CompositeFedFundLIBORSwap.java

package org.drip.sample.fedfund;

import java.util.*;

import org.drip.analytics.date.*;
import org.drip.analytics.support.*;
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.*;
import org.drip.product.creator.SingleStreamComponentBuilder;
import org.drip.product.definition.CalibratableComponent;
import org.drip.product.rates.*;
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.*;
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) 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 risk, transaction costs, exposure, margin
 *      calculations, valuation adjustment, and portfolio construction within and across fixed income,
 *      credit, commodity, equity, FX, and structured products.
 *  
 *      https://lakshmidrip.github.io/DROP/
 *  
 *  DROP is composed of three modules:
 *  
 *  - DROP Analytics Core - https://lakshmidrip.github.io/DROP-Analytics-Core/
 *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
 *  - DROP Numerical Core - https://lakshmidrip.github.io/DROP-Numerical-Core/
 * 
 *  DROP Analytics Core implements libraries for the following:
 *  - Fixed Income Analytics
 *  - Asset Backed Analytics
 *  - XVA Analytics
 *  - Exposure and Margin Analytics
 * 
 *  DROP Portfolio Core implements libraries for the following:
 *  - Asset Allocation Analytics
 *  - Transaction Cost Analytics
 * 
 *  DROP Numerical Core implements libraries for the following:
 *  - Statistical Learning
 *  - Numerical Optimizer
 *  - Spline Builder
 *  - Algorithm Support
 * 
 *  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>CompositeFedFundLIBORSwap</i> demonstrates the Construction, the Valuation, and Bloomberg Metrics
 * Analysis for the Composite Fed Fund vs. LIBOR Basis Swaps.
 *  
 * <br><br>
 *  <ul>
 *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/AnalyticsCore.md">Analytics Core Module</a></li>
 *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics Library</a></li>
 *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/README.md">Sample</a></li>
 *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/fedfund/README.md">Fed Fund Analytics</a></li>
 *  </ul>
 * <br><br>
 * 
 * @author Lakshmi Krishnamurthy
 */

public class CompositeFedFundLIBORSwap {

    private static final FloatFloatComponent OTCFloatFloat (
        final JulianDate dtSpot,
        final String strCurrency,
        final String strDerivedTenor,
        final String strMaturityTenor,
        final double dblBasis)
    {
        FloatFloatSwapConvention ffConv = IBORFloatFloatContainer.ConventionFromJurisdiction (strCurrency);

        return ffConv.createFloatFloatComponent (
            dtSpot,
            strDerivedTenor,
            strMaturityTenor,
            dblBasis,
            1.
        );
    }

    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;
    }

    /*
     * 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 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;
    }

    private static final MergedDiscountForwardCurve OISDiscountCurve (
        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 (
            "SHORT END OIS",
            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 (
            "LONG END OIS ",
            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 dc = ScenarioDiscountCurveBuilder.ShapePreservingDFBuild (
            strCurrency,
            lcc,
            aStretchSpec,
            valParams,
            null,
            null,
            null,
            1.
        );

        CurveSurfaceQuoteContainer csqs = MarketParamsBuilder.Create (
            dc,
            null,
            null,
            null,
            null,
            null,
            null
        );

        /*
         * 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, csqs, 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) {
            Map<String, Double> mapCalc = aShortEndOISComp[i].value (
                valParams,
                null,
                csqs,
                null
            );

            double dblCalibSwapRate = mapCalc.get ("CalibSwapRate");

            double dblFairPremium = mapCalc.get ("FairPremium");

            System.out.println ("\t[" + aShortEndOISComp[i].effectiveDate() + " => " + aShortEndOISComp[i].maturityDate() + "] = " +
                FormatUtil.FormatDouble (dblCalibSwapRate, 1, 6, 1.) + " | " +
                FormatUtil.FormatDouble (adblShortEndOISQuote[i], 1, 6, 1.) + " | " +
                FormatUtil.FormatDouble (dblFairPremium, 1, 6, 1.) + " | " +
                FormatUtil.FormatDouble (dblFairPremium - dblCalibSwapRate, 1, 2, 10000.)
            );
        }

