JurisdictionOTCIndexSwaps.java

package org.drip.sample.floatfloat;

import java.util.*;

import org.drip.analytics.date.*;
import org.drip.analytics.support.*;
import org.drip.market.otc.*;
import org.drip.numerical.common.*;
import org.drip.param.creator.*;
import org.drip.param.market.CurveSurfaceQuoteContainer;
import org.drip.param.valuation.*;
import org.drip.product.creator.SingleStreamComponentBuilder;
import org.drip.product.definition.*;
import org.drip.product.fx.ComponentPair;
import org.drip.product.rates.*;
import org.drip.service.env.EnvManager;
import org.drip.spline.basis.PolynomialFunctionSetParams;
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.ForwardLabel;
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>JurisdictionOTCIndexSwaps</i> demonstrates the Construction and Usage of the Jurisdiction Standard OTC
 * Float-Float 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/floatfloat/README.md">Float Float Swap Analytics</a></li>
 *  </ul>
 * <br><br>
 * 
 * @author Lakshmi Krishnamurthy
 */

public class JurisdictionOTCIndexSwaps {

    private static final FixFloatComponent OTCFixFloat (
        final JulianDate dtSpot,
        final String strCurrency,
        final String strMaturityTenor,
        final double dblCoupon)
    {
        FixedFloatSwapConvention ffConv = IBORFixedFloatContainer.ConventionFromJurisdiction (
            strCurrency,
            "ALL",
            strMaturityTenor,
            "MAIN"
        );

        return ffConv.createFixFloatComponent (
            dtSpot,
            strMaturityTenor,
            dblCoupon,
            0.,
            1.
        );
    }

    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 ComponentPair OTCComponentPair (
        final JulianDate dtSpot,
        final String strCurrency,
        final String strDerivedTenor,
        final String strMaturityTenor,
        final double dblReferenceFixedCoupon,
        final double dblDerivedFixedCoupon,
        final double dblDerivedStreamBasis)
    {
        FloatFloatSwapConvention ffConv = IBORFloatFloatContainer.ConventionFromJurisdiction (strCurrency);

        return ffConv.createFixFloatComponentPair (
            dtSpot,
            strDerivedTenor,
            strMaturityTenor,
            dblReferenceFixedCoupon,
            dblDerivedFixedCoupon,
            dblDerivedStreamBasis,
            1.
        );
    }

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

    private static final CalibratableComponent[] DepositFromMaturityDays (
        final JulianDate dtEffective,
        final int[] aiDay,
        final int iNumFutures,
        final String strCurrency)
        throws Exception
    {
        CalibratableComponent[] aCalibComp = new CalibratableComponent[aiDay.length + iNumFutures];

        for (int i = 0; i < aiDay.length; ++i)
            aCalibComp[i] = SingleStreamComponentBuilder.Deposit (
                dtEffective,
                dtEffective.addBusDays (
                    aiDay[i],
                    strCurrency
                ),
                ForwardLabel.Create (
                    strCurrency,
                    aiDay[i] + "D"
                )
            );

        CalibratableComponent[] aEDF = SingleStreamComponentBuilder.ForwardRateFuturesPack (
            dtEffective,
            iNumFutures,
            strCurrency
        );

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

        return aCalibComp;
    }

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

    private static final FixFloatComponent[] SwapFromMaturityTenor (
        final JulianDate dtSpot,
        final String strCurrency,
        final String[] astrMaturityTenor,
        final double[] adblCoupon)
        throws Exception
    {
        FixFloatComponent[] aIRS = new FixFloatComponent[astrMaturityTenor.length];

        for (int i = 0; i < astrMaturityTenor.length; ++i)
            aIRS[i] = OTCFixFloat (
                dtSpot,
                strCurrency,
                astrMaturityTenor[i],
                adblCoupon[i]
            );

        return aIRS;
    }

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

    private static final MergedDiscountForwardCurve MakeDC (
        final JulianDate dtSpot,
        final String strCurrency)
        throws Exception
    {
        /*
         * Construct the array of Deposit instruments and their quotes.
         */

        CalibratableComponent[] aDepositComp = DepositFromMaturityDays (
            dtSpot,
            new int[] {
            },
            0,
            strCurrency
        );

        double[] adblDepositQuote = new double[] {
        };

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

        double[] adblSwapQuote = new double[] {
            0.0009875,   //  9M
            0.00122,     //  1Y
            0.00223,     // 18M
            0.00383,     //  2Y
            0.00827,     //  3Y
            0.01245,     //  4Y
            0.01605,     //  5Y
            0.02597      // 10Y
        };

