SWPM_NEW.java

  1. package org.drip.sample.bloomberg;

  3. import java.util.*;

  5. import org.drip.analytics.date.*;
  6. import org.drip.analytics.support.CompositePeriodBuilder;
  7. import org.drip.function.r1tor1.QuadraticRationalShapeControl;
  8. import org.drip.market.otc.*;
  9. import org.drip.numerical.common.FormatUtil;
  10. import org.drip.param.creator.*;
  11. import org.drip.param.market.CurveSurfaceQuoteContainer;
  12. import org.drip.param.period.*;
  13. import org.drip.param.valuation.ValuationParams;
  14. import org.drip.product.creator.SingleStreamComponentBuilder;
  15. import org.drip.product.definition.CalibratableComponent;
  16. import org.drip.product.rates.*;
  17. import org.drip.sample.forward.IBORCurve;
  18. import org.drip.service.env.EnvManager;
  19. import org.drip.spline.basis.PolynomialFunctionSetParams;
  20. import org.drip.spline.params.*;
  21. import org.drip.spline.stretch.*;
  22. import org.drip.state.creator.ScenarioDiscountCurveBuilder;
  23. import org.drip.state.discount.*;
  24. import org.drip.state.estimator.LatentStateStretchBuilder;
  25. import org.drip.state.forward.ForwardCurve;
  26. import org.drip.state.identifier.*;
  27. import org.drip.state.inference.*;

  29. /*
  30.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  31.  */

  33. /*!
  34.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  35.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  36.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  37.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  38.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  39.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  40.  * Copyright (C) 2014 Lakshmi Krishnamurthy
  41.  * Copyright (C) 2013 Lakshmi Krishnamurthy
  42.  * 
  43.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  44.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  45.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  46.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  47.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  48.  *      and computational support.
  49.  *  
  50.  *      https://lakshmidrip.github.io/DROP/
  51.  *  
  52.  *  DROP is composed of three modules:
  53.  *  
  54.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  55.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  56.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  57.  * 
  58.  *  DROP Product Core implements libraries for the following:
  59.  *  - Fixed Income Analytics
  60.  *  - Loan Analytics
  61.  *  - Transaction Cost Analytics
  62.  * 
  63.  *  DROP Portfolio Core implements libraries for the following:
  64.  *  - Asset Allocation Analytics
  65.  *  - Asset Liability Management Analytics
  66.  *  - Capital Estimation Analytics
  67.  *  - Exposure Analytics
  68.  *  - Margin Analytics
  69.  *  - XVA Analytics
  70.  * 
  71.  *  DROP Computational Core implements libraries for the following:
  72.  *  - Algorithm Support
  73.  *  - Computation Support
  74.  *  - Function Analysis
  75.  *  - Model Validation
  76.  *  - Numerical Analysis
  77.  *  - Numerical Optimizer
  78.  *  - Spline Builder
  79.  *  - Statistical Learning
  80.  * 
  81.  *  Documentation for DROP is Spread Over:
  82.  * 
  83.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  84.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  85.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  86.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  87.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  88.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  89.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  90.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  91.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  92.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  93.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  94.  * 
  95.  *  Licensed under the Apache License, Version 2.0 (the "License");
  96.  *      you may not use this file except in compliance with the License.
  97.  *   
  98.  *  You may obtain a copy of the License at
  99.  *      http://www.apache.org/licenses/LICENSE-2.0
  100.  *  
  101.  *  Unless required by applicable law or agreed to in writing, software
  102.  *      distributed under the License is distributed on an "AS IS" BASIS,
  103.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  104.  *  
  105.  *  See the License for the specific language governing permissions and
  106.  *      limitations under the License.
  107.  */

  109. /**
  110.  * <i>SWPM_NEW</i> contains the sample demonstrating the replication of Bloomberg's Latest SWPM
  111.  * Functionality.
  112.  *  
  113.  * <br><br>
  114.  *  <ul>
  115.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  116.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  117.  *      <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>
  118.  *      <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>
  119.  *  </ul>
  120.  * <br><br>
  121.  * 
  122.  * @author Lakshmi Krishnamurthy
  123.  */

