SWPMOIS.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>SWPMOIS</i> contains the sample demonstrating the replication of Bloomberg's SWPM OIS 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 SWPMOIS {
    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();
    }
}