MultiCurvePayerReceiverAnalysis.java

  1. package org.drip.sample.fixfloatoption;

  3. import java.util.*;

  5. import org.drip.analytics.date.*;
  6. import org.drip.analytics.support.*;
  7. import org.drip.function.r1tor1.FlatUnivariate;
  8. import org.drip.market.otc.*;
  9. import org.drip.param.creator.*;
  10. import org.drip.param.market.CurveSurfaceQuoteContainer;
  11. import org.drip.param.period.*;
  12. import org.drip.param.valuation.*;
  13. import org.drip.product.creator.*;
  14. import org.drip.product.definition.*;
  15. import org.drip.product.option.FixFloatEuropeanOption;
  16. import org.drip.product.params.LastTradingDateSetting;
  17. import org.drip.product.rates.*;
  18. import org.drip.service.env.EnvManager;
  19. import org.drip.spline.basis.PolynomialFunctionSetParams;
  20. import org.drip.spline.stretch.MultiSegmentSequenceBuilder;
  21. import org.drip.state.creator.*;
  22. import org.drip.state.discount.*;
  23. import org.drip.state.forward.ForwardCurve;
  24. import org.drip.state.identifier.*;

  26. /*
  27.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  28.  */

  30. /*!
  31.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  32.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  33.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  34.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  35.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  36.  * Copyright (C) 2014 Lakshmi Krishnamurthy
  37.  * 
  38.  *  This file is part of DROP, an open-source library targeting risk, transaction costs, exposure, margin
  39.  *      calculations, valuation adjustment, and portfolio construction within and across fixed income,
  40.  *      credit, commodity, equity, FX, and structured products.
  41.  *  
  42.  *      https://lakshmidrip.github.io/DROP/
  43.  *  
  44.  *  DROP is composed of three modules:
  45.  *  
  46.  *  - DROP Analytics Core - https://lakshmidrip.github.io/DROP-Analytics-Core/
  47.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  48.  *  - DROP Numerical Core - https://lakshmidrip.github.io/DROP-Numerical-Core/
  49.  * 
  50.  *  DROP Analytics Core implements libraries for the following:
  51.  *  - Fixed Income Analytics
  52.  *  - Asset Backed Analytics
  53.  *  - XVA Analytics
  54.  *  - Exposure and Margin Analytics
  55.  * 
  56.  *  DROP Portfolio Core implements libraries for the following:
  57.  *  - Asset Allocation Analytics
  58.  *  - Transaction Cost Analytics
  59.  * 
  60.  *  DROP Numerical Core implements libraries for the following:
  61.  *  - Statistical Learning
  62.  *  - Numerical Optimizer
  63.  *  - Spline Builder
  64.  *  - Algorithm Support
  65.  * 
  66.  *  Documentation for DROP is Spread Over:
  67.  * 
  68.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  69.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  70.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  71.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  72.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  73.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  74.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  75.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  76.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  77.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  78.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  79.  * 
  80.  *  Licensed under the Apache License, Version 2.0 (the "License");
  81.  *      you may not use this file except in compliance with the License.
  82.  *   
  83.  *  You may obtain a copy of the License at
  84.  *      http://www.apache.org/licenses/LICENSE-2.0
  85.  *  
  86.  *  Unless required by applicable law or agreed to in writing, software
  87.  *      distributed under the License is distributed on an "AS IS" BASIS,
  88.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  89.  *  
  90.  *  See the License for the specific language governing permissions and
  91.  *      limitations under the License.
  92.  */

  94. /**
  95.  * <i>MultiCurvePayerReceiverAnalysis</i> contains the demonstration of the custom volatility-correlation
  96.  * analysis of Multi-Curve Receiver/Payer Fix-Float Swap European Option sample.
  97.  *  
  98.  * <br><br>
  99.  *  <ul>
  100.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/AnalyticsCore.md">Analytics Core Module</a></li>
  101.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics Library</a></li>
  102.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/README.md">Sample</a></li>
  103.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/fixfloatoption/README.md">Fix Float Swap European Option Analytics</a></li>
  104.  *  </ul>
  105.  * <br><br>
  106.  * 
  107.  * @author Lakshmi Krishnamurthy
  108.  */

