InAdvanceShortTenorPeriods.java
package org.drip.sample.cashflow;
import java.util.List;
import org.drip.analytics.cashflow.*;
import org.drip.analytics.date.*;
import org.drip.analytics.output.ConvexityAdjustment;
import org.drip.analytics.support.*;
import org.drip.numerical.common.FormatUtil;
import org.drip.param.creator.MarketParamsBuilder;
import org.drip.param.market.CurveSurfaceQuoteContainer;
import org.drip.param.period.*;
import org.drip.param.valuation.CashSettleParams;
import org.drip.product.rates.*;
import org.drip.service.env.EnvManager;
import org.drip.service.template.LatentMarketStateBuilder;
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
*
* 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>InAdvanceShortTenorPeriods</i> demonstrates the Cash Flow Period Details for an In-Advance Short Tenor
* Fix-Float Swap.
*
* <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/cashflow/README.md">Fixed Income Product Cash Flow Display</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class InAdvanceShortTenorPeriods {
private static final FixFloatComponent InAdvanceShortTenor (
final JulianDate dtEffective,
final String strCurrency,
final String strMaturityTenor,
final String strFloatingTenor,
final String strCompositeTenor)
throws Exception
{
UnitCouponAccrualSetting ucasFixed = new UnitCouponAccrualSetting (
Helper.TenorToFreq (strCompositeTenor),
"Act/360",
false,
"Act/360",
false,
strCurrency,
true,
CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC
);
ComposableFloatingUnitSetting cfusFloating = new ComposableFloatingUnitSetting (
strCompositeTenor,
CompositePeriodBuilder.EDGE_DATE_SEQUENCE_REGULAR,
null,
ForwardLabel.Create (
strCurrency,
strFloatingTenor
),
CompositePeriodBuilder.REFERENCE_PERIOD_IN_ADVANCE,
0.
);
ComposableFixedUnitSetting cfusFixed = new ComposableFixedUnitSetting (
strCompositeTenor,
CompositePeriodBuilder.EDGE_DATE_SEQUENCE_REGULAR,
null,
0.,
0.,
strCurrency
);
CompositePeriodSetting cpsFloating = new CompositePeriodSetting (
Helper.TenorToFreq (strCompositeTenor),
strCompositeTenor,
strCurrency,
null,
-1.,
null,
null,
null,
null
);
CompositePeriodSetting cpsFixed = new CompositePeriodSetting (
Helper.TenorToFreq (strCompositeTenor),
strCompositeTenor,
strCurrency,
null,
1.,
null,
null,
null,
null
);
CashSettleParams csp = new CashSettleParams (
0,
strCurrency,
0
);
List<Integer> lsFixedStreamEdgeDate = CompositePeriodBuilder.RegularEdgeDates (
dtEffective,
strCompositeTenor,
strMaturityTenor,
null
);
List<Integer> lsFloatingStreamEdgeDate = CompositePeriodBuilder.RegularEdgeDates (
dtEffective,
strCompositeTenor,
strMaturityTenor,
null
);
Stream floatingStream = new Stream (
CompositePeriodBuilder.FloatingCompositeUnit (
lsFloatingStreamEdgeDate,
cpsFloating,
cfusFloating
)
);
Stream fixedStream = new Stream (
CompositePeriodBuilder.FixedCompositeUnit (
lsFixedStreamEdgeDate,
cpsFixed,
ucasFixed,
cfusFixed
)
);
FixFloatComponent irs = new FixFloatComponent (
fixedStream,
floatingStream,
csp
);
irs.setPrimaryCode ("IRS." + strMaturityTenor + "." + strCurrency);
return irs;
}
private static final MergedDiscountForwardCurve FundingCurve (
final JulianDate dtSpot,
final String strCurrency,
final double dblBump)
throws Exception
{
String[] astrDepositMaturityTenor = new String[] {
"2D"
};
double[] adblDepositQuote = new double[] {
0.0111956 + dblBump // 2D
};
double[] adblFuturesQuote = new double[] {
0.011375 + dblBump, // 98.8625
0.013350 + dblBump, // 98.6650
0.014800 + dblBump, // 98.5200
0.016450 + dblBump, // 98.3550
0.017850 + dblBump, // 98.2150
0.019300 + dblBump // 98.0700
};
String[] astrFixFloatMaturityTenor = new String[] {
"02Y",
"03Y",
"04Y",
"05Y",
"06Y",
"07Y",
"08Y",
"09Y",
"10Y",
"11Y",
"12Y",
"15Y",
"20Y",
"25Y",
"30Y",
"40Y",
"50Y"
};
double[] adblFixFloatQuote = new double[] {
0.017029 + dblBump, // 2Y
0.019354 + dblBump, // 3Y
0.021044 + dblBump, // 4Y
0.022291 + dblBump, // 5Y
0.023240 + dblBump, // 6Y
0.024025 + dblBump, // 7Y
0.024683 + dblBump, // 8Y
