IBORCurve.java

package org.drip.sample.forward;

import java.util.List;

import org.drip.analytics.date.JulianDate;
import org.drip.analytics.support.*;
import org.drip.market.otc.*;
import org.drip.numerical.common.FormatUtil;
import org.drip.param.creator.*;
import org.drip.param.market.CurveSurfaceQuoteContainer;
import org.drip.param.period.*;
import org.drip.param.valuation.*;
import org.drip.product.creator.SingleStreamComponentBuilder;
import org.drip.product.fra.FRAStandardComponent;
import org.drip.product.fx.ComponentPair;
import org.drip.product.rates.*;
import org.drip.spline.params.*;
import org.drip.spline.stretch.*;
import org.drip.state.creator.ScenarioForwardCurveBuilder;
import org.drip.state.discount.*;
import org.drip.state.estimator.LatentStateStretchBuilder;
import org.drip.state.forward.ForwardCurve;
import org.drip.state.identifier.ForwardLabel;
import org.drip.state.inference.*;

/*
 * -*- 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>IBORCurve</i> illustrates the Construction and Usage of the IBOR Forward Curve.
 *  
 * <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 IBORCurve {

    private static final FloatFloatComponent OTCFloatFloat (
        final JulianDate dtSpot,
        final String strCurrency,
        final String strDerivedTenor,
        final String strMaturityTenor,
        final double dblBasis)
    {
        FloatFloatSwapConvention ffConv = IBORFloatFloatContainer.ConventionFromJurisdiction (strCurrency);

        return ffConv.createFloatFloatComponent (
            dtSpot,
            strDerivedTenor,
            strMaturityTenor,
            dblBasis,
            1.
        );
    }

    private static final FixFloatComponent OTCIRS (
        final JulianDate dtSpot,
        final String strCurrency,
        final String strLocation,
        final String strMaturityTenor,
        final String strIndex,
        final double dblCoupon)
    {
        FixedFloatSwapConvention ffConv = IBORFixedFloatContainer.ConventionFromJurisdiction (
            strCurrency,
            strLocation,
            strMaturityTenor,
            strIndex
        );

        return ffConv.createFixFloatComponent (
            dtSpot,
            strMaturityTenor,
            dblCoupon,
            0.,
            1.
        );
    }

    private static final ComponentPair OTCComponentPair (
        final JulianDate dtSpot,
        final String strCurrency,
        final String strDerivedTenor,
        final String strMaturityTenor,
        final double dblReferenceFixedCoupon,
        final double dblDerivedFixedCoupon,
        final double dblBasis)
    {
        FloatFloatSwapConvention ffConv = IBORFloatFloatContainer.ConventionFromJurisdiction (strCurrency);

        return ffConv.createFixFloatComponentPair (
            dtSpot,
            strDerivedTenor,
            strMaturityTenor,
            dblReferenceFixedCoupon,
            dblDerivedFixedCoupon,
            dblBasis,
            1.
        );
    }

    /*
     * Construct the Array of Deposit Instruments from the given set of parameters
     * 
     *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
     */

    private static final SingleStreamComponent[] DepositFromMaturityDays (
        final JulianDate dtEffective,
        final String[] astrMaturityTenor,
        final ForwardLabel fri)
        throws Exception
    {
        if (null == astrMaturityTenor || 0 == astrMaturityTenor.length) return null;

        SingleStreamComponent[] aDeposit = new SingleStreamComponent[astrMaturityTenor.length];

        for (int i = 0; i < astrMaturityTenor.length; ++i)
            aDeposit[i] = SingleStreamComponentBuilder.Deposit (
                dtEffective,
                dtEffective.addTenor (astrMaturityTenor[i]),
                fri
            );

        return aDeposit;
    }

    /*
     * Construct the Array of FRA from the given set of parameters
     * 
     *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
     */

    private static final FRAStandardComponent[] FRAFromMaturityDays (
        final JulianDate dtEffective,
        final ForwardLabel fri,
        final String[] astrMaturityTenor,
        final double[] adblFRAStrike)
        throws Exception
    {
        if (null == astrMaturityTenor || null == adblFRAStrike || 0 == astrMaturityTenor.length) return null;

        FRAStandardComponent[] aFRA = new FRAStandardComponent[astrMaturityTenor.length];

        for (int i = 0; i < astrMaturityTenor.length; ++i)
            aFRA[i] = SingleStreamComponentBuilder.FRAStandard (
                dtEffective.addTenor (astrMaturityTenor[i]),
                fri,
                adblFRAStrike[i]
            );

        return aFRA;
    }

    private static final FixFloatComponent[] FixFloatSwap2 (
        final JulianDate dtEffective,
        final ForwardLabel fri,
        final String[] astrMaturityTenor)
        throws Exception
    {
        if (null == astrMaturityTenor || 0 == astrMaturityTenor.length) return null;

