SWPM_NEW.java
package org.drip.sample.bloomberg;
import java.util.*;
import org.drip.analytics.date.*;
import org.drip.analytics.support.CompositePeriodBuilder;
import org.drip.function.r1tor1.QuadraticRationalShapeControl;
import org.drip.market.otc.*;
import org.drip.numerical.common.FormatUtil;
import org.drip.param.creator.*;
import org.drip.param.market.CurveSurfaceQuoteContainer;
import org.drip.param.period.*;
import org.drip.param.valuation.ValuationParams;
import org.drip.product.creator.SingleStreamComponentBuilder;
import org.drip.product.definition.CalibratableComponent;
import org.drip.product.rates.*;
import org.drip.sample.forward.IBORCurve;
import org.drip.service.env.EnvManager;
import org.drip.spline.basis.PolynomialFunctionSetParams;
import org.drip.spline.params.*;
import org.drip.spline.stretch.*;
import org.drip.state.creator.ScenarioDiscountCurveBuilder;
import org.drip.state.discount.*;
import org.drip.state.estimator.LatentStateStretchBuilder;
import org.drip.state.forward.ForwardCurve;
import org.drip.state.identifier.*;
import org.drip.state.inference.*;
/*
* -*- 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_NEW</i> contains the sample demonstrating the replication of Bloomberg's Latest 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_NEW {
private static final FixFloatComponent OTCOISFixFloat (
final JulianDate dtSpot,
final String strCurrency,
final String strMaturityTenor,
final double dblCoupon)
{
FixedFloatSwapConvention ffConv = OvernightFixedFloatContainer.FundConventionFromJurisdiction (
strCurrency
);
return ffConv.createFixFloatComponent (
dtSpot,
strMaturityTenor,
dblCoupon,
0.,
1.
);
}
/*
* 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 SingleStreamComponent[] DepositInstrumentsFromMaturityDays (
final JulianDate dtEffective,
final String strCurrency,
final int[] aiDay)
throws Exception
{
SingleStreamComponent[] aDeposit = new SingleStreamComponent[aiDay.length];
for (int i = 0; i < aiDay.length; ++i)
aDeposit[i] = SingleStreamComponentBuilder.Deposit (
dtEffective,
dtEffective.addBusDays (
aiDay[i],
strCurrency
),
OvernightLabel.Create (
strCurrency
)
);
return aDeposit;
}
/*
* Construct the Array of Overnight Index Instruments from the given set of parameters
*
* USE WITH CARE: This sample ignores errors and does not handle exceptions.
*/
private static final FixFloatComponent[] OISFromMaturityTenor (
final JulianDate dtSpot,
final String strCurrency,
final String[] astrMaturityTenor,
final double[] adblCoupon)
throws Exception
{
FixFloatComponent[] aOIS = new FixFloatComponent[astrMaturityTenor.length];
for (int i = 0; i < astrMaturityTenor.length; ++i)
aOIS[i] = OTCOISFixFloat (
dtSpot,
strCurrency,
astrMaturityTenor[i],
adblCoupon[i]
);
return aOIS;
}
private static final FixFloatComponent[] OISFuturesFromMaturityTenor (
final JulianDate dtSpot,
final String strCurrency,
final String[] astrStartTenor,
final String[] astrMaturityTenor,
final double[] adblCoupon)
throws Exception
{
FixFloatComponent[] aOISFutures = new FixFloatComponent[astrMaturityTenor.length];
for (int i = 0; i < astrMaturityTenor.length; ++i)
aOISFutures[i] = OTCOISFixFloat (
dtSpot.addTenor (astrStartTenor[i]),
strCurrency,
astrMaturityTenor[i],
adblCoupon[i]
);
return aOISFutures;
}
/*
* Construct the Array of Overnight Index Future Instruments from the given set of parameters
*
* USE WITH CARE: This sample ignores errors and does not handle exceptions.
