IBOR6MCubicPolyVanilla.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>IBOR6MCubicPolyVanilla</i> illustrates the Construction and Usage of the IBOR 6M 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 IBOR6MCubicPolyVanilla {
    public static final ForwardCurve Make6MForward (
        final JulianDate dtValue,
        final String strCurrency,
        final String strTenor,
        final boolean bPrintMetric)
        throws Exception
    {
        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[] {
            0.003565,   // 1D
            0.003858,   // 1W
            0.003840,   // 2W
            0.003922,   // 3W
            0.003869,   // 1M
            0.003698,   // 2M
            0.003527,   // 3M
            0.003342,   // 4M
            0.003225    // 5M
        };

        String[] astrDepositTenor = new String[] {
            "1D",
            "1W",
            "2W",
            "3W",
            "1M",
            "2M",
            "3M",
            "4M",
            "5M"
        };

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

        double[] adblFRAQuote = new double[] {
            0.003120,   //  0D
            0.002930,   //  1M
            0.002720,   //  2M
            0.002600,   //  3M
            0.002560,   //  4M
            0.002520,   //  5M
            0.002480,   //  6M
            0.002540,   //  7M
            0.002610,   //  8M
            0.002670,   //  9M
            0.002790,   // 10M
            0.002910,   // 11M
            0.003030,   // 12M
            0.003180,   // 13M
            0.003350,   // 14M
            0.003520,   // 15M
            0.003710,   // 16M
            0.003890,   // 17M
            0.004090    // 18M
        };

        String[] astrFRATenor = new String[] {
             "0D",
             "1M",
             "2M",
             "3M",
             "4M",
             "5M",
             "6M",
             "7M",
             "8M",
             "9M",
            "10M",
            "11M",
            "12M",
            "13M",
            "14M",
            "15M",
            "16M",
            "17M",
            "18M"
        };

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

        double[] adblFixFloatQuote = new double[] {
            0.004240,   //  3Y
            0.005760,   //  4Y          
            0.007620,   //  5Y
            0.009540,   //  6Y
            0.011350,   //  7Y
            0.013030,   //  8Y
            0.014520,   //  9Y
            0.015840,   // 10Y
            0.018090,   // 12Y
            0.020370,   // 15Y
            0.021870,   // 20Y
            0.022340,   // 25Y
            0.022560,   // 30Y
            0.022950,   // 35Y
            0.023480,   // 40Y
            0.024210,   // 50Y
            0.024630    // 60Y
        };

        String[] astrFixFloatTenor = new String[] {
             "3Y",
             "4Y",
             "5Y",
             "6Y",
             "7Y",
             "8Y",
             "9Y",
            "10Y",
            "12Y",
            "15Y",
            "20Y",
            "25Y",
            "30Y",
            "35Y",
            "40Y",
            "50Y",
            "60Y"
        };

        ForwardCurve fc = IBORCurve.CustomIBORBuilderSample (
            dcEONIA,
            null,
            fri,
            scbcCubic,
            astrDepositTenor,
            adblDepositQuote,
            "ForwardRate",
            astrFRATenor,
            adblFRAQuote,
            "ParForwardRate",
            astrFixFloatTenor,
            adblFixFloatQuote,
            "SwapRate",
            null,
            null,
            "DerivedParBasisSpread",
            null,
            null,
            "DerivedParBasisSpread",
            "---- EURIBOR 6M VANILLA CUBIC POLYNOMIAL FORWARD CURVE ---",
            bPrintMetric
        );

        /* if (bPrintMetric)
            IBORCurve.ForwardJack (
                dtValue,
                "---- EURIBOR 6M VANILLA CUBIC POLYNOMIAL FORWARD CURVE SENSITIVITY ---",
                fc,
                "DerivedParBasisSpread"
            ); */

        return fc;
    }

    public static final void main (
        final String[] astrArgs)
        throws Exception
    {
        /*
         * Initialize the Credit Analytics Library
         */

        EnvManager.InitEnv ("");

        Make6MForward (
            DateUtil.CreateFromYMD (
                2012,
                DateUtil.DECEMBER,
                11
            ),
            "GBP",
            "6M",
            true
        );

        EnvManager.TerminateEnv();
    }
}