblBump, // 2Y
0.00827 + dblBump, // 3Y
0.01245 + dblBump, // 4Y
0.01605 + dblBump, // 5Y
0.02597 + dblBump // 10Y
};
String[] astrSwapManifestMeasure = new String[] {
"SwapRate", // 9M
"SwapRate", // 1Y
"SwapRate", // 18M
"SwapRate", // 2Y
"SwapRate", // 3Y
"SwapRate", // 4Y
"SwapRate", // 5Y
"SwapRate" // 10Y
};
CalibratableComponent[] aSwapComp = SwapInstrumentsFromMaturityTenor (
dtSpot,
strCurrency,
new java.lang.String[] {
"9M", "1Y", "18M", "2Y", "3Y", "4Y", "5Y", "10Y"
},
new double[] {
0.0009875, 0.00122, 0.00223, 0.00383, 0.00827, 0.01245, 0.01605, 0.02597
}
);
/*
* Construct a shape preserving and smoothing KLK Hyperbolic Spline from the cash/swap instruments.
*/
return ScenarioDiscountCurveBuilder.CubicKLKHyperbolicDFRateShapePreserver (
"KLK_HYPERBOLIC_SHAPE_TEMPLATE",
new ValuationParams (
dtSpot,
dtSpot,
"USD"
),
aDepositComp,
adblDepositQuote,
null,
aSwapComp,
adblSwapQuote,
astrSwapManifestMeasure,
true
);
}
public static void main (
final String[] astrArgs)
throws Exception
{
EnvManager.InitEnv (
"",
true
);
JulianDate dtValue = DateUtil.Today();
JulianDate dtSettle = dtValue.addBusDays (
2,
"USD"
);
System.out.println ("\n---- Valuation Details ----\n");
System.out.println ("Trade Date : " + dtValue);
System.out.println ("Settle Date : " + dtSettle);
double dblCoupon = 0.0187;
double dblFixing = 0.00087;
double dblNotional = 10.e+06;
/*
* Model the discount curve instrument quotes. Best pulled from Curves #42 in the BBG SWPM "Curves" tab
*/
/*
* Build the Discount Curve
*/
MergedDiscountForwardCurve dc = MakeDC (
dtValue,
"USD",
0.
);
JulianDate dtEffective = dtValue.addBusDays (
2,
"USD"
);
JulianDate dtMaturity = dtEffective.addTenor ("5Y");
/*
* Build the Fixed Receive Stream
*/
FixFloatComponent swap = OTCIRS (
dtEffective,
"USD",
"5Y",
0.
);
System.out.println ("\n---- Swap Details ----\n");
System.out.println ("Effective: " + dtEffective);
System.out.println ("Maturity: " + dtMaturity);
/*
* Set up the base market parameters, including base discount curves and the base fixings
*/
LatentStateFixingsContainer lsfc = new LatentStateFixingsContainer();
ComposableUnitFloatingPeriod cufs = ((ComposableUnitFloatingPeriod) (swap.derivedStream().periods().get (0).periods().get (0)));
lsfc.add (
cufs.referenceIndexPeriod().fixingDate(),
swap.derivedStream().forwardLabel(),
dblFixing
);
CurveSurfaceQuoteContainer mktParams = MarketParamsBuilder.Create (
dc,
null,
null,
null,
null,
null,
lsfc
);
/*
* Set up the valuation parameters
*/
ValuationParams valParams = new ValuationParams (
dtValue,
dtSettle,
"USD"
);
/*
* Generate the base scenario measures for the swap
*/
CaseInsensitiveTreeMap<Double> mapSwapCalc = swap.value (
valParams,
null,
mktParams,
null
);
double dblBasePV = mapSwapCalc.get ("PV");
double dblBaseFixedDV01 = mapSwapCalc.get ("FixedDV01");
System.out.println ("\n---- Swap Output Measures ----\n");
