CHF3M6MUSD3M6M.java
package org.drip.sample.dual;
import org.drip.analytics.date.*;
import org.drip.function.r1tor1.QuadraticRationalShapeControl;
import org.drip.sample.forward.*;
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.discount.*;
import org.drip.state.forward.ForwardCurve;
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
* 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>CHF3M6MUSD3M6M</i> demonstrates the setup and construction of the USD 3M Forward Curve from
* CHF3M6MUSD3M6M CCBS, CHF 3M, CHF 6M, and USD 6M 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 CHF3M6MUSD3M6M {
private static final double _dblFXCHFUSD = 1.1121;
private static final int[] s_aiUSDOISDepositMaturityDays = new int[] {
1,
2,
3
};
private static final int[] s_aiCHFOISDepositMaturityDays = new int[] {
1,
2,
3
};
private static final double[] s_adblUSDOISDepositQuote = new double[] {
0.0004, // 1D
0.0004, // 2D
0.0004 // 3D
};
private static final double[] s_adblCHFOISDepositQuote = new double[] {
0.0004, // 1D
0.0004, // 2D
0.0004 // 3D
};
private static final String[] s_astrUSDShortEndOISMaturityTenor = new String[] {
"1W",
"2W",
"3W",
"1M"
};
private static final String[] s_astrCHFShortEndOISMaturityTenor = new String[] {
"1W",
"2W",
"3W",
"1M"
};
private static final double[] s_adblUSDShortEndOISQuote = new double[] {
0.00070, // 1W
0.00069, // 2W
0.00078, // 3W
0.00074 // 1M
};
private static final double[] s_adblCHFShortEndOISQuote = new double[] {
0.00070, // 1W
0.00069, // 2W
0.00078, // 3W
0.00074 // 1M
};
private static final String[] s_astrUSDOISFutureTenor = new String[] {
"1M",
"1M",
"1M",
"1M",
"1M"
};
private static final String[] s_astrCHFOISFutureTenor = new String[] {
"1M",
"1M",
"1M",
"1M",
"1M"
};
private static final String[] s_astrUSDOISFutureMaturityTenor = new String[] {
"1M",
"2M",
"3M",
"4M",
"5M"
};
private static final String[] s_astrCHFOISFutureMaturityTenor = new String[] {
"1M",
"2M",
"3M",
"4M",
"5M"
};
private static final double[] s_adblUSDOISFutureQuote = 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
};
private static final double[] s_adblCHFOISFutureQuote = 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
};
private static final String[] s_astrUSDLongEndOISMaturityTenor = new String[] {
"15M",
"18M",
"21M",
"2Y",
"3Y",
"4Y",
"5Y",
"6Y",
"7Y",
"8Y",
"9Y",
"10Y",
"11Y",
"12Y",
"15Y",
"20Y",
"25Y",
"30Y"
};
private static final String[] s_astrCHFLongEndOISMaturityTenor = new String[] {
"15M",
"18M",
"21M",
"2Y",
"3Y",
"4Y",
"5Y",
"6Y",
"7Y",
"8Y",
"9Y",
"10Y",
"11Y",
"12Y",
"15Y",
"20Y",
"25Y",
"30Y"
};
private static final double[] s_adblUSDLongEndOISQuote = 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
};
private static final double[] s_adblCHFLongEndOISQuote = 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
};
private static final String[] s_astrUSD6MDepositTenor = new String[] {
"1D",
"1W",
"2W",
"3W",
"1M",
"2M",
"3M",
"4M",
"5M"
};
private static final String[] s_astrCHF6MDepositTenor = new String[] {
"1D",
"1W",
"2W",
"3W",
"1M",
"2M",
"3M",
"4M",
"5M"
};
private static final double[] s_adblUSD6MDepositQuote = new double[] {
0.003565, // 1D
0.003858, // 1W
0.003840, // 2W
0.003922, // 3W
0.003869, // 1M
0.003698, // 2M
0.003527, // 3M
0.003342, // 4M
0.003225 // 5M
};
private static final double[] s_adblCHF6MDepositQuote = new double[] {
0.003565, // 1D
0.003858, // 1W
0.003840, // 2W
0.003922, // 3W
0.003869, // 1M
0.003698, // 2M
0.003527, // 3M
0.003342, // 4M
0.003225 // 5M
};