  110. public class MultiCurvePayerReceiverAnalysis {

  112.     private static final FixFloatComponent OTCFixFloat (
  113.         final JulianDate dtSpot,
  114.         final String strCurrency,
  115.         final String strMaturityTenor,
  116.         final double dblCoupon)
  117.     {
  118.         FixedFloatSwapConvention ffConv = IBORFixedFloatContainer.ConventionFromJurisdiction (
  119.             strCurrency,
  120.             "ALL",
  121.             strMaturityTenor,
  122.             "MAIN"
  123.         );

  125.         return ffConv.createFixFloatComponent (
  126.             dtSpot,
  127.             strMaturityTenor,
  128.             dblCoupon,
  129.             0.,
  130.             1.
  131.         );
  132.     }

  134.     private static final FloatFloatComponent OTCFloatFloat (
  135.         final JulianDate dtSpot,
  136.         final String strCurrency,
  137.         final String strDerivedTenor,
  138.         final String strMaturityTenor,
  139.         final double dblBasis)
  140.     {
  141.         FloatFloatSwapConvention ffConv = IBORFloatFloatContainer.ConventionFromJurisdiction (strCurrency);

  143.         return ffConv.createFloatFloatComponent (
  144.             dtSpot,
  145.             strDerivedTenor,
  146.             strMaturityTenor,
  147.             dblBasis,
  148.             1.
  149.         );
  150.     }

  152.     /*
  153.      * Construct the Array of Deposit Instruments from the given set of parameters
  154.      * 
  155.      *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
  156.      */

  158.     private static final CalibratableComponent[] DepositInstrumentsFromMaturityDays (
  159.         final JulianDate dtEffective,
  160.         final int[] aiDay,
  161.         final int iNumFutures,
  162.         final String strCurrency)
  163.         throws Exception
  164.     {
  165.         CalibratableComponent[] aCalibComp = new CalibratableComponent[aiDay.length + iNumFutures];

  167.         for (int i = 0; i < aiDay.length; ++i)
  168.             aCalibComp[i] = SingleStreamComponentBuilder.Deposit (
  169.                 dtEffective,
  170.                 dtEffective.addBusDays (
  171.                     aiDay[i],
  172.                     strCurrency
  173.                 ),
  174.                 ForwardLabel.Create (
  175.                     strCurrency,
  176.                     "3M"
  177.                 )
  178.             );

  180.         CalibratableComponent[] aEDF = SingleStreamComponentBuilder.ForwardRateFuturesPack (
  181.             dtEffective,
  182.             iNumFutures,
  183.             strCurrency
  184.         );

  186.         for (int i = aiDay.length; i < aiDay.length + iNumFutures; ++i)
  187.             aCalibComp[i] = aEDF[i - aiDay.length];

  189.         return aCalibComp;
  190.     }

  192.     /*
  193.      * Construct the Array of Swap Instruments from the given set of parameters
  194.      * 
  195.      *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
  196.      */

  198.     private static final CalibratableComponent[] SwapInstrumentsFromMaturityTenor (
  199.         final JulianDate dtSpot,
  200.         final String strCurrency,
  201.         final String[] astrMaturityTenor,
  202.         final double[] adblCoupon)
  203.         throws Exception
  204.     {
  205.         FixFloatComponent[] aIRS = new FixFloatComponent[astrMaturityTenor.length];

  207.         for (int i = 0; i < astrMaturityTenor.length; ++i)
  208.             aIRS[i] = OTCFixFloat (
  209.                 dtSpot,
  210.                 strCurrency,
  211.                 astrMaturityTenor[i],
  212.                 adblCoupon[i]
  213.             );

  215.         return aIRS;
  216.     }

  218.     /*
  219.      * Construct the discount curve using the following steps:
  220.      *  - Construct the array of cash instruments and their quotes.
  221.      *  - Construct the array of swap instruments and their quotes.
  222.      *  - Construct a shape preserving and smoothing KLK Hyperbolic Spline from the cash/swap instruments.
  223.      * 
  224.      *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
  225.      */