        FixFloatComponent[] aFixFloat = new FixFloatComponent[astrMaturityTenor.length];

        for (int i = 0; i < astrMaturityTenor.length; ++i)
            aFixFloat[i] = OTCIRS (
                dtEffective,
                fri.currency(),
                "ALL",
                astrMaturityTenor[i],
                "MAIN",
                0.
            );

        return aFixFloat;
    }

    private static final FixFloatComponent[] FixFloatSwap (
        final JulianDate dtValue,
        final ForwardLabel fri,
        final String[] astrMaturityTenor)
        throws Exception
    {
        if (null == astrMaturityTenor || 0 == astrMaturityTenor.length) return null;

        JulianDate dtEffective = dtValue.addDays (2);

        String strCurrency = fri.currency();

        FixFloatComponent[] aFFC = new FixFloatComponent[astrMaturityTenor.length];

        int iTenorInMonths = Integer.parseInt (fri.tenor().split ("M")[0]);

        UnitCouponAccrualSetting ucasFixed = new UnitCouponAccrualSetting (
            1,
            "Act/360",
            false,
            "Act/360",
            false,
            strCurrency,
            true,
            CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC
        );

        ComposableFloatingUnitSetting cfusFloating = new ComposableFloatingUnitSetting (
            fri.tenor(),
            CompositePeriodBuilder.EDGE_DATE_SEQUENCE_REGULAR,
            null,
            fri,
            CompositePeriodBuilder.REFERENCE_PERIOD_IN_ADVANCE,
            0.
        );

        CompositePeriodSetting cpsFloating = new CompositePeriodSetting (
            12 / iTenorInMonths,
            fri.tenor(),
            strCurrency,
            null,
            -1.,
            null,
            null,
            null,
            null
        );

        CashSettleParams csp = new CashSettleParams (
            0,
            strCurrency,
            0
        );

        for (int i = 0; i < astrMaturityTenor.length; ++i) {
            int iTenorCompare = Helper.TenorCompare (
                astrMaturityTenor[i],
                "6M"
            );

            String strFixedTenor = Helper.LEFT_TENOR_LESSER == iTenorCompare ? astrMaturityTenor[i] : "6M";

            ComposableFixedUnitSetting cfusFixed = new ComposableFixedUnitSetting (
                strFixedTenor,
                CompositePeriodBuilder.EDGE_DATE_SEQUENCE_REGULAR,
                null,
                0.,
                0.,
                strCurrency
            );

            CompositePeriodSetting cpsFixed = new CompositePeriodSetting (
                1,
                strFixedTenor,
                strCurrency,
                null,
                1.,
                null,
                null,
                null,
                null
            );

            List<Integer> lsFixedStreamEdgeDate = CompositePeriodBuilder.BackwardEdgeDates (
                dtEffective,
                dtEffective.addTenor (astrMaturityTenor[i]),
                "1Y",
                null,
                CompositePeriodBuilder.SHORT_STUB
            );

            List<Integer> lsFloatingStreamEdgeDate = CompositePeriodBuilder.RegularEdgeDates (
                dtEffective,
                fri.tenor(),
                astrMaturityTenor[i],
                null
            );

            Stream floatingStream = new Stream (
                CompositePeriodBuilder.FloatingCompositeUnit (
                    lsFloatingStreamEdgeDate,
                    cpsFloating,
                    cfusFloating
                )
            );

            Stream fixedStream = new Stream (
                CompositePeriodBuilder.FixedCompositeUnit (
                    lsFixedStreamEdgeDate,
                    cpsFixed,
                    ucasFixed,
                    cfusFixed
                )
            );

            aFFC[i] = new FixFloatComponent (
                fixedStream,
                floatingStream,
                csp
            );

            aFFC[i].setPrimaryCode ("FixFloat:" + astrMaturityTenor[i]);
        }

        return aFFC;
    }

    /*
     * Construct an array of float-float swaps from the corresponding reference (6M) and the derived legs.
     * 
     *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
     */

    private static final FloatFloatComponent[] FloatFloatSwap (
        final JulianDate dtSpot,
        final ForwardLabel fri,
        final String[] astrMaturityTenor)
        throws Exception
    {
        if (null == astrMaturityTenor || 0 == astrMaturityTenor.length) return null;

        FloatFloatComponent[] aFFC = new FloatFloatComponent[astrMaturityTenor.length];

        int iTenorInMonths = Integer.parseInt (fri.tenor().split ("M")[0]);