  125. public class SWPM_NEW {

  127.     private static final FixFloatComponent OTCOISFixFloat (
  128.         final JulianDate dtSpot,
  129.         final String strCurrency,
  130.         final String strMaturityTenor,
  131.         final double dblCoupon)
  132.     {
  133.         FixedFloatSwapConvention ffConv = OvernightFixedFloatContainer.FundConventionFromJurisdiction (
  134.             strCurrency
  135.         );

  137.         return ffConv.createFixFloatComponent (
  138.             dtSpot,
  139.             strMaturityTenor,
  140.             dblCoupon,
  141.             0.,
  142.             1.
  143.         );
  144.     }

  146.     /*
  147.      * Construct the Array of Deposit Instruments from the given set of parameters
  148.      * 
  149.      *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
  150.      */

  152.     private static final SingleStreamComponent[] DepositInstrumentsFromMaturityDays (
  153.         final JulianDate dtEffective,
  154.         final String strCurrency,
  155.         final int[] aiDay)
  156.         throws Exception
  157.     {
  158.         SingleStreamComponent[] aDeposit = new SingleStreamComponent[aiDay.length];

  160.         for (int i = 0; i < aiDay.length; ++i)
  161.             aDeposit[i] = SingleStreamComponentBuilder.Deposit (
  162.                 dtEffective,
  163.                 dtEffective.addBusDays (
  164.                     aiDay[i],
  165.                     strCurrency
  166.                 ),
  167.                 OvernightLabel.Create (
  168.                     strCurrency
  169.                 )
  170.             );

  172.         return aDeposit;
  173.     }

  175.     /*
  176.      * Construct the Array of Overnight Index Instruments from the given set of parameters
  177.      * 
  178.      *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
  179.      */

  181.     private static final FixFloatComponent[] OISFromMaturityTenor (
  182.         final JulianDate dtSpot,
  183.         final String strCurrency,
  184.         final String[] astrMaturityTenor,
  185.         final double[] adblCoupon)
  186.         throws Exception
  187.     {
  188.         FixFloatComponent[] aOIS = new FixFloatComponent[astrMaturityTenor.length];

  190.         for (int i = 0; i < astrMaturityTenor.length; ++i)
  191.             aOIS[i] = OTCOISFixFloat (
  192.                 dtSpot,
  193.                 strCurrency,
  194.                 astrMaturityTenor[i],
  195.                 adblCoupon[i]
  196.             );

  198.         return aOIS;
  199.     }

  201.     private static final FixFloatComponent[] OISFuturesFromMaturityTenor (
  202.         final JulianDate dtSpot,
  203.         final String strCurrency,
  204.         final String[] astrStartTenor,
  205.         final String[] astrMaturityTenor,
  206.         final double[] adblCoupon)
  207.         throws Exception
  208.     {
  209.         FixFloatComponent[] aOISFutures = new FixFloatComponent[astrMaturityTenor.length];

  211.         for (int i = 0; i < astrMaturityTenor.length; ++i)
  212.             aOISFutures[i] = OTCOISFixFloat (
  213.                 dtSpot.addTenor (astrStartTenor[i]),
  214.                 strCurrency,
  215.                 astrMaturityTenor[i],
  216.                 adblCoupon[i]
  217.             );

  219.         return aOISFutures;
  220.     }

  222.     /*
  223.      * Construct the Array of Overnight Index Future Instruments from the given set of parameters
  224.      * 
  225.      *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
  226.      */

  228.     private static final MergedDiscountForwardCurve OvernightCurve (
  229.         final JulianDate dtSpot,
  230.         final String strCurrency,
  231.         final String strHeaderComment)
  232.         throws Exception
  233.     {
  234.         System.out.println ("\n\t----------------------------------------------------------------");