  227.     private static final MergedDiscountForwardCurve MakeDC (
  228.         final JulianDate dtSpot,
  229.         final String strCurrency)
  230.         throws Exception
  231.     {
  232.         /*
  233.          * Construct the array of Deposit instruments and their quotes.
  234.          */

  236.         CalibratableComponent[] aDepositComp = DepositInstrumentsFromMaturityDays (
  237.             dtSpot,
  238.             new int[] {
  239.                 1, 2, 3, 7, 14, 21, 30, 60
  240.             },
  241.             0,
  242.             strCurrency
  243.         );

  245.         double[] adblDepositQuote = new double[] {
  246.             0.01200, 0.01200, 0.01200, 0.01450, 0.01550, 0.01600, 0.01660, 0.01850
  247.         };

  249.         String[] astrDepositManifestMeasure = new String[] {
  250.             "ForwardRate",
  251.             "ForwardRate",
  252.             "ForwardRate",
  253.             "ForwardRate",
  254.             "ForwardRate",
  255.             "ForwardRate",
  256.             "ForwardRate",
  257.             "ForwardRate"
  258.         };

  260.         /*
  261.          * Construct the array of Swap instruments and their quotes.
  262.          */

  264.         double[] adblSwapQuote = new double[] {
  265.             0.02604,    //  4Y
  266.             0.02808,    //  5Y
  267.             0.02983,    //  6Y
  268.             0.03136,    //  7Y
  269.             0.03268,    //  8Y
  270.             0.03383,    //  9Y
  271.             0.03488,    // 10Y
  272.             0.03583,    // 11Y
  273.             0.03668,    // 12Y
  274.             0.03833,    // 15Y
  275.             0.03854,    // 20Y
  276.             0.03672,    // 25Y
  277.             0.03510,    // 30Y
  278.             0.03266,    // 40Y
  279.             0.03145     // 50Y
  280.         };

  282.         String[] astrSwapManifestMeasure = new String[] {
  283.             "SwapRate",    //  4Y
  284.             "SwapRate",    //  5Y
  285.             "SwapRate",    //  6Y
  286.             "SwapRate",    //  7Y
  287.             "SwapRate",    //  8Y
  288.             "SwapRate",    //  9Y
  289.             "SwapRate",    // 10Y
  290.             "SwapRate",    // 11Y
  291.             "SwapRate",    // 12Y
  292.             "SwapRate",    // 15Y
  293.             "SwapRate",    // 20Y
  294.             "SwapRate",    // 25Y
  295.             "SwapRate",    // 30Y
  296.             "SwapRate",    // 40Y
  297.             "SwapRate"     // 50Y
  298.         };

  300.         CalibratableComponent[] aSwapComp = SwapInstrumentsFromMaturityTenor (
  301.             dtSpot,
  302.             strCurrency,
  303.             new java.lang.String[] {
  304.                 "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "11Y", "12Y", "15Y", "20Y", "25Y", "30Y", "40Y", "50Y"
  305.             },
  306.             adblSwapQuote
  307.         );

  309.         /*
  310.          * Construct a shape preserving and smoothing KLK Hyperbolic Spline from the cash/swap instruments.
  311.          */

  313.         return ScenarioDiscountCurveBuilder.CubicKLKHyperbolicDFRateShapePreserver (
  314.             "KLK_HYPERBOLIC_SHAPE_TEMPLATE",
  315.             new ValuationParams (
  316.                 dtSpot,
  317.                 dtSpot,
  318.                 "USD"
  319.             ),
  320.             aDepositComp,
  321.             adblDepositQuote,
  322.             astrDepositManifestMeasure,
  323.             aSwapComp,
  324.             adblSwapQuote,
  325.             astrSwapManifestMeasure,
  326.             false
  327.         );
  328.     }

  330.     /*
  331.      * Construct an array of float-float swaps from the corresponding reference (6M) and the derived legs.
  332.      * 
  333.      *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
  334.      */

