FixFloatFixFloat.java
package org.drip.sample.cross;
import java.util.*;
import org.drip.analytics.date.JulianDate;
import org.drip.analytics.support.*;
import org.drip.function.r1tor1.FlatUnivariate;
import org.drip.numerical.common.*;
import org.drip.param.market.CurveSurfaceQuoteContainer;
import org.drip.param.period.*;
import org.drip.param.valuation.*;
import org.drip.product.fx.ComponentPair;
import org.drip.product.params.*;
import org.drip.product.rates.*;
import org.drip.service.env.EnvManager;
import org.drip.state.creator.*;
import org.drip.state.identifier.*;
/*
* -*- 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
*
* 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>FixFloatFixFloat</i> demonstrates the construction, the usage, and the eventual valuation of the Cross
* Currency Basis Swap built out of a pair of fix-float swaps.
*
* <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/cross/README.md">Single/Dual Stream XCCY Component</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class FixFloatFixFloat {
private static final FixFloatComponent MakeFixFloatSwap (
final JulianDate dtEffective,
final boolean bFXMTM,
final String strPayCurrency,
final String strCouponCurrency,
final String strMaturityTenor,
final int iTenorInMonths)
throws Exception
{
UnitCouponAccrualSetting ucasFixed = new UnitCouponAccrualSetting (
2,
"Act/360",
false,
"Act/360",
false,
strCouponCurrency,
false,
CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC
);
ComposableFloatingUnitSetting cfusFloating = new ComposableFloatingUnitSetting (
iTenorInMonths + "M",
CompositePeriodBuilder.EDGE_DATE_SEQUENCE_REGULAR,
null,
ForwardLabel.Create (
strCouponCurrency,
iTenorInMonths + "M"
),
CompositePeriodBuilder.REFERENCE_PERIOD_IN_ADVANCE,
0.
);
ComposableFixedUnitSetting cfusFixed = new ComposableFixedUnitSetting (
"6M",
CompositePeriodBuilder.EDGE_DATE_SEQUENCE_REGULAR,
null,
0.02,
0.,
strCouponCurrency
);
CompositePeriodSetting cpsFloating = new CompositePeriodSetting (
12 / iTenorInMonths,
iTenorInMonths + "M",
strPayCurrency,
null,
-1.,
null,
null,
null,
null
);
CompositePeriodSetting cpsFixed = new CompositePeriodSetting (
2,
"6M",
strPayCurrency,
null,
1.,
null,
null,
bFXMTM ? null : new FixingSetting (
FixingSetting.FIXING_PRESET_STATIC,
null,
dtEffective.julian()
),
null
);
List<Integer> lsFloatingStreamEdgeDate = CompositePeriodBuilder.RegularEdgeDates (
dtEffective,
iTenorInMonths + "M",
strMaturityTenor,
null
);
List<Integer> lsFixedStreamEdgeDate = CompositePeriodBuilder.RegularEdgeDates (
dtEffective,
"6M",
strMaturityTenor,
null
);
Stream floatingStream = new Stream (
CompositePeriodBuilder.FloatingCompositeUnit (
lsFloatingStreamEdgeDate,
cpsFloating,
cfusFloating
)
);
Stream fixedStream = new Stream (
CompositePeriodBuilder.FixedCompositeUnit (
lsFixedStreamEdgeDate,
cpsFixed,
ucasFixed,
cfusFixed
)
);
FixFloatComponent fixFloat = new FixFloatComponent (
fixedStream,
floatingStream,
new CashSettleParams (
0,
strPayCurrency,
0
)
);
return fixFloat;
}
public static final void main (
final String[] astrArgs)
throws Exception
{
double dblUSD3MForwardRate = 0.0275;
double dblEUR3MForwardRate = 0.0175;
double dblUSDFundingRate = 0.03;
double dblUSDEURFXRate = 1. / 1.34;
double dblUSD3MForwardVol = 0.3;
double dblEUR3MForwardVol = 0.3;
double dblUSDFundingVol = 0.3;
double dblUSDEURFXVol = 0.3;
double dblUSD3MForwardUSDFundingCorr = 0.15;
double dblEUR3MForwardUSDFundingCorr = 0.15;
double dblEUR3MForwardUSDEURFXCorr = 0.15;
double dblUSDFundingUSDEURFXCorr = 0.15;
/*
* Initialize the Credit Analytics Library