        /*
         * 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) {
            Map<String, Double> mapCalc = aOISFutureComp[i].value (
                valParams,
                null,
                csqs,
                null
            );

            double dblSwapRate = mapCalc.get ("SwapRate");

            double dblFairPremium = mapCalc.get ("FairPremium");

            System.out.println ("\t[" + aOISFutureComp[i].effectiveDate() + " => " + aOISFutureComp[i].maturityDate() + "] = " +
                FormatUtil.FormatDouble (dblSwapRate, 1, 6, 1.) + " | " +
                FormatUtil.FormatDouble (adblOISFutureQuote[i], 1, 6, 1.) + " | " +
                FormatUtil.FormatDouble (dblFairPremium, 1, 6, 1.) + " | " +
                FormatUtil.FormatDouble (dblFairPremium - dblSwapRate, 1, 2, 10000.)
            );
        }

        /*
         * 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) {
            Map<String, Double> mapCalc = aLongEndOISComp[i].value (
                valParams,
                null,
                csqs,
                null
            );

            double dblCalibSwapRate = mapCalc.get ("CalibSwapRate");

            double dblFairPremium = mapCalc.get ("FairPremium");

            System.out.println ("\t[" + aLongEndOISComp[i].effectiveDate() + " => " + aLongEndOISComp[i].maturityDate() + "] = " +
                FormatUtil.FormatDouble (dblCalibSwapRate, 1, 6, 1.) + " | " +
                FormatUtil.FormatDouble (adblLongEndOISQuote[i], 1, 6, 1.) + " | " +
                FormatUtil.FormatDouble (dblFairPremium, 1, 6, 1.) + " | " +
                FormatUtil.FormatDouble (dblFairPremium - dblCalibSwapRate, 1, 2, 10000.)
            );
        }

        return dc;
    }

    /*
     * 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 dtSpot,
        final String strCurrency,
        final String[] astrMaturityTenor,
        final int iTenorInMonths)
        throws Exception
    {
        FloatFloatComponent[] aFFC = new FloatFloatComponent[astrMaturityTenor.length];

        for (int i = 0; i < astrMaturityTenor.length; ++i)
            aFFC[i] = OTCFloatFloat (
                dtSpot,
                strCurrency,
                iTenorInMonths + "M",
                astrMaturityTenor[i],
                0.
            );

        return aFFC;
    }

    private static final ForwardCurve MakexMForwardCurve (
        final JulianDate dtSpot,
        final String strCurrency,
        final MergedDiscountForwardCurve dc,
        final int iTenorInMonths,
        final String[] astrxM6MFwdTenor,
        final String strManifestMeasure,
        final double[] adblxM6MBasisSwapQuote)
        throws Exception
    {
        /*
         * Construct the 6M-xM float-float basis swap.
         */

        FloatFloatComponent[] aFFC = MakexM6MBasisSwap (
            dtSpot,
            strCurrency,
            astrxM6MFwdTenor,
            iTenorInMonths
        );

        String strBasisTenor = iTenorInMonths + "M";

        ValuationParams valParams = new ValuationParams (
            dtSpot,
            dtSpot,
            strCurrency
        );

        /*
         * Calculate the starting forward rate off of the discount curve.
         */

        double dblStartingFwd = dc.forward (
            dtSpot.julian(),
            dtSpot.addTenor (strBasisTenor).julian()
        );

        /*
         * Set the discount curve based component market parameters.
         */

        CurveSurfaceQuoteContainer mktParams = MarketParamsBuilder.Create (
            dc,
            null,
            null,
            null,
            null,
            null,
            null
        );