  236.         System.out.println ("\t     " + strHeaderComment);

  238.         System.out.println ("\t----------------------------------------------------------------");

  240.         /*
  241.          * Construct the Array of Deposit Instruments and their Quotes from the given set of parameters
  242.          */

  244.         SingleStreamComponent[] aDepositComp = DepositInstrumentsFromMaturityDays (
  245.             dtSpot,
  246.             strCurrency,
  247.             new int[] {
  248.                 1, 2, 3
  249.             }
  250.         );

  252.         double[] adblDepositQuote = new double[] {
  253.             0.0004, 0.0004, 0.0004       // Deposit
  254.         };

  256.         /*
  257.          * Construct the Deposit Instrument Set Stretch Builder
  258.          */

  260.         LatentStateStretchSpec depositStretch = LatentStateStretchBuilder.ForwardFundingStretchSpec (
  261.             "DEPOSIT",
  262.             aDepositComp,
  263.             "ForwardRate",
  264.             adblDepositQuote
  265.         );

  267.         /*
  268.          * Construct the Array of Short End OIS Instruments and their Quotes from the given set of parameters
  269.          */

  271.         double[] adblShortEndOISQuote = new double[] {
  272.             0.00070,    //   1W
  273.             0.00069,    //   2W
  274.             0.00078,    //   3W
  275.             0.00074     //   1M
  276.         };

  278.         CalibratableComponent[] aShortEndOISComp = OISFromMaturityTenor (
  279.             dtSpot,
  280.             strCurrency,
  281.             new java.lang.String[] {
  282.                 "1W", "2W", "3W", "1M"
  283.             },
  284.             adblShortEndOISQuote
  285.         );

  287.         /*
  288.          * Construct the Short End OIS Instrument Set Stretch Builder
  289.          */

  291.         LatentStateStretchSpec oisShortEndStretch = LatentStateStretchBuilder.ForwardFundingStretchSpec (
  292.             "OIS_SHORT_END",
  293.             aShortEndOISComp,
  294.             "SwapRate",
  295.             adblShortEndOISQuote
  296.         );

  298.         /*
  299.          * Construct the Array of OIS Futures Instruments and their Quotes from the given set of parameters
  300.          */

  302.         double[] adblOISFutureQuote = new double[] {
  303.              0.00046,    //   1M x 1M
  304.              0.00016,    //   2M x 1M
  305.             -0.00007,    //   3M x 1M
  306.             -0.00013,    //   4M x 1M
  307.             -0.00014     //   5M x 1M
  308.         };

  310.         CalibratableComponent[] aOISFutureComp = OISFuturesFromMaturityTenor (
  311.             dtSpot,
  312.             strCurrency,
  313.             new java.lang.String[] {
  314.                 "1M", "2M", "3M", "4M", "5M"
  315.             },
  316.             new java.lang.String[] {
  317.                 "1M", "1M", "1M", "1M", "1M"
  318.             },
  319.             adblOISFutureQuote
  320.         );

  322.         /*
  323.          * Construct the OIS Future Instrument Set Stretch Builder
  324.          */

  326.         LatentStateStretchSpec oisFutureStretch = LatentStateStretchBuilder.ForwardFundingStretchSpec (
  327.             "OIS_FUTURE",
  328.             aOISFutureComp,
  329.             "SwapRate",
  330.             adblOISFutureQuote
  331.         );

  333.         /*
  334.          * Construct the Array of Long End OIS Instruments and their Quotes from the given set of parameters
  335.          */