*/
EnvManager.InitEnv ("");
JulianDate dtToday = org.drip.analytics.date.DateUtil.Today();
ValuationParams valParams = new ValuationParams (
dtToday,
dtToday,
"USD"
);
ForwardLabel fri3MUSD = ForwardLabel.Create (
"USD",
"3M"
);
ForwardLabel fri3MEUR = ForwardLabel.Create (
"EUR",
"3M"
);
CurrencyPair cp = CurrencyPair.FromCode ("USD/EUR");
FundingLabel fundingLabelUSD = FundingLabel.Standard ("USD");
FXLabel fxLabel = FXLabel.Standard (cp);
FixFloatComponent fixFloatUSD = MakeFixFloatSwap (
dtToday,
false,
"USD",
"USD",
"2Y",
3
);
FixFloatComponent fixFloatEURMTM = MakeFixFloatSwap (
dtToday,
true,
"USD",
"EUR",
"2Y",
3
);
ComponentPair cpMTM = new ComponentPair (
"FFFF_MTM",
fixFloatUSD,
fixFloatEURMTM,
null
);
FixFloatComponent fixFloatEURNonMTM = MakeFixFloatSwap (
dtToday,
false,
"USD",
"EUR",
"2Y",
3
);
ComponentPair cpNonMTM = new ComponentPair (
"FFFF_Non_MTM",
fixFloatUSD,
fixFloatEURNonMTM,
null
);
CurveSurfaceQuoteContainer mktParams = new CurveSurfaceQuoteContainer();
mktParams.setFixing (
dtToday,
fxLabel,
dblUSDEURFXRate
);
mktParams.setForwardState (
ScenarioForwardCurveBuilder.FlatForwardForwardCurve (
dtToday,
fri3MUSD,
dblUSD3MForwardRate
)
);
mktParams.setForwardState (
ScenarioForwardCurveBuilder.FlatForwardForwardCurve (
dtToday,
fri3MEUR,
dblEUR3MForwardRate
)
);
mktParams.setFundingState (
ScenarioDiscountCurveBuilder.ExponentiallyCompoundedFlatRate (
dtToday,
"USD",
dblUSDFundingRate
)
);
mktParams.setFXState (
ScenarioFXCurveBuilder.CubicPolynomialCurve (
fxLabel.fullyQualifiedName(),
dtToday,
cp,
new String[] {"10Y"},
new double[] {dblUSDEURFXRate},
dblUSDEURFXRate
)
);
mktParams.setForwardVolatility (
ScenarioDeterministicVolatilityBuilder.FlatForward (
dtToday.julian(),
VolatilityLabel.Standard (fri3MUSD),
"USD",
dblUSD3MForwardVol
)
);
mktParams.setForwardVolatility (
ScenarioDeterministicVolatilityBuilder.FlatForward (
dtToday.julian(),
VolatilityLabel.Standard (fri3MEUR),
"EUR",
dblEUR3MForwardVol
)
);
mktParams.setFundingVolatility (
ScenarioDeterministicVolatilityBuilder.FlatForward (
dtToday.julian(),
VolatilityLabel.Standard (fundingLabelUSD),
"USD",
dblUSDFundingVol
)
);
mktParams.setFXVolatility (
ScenarioDeterministicVolatilityBuilder.FlatForward (
dtToday.julian(),
VolatilityLabel.Standard (fxLabel),
"USD",
dblUSDEURFXVol
)
);
mktParams.setForwardFundingCorrelation (
fri3MUSD,
fundingLabelUSD,
new FlatUnivariate (dblUSD3MForwardUSDFundingCorr)
);
mktParams.setForwardFundingCorrelation (
fri3MEUR,
fundingLabelUSD,
new FlatUnivariate (dblEUR3MForwardUSDFundingCorr)
);
mktParams.setForwardFXCorrelation (
fri3MEUR,
fxLabel,
new FlatUnivariate (dblEUR3MForwardUSDEURFXCorr)
);
mktParams.setFundingFXCorrelation (
fundingLabelUSD,
fxLabel,
new FlatUnivariate (dblUSDFundingUSDEURFXCorr)
);
CaseInsensitiveTreeMap<Double> mapMTMOutput = cpMTM.value (
valParams,
null,
mktParams,
null
);
CaseInsensitiveTreeMap<Double> mapNonMTMOutput = cpNonMTM.value (
valParams,
null,
mktParams,
null
);
for (Map.Entry<String, Double> me : mapMTMOutput.entrySet()) {
String strKey = me.getKey();
if (null != me.getValue() && null != mapNonMTMOutput.get (strKey)) {
double dblMTMMeasure = me.getValue();
double dblNonMTMMeasure = mapNonMTMOutput.get (strKey);
String strReconcile = NumberUtil.WithinTolerance (
dblMTMMeasure,
dblNonMTMMeasure,
1.e-08,
1.e-04
) ? "RECONCILES" : "DOES NOT RECONCILE";
System.out.println ("\t" +
FormatUtil.FormatDouble (dblMTMMeasure, 1, 8, 1.) + " | " +
FormatUtil.FormatDouble (dblNonMTMMeasure, 1, 8, 1.) + " | " +
strReconcile + " <= " + strKey);
}
}
EnvManager.TerminateEnv();
}
}