*/
private static final MergedDiscountForwardCurve OvernightCurve (
final JulianDate dtSpot,
final String strCurrency,
final String strHeaderComment)
throws Exception
{
System.out.println ("\n\t----------------------------------------------------------------");
System.out.println ("\t " + strHeaderComment);
System.out.println ("\t----------------------------------------------------------------");
/*
* Construct the Array of Deposit Instruments and their Quotes from the given set of parameters
*/
SingleStreamComponent[] aDepositComp = DepositInstrumentsFromMaturityDays (
dtSpot,
strCurrency,
new int[] {
1, 2, 3
}
);
double[] adblDepositQuote = new double[] {
0.0004, 0.0004, 0.0004 // Deposit
};
/*
* Construct the Deposit Instrument Set Stretch Builder
*/
LatentStateStretchSpec depositStretch = LatentStateStretchBuilder.ForwardFundingStretchSpec (
"DEPOSIT",
aDepositComp,
"ForwardRate",
adblDepositQuote
);
/*
* Construct the Array of Short End OIS Instruments and their Quotes from the given set of parameters
*/
double[] adblShortEndOISQuote = new double[] {
0.00070, // 1W
0.00069, // 2W
0.00078, // 3W
0.00074 // 1M
};
CalibratableComponent[] aShortEndOISComp = OISFromMaturityTenor (
dtSpot,
strCurrency,
new java.lang.String[] {
"1W", "2W", "3W", "1M"
},
adblShortEndOISQuote
);
/*
* Construct the Short End OIS Instrument Set Stretch Builder
*/
LatentStateStretchSpec oisShortEndStretch = LatentStateStretchBuilder.ForwardFundingStretchSpec (
"OIS_SHORT_END",
aShortEndOISComp,
"SwapRate",
adblShortEndOISQuote
);
/*
* Construct the Array of OIS Futures Instruments and their Quotes from the given set of parameters
*/
double[] adblOISFutureQuote = new double[] {
0.00046, // 1M x 1M
0.00016, // 2M x 1M
-0.00007, // 3M x 1M
-0.00013, // 4M x 1M
-0.00014 // 5M x 1M
};
CalibratableComponent[] aOISFutureComp = OISFuturesFromMaturityTenor (
dtSpot,
strCurrency,
new java.lang.String[] {
"1M", "2M", "3M", "4M", "5M"
},
new java.lang.String[] {
"1M", "1M", "1M", "1M", "1M"
},
adblOISFutureQuote
);
/*
* Construct the OIS Future Instrument Set Stretch Builder
*/
LatentStateStretchSpec oisFutureStretch = LatentStateStretchBuilder.ForwardFundingStretchSpec (
"OIS_FUTURE",
aOISFutureComp,
"SwapRate",
adblOISFutureQuote
);
/*
* Construct the Array of Long End OIS Instruments and their Quotes from the given set of parameters
*/
double[] adblLongEndOISQuote = new double[] {
0.00002, // 15M
0.00008, // 18M
0.00021, // 21M
0.00036, // 2Y
0.00127, // 3Y
0.00274, // 4Y
0.00456, // 5Y
0.00647, // 6Y
0.00827, // 7Y
0.00996, // 8Y
0.01147, // 9Y
0.01280, // 10Y
0.01404, // 11Y
0.01516, // 12Y
0.01764, // 15Y
0.01939, // 20Y
0.02003, // 25Y
0.02038 // 30Y
};
CalibratableComponent[] aLongEndOISComp = OISFromMaturityTenor (
dtSpot,
strCurrency,
new java.lang.String[] {
"15M", "18M", "21M", "2Y", "3Y", "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "11Y", "12Y", "15Y", "20Y", "25Y", "30Y"
},
adblLongEndOISQuote
);
/*
* Construct the Long End OIS Instrument Set Stretch Builder
*/
LatentStateStretchSpec oisLongEndStretch = LatentStateStretchBuilder.ForwardFundingStretchSpec (
"OIS_LONG_END",
aLongEndOISComp,
"SwapRate",
adblLongEndOISQuote
);
LatentStateStretchSpec[] aStretchSpec = new LatentStateStretchSpec[] {
depositStretch,
oisShortEndStretch,
oisFutureStretch,
oisLongEndStretch
};
/*
* Set up the Linear Curve Calibrator using the following parameters:
* - Cubic Exponential Mixture Basis Spline Set
* - Ck = 2, Segment Curvature Penalty = 2
* - Quadratic Rational Shape Controller
* - Natural Boundary Setting
*/
LinearLatentStateCalibrator lcc = new LinearLatentStateCalibrator (
new SegmentCustomBuilderControl (
MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
new PolynomialFunctionSetParams (4),
SegmentInelasticDesignControl.Create (
2,
2
),
new ResponseScalingShapeControl (
true,
new QuadraticRationalShapeControl (0.)
