CADIRSAttribution.java

package org.drip.sample.fixfloatpnl;

import org.drip.feed.metric.FixFloatPnLAttributor;
import org.drip.service.env.EnvManager;

/*
 * -*- 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
 * 
 *  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>CADIRSAttribution</i> generates the Historical PnL Attribution for CAD IRS.
 *  
 * <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/fixfloatpnl/README.md">Fix Float Swap Historical Series PnL</a></li>
 *  </ul>
 * <br><br>
 * 
 * @author Lakshmi Krishnamurthy
 */

public class CADIRSAttribution {

    public static final void main (
        final String[] astrArgs)
        throws Exception
    {
        EnvManager.InitEnv ("");

        String strCurrency = "CAD";
        String strClosesLocation = "C:\\DROP\\Daemons\\Transforms\\FundingStateMarks\\" + strCurrency + "ShapePreservingReconstitutor.csv";

        String[] astrFundingDepositTenor = new String[] {
            "1M",
            "2M",
            "3M",
            "4M",
            "5M",
            "6M"
        };

        int[] aiFundingDepositColumn = new int[] {
            1,
            2,
            3,
            4,
            5,
            6
        };

        String[] astrFundingFixFloatTenor = new String[] {
            "1Y",
            "2Y",
            "3Y",
            "4Y",
            "5Y",
            "6Y",
            "7Y",
            "8Y",
            "9Y",
            "10Y",
            "11Y",
            "12Y",
            "15Y",
            "20Y",
            "25Y",
            "30Y",
            "40Y",
            "50Y"
        };

        int[] aiFundingFixFloatColumn = new int[] {
             7,
             8,
             9,
            10,
            11,
            12,
            13,
            14,
            15,
            16,
            17,
            18,
            19,
            20,
            21,
            22,
            23,
            24
        };

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

        int[] aiHorizonGap = new int[] {
            1,
            // 22,
            // 67
        };

        String[] astrRollDownHorizonMap = new String[] {
            "1M",
            "3M"
        };

        FixFloatPnLAttributor.TenorHorizonExplainComponents (
            strCurrency,
            astrMaturityTenor,
            aiHorizonGap,
            strClosesLocation,
            astrFundingDepositTenor,
            aiFundingDepositColumn,
            astrFundingFixFloatTenor,
            aiFundingFixFloatColumn,
            astrRollDownHorizonMap
        );

        EnvManager.TerminateEnv();
    }
}