0.025243 + dblBump, // 9Y
0.025720 + dblBump, // 10Y
0.026130 + dblBump, // 11Y
0.026495 + dblBump, // 12Y
0.027230 + dblBump, // 15Y
0.027855 + dblBump, // 20Y
0.028025 + dblBump, // 25Y
0.028028 + dblBump, // 30Y
0.027902 + dblBump, // 40Y
0.027655 + dblBump // 50Y
};
return LatentMarketStateBuilder.SmoothFundingCurve (
dtSpot,
strCurrency,
astrDepositMaturityTenor,
adblDepositQuote,
"ForwardRate",
adblFuturesQuote,
"ForwardRate",
astrFixFloatMaturityTenor,
adblFixFloatQuote,
"SwapRate"
);
}
public static final void main (
final String[] astrArgs)
throws Exception
{
EnvManager.InitEnv ("");
JulianDate dtSpot = DateUtil.CreateFromYMD (
2017,
DateUtil.MARCH,
10
);
String strCurrency = "USD";
FixFloatComponent ffcInAdvanceShortTenor = InAdvanceShortTenor (
dtSpot,
strCurrency,
"8Y",
"12M",
"3M"
);
System.out.println();
MergedDiscountForwardCurve mdfc = FundingCurve (
dtSpot,
strCurrency,
0.
);
CurveSurfaceQuoteContainer csqc = MarketParamsBuilder.Create (
mdfc,
null,
null,
null,
null,
null,
null
);
System.out.println ("\t||-------------------------------------------------------------------------------------------------------------------||");
System.out.println ("\t|| FIXED PERIOD DATES AND FACTORS ||");
System.out.println ("\t||-------------------------------------------------------------------------------------------------------------------||");
System.out.println ("\t|| L -> R: ||");
System.out.println ("\t|| - Period Start Date ||");
System.out.println ("\t|| - Period End Date ||");
System.out.println ("\t|| - Period Pay Date ||");
System.out.println ("\t|| - Period FX Fixing Date ||");
System.out.println ("\t|| - Period Is FX MTM? ||");
System.out.println ("\t|| - Period Tenor ||");
System.out.println ("\t|| - Period Coupon Frequency ||");
System.out.println ("\t|| - Period Pay Currency ||");
System.out.println ("\t|| - Period Coupon Currency ||");
System.out.println ("\t|| - Period Basis ||");
System.out.println ("\t|| - Period Base Notional ||");
System.out.println ("\t|| - Period Notional ||");
System.out.println ("\t|| - Period Coupon Factor ||");
System.out.println ("\t||-------------------------------------------------------------------------------------------------------------------||");
for (CompositePeriod p : ffcInAdvanceShortTenor.referenceStream().cashFlowPeriod()) {
int iEndDate = p.endDate();
System.out.println ("\t|| " +
DateUtil.YYYYMMDD (p.startDate()) + " => " +
DateUtil.YYYYMMDD (iEndDate) + " | " +
DateUtil.YYYYMMDD (p.payDate()) + " | " +
DateUtil.YYYYMMDD (p.fxFixingDate()) + " | " +
p.isFXMTM() + " | " +
p.tenor() + " | " +
p.freq() + " | " +
p.payCurrency() + " | " +
p.couponCurrency() + " | " +
FormatUtil.FormatDouble (p.basis(), 1, 0, 10000.) + " | " +
FormatUtil.FormatDouble (p.baseNotional(), 1, 4, 1.) + " | " +
FormatUtil.FormatDouble (p.notional (iEndDate), 1, 4, 1.) + " | " +
FormatUtil.FormatDouble (p.couponFactor (iEndDate), 1, 4, 1.) + " ||"
);
}
System.out.println ("\t||-------------------------------------------------------------------------------------------------------------------||");
System.out.println();
System.out.println ("\t||---------------------------------------------------------------------------------||");
System.out.println ("\t|| FIXED PERIOD LABELS AND CURVE FACTORS ||");
System.out.println ("\t||---------------------------------------------------------------------------------||");
System.out.println ("\t|| L -> R: ||");
System.out.println ("\t|| - Period Start Date ||");
System.out.println ("\t|| - Period End Date ||");
System.out.println ("\t|| - Period Funding Label ||");
System.out.println ("\t|| - Period Coupon Rate (%) ||");
System.out.println ("\t|| - Period Coupon Year Fraction ||");
System.out.println ("\t|| - Period Coupon Amount ||");
System.out.println ("\t|| - Period Principal Amount ||");
System.out.println ("\t|| - Period Discount Factor ||");
System.out.println ("\t||---------------------------------------------------------------------------------||");