        String[] astrSwapManifestMeasure = new String[] {
            "SwapRate",     //  9M
            "SwapRate",     //  1Y
            "SwapRate",     // 18M
            "SwapRate",     //  2Y
            "SwapRate",     //  3Y
            "SwapRate",     //  4Y
            "SwapRate",     //  5Y
            "SwapRate"      // 10Y
        };

        CalibratableComponent[] aSwapComp = SwapFromMaturityTenor (
            dtSpot,
            strCurrency,
            new java.lang.String[] {
                "9M",
                "1Y",
                "18M",
                "2Y",
                "3Y",
                "4Y",
                "5Y",
                "10Y"
            },
            adblSwapQuote
        );

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

        return ScenarioDiscountCurveBuilder.CubicKLKHyperbolicDFRateShapePreserver (
            "KLK_HYPERBOLIC_SHAPE_TEMPLATE",
            new ValuationParams (
                dtSpot,
                dtSpot,
                strCurrency
            ),
            aDepositComp,
            adblDepositQuote,
            null,
            aSwapComp,
            adblSwapQuote,
            astrSwapManifestMeasure,
            false
        );
    }

    /*
     * 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[] OTCFloatFloat (
        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;
    }

    /*
     * Construct an array of fix-float component pairs from the corresponding reference (6M) and the derived legs.
     * 
     *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
     */

    private static final ComponentPair[] OTCComponentPair (
        final JulianDate dtSpot,
        final String strCurrency,
        final String[] astrMaturityTenor,
        final int iTenorInMonths,
        final CurveSurfaceQuoteContainer csqs)
        throws Exception
    {
        if (null == astrMaturityTenor || 0 == astrMaturityTenor.length) return null;

        ComponentPair[] aFFCP = new ComponentPair[astrMaturityTenor.length];

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

        for (int i = 0; i < astrMaturityTenor.length; ++i) {
            ComponentPair cp = OTCComponentPair (
                dtSpot,
                strCurrency,
                iTenorInMonths + "M",
                astrMaturityTenor[i],
                0.,
                0.,
                0.
            );

            double dblReferenceFixedCoupon = cp.referenceComponent().measureValue (
                valParams,
                null,
                csqs,
                null,
                "FairPremium"
            );

            double dblDerivedFixedCoupon = cp.derivedComponent().measureValue (
                valParams,
                null,
                csqs,
                null,
                "FairPremium"
            );

            aFFCP[i] = OTCComponentPair (
                dtSpot,
                strCurrency,
                iTenorInMonths + "M",
                astrMaturityTenor[i],
                dblReferenceFixedCoupon,
                dblDerivedFixedCoupon,
                0.
            );
        }

        return aFFCP;
    }

    private static final ForwardCurve MakeFloatFloatFC (
        final JulianDate dtSpot,
        final String strCurrency,
        final MergedDiscountForwardCurve dc,
        final int iTenorInMonths,
        final String[] astrxM6MFwdTenor,
        final double[] adblxM6MBasisSwapQuote,
        final boolean bDisplay)
        throws Exception
    {
        if (bDisplay) {
            System.out.println ("------------------------------------------------------------");

            System.out.println (" SPL =>              n=4               |         |         |");

            System.out.println ("---------------------------------------|  LOG DF |  LIBOR  |");

            System.out.println (" MSR =>  RECALC  |  REFEREN |  DERIVED |         |         |");

            System.out.println ("------------------------------------------------------------");
        }

        /*
         * Construct the 6M-xM float-float basis swap.
         */

        FloatFloatComponent[] aFFC = OTCFloatFloat (
            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 Quartic Polynomial Basis Spline.
         */

        ForwardCurve fcxMQuartic = ScenarioForwardCurveBuilder.ShapePreservingForwardCurve (
            "QUARTIC_FWD" + strBasisTenor,
            ForwardLabel.Create (
                strCurrency,
                strBasisTenor
            ),
            valParams,
            null,
            mktParams,
            null,
            MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
            new PolynomialFunctionSetParams (4),
            aFFC,
            "DerivedParBasisSpread",
            adblxM6MBasisSwapQuote,
            dblStartingFwd
        );

        if (bDisplay) {

            /*
             * Set the discount curve + quartic polynomial forward curve based component market parameters.
             */

            CurveSurfaceQuoteContainer mktParamsQuarticFwd = MarketParamsBuilder.Create (
                dc,
                fcxMQuartic,
                null,
                null,
                null,
                null,
                null,
                null
            );

            int iFreq = 12 / iTenorInMonths;