private static final String[] s_astrUSD6MFRATenor = new String[] {
"0D",
"1M",
"2M",
"3M",
"4M",
"5M",
"6M",
"7M",
"8M",
"9M",
"10M",
"11M",
"12M",
"13M",
"14M",
"15M",
"16M",
"17M",
"18M"
};
private static final String[] s_astrCHF6MFRATenor = new String[] {
"0D",
"1M",
"2M",
"3M",
"4M",
"5M",
"6M",
"7M",
"8M",
"9M",
"10M",
"11M",
"12M",
"13M",
"14M",
"15M",
"16M",
"17M",
"18M"
};
private static final double[] s_adblUSD6MFRAQuote = 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
};
private static final double[] s_adblCHF6MFRAQuote = 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
};
private static final String[] s_astrUSD6MFixFloatTenor = new String[] {
"3Y",
"4Y",
"5Y",
"6Y",
"7Y",
"8Y",
"9Y",
"10Y",
"12Y",
"15Y",
"20Y",
"25Y",
"30Y",
"35Y",
"40Y",
"50Y",
"60Y"
};
private static final String[] s_astrCHF6MFixFloatTenor = new String[] {
"3Y",
"4Y",
"5Y",
"6Y",
"7Y",
"8Y",
"9Y",
"10Y",
"12Y",
"15Y",
"20Y",
"25Y",
"30Y",
"35Y",
"40Y",
"50Y",
"60Y"
};
private static final double[] s_adblUSD6MFixFloatQuote = 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
};
private static final double[] s_adblCHF6MFixFloatQuote = 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
};
private static final String[] s_astrUSD3MDepositTenor = new String[] {
"2W",
"3W",
"1M",
"2M"
};
private static final double[] s_adblUSD3MDepositQuote = new double[] {
0.001865,
0.001969,
0.001951,
0.001874
};
private static final String[] s_astrUSD3MFRATenor = new String[] {
"0D",
"1M",
"3M",
"6M",
"9M",
"12M",
"15M",
"18M",
"21M"
};
private static final double[] s_adblUSD3MFRAQuote = new double[] {
0.001790,
0.001775,
0.001274,
0.001222,
0.001269,
0.001565,
0.001961,
0.002556,
0.003101
};
private static final String[] s_astrUSD3MFixFloatTenor = new String[] {
"3Y",
"4Y",
"5Y",
"6Y",
"7Y",
"8Y",
"9Y",
"10Y",
"12Y",
"15Y",
"20Y",
"25Y",
"30Y"
};
private static final double[] s_adblUSD3MFixFloatQuote = new double[] {
0.002850, // 3Y
0.004370, // 4Y
0.006230, // 5Y
0.008170, // 6Y
0.010000, // 7Y
0.011710, // 8Y
0.013240, // 9Y
0.014590, // 10Y
0.016920, // 12Y
0.019330, // 15Y
0.020990, // 20Y
0.021560, // 25Y
0.021860 // 30Y
};
private static final String[] s_astrUSD3MSyntheticFloatFloatTenor = new String[] {
"35Y",
"40Y",
"50Y",
"60Y"
};
private static final double[] s_adblUSD3MSyntheticFloatFloatQuote = new double[] {
0.00065,
0.00060,
0.00054,
0.00050
};
private static final String[] s_astrCCBSTenor = new String[] {
"1Y",
"2Y",
"3Y",
"4Y",
"5Y",
"7Y",
"10Y",
"15Y",
"20Y"
};
private static final double[] s_adblCCBSQuote = new double[] {
-0.0000000, // 1Y
-0.0000500, // 2Y
-0.0001375, // 3Y
-0.0002250, // 4Y
-0.0002750, // 5Y
-0.0003000, // 7Y
-0.0003000, // 10Y
-0.0002750, // 15Y
-0.0002250 // 20Y
};
private static final double[] s_adblIRSQuote = new double[] {
0.00500, // 1Y
0.00500, // 2Y
0.01375, // 3Y
0.02250, // 4Y
0.02750, // 5Y
0.03000, // 7Y
0.03000, // 10Y
0.02750, // 15Y
0.02250 // 20Y
};
public static final void main (
final String[] astrArgs)
throws Exception
{
/*
* Initialize the Credit Analytics Library
*/
EnvManager.InitEnv ("");
JulianDate dtValue = DateUtil.CreateFromYMD (
2012,
DateUtil.DECEMBER,
11
);
String strReferenceCurrency = "USD";
String strDerivedCurrency = "CHF";
SegmentCustomBuilderControl scbcCubic = new SegmentCustomBuilderControl (
MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
new PolynomialFunctionSetParams (4),
SegmentInelasticDesignControl.Create (
2,
2
),
new ResponseScalingShapeControl (
true,
new QuadraticRationalShapeControl (0.)