  337.         double[] adblLongEndOISQuote = new double[] {
  338.             0.00002,    //  15M
  339.             0.00008,    //  18M
  340.             0.00021,    //  21M
  341.             0.00036,    //   2Y
  342.             0.00127,    //   3Y
  343.             0.00274,    //   4Y
  344.             0.00456,    //   5Y
  345.             0.00647,    //   6Y
  346.             0.00827,    //   7Y
  347.             0.00996,    //   8Y
  348.             0.01147,    //   9Y
  349.             0.01280,    //  10Y
  350.             0.01404,    //  11Y
  351.             0.01516,    //  12Y
  352.             0.01764,    //  15Y
  353.             0.01939,    //  20Y
  354.             0.02003,    //  25Y
  355.             0.02038     //  30Y
  356.         };

  358.         CalibratableComponent[] aLongEndOISComp = OISFromMaturityTenor (
  359.             dtSpot,
  360.             strCurrency,
  361.             new java.lang.String[] {
  362.                 "15M", "18M", "21M", "2Y", "3Y", "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "11Y", "12Y", "15Y", "20Y", "25Y", "30Y"
  363.             },
  364.             adblLongEndOISQuote
  365.         );

  367.         /*
  368.          * Construct the Long End OIS Instrument Set Stretch Builder
  369.          */

  371.         LatentStateStretchSpec oisLongEndStretch = LatentStateStretchBuilder.ForwardFundingStretchSpec (
  372.             "OIS_LONG_END",
  373.             aLongEndOISComp,
  374.             "SwapRate",
  375.             adblLongEndOISQuote
  376.         );

  378.         LatentStateStretchSpec[] aStretchSpec = new LatentStateStretchSpec[] {
  379.             depositStretch,
  380.             oisShortEndStretch,
  381.             oisFutureStretch,
  382.             oisLongEndStretch
  383.         };

  385.         /*
  386.          * Set up the Linear Curve Calibrator using the following parameters:
  387.          *  - Cubic Exponential Mixture Basis Spline Set
  388.          *  - Ck = 2, Segment Curvature Penalty = 2
  389.          *  - Quadratic Rational Shape Controller
  390.          *  - Natural Boundary Setting
  391.          */

  393.         LinearLatentStateCalibrator lcc = new LinearLatentStateCalibrator (
  394.             new SegmentCustomBuilderControl (
  395.                 MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
  396.                 new PolynomialFunctionSetParams (4),
  397.                 SegmentInelasticDesignControl.Create (
  398.                     2,
  399.                     2
  400.                 ),
  401.                 new ResponseScalingShapeControl (
  402.                     true,
  403.                     new QuadraticRationalShapeControl (0.)
  404.                 ),
  405.                 null
  406.             ),
  407.             BoundarySettings.NaturalStandard(),
  408.             MultiSegmentSequence.CALIBRATE,
  409.             null,
  410.             null
  411.         );

  413.         /*
  414.          * Construct the Shape Preserving Discount Curve by applying the linear curve calibrator to the array
  415.          *  of Deposit and Swap Stretches.
  416.          */

  418.         ValuationParams valParams = new ValuationParams (
  419.             dtSpot,
  420.             dtSpot,
  421.             strCurrency
  422.         );

  424.         MergedDiscountForwardCurve dcOvernight = ScenarioDiscountCurveBuilder.ShapePreservingDFBuild (
  425.             strCurrency,
  426.             lcc,
  427.             aStretchSpec,
  428.             valParams,
  429.             null,
  430.             null,
  431.             null,
  432.             1.
  433.         );

  435.         /*
  436.          * Cross-Comparison of the Deposit Calibration Instrument "Rate" metric across the different curve
  437.          *  construction methodologies.
  438.          */

  440.         System.out.println ("\t----------------------------------------------------------------");

  442.         System.out.println ("\t     DEPOSIT INSTRUMENTS CALIBRATION RECOVERY");

  444.         System.out.println ("\t----------------------------------------------------------------");

  446.         for (int i = 0; i < aDepositComp.length; ++i)
  447.             System.out.println ("\t[" + aDepositComp[i].effectiveDate() + " => " + aDepositComp[i].maturityDate() + "] = " +
  448.                 FormatUtil.FormatDouble (aDepositComp[i].measureValue (valParams, null,
  449.                     MarketParamsBuilder.Create (dcOvernight, null, null, null, null, null, null),
  450.                         null, "Rate"), 1, 6, 1.) + " | " + FormatUtil.FormatDouble (adblDepositQuote[i], 1, 6, 1.));