  336.     private static final FloatFloatComponent[] MakexM6MBasisSwap (
  337.         final JulianDate dtSpot,
  338.         final String strCurrency,
  339.         final String[] astrMaturityTenor,
  340.         final int iTenorInMonths)
  341.         throws Exception
  342.     {
  343.         FloatFloatComponent[] aFFC = new FloatFloatComponent[astrMaturityTenor.length];

  345.         for (int i = 0; i < astrMaturityTenor.length; ++i)
  346.             aFFC[i] = OTCFloatFloat (
  347.                 dtSpot,
  348.                 strCurrency,
  349.                 iTenorInMonths + "M",
  350.                 astrMaturityTenor[i],
  351.                 0.
  352.             );

  354.         return aFFC;
  355.     }

  357.     private static final ForwardCurve MakeFC (
  358.         final JulianDate dtSpot,
  359.         final String strCurrency,
  360.         final MergedDiscountForwardCurve dc,
  361.         final int iTenorInMonths,
  362.         final String[] astrxM6MFwdTenor,
  363.         final double[] adblxM6MBasisSwapQuote)
  364.         throws Exception
  365.     {
  366.         /*
  367.          * Construct the 6M-xM float-float basis swap.
  368.          */

  370.         FloatFloatComponent[] aFFC = MakexM6MBasisSwap (
  371.             dtSpot,
  372.             strCurrency,
  373.             astrxM6MFwdTenor,
  374.             iTenorInMonths
  375.         );

  377.         String strBasisTenor = iTenorInMonths + "M";

  379.         ValuationParams valParams = new ValuationParams (
  380.             dtSpot,
  381.             dtSpot,
  382.             strCurrency
  383.         );

  385.         /*
  386.          * Calculate the starting forward rate off of the discount curve.
  387.          */

  389.         double dblStartingFwd = dc.forward (
  390.             dtSpot.julian(),
  391.             dtSpot.addTenor (strBasisTenor).julian()
  392.         );

  394.         /*
  395.          * Set the discount curve based component market parameters.
  396.          */

  398.         CurveSurfaceQuoteContainer mktParams = MarketParamsBuilder.Create (
  399.             dc,
  400.             null,
  401.             null,
  402.             null,
  403.             null,
  404.             null,
  405.             null
  406.         );

  408.         /*
  409.          * Construct the shape preserving forward curve off of Quartic Polynomial Basis Spline.
  410.          */

  412.         return ScenarioForwardCurveBuilder.ShapePreservingForwardCurve (
  413.             "QUARTIC_FWD" + strBasisTenor,
  414.             ForwardLabel.Create (
  415.                 strCurrency,
  416.                 strBasisTenor
  417.             ),
  418.             valParams,
  419.             null,
  420.             mktParams,
  421.             null,
  422.             MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
  423.             new PolynomialFunctionSetParams (5),
  424.             aFFC,
  425.             "DerivedParBasisSpread",
  426.             adblxM6MBasisSwapQuote,
  427.             dblStartingFwd
  428.         );
  429.     }

  431.     private static final Map<String, ForwardCurve> MakeFC (
  432.         final JulianDate dt,
  433.         final String strCurrency,
  434.         final MergedDiscountForwardCurve dc)
  435.         throws Exception
  436.     {
  437.         Map<String, ForwardCurve> mapFC = new HashMap<String, ForwardCurve>();

  439.         /*
  440.          * Build and run the sampling for the 1M-6M Tenor Basis Swap from its instruments and quotes.
  441.          */

  443.         ForwardCurve fc1M = MakeFC (
  444.             dt,
  445.             strCurrency,
  446.             dc,
  447.             1,
  448.             new String[] {
  449.                 "1Y", "2Y", "3Y", "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "11Y", "12Y", "15Y", "20Y", "25Y", "30Y"
  450.             },
  451.             new double[] {
  452.                 0.00551,    //  1Y
  453.                 0.00387,    //  2Y
  454.                 0.00298,    //  3Y
  455.                 0.00247,    //  4Y
  456.                 0.00211,    //  5Y
  457.                 0.00185,    //  6Y
  458.                 0.00165,    //  7Y
  459.                 0.00150,    //  8Y
  460.                 0.00137,    //  9Y
  461.                 0.00127,    // 10Y
  462.                 0.00119,    // 11Y
  463.                 0.00112,    // 12Y
  464.                 0.00096,    // 15Y
  465.                 0.00079,    // 20Y
  466.                 0.00069,    // 25Y
  467.                 0.00062     // 30Y
  468.                 }
  469.             );