for (CompositePeriod p : ffcInAdvanceShortTenor.referenceStream().cashFlowPeriod()) {
int iEndDate = p.endDate();
int iStartDate = p.startDate();
double dblCouponRate = p.couponMetrics (
iEndDate,
csqc
).rate();
double dblCouponDCF = p.couponDCF();
System.out.println ("\t|| " +
DateUtil.YYYYMMDD (iStartDate) + " => " +
DateUtil.YYYYMMDD (iEndDate) + " | " +
p.fundingLabel().fullyQualifiedName() + " | " +
FormatUtil.FormatDouble (dblCouponRate, 1, 2, 100.) + "% | " +
FormatUtil.FormatDouble (dblCouponDCF, 1, 4, 1.) + " | " +
FormatUtil.FormatDouble (dblCouponRate * dblCouponDCF * p.notional (iEndDate) * p.couponFactor (iEndDate), 1, 4, 1.) + " | " +
FormatUtil.FormatDouble (p.notional (iStartDate) - p.notional (iEndDate), 1, 4, 1.) + " | " +
FormatUtil.FormatDouble (p.df (csqc), 1, 4, 1.) + " ||"
);
}
System.out.println ("\t||---------------------------------------------------------------------------------||");
System.out.println();
System.out.println ("\t||----------------------------------------------------------------------------------------------------------------------------------------------------------||");
System.out.println ("\t|| FLOATING PERIOD DATES AND FACTORS ||");
System.out.println ("\t||----------------------------------------------------------------------------------------------------------------------------------------------------------||");
System.out.println ("\t|| L -> R: ||");
System.out.println ("\t|| - Period Start Date ||");
System.out.println ("\t|| - Period End Date ||");
System.out.println ("\t|| - Reference Index Start Date ||");
System.out.println ("\t|| - Reference Index End Date ||");
System.out.println ("\t|| - Reference Index Fixing Date ||");
System.out.println ("\t|| - Period Pay Date ||");
System.out.println ("\t|| - Period FX Fixing Date ||");
System.out.println ("\t|| - Period Is FX MTM? ||");
System.out.println ("\t|| - Period Tenor ||");
System.out.println ("\t|| - Period Coupon Frequency ||");
System.out.println ("\t|| - Period Pay Currency ||");
System.out.println ("\t|| - Period Coupon Currency ||");
System.out.println ("\t|| - Period Basis ||");
System.out.println ("\t|| - Period Base Notional ||");
System.out.println ("\t|| - Period Notional ||");
System.out.println ("\t|| - Period Coupon Factor ||");
System.out.println ("\t||----------------------------------------------------------------------------------------------------------------------------------------------------------||");
for (CompositePeriod p : ffcInAdvanceShortTenor.derivedStream().cashFlowPeriod()) {
int iEndDate = p.endDate();
CompositeFloatingPeriod cfp = (CompositeFloatingPeriod) p;
ComposableUnitFloatingPeriod cufp = (ComposableUnitFloatingPeriod) cfp.periods().get(0);
ReferenceIndexPeriod rip = cufp.referenceIndexPeriod();
System.out.println ("\t|| " +
DateUtil.YYYYMMDD (p.startDate()) + " => " +
DateUtil.YYYYMMDD (iEndDate) + " | " +
DateUtil.YYYYMMDD (rip.startDate()) + " | " +
DateUtil.YYYYMMDD (rip.endDate()) + " | " +
DateUtil.YYYYMMDD (rip.fixingDate()) + " | " +
DateUtil.YYYYMMDD (p.payDate()) + " | " +
DateUtil.YYYYMMDD (p.fxFixingDate()) + " | " +
p.isFXMTM() + " | " +
p.tenor() + " | " +
p.freq() + " | " +
p.payCurrency() + " | " +
p.couponCurrency() + " | " +
FormatUtil.FormatDouble (p.basis(), 1, 0, 10000.) + " | " +
FormatUtil.FormatDouble (p.baseNotional(), 1, 4, 1.) + " | " +
FormatUtil.FormatDouble (p.notional (iEndDate), 1, 4, 1.) + " | " +
FormatUtil.FormatDouble (p.couponFactor (iEndDate), 1, 4, 1.) + " ||"
);
}
System.out.println ("\t||----------------------------------------------------------------------------------------------------------------------------------------------------------||");
System.out.println();
System.out.println ("\t||------------------------------------------------------------------------------------------------||");
System.out.println ("\t|| FLOATING PERIOD LABELS AND CURVE FACTORS ||");
System.out.println ("\t||------------------------------------------------------------------------------------------------||");