),
null
);
MergedDiscountForwardCurve dcReference = OvernightIndexCurve.MakeDC (
strReferenceCurrency,
dtValue,
s_aiUSDOISDepositMaturityDays,
s_adblUSDOISDepositQuote,
s_astrUSDShortEndOISMaturityTenor,
s_adblUSDShortEndOISQuote,
s_astrUSDOISFutureTenor,
s_astrUSDOISFutureMaturityTenor,
s_adblUSDOISFutureQuote,
s_astrUSDLongEndOISMaturityTenor,
s_adblUSDLongEndOISQuote,
scbcCubic,
null
);
ForwardCurve fc6MReference = IBORCurve.CustomIBORBuilderSample (
dcReference,
null,
ForwardLabel.Create (
strReferenceCurrency,
"6M"
),
scbcCubic,
s_astrUSD6MDepositTenor,
s_adblUSD6MDepositQuote,
"ForwardRate",
s_astrUSD6MFRATenor,
s_adblUSD6MFRAQuote,
"ParForwardRate",
s_astrUSD6MFixFloatTenor,
s_adblUSD6MFixFloatQuote,
"SwapRate",
null,
null,
"DerivedParBasisSpread",
null,
null,
"DerivedParBasisSpread",
"---- USD LIBOR 6M VANILLA CUBIC POLYNOMIAL FORWARD CURVE ---",
false
);
ForwardCurve fc3MReference = IBORCurve.CustomIBORBuilderSample (
dcReference,
fc6MReference,
ForwardLabel.Create (
strReferenceCurrency,
"3M"
),
scbcCubic,
s_astrUSD3MDepositTenor,
s_adblUSD3MDepositQuote,
"ForwardRate",
s_astrUSD3MFRATenor,
s_adblUSD3MFRAQuote,
"ParForwardRate",
s_astrUSD3MFixFloatTenor,
s_adblUSD3MFixFloatQuote,
"SwapRate",
null,
null,
"DerivedParBasisSpread",
s_astrUSD3MSyntheticFloatFloatTenor,
s_adblUSD3MSyntheticFloatFloatQuote,
"DerivedParBasisSpread",
"---- VANILLA CUBIC POLYNOMIAL FORWARD CURVE ---",
false
);
MergedDiscountForwardCurve dcDerived = OvernightIndexCurve.MakeDC (
strDerivedCurrency,
dtValue,
s_aiCHFOISDepositMaturityDays,
s_adblCHFOISDepositQuote,
s_astrCHFShortEndOISMaturityTenor,
s_adblCHFShortEndOISQuote,
s_astrCHFOISFutureTenor,
s_astrCHFOISFutureMaturityTenor,
s_adblCHFOISFutureQuote,
s_astrCHFLongEndOISMaturityTenor,
s_adblCHFLongEndOISQuote,
scbcCubic,
null
);
ForwardCurve fc6MDerived = IBORCurve.CustomIBORBuilderSample (
dcDerived,
null,
ForwardLabel.Create (
strDerivedCurrency,
"6M"
),
scbcCubic,
s_astrCHF6MDepositTenor,
s_adblCHF6MDepositQuote,
"ForwardRate",
s_astrCHF6MFRATenor,
s_adblCHF6MFRAQuote,
"ParForwardRate",
s_astrCHF6MFixFloatTenor,
s_adblCHF6MFixFloatQuote,
"SwapRate",
null,
null,
"DerivedParBasisSpread",
null,
null,
"DerivedParBasisSpread",
"---- CHF LIBOR 6M VANILLA CUBIC POLYNOMIAL FORWARD CURVE ---",
false
);
CCBSForwardCurve.ForwardCurveReferenceComponentBasis (
strReferenceCurrency,
strDerivedCurrency,
dtValue,
dcReference,
fc6MReference,
fc3MReference,
dcDerived,
fc6MDerived,
_dblFXCHFUSD,
scbcCubic,
s_astrCCBSTenor,
s_adblCCBSQuote,
true
);
CCBSForwardCurve.ForwardCurveReferenceComponentBasis (
strReferenceCurrency,
strDerivedCurrency,
dtValue,
dcReference,
fc6MReference,
fc3MReference,
dcDerived,
fc6MDerived,
_dblFXCHFUSD,
scbcCubic,
s_astrCCBSTenor,
s_adblCCBSQuote,
false
);
CCBSDiscountCurve.MakeDiscountCurve (
strReferenceCurrency,
strDerivedCurrency,
dtValue,
dcReference,
fc6MReference,
fc3MReference,
_dblFXCHFUSD,
scbcCubic,
s_astrCCBSTenor,
s_adblCCBSQuote,
s_adblIRSQuote,
true
);
CCBSDiscountCurve.MakeDiscountCurve (
strReferenceCurrency,
strDerivedCurrency,
dtValue,
dcReference,
fc6MReference,
fc3MReference,
_dblFXCHFUSD,
scbcCubic,
s_astrCCBSTenor,
s_adblCCBSQuote,
s_adblIRSQuote,
false
);
EnvManager.TerminateEnv();
}
}