  471.         mapFC.put (
  472.             "1M",
  473.             fc1M
  474.         );

  476.         /*
  477.          * Build and run the sampling for the 3M-6M Tenor Basis Swap from its instruments and quotes.
  478.          */

  480.         ForwardCurve fc3M = MakeFC (
  481.             dt,
  482.             strCurrency,
  483.             dc,
  484.             3,
  485.             new String[] {
  486.                 "1Y", "2Y", "3Y", "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "11Y", "12Y", "15Y", "20Y", "25Y", "30Y"
  487.             },
  488.             new double[] {
  489.                 0.00186,    //  1Y
  490.                 0.00127,    //  2Y
  491.                 0.00097,    //  3Y
  492.                 0.00080,    //  4Y
  493.                 0.00067,    //  5Y
  494.                 0.00058,    //  6Y
  495.                 0.00051,    //  7Y
  496.                 0.00046,    //  8Y
  497.                 0.00042,    //  9Y
  498.                 0.00038,    // 10Y
  499.                 0.00035,    // 11Y
  500.                 0.00033,    // 12Y
  501.                 0.00028,    // 15Y
  502.                 0.00022,    // 20Y
  503.                 0.00020,    // 25Y
  504.                 0.00018     // 30Y
  505.                 }
  506.             );

  508.         mapFC.put (
  509.             "3M",
  510.             fc3M
  511.         );

  513.         /*
  514.          * Build and run the sampling for the 12M-6M Tenor Basis Swap from its instruments and quotes.
  515.          */

  517.         ForwardCurve fc12M = MakeFC (
  518.             dt,
  519.             strCurrency,
  520.             dc,
  521.             12,
  522.             new String[] {
  523.                 "1Y", "2Y", "3Y", "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "11Y", "12Y", "15Y", "20Y", "25Y", "30Y",
  524.                 "35Y", "40Y" // Extrapolated
  525.             },
  526.             new double[] {
  527.                 -0.00212,    //  1Y
  528.                 -0.00152,    //  2Y
  529.                 -0.00117,    //  3Y
  530.                 -0.00097,    //  4Y
  531.                 -0.00082,    //  5Y
  532.                 -0.00072,    //  6Y
  533.                 -0.00063,    //  7Y
  534.                 -0.00057,    //  8Y
  535.                 -0.00051,    //  9Y
  536.                 -0.00047,    // 10Y
  537.                 -0.00044,    // 11Y
  538.                 -0.00041,    // 12Y
  539.                 -0.00035,    // 15Y
  540.                 -0.00028,    // 20Y
  541.                 -0.00025,    // 25Y
  542.                 -0.00022,    // 30Y
  543.                 -0.00022,    // 35Y Extrapolated
  544.                 -0.00022,    // 40Y Extrapolated
  545.                 }
  546.             );

  548.         mapFC.put (
  549.             "12M",
  550.             fc12M
  551.         );

  553.         return mapFC;
  554.     }

  556.     private static final FixFloatComponent CreateSTIR (
  557.         final JulianDate dtEffective,
  558.         final String strMaturityTenor,
  559.         final ForwardLabel fri,
  560.         final double dblCoupon,
  561.         final String strCurrency)
  562.         throws Exception
  563.     {
  564.         JulianDate dtMaturity = dtEffective.addTenor (strMaturityTenor);

  566.         int iTenorInMonths = Helper.TenorToMonths (fri.tenor());

  568.         UnitCouponAccrualSetting ucasFixed = new UnitCouponAccrualSetting (
  569.             2,
  570.             "Act/360",
  571.             false,
  572.             "Act/360",
  573.             false,
  574.             strCurrency,
  575.             true,
  576.             CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC
  577.         );