System.out.println ("\t|| L -> R: ||");
System.out.println ("\t|| - Period Start Date ||");
System.out.println ("\t|| - Period End Date ||");
System.out.println ("\t|| - Period Funding Label ||");
System.out.println ("\t|| - Period Forward Label ||");
System.out.println ("\t|| - Period Coupon Rate (%) ||");
System.out.println ("\t|| - Period Coupon Year Fraction ||");
System.out.println ("\t|| - Period Coupon Amount ||");
System.out.println ("\t|| - Period Principal Amount ||");
System.out.println ("\t|| - Period Discount Factor ||");
System.out.println ("\t||------------------------------------------------------------------------------------------------||");
for (CompositePeriod p : ffcInAdvanceShortTenor.derivedStream().cashFlowPeriod()) {
int iEndDate = p.endDate();
int iStartDate = p.startDate();
double dblCouponRate = p.couponMetrics (
iEndDate,
csqc
).rate();
double dblCouponDCF = p.couponDCF();
System.out.println ("\t|| " +
DateUtil.YYYYMMDD (iStartDate) + " => " +
DateUtil.YYYYMMDD (iEndDate) + " | " +
p.fundingLabel().fullyQualifiedName() + " | " +
p.floaterLabel().fullyQualifiedName() + " | " +
FormatUtil.FormatDouble (dblCouponRate, 1, 2, 100.) + "% | " +
FormatUtil.FormatDouble (dblCouponDCF, 1, 4, 1.) + " | " +
FormatUtil.FormatDouble (dblCouponRate * dblCouponDCF * p.notional (iEndDate) * p.couponFactor (iEndDate), 1, 4, 1.) + " | " +
FormatUtil.FormatDouble (p.notional (iStartDate) - p.notional (iEndDate), 1, 4, 1.) + " | " +
FormatUtil.FormatDouble (p.df (csqc), 1, 4, 1.) + " ||"
);
}
System.out.println ("\t||------------------------------------------------------------------------------------------------||");
System.out.println();
System.out.println();
System.out.println ("\t||--------------------------------------------------------------------------------------------------------------------||");
System.out.println ("\t|| CASH FLOW PERIODS CONVEXITY CORRECTION ||");
System.out.println ("\t||--------------------------------------------------------------------------------------------------------------------||");
System.out.println ("\t|| L -> R: ||");
System.out.println ("\t|| - Collateral Credit Adjustment ||");
System.out.println ("\t|| - Collateral Forward Adjustment ||");
System.out.println ("\t|| - Collateral Funding Adjustment ||");
System.out.println ("\t|| - Collateral FX Adjustment ||");
System.out.println ("\t|| - Credit Forward Adjustment ||");
System.out.println ("\t|| - Credit Funding Adjustment ||");
System.out.println ("\t|| - Credit FX Adjustment ||");
System.out.println ("\t|| - Forward Funding Adjustment ||");
System.out.println ("\t|| - Forward FX Adjustment ||");
System.out.println ("\t|| - Funding FX Adjustment ||");
System.out.println ("\t||--------------------------------------------------------------------------------------------------------------------||");
for (CompositePeriod p : ffcInAdvanceShortTenor.couponPeriods()) {
ConvexityAdjustment ca = p.terminalConvexityAdjustment (
dtSpot.julian(),
csqc
);
System.out.println ("\t|| " +
DateUtil.YYYYMMDD (p.startDate()) + " => " +
DateUtil.YYYYMMDD (p.endDate()) + " | " +
FormatUtil.FormatDouble (ca.collateralCredit(), 1, 3, 1.) + " | " +
FormatUtil.FormatDouble (ca.collateralForward(), 1, 3, 1.) + " | " +
FormatUtil.FormatDouble (ca.collateralFunding(), 1, 3, 1.) + " | " +
FormatUtil.FormatDouble (ca.collateralFX(), 1, 3, 1.) + " | " +
FormatUtil.FormatDouble (ca.creditForward(), 1, 3, 1.) + " | " +
FormatUtil.FormatDouble (ca.creditFunding(), 1, 3, 1.) + " | " +
FormatUtil.FormatDouble (ca.creditFX(), 1, 3, 1.) + " | " +
FormatUtil.FormatDouble (ca.forwardFunding(), 1, 3, 1.) + " | " +
FormatUtil.FormatDouble (ca.forwardFX(), 1, 3, 1.) + " | " +
FormatUtil.FormatDouble (ca.fundingFX(), 1, 3, 1.) + " ||"
);
}
System.out.println ("\t||--------------------------------------------------------------------------------------------------------------------||");
System.out.println();
EnvManager.TerminateEnv();
}
}