            /*
             * Compute the following forward curve metrics for each of cubic polynomial forward, quartic
             *  polynomial forward, and KLK Hyperbolic tension forward curves:
             *  - Reference Basis Par Spread
             *  - Derived Basis Par Spread
             * 
             * Further compare these with a) the forward rate off of the discount curve, b) the LIBOR rate, and
             *  c) Input Basis Swap Quote.
             */

            for (int i = 0; i < astrxM6MFwdTenor.length; ++i) {
                FloatFloatComponent ffc = aFFC[i];
                String strMaturityTenor = astrxM6MFwdTenor[i];

                int iFwdEndDate = dtSpot.addTenor (strMaturityTenor).julian();

                int iFwdStartDate = dtSpot.addTenor (strMaturityTenor).subtractTenor (strBasisTenor).julian();

                CaseInsensitiveTreeMap<Double> mapQuarticValue = ffc.value (
                    valParams,
                    null,
                    mktParamsQuarticFwd,
                    null
                );

                System.out.println (" " + strMaturityTenor + " =>  " +
                    FormatUtil.FormatDouble (fcxMQuartic.forward (strMaturityTenor), 2, 2, 100.) + "  |  " +
                    FormatUtil.FormatDouble (mapQuarticValue.get ("ReferenceParBasisSpread"), 2, 2, 1.) + "  |  " +
                    FormatUtil.FormatDouble (mapQuarticValue.get ("DerivedParBasisSpread"), 2, 2, 1.) + "  |  " +
                    FormatUtil.FormatDouble (iFreq * java.lang.Math.log (dc.df (iFwdStartDate) / dc.df (iFwdEndDate)), 1, 2, 100.) + "  |  " +
                    FormatUtil.FormatDouble (dc.libor (iFwdStartDate, iFwdEndDate), 1, 2, 100.) + "  |  "
                );
            }
        }

        return fcxMQuartic;
    }

    private static final ForwardCurve MakeComponentPairFC (
        final JulianDate dtSpot,
        final String strCurrency,
        final MergedDiscountForwardCurve dc,
        final int iTenorInMonths,
        final String[] astrComponentPairTenor,
        final double[] adblComponentPairQuote,
        final boolean bDisplay)
        throws Exception
    {
        ValuationParams valParams = new ValuationParams (
            dtSpot,
            dtSpot,
            strCurrency
        );

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

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

        org.drip.product.fx.ComponentPair[] aComponentPair = OTCComponentPair (
            dtSpot,
            strCurrency,
            astrComponentPairTenor,
            iTenorInMonths,
            mktParams
        );

        /*
         * Construct the Float-Float Component Set Stretch Builder
         */

        FloatFloatSwapConvention ffConv = IBORFloatFloatContainer.ConventionFromJurisdiction (strCurrency);

        LatentStateStretchSpec fixFloatCPStretch = LatentStateStretchBuilder.ComponentPairForwardStretch (
            "FIXFLOATCP",
            aComponentPair,
            valParams,
            mktParams,
            adblComponentPairQuote,
            ffConv.basisOnDerivedComponent(),
            ffConv.basisOnDerivedStream()
        );

        LatentStateStretchSpec[] aStretchSpec = new LatentStateStretchSpec[] {
            fixFloatCPStretch
        };

        /*
         * 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 org.drip.spline.params.SegmentCustomBuilderControl (
                MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
                new PolynomialFunctionSetParams (5),
                org.drip.spline.params.SegmentInelasticDesignControl.Create (
                    2,
                    2
                ),
                new org.drip.spline.params.ResponseScalingShapeControl (
                    true,
                    new org.drip.function.r1tor1.QuadraticRationalShapeControl (0.)
                ),
                null
            ),
            BoundarySettings.NaturalStandard(),
            MultiSegmentSequence.CALIBRATE,
            null,
            null
        );

        /*
         * Construct the Shape Preserving Forward Curve by applying the linear curve calibrator to the array
         *  of Deposit and Swap Stretches.
         */

        ForwardCurve fcDerived = ScenarioForwardCurveBuilder.ShapePreservingForwardCurve (
            lcc,
            aStretchSpec,
            aComponentPair[0].derivedComponent().forwardLabel().get ("DERIVED"),
            valParams,
            null,
            mktParams,
            null,
            dc.libor (
                dtSpot,
                iTenorInMonths + "M"
            )
        );

        /*
         * Set the discount curve + cubic polynomial forward curve based component market parameters.
         */

        mktParams.setForwardState (fcDerived);

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

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

            /*
             * Cross-Comparison of the Fix-Float Component Pair "DerivedParBasisSpread" metric.
             */

            if (null != aComponentPair && null != adblComponentPairQuote) {
                System.out.println ("\t----------------------------------------------------------------");

