IBOR1MCubicPolyVanilla.java

  1. package org.drip.sample.forward;

  3. import org.drip.analytics.date.*;
  4. import org.drip.function.r1tor1.QuadraticRationalShapeControl;
  5. import org.drip.service.env.EnvManager;
  6. import org.drip.spline.basis.PolynomialFunctionSetParams;
  7. import org.drip.spline.params.*;
  8. import org.drip.spline.stretch.MultiSegmentSequenceBuilder;
  9. import org.drip.state.discount.*;
  10. import org.drip.state.forward.ForwardCurve;
  11. import org.drip.state.identifier.ForwardLabel;

  13. /*
  14.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  15.  */

  17. /*!
  18.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  19.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  20.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  21.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  22.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  23.  * Copyright (C) 2014 Lakshmi Krishnamurthy
  24.  * 
  25.  *  This file is part of DROP, an open-source library targeting risk, transaction costs, exposure, margin
  26.  *      calculations, valuation adjustment, and portfolio construction within and across fixed income,
  27.  *      credit, commodity, equity, FX, and structured products.
  28.  *  
  29.  *      https://lakshmidrip.github.io/DROP/
  30.  *  
  31.  *  DROP is composed of three modules:
  32.  *  
  33.  *  - DROP Analytics Core - https://lakshmidrip.github.io/DROP-Analytics-Core/
  34.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  35.  *  - DROP Numerical Core - https://lakshmidrip.github.io/DROP-Numerical-Core/
  36.  * 
  37.  *  DROP Analytics Core implements libraries for the following:
  38.  *  - Fixed Income Analytics
  39.  *  - Asset Backed Analytics
  40.  *  - XVA Analytics
  41.  *  - Exposure and Margin Analytics
  42.  * 
  43.  *  DROP Portfolio Core implements libraries for the following:
  44.  *  - Asset Allocation Analytics
  45.  *  - Transaction Cost Analytics
  46.  * 
  47.  *  DROP Numerical Core implements libraries for the following:
  48.  *  - Statistical Learning
  49.  *  - Numerical Optimizer
  50.  *  - Spline Builder
  51.  *  - Algorithm Support
  52.  * 
  53.  *  Documentation for DROP is Spread Over:
  54.  * 
  55.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  56.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  57.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  58.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  59.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  60.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  61.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  62.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  63.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  64.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  65.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  66.  * 
  67.  *  Licensed under the Apache License, Version 2.0 (the "License");
  68.  *      you may not use this file except in compliance with the License.
  69.  *   
  70.  *  You may obtain a copy of the License at
  71.  *      http://www.apache.org/licenses/LICENSE-2.0
  72.  *  
  73.  *  Unless required by applicable law or agreed to in writing, software
  74.  *      distributed under the License is distributed on an "AS IS" BASIS,
  75.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  76.  *  
  77.  *  See the License for the specific language governing permissions and
  78.  *      limitations under the License.
  79.  */

  81. /**
  82.  * <i>IBOR1MCubicPolyVanilla</i> illustrates the Construction and Usage of the IBOR 1M Forward Curve Using
  83.  * Vanilla Cubic Polynomial.
  84.  *  
  85.  * <br><br>
  86.  *  <ul>
  87.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/AnalyticsCore.md">Analytics Core Module</a></li>
  88.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics Library</a></li>
  89.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/README.md">Sample</a></li>
  90.  *      <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>
  91.  *  </ul>
  92.  * <br><br>
  93.  * 
  94.  * @author Lakshmi Krishnamurthy
  95.  */

  97. public class IBOR1MCubicPolyVanilla {
  98.     public static final void main (
  99.         final String[] astrArgs)
  100.         throws Exception
  101.     {
  102.         /*
  103.          * Initialize the Credit Analytics Library
  104.          */

  106.         EnvManager.InitEnv ("");

  108.         JulianDate dtValue = DateUtil.CreateFromYMD (
  109.             2012,
  110.             DateUtil.DECEMBER,
  111.             11
  112.         );

  114.         String strTenor = "1M";
  115.         String strCurrency = "GBP";

  117.         ForwardLabel fri = ForwardLabel.Create (
  118.             strCurrency,
  119.             strTenor
  120.         );

  122.         MergedDiscountForwardCurve dcEONIA = OvernightIndexCurve.MakeDC (
  123.             dtValue,
  124.             strCurrency
  125.         );

  127.         SegmentCustomBuilderControl scbcCubic = new SegmentCustomBuilderControl (
  128.             MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
  129.             new PolynomialFunctionSetParams (4),
  130.             SegmentInelasticDesignControl.Create (
  131.                 2,
  132.                 2
  133.             ),
  134.             new ResponseScalingShapeControl (
  135.                 true,
  136.                 new QuadraticRationalShapeControl (0.)
  137.             ),
  138.             null
  139.         );