        /*
         * Construct the shape preserving forward curve off of Cubic Polynomial Basis Spline.
         */

        return ScenarioForwardCurveBuilder.ShapePreservingForwardCurve (
            "CUBIC_FWD" + strBasisTenor,
            ForwardLabel.Create (
                strCurrency,
                strBasisTenor
            ),
            valParams,
            null,
            mktParams,
            null,
            MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
            new PolynomialFunctionSetParams (4),
            aFFC,
            strManifestMeasure,
            adblxM6MBasisSwapQuote,
            dblStartingFwd
        );
    }

    private static final FloatFloatComponent[] FedFundLIBORBasisSwap (
        final JulianDate dtEffective,
        final String strCurrency,
        final String[] astrMaturityTenor)
        throws Exception
    {
        FloatFloatComponent[] aFFC = new FloatFloatComponent[astrMaturityTenor.length];

        ComposableFloatingUnitSetting cfusLIBOR = new ComposableFloatingUnitSetting (
            "3M",
            CompositePeriodBuilder.EDGE_DATE_SEQUENCE_REGULAR,
            null,
            ForwardLabel.Standard (strCurrency + "-3M"),
            CompositePeriodBuilder.REFERENCE_PERIOD_IN_ADVANCE,
            0.
        );

        ComposableFloatingUnitSetting cfusFedFund = new ComposableFloatingUnitSetting (
            "ON",
            CompositePeriodBuilder.EDGE_DATE_SEQUENCE_OVERNIGHT,
            null,
            OvernightLabel.Create (
                strCurrency
            ),
            CompositePeriodBuilder.REFERENCE_PERIOD_IN_ADVANCE,
            0.
        );

        CompositePeriodSetting cpsLIBOR = new CompositePeriodSetting (
            4,
            "3M",
            strCurrency,
            null,
            -1.,
            null,
            null,
            null,
            null
        );

        CompositePeriodSetting cpsFedFund = new CompositePeriodSetting (
            4,
            "3M",
            strCurrency,
            null,
            1.,
            null,
            null,
            null,
            null
        );

        CashSettleParams csp = new CashSettleParams (
            0,
            strCurrency,
            0
        );

        for (int i = 0; i < astrMaturityTenor.length; ++i) {
            List<Integer> lsReferenceStreamEdgeDate = CompositePeriodBuilder.RegularEdgeDates (
                dtEffective,
                "3M",
                astrMaturityTenor[i],
                null
            );

            List<Integer> lsDerivedStreamEdgeDate = CompositePeriodBuilder.RegularEdgeDates (
                dtEffective,
                "3M",
                astrMaturityTenor[i],
                null
            );

            Stream streamLIBOR = new Stream (
                CompositePeriodBuilder.FloatingCompositeUnit (
                    lsReferenceStreamEdgeDate,
                    cpsLIBOR,
                    cfusLIBOR
                )
            );

            Stream streamFedFund = new Stream (
                CompositePeriodBuilder.FloatingCompositeUnit (
                    lsDerivedStreamEdgeDate,
                    cpsFedFund,
                    cfusFedFund
                )
            );

            aFFC[i] = new FloatFloatComponent (
                streamLIBOR,
                streamFedFund,
                csp
            );
        }

        return aFFC;
    }

    /*
     * 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[] SwapInstrumentsFromMaturityTenor (
        final JulianDate dtEffective,
        final String[] astrMaturityTenor,
        final double[] adblCoupon,
        final String strCurrency)
        throws Exception
    {
        FixFloatComponent[] aOIS = new FixFloatComponent[astrMaturityTenor.length];

        UnitCouponAccrualSetting ucasFixed = new UnitCouponAccrualSetting (
            2,
            "Act/360",
            false,
            "Act/360",
            false,
            strCurrency,
            false,
            CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC
        );

        CashSettleParams csp = new CashSettleParams (
            0,
            strCurrency,
            0
        );

        for (int i = 0; i < astrMaturityTenor.length; ++i) {
            java.lang.String strFixedTenor = Helper.LEFT_TENOR_LESSER == Helper.TenorCompare (
                astrMaturityTenor[i],
                "6M"
            ) ? astrMaturityTenor[i] : "6M";

            java.lang.String strFloatingTenor = Helper.LEFT_TENOR_LESSER == Helper.TenorCompare (
                astrMaturityTenor[i],
                "3M"
            ) ? astrMaturityTenor[i] : "3M";