),
null
),
BoundarySettings.NaturalStandard(),
MultiSegmentSequence.CALIBRATE,
null,
null
);
/*
* Construct the Shape Preserving Discount Curve by applying the linear curve calibrator to the array
* of Deposit and Swap Stretches.
*/
ValuationParams valParams = new ValuationParams (
dtSpot,
dtSpot,
strCurrency
);
MergedDiscountForwardCurve dcOvernight = ScenarioDiscountCurveBuilder.ShapePreservingDFBuild (
strCurrency,
lcc,
aStretchSpec,
valParams,
null,
null,
null,
1.
);
/*
* Cross-Comparison of the Deposit Calibration Instrument "Rate" metric across the different curve
* construction methodologies.
*/
System.out.println ("\t----------------------------------------------------------------");
System.out.println ("\t DEPOSIT INSTRUMENTS CALIBRATION RECOVERY");
System.out.println ("\t----------------------------------------------------------------");
for (int i = 0; i < aDepositComp.length; ++i)
System.out.println ("\t[" + aDepositComp[i].effectiveDate() + " => " + aDepositComp[i].maturityDate() + "] = " +
FormatUtil.FormatDouble (aDepositComp[i].measureValue (valParams, null,
MarketParamsBuilder.Create (dcOvernight, null, null, null, null, null, null),
null, "Rate"), 1, 6, 1.) + " | " + FormatUtil.FormatDouble (adblDepositQuote[i], 1, 6, 1.));
/*
* Cross-Comparison of the Short End OIS Calibration Instrument "Rate" metric across the different curve
* construction methodologies.
*/
System.out.println ("\n\t----------------------------------------------------------------");
System.out.println ("\t OIS SHORT END INSTRUMENTS CALIBRATION RECOVERY");
System.out.println ("\t----------------------------------------------------------------");
for (int i = 0; i < aShortEndOISComp.length; ++i)
System.out.println ("\t[" + aShortEndOISComp[i].effectiveDate() + " => " + aShortEndOISComp[i].maturityDate() + "] = " +
FormatUtil.FormatDouble (aShortEndOISComp[i].measureValue (valParams, null,
MarketParamsBuilder.Create (dcOvernight, null, null, null, null, null, null),
null, "CalibSwapRate"), 1, 6, 1.) + " | " + FormatUtil.FormatDouble (adblShortEndOISQuote[i], 1, 6, 1.) + " | " +
FormatUtil.FormatDouble (aShortEndOISComp[i].measureValue (valParams, null,
MarketParamsBuilder.Create (dcOvernight, null, null, null, null, null, null),
null, "FairPremium"), 1, 6, 1.));
/*
* Cross-Comparison of the OIS Future Calibration Instrument "Rate" metric across the different curve
* construction methodologies.
*/
System.out.println ("\n\t----------------------------------------------------------------");
System.out.println ("\t OIS FUTURE INSTRUMENTS CALIBRATION RECOVERY");
System.out.println ("\t----------------------------------------------------------------");
for (int i = 0; i < aOISFutureComp.length; ++i)
System.out.println ("\t[" + aOISFutureComp[i].effectiveDate() + " => " + aOISFutureComp[i].maturityDate() + "] = " +
FormatUtil.FormatDouble (aOISFutureComp[i].measureValue (valParams, null,
MarketParamsBuilder.Create (dcOvernight, null, null, null, null, null, null),
null, "SwapRate"), 1, 6, 1.) + " | " + FormatUtil.FormatDouble (adblOISFutureQuote[i], 1, 6, 1.) + " | " +
FormatUtil.FormatDouble (aOISFutureComp[i].measureValue (valParams, null,
MarketParamsBuilder.Create (dcOvernight, null, null, null, null, null, null),
null, "FairPremium"), 1, 6, 1.));
/*
* Cross-Comparison of the Long End OIS Calibration Instrument "Rate" metric across the different curve
* construction methodologies.