  141.         /*
  142.          * Construct the Array of Deposit Instruments and their Quotes from the given set of parameters
  143.          */

  145.         double[] adblDepositQuote = new double[] {
  146.             0.000661,
  147.             0.000980,
  148.             0.000993
  149.         };

  151.         String[] astrDepositTenor = new String[] {
  152.             "1D",
  153.             "7D",
  154.             "14D"
  155.         };

  157.         /*
  158.          * Construct the Array of Fix-Float Component and their Quotes from the given set of parameters
  159.          */

  161.         double[] adblFixFloatQuote = new double[] {
  162.             0.001100,
  163.             0.001060,
  164.             0.000960,
  165.             0.000850,
  166.             0.000790,
  167.             0.000750,
  168.             0.000710,
  169.             0.000690,
  170.             0.000660,
  171.             0.000650,
  172.             0.000640,
  173.             0.000630
  174.         };

  176.         String[] astrFixFloatTenor = new String[] {
  177.              "1M",
  178.              "2M",
  179.              "3M",
  180.              "4M",
  181.              "5M",
  182.              "6M",
  183.              "7M",
  184.              "8M",
  185.              "9M",
  186.             "10M",
  187.             "11M",
  188.             "12M"
  189.         };

  191.         /*
  192.          * Construct the Array of Float-Float Component and their Quotes from the given set of parameters
  193.          */

  195.         double[] adblFloatFloatQuote = new double[] {
  196.             0.002260,   //  2Y
  197.             0.002380,   //  3Y
  198.             0.002460,   //  4Y
  199.             0.002500,   //  5Y
  200.             0.002500,   //  6Y
  201.             0.002480,   //  7Y
  202.             0.002450,   //  8Y
  203.             0.002410,   //  9Y
  204.             0.002370,   // 10Y
  205.             0.002330,   // 11Y
  206.             0.002280,   // 12Y
  207.             0.002110,   // 15Y
  208.             0.001890,   // 20Y
  209.             0.001750,   // 25Y
  210.             0.001630    // 30Y
  211.         };

  213.         String[] astrFloatFloatTenor = new String[] {
  214.               "2Y",
  215.               "3Y",
  216.               "4Y",
  217.               "5Y",
  218.               "6Y",
  219.               "7Y",
  220.               "8Y",
  221.               "9Y",
  222.              "10Y",
  223.              "11Y",
  224.              "12Y",
  225.              "15Y",
  226.              "20Y",
  227.              "25Y",
  228.              "30Y"
  229.         };

  231.         /*
  232.          * Construct the Array of Terminal Synthetic Float-Float Components and their Quotes from the given set of parameters
  233.          */

  235.         String[] astrSyntheticFloatFloatTenor = new String[] {
  236.             "35Y",
  237.             "40Y",
  238.             "50Y",
  239.             "60Y"
  240.         };

  242.         double[] adblSyntheticFloatFloatQuote = new double[] {
  243.             0.001630,
  244.             0.001630,
  245.             0.001630,
  246.             0.001630
  247.         };

  249.         ForwardCurve fc6M = IBOR6MCubicPolyVanilla.Make6MForward (
  250.             dtValue,
  251.             strCurrency,
  252.             "6M",
  253.             true);

  255.         ForwardCurve fc = IBORCurve.CustomIBORBuilderSample (
  256.             dcEONIA,
  257.             fc6M,
  258.             fri,
  259.             scbcCubic,
  260.             astrDepositTenor,
  261.             adblDepositQuote,
  262.             "ForwardRate",
  263.             null,
  264.             null,
  265.             "ParForwardRate",
  266.             astrFixFloatTenor,
  267.             adblFixFloatQuote,
  268.             "SwapRate",
  269.             astrFloatFloatTenor,
  270.             adblFloatFloatQuote,
  271.             "DerivedParBasisSpread",
  272.             astrSyntheticFloatFloatTenor,
  273.             adblSyntheticFloatFloatQuote,
  274.             "DerivedParBasisSpread",
  275.             "---- VANILLA CUBIC POLYNOMIAL FORWARD CURVE ---",
  276.             true
  277.         );

  279.         IBORCurve.ForwardJack (
  280.             dtValue,
  281.             "---- VANILLA CUBIC POLYNOMIAL FORWARD CURVE SENSITIVITY ---",
  282.             fc,
  283.             "DerivedParBasisSpread"
  284.         );

  286.         EnvManager.TerminateEnv();
  287.     }
  288. }
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