            ComposableFloatingUnitSetting cfusFloating = new ComposableFloatingUnitSetting (
                "3M",
                CompositePeriodBuilder.EDGE_DATE_SEQUENCE_REGULAR,
                null,
                ForwardLabel.Create (
                    strCurrency,
                    "3M"
                ),
                CompositePeriodBuilder.REFERENCE_PERIOD_IN_ADVANCE,
                0.
            );

            ComposableFixedUnitSetting cfusFixed = new ComposableFixedUnitSetting (
                strFixedTenor,
                CompositePeriodBuilder.EDGE_DATE_SEQUENCE_REGULAR,
                null,
                adblCoupon[i],
                0.,
                strCurrency
            );

            CompositePeriodSetting cpsFloating = new CompositePeriodSetting (
                4,
                strFloatingTenor,
                strCurrency,
                null,
                -1.,
                null,
                null,
                null,
                null
            );

            CompositePeriodSetting cpsFixed = new CompositePeriodSetting (
                2,
                strFixedTenor,
                strCurrency,
                null,
                1.,
                null,
                null,
                null,
                null
            );

            List<Integer> lsFixedStreamEdgeDate = CompositePeriodBuilder.RegularEdgeDates (
                dtEffective,
                strFixedTenor,
                astrMaturityTenor[i],
                null
            );

            List<Integer> lsFloatingStreamEdgeDate = CompositePeriodBuilder.RegularEdgeDates (
                dtEffective,
                strFloatingTenor,
                astrMaturityTenor[i],
                null
            );

            Stream floatingStream = new Stream (
                CompositePeriodBuilder.FloatingCompositeUnit (
                    lsFloatingStreamEdgeDate,
                    cpsFloating,
                    cfusFloating
                )
            );

            Stream fixedStream = new Stream (
                CompositePeriodBuilder.FixedCompositeUnit (
                    lsFixedStreamEdgeDate,
                    cpsFixed,
                    ucasFixed,
                    cfusFixed
                )
            );

            FixFloatComponent ois = new FixFloatComponent (
                fixedStream,
                floatingStream,
                csp
            );

            ois.setPrimaryCode ("OIS." + astrMaturityTenor[i] + "." + strCurrency);

            aOIS[i] = ois;
        }

        return aOIS;
    }

    public static final void main (
        final String[] astrArgs)
        throws Exception
    {
        /*
         * Initialize the Credit Analytics Library
         */

        EnvManager.InitEnv ("");

        String strCurrency = "USD";

        JulianDate dtToday = DateUtil.CreateFromYMD (
            2012,
            DateUtil.DECEMBER,
            11
        );

        MergedDiscountForwardCurve dcOIS = OISDiscountCurve (
            dtToday,
            strCurrency,
            "OVERNIGHT INDEX RUN RECONCILIATION"
        );

        ForwardCurve fc = MakexMForwardCurve (
            dtToday,
            strCurrency,
            dcOIS,
            3,
            new String[] {
                "1Y", "2Y", "3Y", "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "11Y", "12Y", "15Y", "20Y", "25Y", "30Y"
            },
            "ReferenceParBasisSpread",
            new double[] {
                0.00186,    //  1Y
                0.00127,    //  2Y
                0.00097,    //  3Y
                0.00080,    //  4Y
                0.00067,    //  5Y
                0.00058,    //  6Y
                0.00051,    //  7Y
                0.00046,    //  8Y
                0.00042,    //  9Y
                0.00038,    // 10Y
                0.00035,    // 11Y
                0.00033,    // 12Y
                0.00028,    // 15Y
                0.00022,    // 20Y
                0.00020,    // 25Y
                0.00018     // 30Y
            }
        );