  579.         ComposableFloatingUnitSetting cfusFloating = new ComposableFloatingUnitSetting (
  580.             fri.tenor(),
  581.             CompositePeriodBuilder.EDGE_DATE_SEQUENCE_REGULAR,
  582.             null,
  583.             fri,
  584.             CompositePeriodBuilder.REFERENCE_PERIOD_IN_ADVANCE,
  585.             0.
  586.         );

  588.         ComposableFixedUnitSetting cfusFixed = new ComposableFixedUnitSetting (
  589.             "6M",
  590.             CompositePeriodBuilder.EDGE_DATE_SEQUENCE_REGULAR,
  591.             null,
  592.             dblCoupon,
  593.             0.,
  594.             strCurrency
  595.         );

  597.         CompositePeriodSetting cpsFloating = new CompositePeriodSetting (
  598.             12 / iTenorInMonths,
  599.             fri.tenor(),
  600.             strCurrency,
  601.             null,
  602.             -1.,
  603.             null,
  604.             null,
  605.             null,
  606.             null
  607.         );

  609.         CompositePeriodSetting cpsFixed = new CompositePeriodSetting (
  610.             2,
  611.             "6M",
  612.             strCurrency,
  613.             null,
  614.             1.,
  615.             null,
  616.             null,
  617.             null,
  618.             null
  619.         );

  621.         CashSettleParams csp = new CashSettleParams (
  622.             0,
  623.             strCurrency,
  624.             0
  625.         );

  627.         List<Integer> lsFixedStreamEdgeDate = CompositePeriodBuilder.RegularEdgeDates (
  628.             dtEffective,
  629.             "6M",
  630.             strMaturityTenor,
  631.             null
  632.         );

  634.         List<Integer> lsFloatingStreamEdgeDate = CompositePeriodBuilder.RegularEdgeDates (
  635.             dtEffective,
  636.             fri.tenor(),
  637.             strMaturityTenor,
  638.             null
  639.         );

  641.         Stream floatingStream = new Stream (
  642.             CompositePeriodBuilder.FloatingCompositeUnit (
  643.                 lsFloatingStreamEdgeDate,
  644.                 cpsFloating,
  645.                 cfusFloating
  646.             )
  647.         );

  649.         Stream fixedStream = new Stream (
  650.             CompositePeriodBuilder.FixedCompositeUnit (
  651.                 lsFixedStreamEdgeDate,
  652.                 cpsFixed,
  653.                 ucasFixed,
  654.                 cfusFixed
  655.             )
  656.         );

  658.         FixFloatComponent irs = new FixFloatComponent (
  659.             fixedStream,
  660.             floatingStream,
  661.             csp
  662.         );

  664.         irs.setPrimaryCode ("IRS." + dtMaturity.toString() + "." + strCurrency);

  666.         return irs;
  667.     }

  669.     private static final void VolCorrScenario (
  670.         final FixFloatComponent stir,
  671.         final ValuationParams valParams,
  672.         final CurveSurfaceQuoteContainer mktParams,
  673.         final double dblCustomMetricVolatility,
  674.         final double dblForwardVolatility,
  675.         final double dblFundingVolatility,
  676.         final double dblForwardFundingCorr)
  677.         throws Exception
  678.     {
  679.         String strManifestMeasure = "FairPremium";

  681.         ForwardLabel fri = stir.forwardLabel().get ("DERIVED");

  683.         FundingLabel fundingLabel = FundingLabel.Standard (fri.currency());

  685.         mktParams.setCustomVolatility (
  686.             ScenarioDeterministicVolatilityBuilder.FlatForward (
  687.                 valParams.valueDate(),
  688.                 VolatilityLabel.Standard (CustomLabel.Standard (stir.name() + "_" + strManifestMeasure)),
  689.                 fri.currency(),
  690.                 dblCustomMetricVolatility
  691.             )
  692.         );

  694.         mktParams.setForwardVolatility (
  695.             ScenarioDeterministicVolatilityBuilder.FlatForward (
  696.                 valParams.valueDate(),
  697.                 VolatilityLabel.Standard (fri),
  698.                 fri.currency(),
  699.                 dblForwardVolatility
  700.             )
  701.         );

