CCBSDiscountCurve.java
package org.drip.sample.dual;
import java.util.List;
import org.drip.analytics.date.JulianDate;
import org.drip.analytics.support.*;
import org.drip.market.otc.*;
import org.drip.numerical.common.FormatUtil;
import org.drip.numerical.differentiation.WengertJacobian;
import org.drip.param.market.CurveSurfaceQuoteContainer;
import org.drip.param.period.*;
import org.drip.param.valuation.*;
import org.drip.product.definition.CalibratableComponent;
import org.drip.product.fx.ComponentPair;
import org.drip.product.params.*;
import org.drip.product.rates.*;
import org.drip.spline.params.SegmentCustomBuilderControl;
import org.drip.spline.stretch.*;
import org.drip.state.creator.*;
import org.drip.state.discount.*;
import org.drip.state.estimator.*;
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
*
* 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>CCBSDiscountCurve</i> demonstrates the setup and construction of the Forward Curve from the CCBS
* Quotes.
*
* <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">G7 Standard Cross Currency Swap</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class CCBSDiscountCurve {
/*
* Construct an array of float-float swaps from the corresponding reference (6M) and the derived legs.
*
* USE WITH CARE: This sample ignores errors and does not handle exceptions.
*/
private static final FloatFloatComponent[] MakexM6MBasisSwap (
final JulianDate dtEffective,
final String strPayCurrency,
final String strCouponCurrency,
final double dblNotional,
final String[] astrMaturityTenor,
final int iTenorInMonths)
throws Exception
{
FloatFloatComponent[] aFFC = new FloatFloatComponent[astrMaturityTenor.length];
ComposableFloatingUnitSetting cfusReference = new ComposableFloatingUnitSetting (
"6M",
CompositePeriodBuilder.EDGE_DATE_SEQUENCE_REGULAR,
null,
ForwardLabel.Create (
strCouponCurrency,
"6M"
),
CompositePeriodBuilder.REFERENCE_PERIOD_IN_ADVANCE,
0.
);
ComposableFloatingUnitSetting cfusDerived = new ComposableFloatingUnitSetting (
iTenorInMonths + "M",
CompositePeriodBuilder.EDGE_DATE_SEQUENCE_REGULAR,
null,
ForwardLabel.Create (
strCouponCurrency,
iTenorInMonths + "M"
),
CompositePeriodBuilder.REFERENCE_PERIOD_IN_ADVANCE,
0.
);
CompositePeriodSetting cpsReference = new CompositePeriodSetting (
2,
"6M",
strPayCurrency,
null,
-1. * dblNotional,
null,
null,
strPayCurrency.equalsIgnoreCase (strCouponCurrency) ? null :
new FixingSetting (
FixingSetting.FIXING_PRESET_STATIC,
null,
dtEffective.julian()
),
null
);
CompositePeriodSetting cpsDerived = new CompositePeriodSetting (
12 / iTenorInMonths,
iTenorInMonths + "M",
strPayCurrency,
null,
1. * dblNotional,
null,
null,
strPayCurrency.equalsIgnoreCase (strCouponCurrency) ? null :
new FixingSetting (
FixingSetting.FIXING_PRESET_STATIC,
null,
dtEffective.julian()
),
null
);
CashSettleParams csp = new CashSettleParams (
0,
strPayCurrency,
0
);
for (int i = 0; i < astrMaturityTenor.length; ++i) {
List<Integer> lsReferenceStreamEdgeDate = CompositePeriodBuilder.RegularEdgeDates (
dtEffective,
"6M",
astrMaturityTenor[i],
null
);
List<Integer> lsDerivedStreamEdgeDate = CompositePeriodBuilder.RegularEdgeDates (
dtEffective,
iTenorInMonths + "M",
astrMaturityTenor[i],
null
);
Stream referenceStream = new Stream (
CompositePeriodBuilder.FloatingCompositeUnit (
lsReferenceStreamEdgeDate,
cpsReference,
cfusReference
)
);
Stream derivedStream = new Stream (
CompositePeriodBuilder.FloatingCompositeUnit (
lsDerivedStreamEdgeDate,
cpsDerived,
cfusDerived
)
);
aFFC[i] = new FloatFloatComponent (
referenceStream,
derivedStream,
csp
);
aFFC[i].setPrimaryCode (referenceStream.name() + "||" + derivedStream.name());
}
return aFFC;
}
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 FixFloatComponent[] MakeIRS (
final JulianDate dtEffective,
final String strCurrency,
final String[] astrTenor)
throws Exception
{
FixFloatComponent[] aCalibComp = new FixFloatComponent[astrTenor.length];
for (int i = 0; i < astrTenor.length; ++i)
aCalibComp[i] = OTCIRS (
dtEffective,
strCurrency,
astrTenor[i],
0.