  452.         /*
  453.          * Cross-Comparison of the Short End OIS Calibration Instrument "Rate" metric across the different curve
  454.          *  construction methodologies.
  455.          */

  457.         System.out.println ("\n\t----------------------------------------------------------------");

  459.         System.out.println ("\t     OIS SHORT END INSTRUMENTS CALIBRATION RECOVERY");

  461.         System.out.println ("\t----------------------------------------------------------------");

  463.         for (int i = 0; i < aShortEndOISComp.length; ++i)
  464.             System.out.println ("\t[" + aShortEndOISComp[i].effectiveDate() + " => " + aShortEndOISComp[i].maturityDate() + "] = " +
  465.                 FormatUtil.FormatDouble (aShortEndOISComp[i].measureValue (valParams, null,
  466.                     MarketParamsBuilder.Create (dcOvernight, null, null, null, null, null, null),
  467.                         null, "CalibSwapRate"), 1, 6, 1.) + " | " + FormatUtil.FormatDouble (adblShortEndOISQuote[i], 1, 6, 1.) + " | " +
  468.                             FormatUtil.FormatDouble (aShortEndOISComp[i].measureValue (valParams, null,
  469.                                 MarketParamsBuilder.Create (dcOvernight, null, null, null, null, null, null),
  470.                                     null, "FairPremium"), 1, 6, 1.));

  472.         /*
  473.          * Cross-Comparison of the OIS Future Calibration Instrument "Rate" metric across the different curve
  474.          *  construction methodologies.
  475.          */

  477.         System.out.println ("\n\t----------------------------------------------------------------");

  479.         System.out.println ("\t     OIS FUTURE INSTRUMENTS CALIBRATION RECOVERY");

  481.         System.out.println ("\t----------------------------------------------------------------");

  483.         for (int i = 0; i < aOISFutureComp.length; ++i)
  484.             System.out.println ("\t[" + aOISFutureComp[i].effectiveDate() + " => " + aOISFutureComp[i].maturityDate() + "] = " +
  485.                 FormatUtil.FormatDouble (aOISFutureComp[i].measureValue (valParams, null,
  486.                     MarketParamsBuilder.Create (dcOvernight, null, null, null, null, null, null),
  487.                         null, "SwapRate"), 1, 6, 1.) + " | " + FormatUtil.FormatDouble (adblOISFutureQuote[i], 1, 6, 1.) + " | " +
  488.                             FormatUtil.FormatDouble (aOISFutureComp[i].measureValue (valParams, null,
  489.                                 MarketParamsBuilder.Create (dcOvernight, null, null, null, null, null, null),
  490.                                     null, "FairPremium"), 1, 6, 1.));

  492.         /*
  493.          * Cross-Comparison of the Long End OIS Calibration Instrument "Rate" metric across the different curve
  494.          *  construction methodologies.
  495.          */

  497.         System.out.println ("\n\t----------------------------------------------------------------");

  499.         System.out.println ("\t     OIS LONG END INSTRUMENTS CALIBRATION RECOVERY");

  501.         System.out.println ("\t----------------------------------------------------------------");

  503.         for (int i = 0; i < aLongEndOISComp.length; ++i)
  504.             System.out.println ("\t[" + aLongEndOISComp[i].effectiveDate() + " => " + aLongEndOISComp[i].maturityDate() + "] = " +
  505.                 FormatUtil.FormatDouble (aLongEndOISComp[i].measureValue (valParams, null,
  506.                     MarketParamsBuilder.Create (dcOvernight, null, null, null, null, null, null),
  507.                         null, "CalibSwapRate"), 1, 6, 1.) + " | " + FormatUtil.FormatDouble (adblLongEndOISQuote[i], 1, 6, 1.) + " | " +
  508.                             FormatUtil.FormatDouble (aLongEndOISComp[i].measureValue (valParams, null,
  509.                                 MarketParamsBuilder.Create (dcOvernight, null, null, null, null, null, null),
  510.                                     null, "FairPremium"), 1, 6, 1.));