*/
System.out.println ("\n\t----------------------------------------------------------------");
System.out.println ("\t OIS LONG END INSTRUMENTS CALIBRATION RECOVERY");
System.out.println ("\t----------------------------------------------------------------");
for (int i = 0; i < aLongEndOISComp.length; ++i)
System.out.println ("\t[" + aLongEndOISComp[i].effectiveDate() + " => " + aLongEndOISComp[i].maturityDate() + "] = " +
FormatUtil.FormatDouble (aLongEndOISComp[i].measureValue (valParams, null,
MarketParamsBuilder.Create (dcOvernight, null, null, null, null, null, null),
null, "CalibSwapRate"), 1, 6, 1.) + " | " + FormatUtil.FormatDouble (adblLongEndOISQuote[i], 1, 6, 1.) + " | " +
FormatUtil.FormatDouble (aLongEndOISComp[i].measureValue (valParams, null,
MarketParamsBuilder.Create (dcOvernight, null, null, null, null, null, null),
null, "FairPremium"), 1, 6, 1.));
return dcOvernight;
}
public static final ForwardCurve MakeForwardCurve (
final JulianDate dtValue,
final MergedDiscountForwardCurve dcOvernight,
final String strForwardTenor)
throws Exception
{
String strCurrency = dcOvernight.currency();
ForwardLabel fri = ForwardLabel.Create (
strCurrency,
strForwardTenor
);
SegmentCustomBuilderControl scbcCubic = new SegmentCustomBuilderControl (
MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
new PolynomialFunctionSetParams (4),
SegmentInelasticDesignControl.Create (
2,
2
),
new ResponseScalingShapeControl (
true,
new QuadraticRationalShapeControl (0.)
),
null
);
/*
* Construct the Array of Deposit Instruments and their Quotes from the given set of parameters
*/
double[] adblDepositQuote = new double[] {
0.003565, // 1D
0.003858, // 1W
0.003840, // 2W
0.003922, // 3W
0.003869, // 1M
0.003698, // 2M
};
String[] astrDepositTenor = new String[] {
"1D",
"1W",
"2W",
"3W",
"1M",
"2M",
};
/*
* Construct the Array of FRAs and their Quotes from the given set of parameters
*/
double[] adblFRAQuote = new double[] {
0.003120, // 0D
0.002930, // 1M
0.002720, // 2M
0.002600, // 3M
0.002560, // 4M
0.002520, // 5M
0.002480, // 6M
0.002540, // 7M
0.002610, // 8M
0.002670, // 9M
0.002790, // 10M
0.002910, // 11M
0.003030, // 12M
0.003180, // 13M
0.003350, // 14M
0.003520, // 15M
0.003710, // 16M
0.003890, // 17M
0.004090 // 18M
};
String[] astrFRATenor = new String[] {
"0D",
"1M",
"2M",
"3M",
"4M",
"5M",
"6M",
"7M",
"8M",
"9M",
"10M",
"11M",
"12M",
"13M",
"14M",
"15M",
"16M",
"17M",
"18M"
};
/*
* Construct the Array of Fix-Float Component and their Quotes from the given set of parameters
*/
double[] adblFixFloatQuote = new double[] {
0.004240, // 3Y
0.005760, // 4Y
0.007620, // 5Y
0.009540, // 6Y
0.011350, // 7Y
0.013030, // 8Y
0.014520, // 9Y
0.015840, // 10Y
0.018090, // 12Y
0.020370, // 15Y
0.021870, // 20Y
0.022340, // 25Y
0.022560, // 30Y
0.022950, // 35Y
0.023480, // 40Y
0.024210, // 50Y
0.024630 // 60Y
};
String[] astrFixFloatTenor = new String[] {
"3Y",
"4Y",
"5Y",
"6Y",
"7Y",
"8Y",
"9Y",
"10Y",
"12Y",
"15Y",
"20Y",
"25Y",
"30Y",
"35Y",
"40Y",
"50Y",
"60Y"
};
return IBORCurve.CustomIBORBuilderSample (
dcOvernight,
null,
fri,
scbcCubic,
astrDepositTenor,
adblDepositQuote,
"ForwardRate",
astrFRATenor,
adblFRAQuote,
"ParForwardRate",
astrFixFloatTenor,
adblFixFloatQuote,
"SwapRate",
null,
null,
"DerivedParBasisSpread",
null,
null,
"DerivedParBasisSpread",
"---- " + strCurrency + "-LIBOR-" + strForwardTenor + " VANILLA CUBIC POLYNOMIAL FORWARD CURVE ---",
true
);
}
/*
* Construct an array of fix-float swaps from the fixed reference and the xM floater derived legs.