        String strCurrency = fri.currency();

        for (int i = 0; i < astrMaturityTenor.length; ++i)
            aFFC[i] = OTCFloatFloat (
                dtSpot,
                strCurrency,
                iTenorInMonths + "M",
                astrMaturityTenor[i],
                0.
            );

        return aFFC;
    }

    /*
     * Construct an array of fix-float component pairs from the corresponding reference (6M) and the derived legs.
     * 
     *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
     */

    private static final ComponentPair[] FixFloatComponentPair (
        final JulianDate dtSpot,
        final CurveSurfaceQuoteContainer csqs,
        final ForwardLabel friDerived,
        final String[] astrMaturityTenor)
        throws Exception
    {
        if (null == astrMaturityTenor || 0 == astrMaturityTenor.length) return null;

        ComponentPair[] aFFCP = new ComponentPair[astrMaturityTenor.length];

        ValuationParams valParams = new ValuationParams (
            dtSpot,
            dtSpot,
            friDerived.currency()
        );

        for (int i = 0; i < astrMaturityTenor.length; ++i) {
            ComponentPair cp = OTCComponentPair (
                dtSpot,
                friDerived.currency(),
                friDerived.tenor(),
                astrMaturityTenor[i],
                0.,
                0.,
                0.
            );

            double dblReferenceFixedCoupon = cp.referenceComponent().measureValue (
                valParams,
                null,
                csqs,
                null,
                "FairPremium"
            );

            double dblDerivedFixedCoupon = cp.derivedComponent().measureValue (
                valParams,
                null,
                csqs,
                null,
                "FairPremium"
            );

            aFFCP[i] = OTCComponentPair (
                dtSpot,
                friDerived.currency(),
                friDerived.tenor(),
                astrMaturityTenor[i],
                dblReferenceFixedCoupon,
                dblDerivedFixedCoupon,
                0.
            );
        }

        return aFFCP;
    }

    public static final ForwardCurve CustomIBORBuilderSample (
        final MergedDiscountForwardCurve dc,
        final ForwardCurve fcReference,
        final ForwardLabel fri,
        final SegmentCustomBuilderControl scbc,
        final String[] astrDepositTenor,
        final double[] adblDepositQuote,
        final String strDepositCalibMeasure,
        final String[] astrFRATenor,
        final double[] adblFRAQuote,
        final String strFRACalibMeasure,
        final String[] astrFixFloatTenor,
        final double[] adblFixFloatQuote,
        final String strFixFloatCalibMeasure,
        final String[] astrFloatFloatTenor,
        final double[] adblFloatFloatQuote,
        final String strFloatFloatCalibMeasure,
        final String[] astrSyntheticFloatFloatTenor,
        final double[] adblSyntheticFloatFloatQuote,
        final String strSyntheticFloatFloatCalibMeasure,
        final String strHeaderComment,
        final boolean bPrintMetric)
        throws Exception
    {
        if (bPrintMetric) {
            System.out.println ("\n\t----------------------------------------------------------------");

            System.out.println ("\t     " + strHeaderComment);

            System.out.println ("\t----------------------------------------------------------------");
        }

        JulianDate dtValue = dc.epoch();

        SingleStreamComponent[] aDeposit = DepositFromMaturityDays (
            dtValue,
            astrDepositTenor,
            fri
        );

        /*
         * Construct the Deposit Instrument Set Stretch Builder
         */

        LatentStateStretchSpec depositStretch = LatentStateStretchBuilder.ForwardStretchSpec (
            "DEPOSIT",
            aDeposit,
            strDepositCalibMeasure,
            adblDepositQuote
        );

        FRAStandardComponent[] aFRA = FRAFromMaturityDays (
            dtValue,
            fri,
            astrFRATenor,
            adblFRAQuote
        );

        /*
         * Construct the FRA Instrument Set Stretch Builder
         */

        LatentStateStretchSpec fraStretch = LatentStateStretchBuilder.ForwardStretchSpec (
            "FRA",
            aFRA,
            strFRACalibMeasure,
            adblFRAQuote
        );

        FixFloatComponent[] aFixFloat = FixFloatSwap2 (
            dtValue,
            fri,
            astrFixFloatTenor
        );

        /*
         * Construct the Fix-Float Component Set Stretch Builder
         */

        LatentStateStretchSpec fixFloatStretch = LatentStateStretchBuilder.ForwardStretchSpec (
            "FIXFLOAT",
            aFixFloat,
            strFixFloatCalibMeasure,
            adblFixFloatQuote
        );

        FloatFloatComponent[] aFloatFloat = FloatFloatSwap (
            dtValue,
            fri,
            astrFloatFloatTenor
        );

        /*
         * Construct the Float-Float Component Set Stretch Builder
         */