  512.         return dcOvernight;
  513.     }

  515.     public static final ForwardCurve MakeForwardCurve (
  516.         final JulianDate dtValue,
  517.         final MergedDiscountForwardCurve dcOvernight,
  518.         final String strForwardTenor)
  519.         throws Exception
  520.     {
  521.         String strCurrency = dcOvernight.currency();

  523.         ForwardLabel fri = ForwardLabel.Create (
  524.             strCurrency,
  525.             strForwardTenor
  526.         );

  528.         SegmentCustomBuilderControl scbcCubic = new SegmentCustomBuilderControl (
  529.             MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
  530.             new PolynomialFunctionSetParams (4),
  531.             SegmentInelasticDesignControl.Create (
  532.                 2,
  533.                 2
  534.             ),
  535.             new ResponseScalingShapeControl (
  536.                 true,
  537.                 new QuadraticRationalShapeControl (0.)
  538.             ),
  539.             null
  540.         );

  542.         /*
  543.          * Construct the Array of Deposit Instruments and their Quotes from the given set of parameters
  544.          */

  546.         double[] adblDepositQuote = new double[] {
  547.             0.003565,   // 1D
  548.             0.003858,   // 1W
  549.             0.003840,   // 2W
  550.             0.003922,   // 3W
  551.             0.003869,   // 1M
  552.             0.003698,   // 2M
  553.         };

  555.         String[] astrDepositTenor = new String[] {
  556.             "1D",
  557.             "1W",
  558.             "2W",
  559.             "3W",
  560.             "1M",
  561.             "2M",
  562.         };

  564.         /*
  565.          * Construct the Array of FRAs and their Quotes from the given set of parameters
  566.          */

  568.         double[] adblFRAQuote = new double[] {
  569.             0.003120,   //  0D
  570.             0.002930,   //  1M
  571.             0.002720,   //  2M
  572.             0.002600,   //  3M
  573.             0.002560,   //  4M
  574.             0.002520,   //  5M
  575.             0.002480,   //  6M
  576.             0.002540,   //  7M
  577.             0.002610,   //  8M
  578.             0.002670,   //  9M
  579.             0.002790,   // 10M
  580.             0.002910,   // 11M
  581.             0.003030,   // 12M
  582.             0.003180,   // 13M
  583.             0.003350,   // 14M
  584.             0.003520,   // 15M
  585.             0.003710,   // 16M
  586.             0.003890,   // 17M
  587.             0.004090    // 18M
  588.         };

  590.         String[] astrFRATenor = new String[] {
  591.              "0D",
  592.              "1M",
  593.              "2M",
  594.              "3M",
  595.              "4M",
  596.              "5M",
  597.              "6M",
  598.              "7M",
  599.              "8M",
  600.              "9M",
  601.             "10M",
  602.             "11M",
  603.             "12M",
  604.             "13M",
  605.             "14M",
  606.             "15M",
  607.             "16M",
  608.             "17M",
  609.             "18M"
  610.         };

  612.         /*
  613.          * Construct the Array of Fix-Float Component and their Quotes from the given set of parameters
  614.          */

  616.         double[] adblFixFloatQuote = new double[] {
  617.             0.004240,   //  3Y
  618.             0.005760,   //  4Y          
  619.             0.007620,   //  5Y
  620.             0.009540,   //  6Y
  621.             0.011350,   //  7Y
  622.             0.013030,   //  8Y
  623.             0.014520,   //  9Y
  624.             0.015840,   // 10Y
  625.             0.018090,   // 12Y
  626.             0.020370,   // 15Y
  627.             0.021870,   // 20Y
  628.             0.022340,   // 25Y
  629.             0.022560,   // 30Y
  630.             0.022950,   // 35Y
  631.             0.023480,   // 40Y
  632.             0.024210,   // 50Y
  633.             0.024630    // 60Y
  634.         };

