OvernightFedFundLIBORSwap.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
*
* 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>OvernightFedFundLIBORSwap</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 OvernightFedFundLIBORSwap {
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 (
360,
"ON",
strCurrency,
null,
1.,
null,
null,
null,
null
);
CashSettleParams csp = new CashSettleParams (
0,
strCurrency,
0
);
for (int i = 0; i < astrMaturityTenor.length; ++i) {
List<Integer> lsLIBORStreamEdgeDate = CompositePeriodBuilder.RegularEdgeDates (
dtEffective,
"3M",
astrMaturityTenor[i],
null
);
List<Integer> lsFedFundStreamEdgeDate = CompositePeriodBuilder.OvernightEdgeDates (
dtEffective,
dtEffective.addTenor (astrMaturityTenor[i]),
strCurrency
);
Stream streamLIBOR = new Stream (
CompositePeriodBuilder.FloatingCompositeUnit (
lsLIBORStreamEdgeDate,
cpsLIBOR,
cfusLIBOR
)
);
Stream streamFedFund = new Stream (
CompositePeriodBuilder.FloatingCompositeUnit (
lsFedFundStreamEdgeDate,
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();
}
}