IBOR6MQuarticPolyVanilla.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>IBOR6MQuarticPolyVanilla</i> illustrates the Construction and Usage of the IBOR 6M Forward Curve Using
* Vanilla Quartic Polynomial Spline.
*
* <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 IBOR6MQuarticPolyVanilla {
public static final ForwardCurve Make6MForward (
final JulianDate dtValue,
final String strCurrency,
final String strTenor)
throws Exception
{
ForwardLabel fri = ForwardLabel.Create (strCurrency, strTenor);
MergedDiscountForwardCurve dcEONIA = OvernightIndexCurve.MakeDC (
dtValue,
strCurrency
);
SegmentCustomBuilderControl scbcQuartic = new SegmentCustomBuilderControl (
MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
new PolynomialFunctionSetParams (5),
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,
scbcQuartic,
astrDepositTenor,
adblDepositQuote,
"ForwardRate",
astrFRATenor,
adblFRAQuote,
"ParForwardRate",
astrFixFloatTenor,
adblFixFloatQuote,
"SwapRate",
null,
null,
"DerivedParBasisSpread",
null,
null,
"DerivedParBasisSpread",
"---- EURIBOR 6M VANILLA QUARTIC POLYNOMIAL FORWARD CURVE ---",
true
);
IBORCurve.ForwardJack (
dtValue,
"---- EURIBOR 6M VANILLA QUARTIC 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
),
"EUR",
"6M"
);
EnvManager.TerminateEnv();
}
}