  636.         String[] astrFixFloatTenor = new String[] {
  637.              "3Y",
  638.              "4Y",
  639.              "5Y",
  640.              "6Y",
  641.              "7Y",
  642.              "8Y",
  643.              "9Y",
  644.             "10Y",
  645.             "12Y",
  646.             "15Y",
  647.             "20Y",
  648.             "25Y",
  649.             "30Y",
  650.             "35Y",
  651.             "40Y",
  652.             "50Y",
  653.             "60Y"
  654.         };

  656.         return IBORCurve.CustomIBORBuilderSample (
  657.             dcOvernight,
  658.             null,
  659.             fri,
  660.             scbcCubic,
  661.             astrDepositTenor,
  662.             adblDepositQuote,
  663.             "ForwardRate",
  664.             astrFRATenor,
  665.             adblFRAQuote,
  666.             "ParForwardRate",
  667.             astrFixFloatTenor,
  668.             adblFixFloatQuote,
  669.             "SwapRate",
  670.             null,
  671.             null,
  672.             "DerivedParBasisSpread",
  673.             null,
  674.             null,
  675.             "DerivedParBasisSpread",
  676.             "---- " + strCurrency + "-LIBOR-" + strForwardTenor + " VANILLA CUBIC POLYNOMIAL FORWARD CURVE ---",
  677.             true
  678.         );
  679.     }

  681.     /*
  682.      * Construct an array of fix-float swaps from the fixed reference and the xM floater derived legs.
  683.      * 
  684.      *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
  685.      */

  687.     private static final FixFloatComponent FixFloatSwap (
  688.         final JulianDate dtEffective,
  689.         final ForwardLabel fri,
  690.         final String strFixedTenor,
  691.         final String strMaturityTenor,
  692.         final double dblCoupon)
  693.         throws Exception
  694.     {
  695.         String strCurrency = fri.currency();

  697.         int iTenorInMonths = Integer.parseInt (fri.tenor().split ("M")[0]);

  699.         UnitCouponAccrualSetting ucasFixed = new UnitCouponAccrualSetting (
  700.             2,
  701.             "Act/360",
  702.             false,
  703.             "Act/360",
  704.             false,
  705.             strCurrency,
  706.             false,
  707.             CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC
  708.         );

  710.         ComposableFloatingUnitSetting cfusFloating = new ComposableFloatingUnitSetting (
  711.             fri.tenor(),
  712.             CompositePeriodBuilder.EDGE_DATE_SEQUENCE_REGULAR,
  713.             null,
  714.             fri,
  715.             CompositePeriodBuilder.REFERENCE_PERIOD_IN_ADVANCE,
  716.             0.
  717.         );

  719.         CompositePeriodSetting cpsFloating = new CompositePeriodSetting (
  720.             12 / iTenorInMonths,
  721.             fri.tenor(),
  722.             strCurrency,
  723.             null,
  724.             -1.,
  725.             null,
  726.             null,
  727.             null,
  728.             null
  729.         );

  731.         ComposableFixedUnitSetting cfusFixed = new ComposableFixedUnitSetting (
  732.             strFixedTenor,
  733.             CompositePeriodBuilder.EDGE_DATE_SEQUENCE_REGULAR,
  734.             null,
  735.             dblCoupon,
  736.             0.,
  737.             strCurrency
  738.         );

  740.         CompositePeriodSetting cpsFixed = new CompositePeriodSetting (
  741.             2,
  742.             strFixedTenor,
  743.             strCurrency,
  744.             null,
  745.             1.,
  746.             null,
  747.             null,
  748.             null,
  749.             null
  750.         );