System.out.println ("Mkt Val : " + FormatUtil.FormatDouble (dblBasePV, 0, 0, dblNotional));
System.out.println ("Par Cpn : " + FormatUtil.FormatDouble (mapSwapCalc.get ("FairPremium"), 1, 5, 100.));
System.out.println ("Fixed DV01 : " + FormatUtil.FormatDouble (dblBaseFixedDV01, 0, 0, dblNotional));
/*
* Set up the fixings bumped market parameters - these use base discount curve and the bumped fixing
*/
lsfc.add (
cufs.referenceIndexPeriod().fixingDate(),
swap.derivedStream().forwardLabel(),
dblFixing + 0.0001
);
CurveSurfaceQuoteContainer mktParamsFixingsBumped = MarketParamsBuilder.Create (
dc,
null,
null,
null,
null,
null,
lsfc
);
/*
* Generate the fixing bumped scenario measures for the swap
*/
CaseInsensitiveTreeMap<Double> mapSwapFixingsBumpedCalc = swap.value (
valParams,
null,
mktParamsFixingsBumped,
null
);
double dblFixingsDV01 = mapSwapFixingsBumpedCalc.get ("PV") - dblBasePV;
System.out.println ("Fixings DV01 : " + FormatUtil.FormatDouble (dblFixingsDV01, 0, 0, dblNotional));
System.out.println ("Total DV01 : " + FormatUtil.FormatDouble (dblBaseFixedDV01 + dblFixingsDV01, 0, 0, dblNotional));
/*
* Set up the rate flat bumped market parameters - these use the bumped base discount curve and the base fixing
*/
MergedDiscountForwardCurve dcBumped = MakeDC (
dtValue,
"USD",
-0.0001
);
lsfc.add (
dtEffective,
swap.derivedStream().forwardLabel(),
dblFixing - 0.0001
);
CurveSurfaceQuoteContainer mktParamsRateBumped = MarketParamsBuilder.Create (
dcBumped,
null,
null,
null,
null,
null,
lsfc
);
/*
* Generate the rate flat bumped scenario measures for the swap
*/
CaseInsensitiveTreeMap<Double> mapSwapRateBumpedCalc = swap.value (
valParams,
null,
mktParamsRateBumped,
null
);
System.out.println ("PV01 : " + FormatUtil.FormatDouble (mapSwapRateBumpedCalc.get ("PV") - dblBasePV, 0, 0, dblNotional));
/*
* Generate the Swap's fixed cash flows
*/
System.out.println ("\n---- Fixed Cashflow ----\n");
for (CompositePeriod p : swap.referenceStream().cashFlowPeriod())
System.out.println (
DateUtil.YYYYMMDD (p.payDate()) + FIELD_SEPARATOR +
DateUtil.YYYYMMDD (p.startDate()) + FIELD_SEPARATOR +
DateUtil.YYYYMMDD (p.endDate()) + FIELD_SEPARATOR +
FormatUtil.FormatDouble (p.couponDCF() * 360, 0, 0, 1.) + FIELD_SEPARATOR +
FormatUtil.FormatDouble (p.couponDCF(), 0, 2, dblCoupon * dblNotional) + FIELD_SEPARATOR +
FormatUtil.FormatDouble (dc.df (p.payDate()), 1, 4, 1.)
);
/*
* Generate the Swap's floating cash flows
*/
System.out.println ("\n---- Floating Cashflow ----\n");
for (CompositePeriod p : swap.derivedStream().cashFlowPeriod())
System.out.println (
DateUtil.YYYYMMDD (p.payDate()) + FIELD_SEPARATOR +
DateUtil.YYYYMMDD (p.startDate()) + FIELD_SEPARATOR +
DateUtil.YYYYMMDD (p.endDate()) + FIELD_SEPARATOR +
FormatUtil.FormatDouble (p.couponDCF() * 360, 0, 0, 1.) + FIELD_SEPARATOR +
FormatUtil.FormatDouble (dc.df (p.payDate()), 1, 4, 1.)
);
EnvManager.TerminateEnv();
}
}