                System.out.println ("\t     FIX-FLOAT COMPONENT PAIR QUOTE RECOVERY");

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

                for (int i = 0; i < aComponentPair.length; ++i)
                    System.out.println ("\t[" + aComponentPair[i].effective() + " - " + aComponentPair[i].maturity() + "] = " +
                        FormatUtil.FormatDouble (aComponentPair[i].derivedComponent().measureValue (valParams, null, mktParams, null, "DerivedParBasisSpread"), 1, 2, 1.) + " | " +
                            FormatUtil.FormatDouble (aComponentPair[i].derivedComponent().measureValue (valParams, null, mktParams, null, "ReferenceParBasisSpread"), 1, 2, 1.) + " | " +
                                FormatUtil.FormatDouble (adblComponentPairQuote[i], 1, 2, 10000.) + " | " +
                                    FormatUtil.FormatDouble (fcDerived.forward (aComponentPair[i].maturity()), 1, 4, 100.) + "% | " +
                                        FormatUtil.FormatDouble (dc.libor (aComponentPair[i].maturity().subtractTenor ("3M"), iTenorInMonths + "M"), 1, 4, 100.) + "%");
            }

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

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

            System.out.println ("\t\tFIX-FLOAT COMPONENT PAIR RUNS");

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

            System.out.println ("\tL -> R:");

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

            System.out.println ("\t\tFloat-Float Effective");

            System.out.println ("\t\tFloat-Float Maturity");

            System.out.println ("\t\tDerived Component Derived Stream Par Basis Spread");

            System.out.println ("\t\tDerived Component Reference Stream Par Basis Spread");

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

        return fcDerived;
    }

    private static final ForwardCurve MakeFloatFloatFC (
        final String strCurrency,
        final MergedDiscountForwardCurve dc,
        final boolean bDisplay)
        throws Exception
    {
        /*
         * Build and run the sampling for the 3M-6M Tenor Basis Swap from its instruments and quotes.
         */

        if (bDisplay) {
            System.out.println ("\n------------------------------------------------------------");

            System.out.println ("-------------------    3M-6M Basis Swap    -----------------");
        }

        ForwardCurve fc3M = MakeFloatFloatFC (
            dc.epoch(),
            strCurrency,
            dc,
            3,
            new String[] {
                "1Y", "2Y", "3Y", "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "11Y", "12Y", "15Y", "20Y", "25Y", "30Y"
            },
            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
            },
            bDisplay
        );

        if (bDisplay) System.out.println ("------------------------------------------------------------\n\n");

        return fc3M;
    }

    private static final ForwardCurve MakeComponentPairFC (
        final String strCurrency,
        final MergedDiscountForwardCurve dc,
        final boolean bDisplay)
        throws Exception
    {
        /*
         * Build and run the sampling for the 3M-6M Tenor Basis Swap from its instruments and quotes.
         */

        ForwardCurve fc3M = MakeComponentPairFC (
            dc.epoch(),
            strCurrency,
            dc,
            3,
            new String[] {
                "1Y", "2Y", "3Y", "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "11Y", "12Y", "15Y", "20Y", "25Y", "30Y"
            },
            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
            },
            bDisplay
        );

        return fc3M;
    }

    private static final void OTCFloatFloatRun (
        final String strCurrency,
        final JulianDate dtSpot,
        final boolean bDisplay)
        throws Exception
    {
        /*
         * Construct the Discount Curve using its instruments and quotes
         */

        MergedDiscountForwardCurve dc = MakeDC (
            dtSpot,
            strCurrency
        );

        ForwardCurve fc3M = MakeFloatFloatFC (
            strCurrency,
            dc,
            bDisplay
        );

        CurveSurfaceQuoteContainer csqs = MarketParamsBuilder.Create (
            dc,
            fc3M,
            null,
            null,
            null,
            null,
            null,
            null
        );

        FloatFloatComponent ffc = OTCFloatFloat (
            dtSpot,
            strCurrency,
            "3M",
            "10Y",
            0.
        );

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

        Map<String, Double> mapFFCMeasures = ffc.value (
            valParams,
            null,
            csqs,
            null
        );