);
return aCalibComp;
}
private static final ComponentPair[] MakeCCSP (
final JulianDate dtValue,
final String strReferenceCurrency,
final String strDerivedCurrency,
final String[] astrTenor,
final int iTenorInMonths)
throws Exception
{
FloatFloatComponent[] aFFCReference = MakexM6MBasisSwap (
dtValue,
strReferenceCurrency,
strReferenceCurrency,
1.,
astrTenor,
3
);
FixFloatComponent[] aIRS = MakeIRS (
dtValue,
strDerivedCurrency,
astrTenor
);
ComponentPair[] aCCSP = new ComponentPair[astrTenor.length];
for (int i = 0; i < aCCSP.length; ++i)
aCCSP[i] = new ComponentPair (
"EURUSD_" + astrTenor[i],
aFFCReference[i],
aIRS[i],
null
);
return aCCSP;
}
private static final void TenorJack (
final JulianDate dtStart,
final String strTenor,
final String strManifestMeasure,
final MergedDiscountForwardCurve dc)
throws Exception
{
String strCurrency = dc.currency();
CalibratableComponent irsBespoke = OTCIRS (
dtStart,
strCurrency,
strTenor,
0.
);
WengertJacobian wjDFQuoteBespokeMat = dc.jackDDFDManifestMeasure (
irsBespoke.maturityDate(),
strManifestMeasure
);
System.out.println ("\t" + strTenor + " => " + wjDFQuoteBespokeMat.displayString());
}
public static final void MakeDiscountCurve (
final String strReferenceCurrency,
final String strDerivedCurrency,
final JulianDate dtValue,
final MergedDiscountForwardCurve dcReference,
final ForwardCurve fc6MReference,
final ForwardCurve fc3MReference,
final double dblRefDerFX,
final SegmentCustomBuilderControl scbc,
final String[] astrTenor,
final double[] adblCrossCurrencyBasis,
final double[] adblSwapRate,
final boolean bBasisOnDerivedLeg)
throws Exception
{
ComponentPair[] aCCSP = MakeCCSP (
dtValue,
strReferenceCurrency,
strDerivedCurrency,
astrTenor,
3
);
CurveSurfaceQuoteContainer mktParams = new CurveSurfaceQuoteContainer();
mktParams.setFundingState (dcReference);
mktParams.setForwardState (fc3MReference);
mktParams.setForwardState (fc6MReference);
CurrencyPair cp = CurrencyPair.FromCode (strDerivedCurrency + "/" + strReferenceCurrency);
FXLabel fxLabel = FXLabel.Standard (cp);
mktParams.setFXState (
ScenarioFXCurveBuilder.CubicPolynomialCurve (
fxLabel.fullyQualifiedName(),
dtValue,
cp,
new String[] {"10Y"},
new double[] {dblRefDerFX},
dblRefDerFX
)
);
mktParams.setFixing (
aCCSP[0].effective(),
fxLabel,
dblRefDerFX
);
ValuationParams valParams = new ValuationParams (
dtValue,
dtValue,
strReferenceCurrency
);
LinearLatentStateCalibrator llsc = new LinearLatentStateCalibrator (
scbc,
BoundarySettings.NaturalStandard(),
MultiSegmentSequence.CALIBRATE,
null,
null
);
LatentStateStretchSpec stretchSpec = LatentStateStretchBuilder.ComponentPairDiscountStretch (
"FIXFLOAT",
aCCSP,
valParams,
mktParams,
adblCrossCurrencyBasis,
adblSwapRate,
bBasisOnDerivedLeg
);
MergedDiscountForwardCurve dcDerived = ScenarioDiscountCurveBuilder.ShapePreservingDFBuild (
strDerivedCurrency,
llsc,
new LatentStateStretchSpec[] {stretchSpec},
valParams,
null,
null,
null,
1.
);
mktParams.setFundingState (dcDerived);
System.out.println ("\t----------------------------------------------------------------");
if (bBasisOnDerivedLeg)
System.out.println ("\t IRS INSTRUMENTS QUOTE REVISION FROM CCBS DERIVED BASIS INPUTS");
else
System.out.println ("\t IRS INSTRUMENTS QUOTE REVISION FROM CCBS REFERENCE BASIS INPUTS");
System.out.println ("\t----------------------------------------------------------------");
for (int i = 0; i < aCCSP.length; ++i) {
CalibratableComponent rcDerived = aCCSP[i].derivedComponent();
CaseInsensitiveTreeMap<Double> mapOP = aCCSP[i].value (
valParams,
null,
mktParams,
null
);
double dblCalibSwapRate = mapOP.get (rcDerived.name() + "[SwapRate]");
System.out.println ("\t[" + rcDerived.effectiveDate() + " - " + rcDerived.maturityDate() + "] = " +
FormatUtil.FormatDouble (dblCalibSwapRate, 1, 3, 100.) +
"% | " + FormatUtil.FormatDouble (adblSwapRate[i], 1, 3, 100.) + "% | " +
FormatUtil.FormatDouble (adblSwapRate[i] - dblCalibSwapRate, 2, 0, 10000.) + " | " +
FormatUtil.FormatDouble (dcDerived.df (rcDerived.maturityDate()), 1, 4, 1.));
}
System.out.println ("\t----------------------------------------------------------------------");
if (bBasisOnDerivedLeg)
System.out.println ("\t CCBS DERIVED BASIS TENOR JACOBIAN");
else
System.out.println ("\t CCBS REFERENCE BASIS TENOR JACOBIAN");
System.out.println ("\t----------------------------------------------------------------------");
for (int i = 0; i < aCCSP.length; ++i)
TenorJack (
dtValue,
astrTenor[i],
"PV",
dcDerived
);
}
}