*
* USE WITH CARE: This sample ignores errors and does not handle exceptions.
*/
private static final FixFloatComponent FixFloatSwap (
final JulianDate dtEffective,
final ForwardLabel fri,
final String strFixedTenor,
final String strMaturityTenor,
final double dblCoupon)
throws Exception
{
String strCurrency = fri.currency();
int iTenorInMonths = Integer.parseInt (fri.tenor().split ("M")[0]);
UnitCouponAccrualSetting ucasFixed = new UnitCouponAccrualSetting (
2,
"Act/360",
false,
"Act/360",
false,
strCurrency,
false,
CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC
);
ComposableFloatingUnitSetting cfusFloating = new ComposableFloatingUnitSetting (
fri.tenor(),
CompositePeriodBuilder.EDGE_DATE_SEQUENCE_REGULAR,
null,
fri,
CompositePeriodBuilder.REFERENCE_PERIOD_IN_ADVANCE,
0.
);
CompositePeriodSetting cpsFloating = new CompositePeriodSetting (
12 / iTenorInMonths,
fri.tenor(),
strCurrency,
null,
-1.,
null,
null,
null,
null
);
ComposableFixedUnitSetting cfusFixed = new ComposableFixedUnitSetting (
strFixedTenor,
CompositePeriodBuilder.EDGE_DATE_SEQUENCE_REGULAR,
null,
dblCoupon,
0.,
strCurrency
);
CompositePeriodSetting cpsFixed = new CompositePeriodSetting (
2,
strFixedTenor,
strCurrency,
null,
1.,
null,
null,
null,
null
);
List<Integer> lsFixedStreamEdgeDate = CompositePeriodBuilder.BackwardEdgeDates (
dtEffective,
dtEffective.addTenor (strMaturityTenor),
strFixedTenor,
null,
CompositePeriodBuilder.SHORT_STUB
);
List<Integer> lsFloatingStreamEdgeDate = CompositePeriodBuilder.RegularEdgeDates (
dtEffective,
fri.tenor(),
strMaturityTenor,
null
);
Stream floatingStream = new Stream (
CompositePeriodBuilder.FloatingCompositeUnit (
lsFloatingStreamEdgeDate,
cpsFloating,
cfusFloating
)
);
Stream fixedStream = new Stream (
CompositePeriodBuilder.FixedCompositeUnit (
lsFixedStreamEdgeDate,
cpsFixed,
ucasFixed,
cfusFixed
)
);
FixFloatComponent ffc = new FixFloatComponent (
fixedStream,
floatingStream,
null
);
ffc.setPrimaryCode ("FixFloat: " + strMaturityTenor);
return ffc;
}
public static final void main (
final String[] astrArgs)
throws Exception
{
/*
* Initialize the Credit Analytics Library
*/
EnvManager.InitEnv (
"",
true
);
JulianDate dtSpot = DateUtil.CreateFromYMD (
2015,
DateUtil.MAY,
15
);
String strCurrency = "USD";
String strForwardTenor = "3M";
MergedDiscountForwardCurve dcOvernight = OvernightCurve (
dtSpot,
strCurrency,
"OVERNIGHT INDEX RUN RECONCILIATION"
);
ForwardCurve fc3M = MakeForwardCurve (
dtSpot,
dcOvernight,
strForwardTenor
);
JulianDate dtEffective = DateUtil.CreateFromYMD (
2017,
DateUtil.SEPTEMBER,
11
);
double dblCoupon = 0.026825;
String strFixedTenor = "6M";
String strMaturityTenor = "10Y";
FixFloatComponent ffcSwap = FixFloatSwap (
dtEffective,
fc3M.index(),
strFixedTenor,
strMaturityTenor,
dblCoupon
);
CurveSurfaceQuoteContainer mktParams = MarketParamsBuilder.Create (
dcOvernight,
fc3M,
null,
null,
null,
null,
null,
null
);
Map<String, Double> mapSwap = ffcSwap.value (
new ValuationParams (
dtSpot,
dtSpot,
strCurrency
),
null,
mktParams,
null
);
for (Map.Entry<String, Double> me : mapSwap.entrySet())
System.out.println ("\t" + me.getKey() + " => " + FormatUtil.FormatDouble (me.getValue(), 1, 8, 1.) + " |");
EnvManager.TerminateEnv();
}
}