IBOR3MCubicPolyVanilla.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>IBOR3MCubicPolyVanilla</i> illustrates the Construction and Usage of the IBOR 3M 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 IBOR3MCubicPolyVanilla {

    public static final ForwardCurve Make3MForward (
        final String strTenor,
        final String strCurrency,
        final JulianDate dtValue,
        final MergedDiscountForwardCurve dcEONIA,
        final ForwardCurve fc6M,
        final SegmentCustomBuilderControl scbc,
        final boolean bPrintMetric)
        throws Exception
    {
        ForwardLabel fri = ForwardLabel.Create (
            strCurrency,
            strTenor
        );

        /*
         * Construct the Array of Deposit Instruments and their Quotes from the given set of parameters
         */

        double[] adblDepositQuote = new double[] {
            0.001865,
            0.001969,
            0.001951,
            0.001874
        };

        String[] astrDepositTenor = new String[] {
            "2W",
            "3W",
            "1M",
            "2M"
        };

        /*
         * Construct the Array of FRAs and their Quotes from the given set of parameters
         */

        double[] adblFRAQuote = new double[] {
            0.001790,
            0.001775,
            0.001274,
            0.001222,
            0.001269,
            0.001565,
            0.001961,
            0.002556,
            0.003101
        };

        String[] astrFRATenor = new String[] {
             "0D",
             "1M",
             "3M",
             "6M",
             "9M",
            "12M",
            "15M",
            "18M",
            "21M"
        };

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

        double[] adblFixFloatQuote = new double[] {
            0.002850,   //  3Y
            0.004370,   //  4Y
            0.006230,   //  5Y
            0.008170,   //  6Y
            0.010000,   //  7Y
            0.011710,   //  8Y
            0.013240,   //  9Y
            0.014590,   // 10Y
            0.016920,   // 12Y
            0.019330,   // 15Y
            0.020990,   // 20Y
            0.021560,   // 25Y
            0.021860    // 30Y
        };

        String[] astrFixFloatTenor = new String[] {
             "3Y",
             "4Y",
             "5Y",
             "6Y",
             "7Y",
             "8Y",
             "9Y",
            "10Y",
            "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[] {
            0.00065,
            0.00060,
            0.00054,
            0.00050
        };

        ForwardCurve fc = 
            IBORCurve.CustomIBORBuilderSample (
            dcEONIA,
            fc6M,
            fri,
            scbc,
            astrDepositTenor,
            adblDepositQuote,
            "ForwardRate",
            astrFRATenor,
            adblFRAQuote,
            "ParForwardRate",
            astrFixFloatTenor,
            adblFixFloatQuote,
            "SwapRate",
            null,
            null,
            "DerivedParBasisSpread",
            astrSyntheticFloatFloatTenor,
            adblSyntheticFloatFloatQuote,
            "DerivedParBasisSpread",
            "---- VANILLA CUBIC POLYNOMIAL FORWARD CURVE ---",
            bPrintMetric
        );

        return fc;
    }

    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 = "3M";
        String strCurrency = "GBP";

        MergedDiscountForwardCurve dcEONIA = OvernightIndexCurve.MakeDC (
            dtValue,
            strCurrency
        );

        ForwardCurve fc6M = IBOR6MCubicPolyVanilla.Make6MForward (
            dtValue,
            strCurrency,
            "6M",
            true
        );

        SegmentCustomBuilderControl scbcCubic = new SegmentCustomBuilderControl (
            MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
            new PolynomialFunctionSetParams (4),
            SegmentInelasticDesignControl.Create (
                2,
                2
            ),
            new ResponseScalingShapeControl (
                true,
                new QuadraticRationalShapeControl (0.)
            ),
            null
        );

        ForwardCurve fc = Make3MForward (
            strTenor,
            strCurrency,
            dtValue,
            dcEONIA,
            fc6M,
            scbcCubic,
            true
        );

        IBORCurve.ForwardJack (
            dtValue,
            "---- VANILLA CUBIC POLYNOMIAL FORWARD CURVE SENSITIVITY ---",
            fc,
            "DerivedParBasisSpread"
        );

        EnvManager.TerminateEnv();
    }
}