        CurveSurfaceQuoteContainer mktParams = MarketParamsBuilder.Create (
            dcOIS,
            null,
            null,
            null,
            null,
            null,
            null
        );

        mktParams.setForwardState (fc);

        String[] astrMaturityTenor = new String[] {
            "1Y", "2Y", "3Y", "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "11Y", "12Y", "15Y", "20Y", "25Y", "30Y"
        };

        FloatFloatComponent[] aFedFundLIBORSwap = FedFundLIBORBasisSwap (
            dtToday,
            strCurrency,
            astrMaturityTenor
        );

        FixFloatComponent[] aOIS = OISFromMaturityTenor (
            dtToday,
            strCurrency,
            astrMaturityTenor,
            new double[] {
                0.00002,
                0.00036,
                0.00127,
                0.00274,
                0.00456,
                0.00647,
                0.00827,
                0.00996,
                0.01147,
                0.01280,
                0.01404,
                0.01516,
                0.01764,
                0.01939,
                0.02003,
                0.02038
            }
        );

        FixFloatComponent[] aIRS = SwapInstrumentsFromMaturityTenor (
            dtToday,
            astrMaturityTenor,
            new double[] {
                0.00002,
                0.00036,
                0.00127,
                0.00274,
                0.00456,
                0.00647,
                0.00827,
                0.00996,
                0.01147,
                0.01280,
                0.01404,
                0.01516,
                0.01764,
                0.01939,
                0.02003,
                0.02038
            },
            strCurrency
        );

        ValuationParams valParams = new ValuationParams (
            dtToday,
            dtToday,
            strCurrency
        );

        System.out.println ("\n\t--------------------------------------------------------------------------");

        System.out.println ("\t                    FED FUND OIS BASIS COMPARISON");

        System.out.println ("\t--------------------------------------------------------------------------");

        System.out.println ("\t\tOutput Order[Effective Date - Maturity Date]");

        System.out.println ("\t\t\t IRS Rate (%)");

        System.out.println ("\t\t\t Fed Fund LIBOR Basis (bp)");

        System.out.println ("\t\t\t OIS Rate Uncompounded (%) (Bloomberg 2010 Methodology)");

        System.out.println ("\t\t\t OIS Rate Daily Compounded (%) (Bloomberg 2010 Methodology)");

        System.out.println ("\t\t\t OIS Rate (%) From Full Calibration\n");

        System.out.println ("\t--------------------------------------------------------------------------");

        for (int i = 0; i < aFedFundLIBORSwap.length; ++i) {
            Map<String, Double> mapOIS = aOIS[i].value (
                valParams,
                null,
                mktParams,
                null
            );

            Map<String, Double> mapIRS = aIRS[i].value (
                valParams,
                null,
                mktParams,
                null
            );

            double dblOISRate = mapOIS.get ("SwapRate");

            double dblIRSRate = mapIRS.get ("SwapRate");

            double dblLIBORFedFundBasis = dblIRSRate - dblOISRate;

            System.out.println ("\t[" +
                aFedFundLIBORSwap[i].effectiveDate() + " - " +
                aFedFundLIBORSwap[i].maturityDate() + "] => " +
                FormatUtil.FormatDouble (dblIRSRate, 1, 4, 100.) + "% | " +
                FormatUtil.FormatDouble (dblLIBORFedFundBasis, 1, 1, 10000.) + " | " +
                FormatUtil.FormatDouble (Helper.OISFromLIBORSwapFedFundBasis (dblIRSRate, -dblLIBORFedFundBasis), 1, 4, 100.) + "% | " +
                FormatUtil.FormatDouble (Helper.OISFromLIBORSwapFedFundBasis2 (dblIRSRate, -dblLIBORFedFundBasis), 1, 4, 100.) + "% | " +
                FormatUtil.FormatDouble (dblOISRate, 1, 4, 100.) + "%"
            );
        }

        System.out.println ("\t--------------------------------------------------------------------------");

        EnvManager.TerminateEnv();
    }
}