IBOR12MCubicPolyVanilla.java
package org.drip.sample.forward;
import org.drip.analytics.date.*;
import org.drip.function.r1tor1.QuadraticRationalShapeControl;
import org.drip.service.env.EnvManager;
import org.drip.spline.basis.PolynomialFunctionSetParams;
import org.drip.spline.params.*;
import org.drip.spline.stretch.MultiSegmentSequenceBuilder;
import org.drip.state.discount.*;
import org.drip.state.forward.ForwardCurve;
import org.drip.state.identifier.ForwardLabel;
/*
* -*- 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
* Copyright (C) 2014 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>IBOR12MCubicPolyVanilla</i> illustrates the Construction and Usage of the IBOR 12M Forward Curve Using
* Vanilla Cubic Polynomial.
*
* <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/forward/README.md">Forward Rate Curve Construction</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class IBOR12MCubicPolyVanilla {
public static final void main (
final String[] astrArgs)
throws Exception
{
/*
* Initialize the Credit Analytics Library
*/
EnvManager.InitEnv ("");
JulianDate dtValue = DateUtil.CreateFromYMD (
2012,
DateUtil.DECEMBER,
11
);
String strTenor = "12M";
String strCurrency = "USD";
ForwardLabel fri = ForwardLabel.Create (
strCurrency,
strTenor
);
MergedDiscountForwardCurve dcEONIA = OvernightIndexCurve.MakeDC (
dtValue,
strCurrency
);
SegmentCustomBuilderControl scbcCubic = new SegmentCustomBuilderControl (
MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
new PolynomialFunctionSetParams (4),
SegmentInelasticDesignControl.Create (
2,
2
),
new ResponseScalingShapeControl (
true,
new QuadraticRationalShapeControl (0.)
),
null
);
/*
* Construct the Array of Deposit Instruments and their Quotes from the given set of parameters
*/
double[] adblDepositQuote = new double[] {
0.006537,
0.006187,
0.005772,
0.005563,
0.005400
};
String[] astrDepositTenor = new String[] {
"1M",
"3M",
"6M",
"9M",
"12M"
};
/*
* Construct the Array of Fix-Float Component and their Quotes from the given set of parameters
*/
double[] adblFRAQuote = new double[] {
0.004974,
0.004783,
0.004822,
0.005070,
0.005481,
0.006025
};
String[] astrFRATenor = new String[] {
"3M",
"6M",
"9M",
"12M",
"15M",
"18M",
};
/*
* Construct the Array of Float-Float Component and their Quotes from the given set of parameters
*/
double[] adblFloatFloatQuote = new double[] {
-0.002070, // 3Y
-0.001640, // 4Y
-0.001510, // 5Y
-0.001390, // 6Y
-0.001300, // 7Y
-0.001230, // 8Y
-0.001180, // 9Y
-0.001130, // 10Y
-0.001090, // 11Y
-0.001060, // 12Y
-0.000930, // 15Y
-0.000800, // 20Y
-0.000720, // 25Y
-0.000660 // 30Y
};
String[] astrFloatFloatTenor = new String[] {
"3Y",
"4Y",
"5Y",
"6Y",
"7Y",
"8Y",
"9Y",
"10Y",
"11Y",
"12Y",
"15Y",
"20Y",
"25Y",
"30Y"
};
/*
* Construct the Array of Terminal Synthetic Float-Float Components and their Quotes from the given set of parameters
*/
String[] astrSyntheticFloatFloatTenor = new String[] {
"35Y",
"40Y",
"50Y",
"60Y"
};
double[] adblSyntheticFloatFloatQuote = new double[] {
-0.000660,
-0.000660,
-0.000660,
-0.000660
};
ForwardCurve fc6M = IBOR6MCubicPolyVanilla.Make6MForward (
dtValue,
strCurrency,
"6M",
true
);
ForwardCurve fc12M = IBORCurve.CustomIBORBuilderSample (
dcEONIA,
fc6M,
fri,
scbcCubic,
astrDepositTenor,
adblDepositQuote,
"ForwardRate",
astrFRATenor,
adblFRAQuote,
"ParForwardRate",
null,
null,
"SwapRate",
astrFloatFloatTenor,
adblFloatFloatQuote,
"ReferenceParBasisSpread",
astrSyntheticFloatFloatTenor,
adblSyntheticFloatFloatQuote,
"ReferenceParBasisSpread",
"---- VANILLA CUBIC POLYNOMIAL FORWARD CURVE ---",
true
);
IBORCurve.ForwardJack (
dtValue,
"---- VANILLA CUBIC POLYNOMIAL FORWARD CURVE SENSITIVITY ---",
fc12M,
"DerivedParBasisSpread"
);
EnvManager.TerminateEnv();
}
}