  752.         List<Integer> lsFixedStreamEdgeDate = CompositePeriodBuilder.BackwardEdgeDates (
  753.             dtEffective,
  754.             dtEffective.addTenor (strMaturityTenor),
  755.             strFixedTenor,
  756.             null,
  757.             CompositePeriodBuilder.SHORT_STUB
  758.         );

  760.         List<Integer> lsFloatingStreamEdgeDate = CompositePeriodBuilder.RegularEdgeDates (
  761.             dtEffective,
  762.             fri.tenor(),
  763.             strMaturityTenor,
  764.             null
  765.         );

  767.         Stream floatingStream = new Stream (
  768.             CompositePeriodBuilder.FloatingCompositeUnit (
  769.                 lsFloatingStreamEdgeDate,
  770.                 cpsFloating,
  771.                 cfusFloating
  772.             )
  773.         );

  775.         Stream fixedStream = new Stream (
  776.             CompositePeriodBuilder.FixedCompositeUnit (
  777.                 lsFixedStreamEdgeDate,
  778.                 cpsFixed,
  779.                 ucasFixed,
  780.                 cfusFixed
  781.             )
  782.         );

  784.         FixFloatComponent ffc = new FixFloatComponent (
  785.             fixedStream,
  786.             floatingStream,
  787.             null
  788.         );

  790.         ffc.setPrimaryCode ("FixFloat: " + strMaturityTenor);

  792.         return ffc;
  793.     }

  795.     public static final void main (
  796.         final String[] astrArgs)
  797.         throws Exception
  798.     {
  799.         /*
  800.          * Initialize the Credit Analytics Library
  801.          */

  803.         EnvManager.InitEnv (
  804.             "",
  805.             true
  806.         );

  808.         JulianDate dtSpot = DateUtil.CreateFromYMD (
  809.             2015,
  810.             DateUtil.MAY,
  811.             15
  812.         );

  814.         String strCurrency = "USD";
  815.         String strForwardTenor = "3M";

  817.         MergedDiscountForwardCurve dcOvernight = OvernightCurve (
  818.             dtSpot,
  819.             strCurrency,
  820.             "OVERNIGHT INDEX RUN RECONCILIATION"
  821.         );

  823.         ForwardCurve fc3M = MakeForwardCurve (
  824.             dtSpot,
  825.             dcOvernight,
  826.             strForwardTenor
  827.         );

  829.         JulianDate dtEffective = DateUtil.CreateFromYMD (
  830.             2017,
  831.             DateUtil.SEPTEMBER,
  832.             11
  833.         );

  835.         double dblCoupon = 0.026825;
  836.         String strFixedTenor = "6M";
  837.         String strMaturityTenor = "10Y";

  839.         FixFloatComponent ffcSwap = FixFloatSwap (
  840.             dtEffective,
  841.             fc3M.index(),
  842.             strFixedTenor,
  843.             strMaturityTenor,
  844.             dblCoupon
  845.         );

  847.         CurveSurfaceQuoteContainer mktParams = MarketParamsBuilder.Create (
  848.             dcOvernight,
  849.             fc3M,
  850.             null,
  851.             null,
  852.             null,
  853.             null,
  854.             null,
  855.             null
  856.         );

  858.         Map<String, Double> mapSwap = ffcSwap.value (
  859.             new ValuationParams (
  860.                 dtSpot,
  861.                 dtSpot,
  862.                 strCurrency
  863.             ),
  864.             null,
  865.             mktParams,
  866.             null
  867.         );

  869.         for (Map.Entry<String, Double> me : mapSwap.entrySet())
  870.             System.out.println ("\t" + me.getKey() + " => " + FormatUtil.FormatDouble (me.getValue(), 1, 8, 1.) + " |");

  872.         EnvManager.TerminateEnv();
  873.     }
  874. }
Created with JaCoCo 0.7.9.201702052155