IBOR3MQuarticPolyVanilla.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>IBOR3MQuarticPolyVanilla</i> illustrates the Construction and Usage of the IBOR 3M Forward Curve Using
  83.  * Vanilla Quartic 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 IBOR3MQuarticPolyVanilla {
  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 = "3M";
  115.         String strCurrency = "USD";

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

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

  127.         SegmentCustomBuilderControl scbcQuartic = new SegmentCustomBuilderControl (
  128.             MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
  129.             new PolynomialFunctionSetParams (5),
  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.             0.001865,
  147.             0.001969,
  148.             0.001951,
  149.             0.001874
  150.         };

  152.         String[] astrDepositTenor = new String[] {
  153.             "2W",
  154.             "3W",
  155.             "1M",
  156.             "2M"
  157.         };

  159.         /*
  160.          * Construct the Array of FRAs and their Quotes from the given set of parameters
  161.          */

  163.         double[] adblFRAQuote = new double[] {
  164.             0.001790,
  165.             0.001775,
  166.             0.001274,
  167.             0.001222,
  168.             0.001269,
  169.             0.001565,
  170.             0.001961,
  171.             0.002556,
  172.             0.003101
  173.         };

  175.         String[] astrFRATenor = new String[] {
  176.              "0D",
  177.              "1M",
  178.              "3M",
  179.              "6M",
  180.              "9M",
  181.             "12M",
  182.             "15M",
  183.             "18M",
  184.             "21M"
  185.         };

  187.         /*
  188.          * Construct the Array of Fix-Float Component and their Quotes from the given set of parameters
  189.          */

  191.         double[] adblFixFloatQuote = new double[] {
  192.             0.002850,   //  3Y
  193.             0.004370,   //  4Y
  194.             0.006230,   //  5Y
  195.             0.008170,   //  6Y
  196.             0.010000,   //  7Y
  197.             0.011710,   //  8Y
  198.             0.013240,   //  9Y
  199.             0.014590,   // 10Y
  200.             0.016920,   // 12Y
  201.             0.019330,   // 15Y
  202.             0.020990,   // 20Y
  203.             0.021560,   // 25Y
  204.             0.021860    // 30Y
  205.         };

  207.         String[] astrFixFloatTenor = new String[] {
  208.              "3Y",
  209.              "4Y",
  210.              "5Y",
  211.              "6Y",
  212.              "7Y",
  213.              "8Y",
  214.              "9Y",
  215.             "10Y",
  216.             "12Y",
  217.             "15Y",
  218.             "20Y",
  219.             "25Y",
  220.             "30Y"
  221.         };

  223.         /*
  224.          * Construct the Array of Terminal Synthetic Float-Float Components and their Quotes from the given set of parameters
  225.          */

  227.         String[] astrSyntheticFloatFloatTenor = new String[] {
  228.             "35Y",
  229.             "40Y",
  230.             "50Y",
  231.             "60Y"
  232.         };

  234.         double[] adblSyntheticFloatFloatQuote = new double[] {
  235.             0.00065,
  236.             0.00060,
  237.             0.00054,
  238.             0.00050
  239.         };

  241.         ForwardCurve fc6M = IBOR6MCubicPolyVanilla.Make6MForward (
  242.             dtValue,
  243.             strCurrency,
  244.             "6M",
  245.             true);

  247.         ForwardCurve fc = 
  248.             IBORCurve.CustomIBORBuilderSample (
  249.             dcEONIA,
  250.             fc6M,
  251.             fri,
  252.             scbcQuartic,
  253.             astrDepositTenor,
  254.             adblDepositQuote,
  255.             "ForwardRate",
  256.             astrFRATenor,
  257.             adblFRAQuote,
  258.             "ParForwardRate",
  259.             astrFixFloatTenor,
  260.             adblFixFloatQuote,
  261.             "SwapRate",
  262.             null,
  263.             null,
  264.             "DerivedParBasisSpread",
  265.             astrSyntheticFloatFloatTenor,
  266.             adblSyntheticFloatFloatQuote,
  267.             "DerivedParBasisSpread",
  268.             "---- VANILLA QUARTIC POLYNOMIAL FORWARD CURVE ---",
  269.             true
  270.         );

  272.         IBORCurve.ForwardJack (
  273.             dtValue,
  274.             "---- VANILLA QUARTIC POLYNOMIAL FORWARD CURVE SENSITIVITY ---",
  275.             fc,
  276.             "DerivedParBasisSpread"
  277.         );

  279.         EnvManager.TerminateEnv();
  280.     }
  281. }
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