        System.out.println (
            "\t| " + strCurrency + "  [" + ffc.effectiveDate() + " -> " + ffc.maturityDate() + "]  =>  " +
            FormatUtil.FormatDouble (mapFFCMeasures.get ("ReferenceParBasisSpread"), 1, 2, 1.) + "  |  " +
            FormatUtil.FormatDouble (mapFFCMeasures.get ("DerivedParBasisSpread"), 1, 2, 1.) + "  |"
        );
    }

    private static final void OTCComponentPairRun (
        final String strCurrency,
        final JulianDate dtSpot,
        final String strMaturityTenor,
        final boolean bDisplay)
        throws Exception
    {
        /*
         * Construct the Discount Curve using its instruments and quotes
         */

        MergedDiscountForwardCurve dc = MakeDC (
            dtSpot,
            strCurrency
        );

        ForwardCurve fc3M = MakeComponentPairFC (
            strCurrency,
            dc,
            bDisplay
        );

        CurveSurfaceQuoteContainer csqs = MarketParamsBuilder.Create (
            dc,
            fc3M,
            null,
            null,
            null,
            null,
            null,
            null
        );

        ComponentPair cp = OTCComponentPair (
            dtSpot,
            strCurrency,
            "3M",
            strMaturityTenor,
            0.,
            0.,
            0.
        );

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

        Map<String, Double> mapComponentPairMeasures = cp.value (
            valParams,
            null,
            csqs,
            null
        );

        System.out.println (
            "\t| " + strCurrency + "  [" + cp.effective() + " -> " + cp.maturity() + "]  =>  " +
            FormatUtil.FormatDouble (mapComponentPairMeasures.get ("DerivedCompDerivedBasis"), 1, 2, 1.) + "  |  " +
            FormatUtil.FormatDouble (mapComponentPairMeasures.get ("DerivedCompReferenceBasis"), 1, 2, 1.) + "  |"
        );
    }

    public static final void main (
        final String[] astrArgs)
        throws Exception
    {

        /*
         * Initialize the Credit Analytics Library
         */

        EnvManager.InitEnv ("");

        JulianDate dtSpot = DateUtil.Today();

        OTCFloatFloatRun ("AUD", dtSpot, true);

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

        System.out.println ("\tL -> R:");

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

        System.out.println ("\t\tFloat-Float Effective");

        System.out.println ("\t\tFloat-Float Maturity");

        System.out.println ("\t\tReference Stream Par Basis Spread");

        System.out.println ("\t\tDerived Stream Par Basis Spread");

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

        System.out.println ("\t\tFLOAT-FLOAT SINGLE COMPONENT RUNS");

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

        OTCFloatFloatRun ("AUD", dtSpot, false);

        OTCFloatFloatRun ("CAD", dtSpot, false);

        OTCFloatFloatRun ("CHF", dtSpot, false);

        OTCFloatFloatRun ("CNY", dtSpot, false);

        OTCFloatFloatRun ("DKK", dtSpot, false);

        OTCFloatFloatRun ("GBP", dtSpot, false);

        OTCFloatFloatRun ("HKD", dtSpot, false);

        OTCFloatFloatRun ("INR", dtSpot, false);

        OTCFloatFloatRun ("JPY", dtSpot, false);

        OTCFloatFloatRun ("NOK", dtSpot, false);

        OTCFloatFloatRun ("NZD", dtSpot, false);

        OTCFloatFloatRun ("PLN", dtSpot, false);

        OTCFloatFloatRun ("SEK", dtSpot, false);

        OTCFloatFloatRun ("SGD", dtSpot, false); 

        OTCFloatFloatRun ("USD", dtSpot, false);

        OTCFloatFloatRun ("ZAR", dtSpot, false);

        OTCComponentPairRun ("EUR", dtSpot, "1Y", true);

        OTCComponentPairRun ("EUR", dtSpot, "2Y", false);

        OTCComponentPairRun ("EUR", dtSpot, "3Y", false);

        OTCComponentPairRun ("EUR", dtSpot, "4Y", false);

        OTCComponentPairRun ("EUR", dtSpot, "5Y", false);

        OTCComponentPairRun ("EUR", dtSpot, "6Y", false);

        OTCComponentPairRun ("EUR", dtSpot, "7Y", false);

        OTCComponentPairRun ("EUR", dtSpot, "8Y", false);

        OTCComponentPairRun ("EUR", dtSpot, "9Y", false);

        OTCComponentPairRun ("EUR", dtSpot, "11Y", false);

        OTCComponentPairRun ("EUR", dtSpot, "12Y", false);

        OTCComponentPairRun ("EUR", dtSpot, "15Y", false);

        OTCComponentPairRun ("EUR", dtSpot, "20Y", false);

        OTCComponentPairRun ("EUR", dtSpot, "25Y", false);

        OTCComponentPairRun ("EUR", dtSpot, "30Y", false);

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

        EnvManager.TerminateEnv();
    }
}