USDIRSAttribution.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>USDIRSAttribution</i> generates the Historical PnL Attribution for USD 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 USDIRSAttribution {

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

		String strCurrency = "USD";
		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();
	}
}