  703.         mktParams.setFundingVolatility (
  704.             ScenarioDeterministicVolatilityBuilder.FlatForward (
  705.                 valParams.valueDate(),
  706.                 VolatilityLabel.Standard (fundingLabel),
  707.                 fri.currency(),
  708.                 dblFundingVolatility
  709.             )
  710.         );

  712.         mktParams.setForwardFundingCorrelation (
  713.             fri,
  714.             fundingLabel,
  715.             new FlatUnivariate (dblForwardFundingCorr)
  716.         );

  718.         Map<String, Double> mapSTIROutput = stir.value (
  719.             valParams,
  720.             null,
  721.             mktParams,
  722.             null
  723.         );

  725.         double dblStrike = 1.01 * mapSTIROutput.get (strManifestMeasure);

  727.         FixFloatEuropeanOption stirReceiver = new FixFloatEuropeanOption (
  728.             stir.name() + "::RECEIVER_OPT",
  729.             stir,
  730.             strManifestMeasure,
  731.             true,
  732.             dblStrike,
  733.             1.,
  734.             new LastTradingDateSetting (
  735.                 LastTradingDateSetting.MID_CURVE_OPTION_QUARTERLY,
  736.                 "",
  737.                 Integer.MIN_VALUE
  738.             ),
  739.             null
  740.         );

  742.         FixFloatEuropeanOption stirPayer = new FixFloatEuropeanOption (
  743.             stir.name() + "::PAYER_OPT",
  744.             stir,
  745.             strManifestMeasure,
  746.             false,
  747.             dblStrike,
  748.             1.,
  749.             new LastTradingDateSetting (
  750.                 LastTradingDateSetting.MID_CURVE_OPTION_QUARTERLY,
  751.                 "",
  752.                 Integer.MIN_VALUE
  753.             ),
  754.             null
  755.         );

  757.         Map<String, Double> mapSTIRPayerOutput = stirPayer.value (
  758.             valParams,
  759.             null,
  760.             mktParams,
  761.             null
  762.         );

  764.         Map<String, Double> mapSTIRReceiverOutput = stirReceiver.value (
  765.             valParams,
  766.             null,
  767.             mktParams,
  768.             null
  769.         );

  771.         double dblATMSwapRate = mapSTIRPayerOutput.get ("ATMSwapRate");

  773.         double dblManifestMeasureIntrinsic = mapSTIRPayerOutput.get ("ManifestMeasureIntrinsic");

  775.         double dblManifestMeasureIntrinsicValue = mapSTIRPayerOutput.get ("ManifestMeasureIntrinsicValue");

  777.         double dblForwardPayerIntrinsic = mapSTIRPayerOutput.get ("ForwardIntrinsic");

  779.         double dblSpotPayerPrice = mapSTIRPayerOutput.get ("SpotPrice");

  781.         double dblForwardReceiverIntrinsic = mapSTIRReceiverOutput.get ("ForwardIntrinsic");

  783.         double dblSpotReceiverPrice = mapSTIRReceiverOutput.get ("SpotPrice");

  785.         System.out.println ("\t[" +
  786.             org.drip.numerical.common.FormatUtil.FormatDouble (dblCustomMetricVolatility, 2, 0, 100.) + "%," +
  787.             org.drip.numerical.common.FormatUtil.FormatDouble (dblForwardVolatility, 2, 0, 100.) + "%," +
  788.             org.drip.numerical.common.FormatUtil.FormatDouble (dblFundingVolatility, 2, 0, 100.) + "%," +
  789.             org.drip.numerical.common.FormatUtil.FormatDouble (dblForwardFundingCorr, 2, 0, 100.) + "%] =" +
  790.             org.drip.numerical.common.FormatUtil.FormatDouble (dblATMSwapRate, 1, 4, 100.) + "% | " +
  791.             org.drip.numerical.common.FormatUtil.FormatDouble (dblManifestMeasureIntrinsic, 1, 1, 10000.) + " | " +
  792.             org.drip.numerical.common.FormatUtil.FormatDouble (dblManifestMeasureIntrinsicValue, 1, 4, 1.) + " | " +
  793.             org.drip.numerical.common.FormatUtil.FormatDouble (dblForwardPayerIntrinsic, 1, 0, 10000.) + " | " +
  794.             org.drip.numerical.common.FormatUtil.FormatDouble (dblSpotPayerPrice, 1, 4, 1.) + " | " +
  795.             org.drip.numerical.common.FormatUtil.FormatDouble (dblForwardReceiverIntrinsic, 1, 0, 10000.) + " | " +
  796.             org.drip.numerical.common.FormatUtil.FormatDouble (dblSpotReceiverPrice, 1, 4, 1.));
  797.     }

  799.     public static final void main (
  800.         final String[] astrArgs)
  801.         throws Exception
  802.     {
  803.         /*
  804.          * Initialize the Credit Analytics Library
  805.          */

  807.         EnvManager.InitEnv ("");

  809.         String strTenor = "3M";
  810.         String strCurrency = "JPY";

  812.         JulianDate dtToday = DateUtil.Today().addTenorAndAdjust (
  813.             "0D",
  814.             strCurrency
  815.         );

  817.         /*
  818.          * Construct the Discount Curve using its instruments and quotes
  819.          */

  821.         MergedDiscountForwardCurve dc = MakeDC (
  822.             dtToday,
  823.             strCurrency
  824.         );

  826.         Map<String, ForwardCurve> mapFC = MakeFC (
  827.             dtToday,
  828.             strCurrency,
  829.             dc
  830.         );

  832.         ForwardLabel fri = ForwardLabel.Create (
  833.             strCurrency,
  834.             strTenor
  835.         );

  837.         JulianDate dtForward = dtToday.addTenor (strTenor);

  839.         FixFloatComponent stir = CreateSTIR (
  840.             dtForward,
  841.             "5Y",
  842.             fri,
  843.             0.05,
  844.             strCurrency
  845.         );

  847.         CurveSurfaceQuoteContainer mktParams = MarketParamsBuilder.Create (
  848.             dc,
  849.             mapFC.get (strTenor),
  850.             null,
  851.             null,
  852.             null,
  853.             null,
  854.             null,
  855.             null
  856.         );

  858.         ValuationParams valParams = new ValuationParams (
  859.             dtToday,
  860.             dtToday,
  861.             strCurrency
  862.         );

  864.         double[] adblCustomMetricVolatility = new double[] {0.1, 0.5};
  865.         double[] adblForwardVolatility = new double[] {0.1, 0.2, 0.3, 0.4, 0.5};
  866.         double[] adblFundingVolatility = new double[] {0.10, 0.15, 0.20, 0.25, 0.30};
  867.         double[] adblForwardFundingCorr = new double[] {-0.99, -0.50, 0.00, 0.50, 0.99};

  869.         System.out.println ("\tPrinting the STIR Option Output in Order (Left -> Right):");

  871.         System.out.println ("\t\tATM Swap Rate(%)");

  873.         System.out.println ("\t\tOption Intrinsic (bp)");

  875.         System.out.println ("\t\tOption Intrinsic Value");

  877.         System.out.println ("\t\tForward Intrinsic Payer (bp)");

  879.         System.out.println ("\t\tSpot Payer STIR Option Price");

  881.         System.out.println ("\t\tForward Intrinsic Receiver (bp)");

  883.         System.out.println ("\t\tSpot Receiver STIR Option Price");

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

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

  889.         for (double dblCustomMetricVolatility : adblCustomMetricVolatility) {
  890.             for (double dblForwardVolatility : adblForwardVolatility) {
  891.                 for (double dblFundingVolatility : adblFundingVolatility) {
  892.                     for (double dblForwardFundingCorr : adblForwardFundingCorr)
  893.                         VolCorrScenario (
  894.                             stir,
  895.                             valParams,
  896.                             mktParams,
  897.                             dblCustomMetricVolatility,
  898.                             dblForwardVolatility,
  899.                             dblFundingVolatility,
  900.                             dblForwardFundingCorr
  901.                         );
  902.                 }
  903.             }
  904.         }

  906.         EnvManager.TerminateEnv();
  907.     }
  908. }
Created with JaCoCo 0.7.9.201702052155