        LatentStateStretchSpec floatFloatStretch = LatentStateStretchBuilder.ForwardStretchSpec (
            "FLOATFLOAT",
            aFloatFloat,
            strFloatFloatCalibMeasure,
            adblFloatFloatQuote
        );

        FloatFloatComponent[] aSyntheticFloatFloat = FloatFloatSwap (
            dtValue,
            fri,
            astrSyntheticFloatFloatTenor
        );

        /*
         * Construct the Synthetic Float-Float Component Set Stretch Builder
         */

        LatentStateStretchSpec syntheticFloatFloatStretch = LatentStateStretchBuilder.ForwardStretchSpec (
            "SYNTHETICFLOATFLOAT",
            aSyntheticFloatFloat,
            strSyntheticFloatFloatCalibMeasure,
            adblSyntheticFloatFloatQuote
        );

        LatentStateStretchSpec[] aStretchSpec = new LatentStateStretchSpec[] {
            depositStretch,
            fraStretch,
            fixFloatStretch,
            floatFloatStretch,
            syntheticFloatFloatStretch
        };

        /*
         * Set up the Linear Curve Calibrator using the following parameters:
         *  - Cubic Exponential Mixture Basis Spline Set
         *  - Ck = 2, Segment Curvature Penalty = 2
         *  - Quadratic Rational Shape Controller
         *  - Natural Boundary Setting
         */

        LinearLatentStateCalibrator lcc = new LinearLatentStateCalibrator (
            scbc,
            BoundarySettings.NaturalStandard(),
            MultiSegmentSequence.CALIBRATE,
            null,
            null
        );

        ValuationParams valParams = new ValuationParams (
            dtValue,
            dtValue,
            fri.currency()
        );

        /*
         * Set the discount curve based component market parameters.
         */

        CurveSurfaceQuoteContainer mktParams = MarketParamsBuilder.Create (
            dc,
            fcReference,
            null,
            null,
            null,
            null,
            null,
            null
        );

        /*
         * Construct the Shape Preserving Forward Curve by applying the linear curve calibrator to the array
         *  of Deposit and Swap Stretches.
         */

        ForwardCurve fcDerived = ScenarioForwardCurveBuilder.ShapePreservingForwardCurve (
            lcc,
            aStretchSpec,
            fri,
            valParams,
            null,
            mktParams,
            null,
            null == adblDepositQuote || 0 == adblDepositQuote.length ? adblFRAQuote[0] : adblDepositQuote[0]
        );

        /*
         * Set the discount curve + cubic polynomial forward curve based component market parameters.
         */

        mktParams.setForwardState (fcDerived);

        if (bPrintMetric) {
            /*
             * Cross-Comparison of the Deposit Calibration Instrument "Forward" metric.
             */

            if (null != aDeposit && null != adblDepositQuote) {
                System.out.println ("\t----------------------------------------------------------------");

                System.out.println ("\t     DEPOSIT INSTRUMENTS QUOTE RECOVERY");

                System.out.println ("\t----------------------------------------------------------------");

                for (int i = 0; i < aDeposit.length; ++i)
                    System.out.println ("\t[" + aDeposit[i].effectiveDate() + " - " + aDeposit[i].maturityDate() + "] = " +
                        FormatUtil.FormatDouble (aDeposit[i].measureValue (valParams, null, mktParams, null, strDepositCalibMeasure), 1, 6, 1.) +
                            " | " + FormatUtil.FormatDouble (adblDepositQuote[i], 1, 6, 1.) + " | " +
                                FormatUtil.FormatDouble (fcDerived.forward (aDeposit[i].maturityDate()), 1, 4, 100.) + "%");
            }

            /*
             * Cross-Comparison of the FRA Calibration Instrument "Forward" metric.
             */

            if (null != aFRA && null != adblFRAQuote) {
                System.out.println ("\t----------------------------------------------------------------");

                System.out.println ("\t     FRA INSTRUMENTS QUOTE RECOVERY");

                System.out.println ("\t----------------------------------------------------------------");

                for (int i = 0; i < aFRA.length; ++i)
                    System.out.println ("\t[" + aFRA[i].effectiveDate() + " - " + aFRA[i].maturityDate() + "] = " +
                        FormatUtil.FormatDouble (aFRA[i].measureValue (valParams, null, mktParams, null, strFRACalibMeasure), 1, 6, 1.) +
                            " | " + FormatUtil.FormatDouble (adblFRAQuote[i], 1, 6, 1.) + " | " +
                                FormatUtil.FormatDouble (fcDerived.forward (aFRA[i].maturityDate()), 1, 4, 100.) + "%");
            }

            /*
             * Cross-Comparison of the Fix-Float Calibration Instrument "DerivedParBasisSpread" metric.
             */

            if (null != aFixFloat && null != adblFixFloatQuote) {
                System.out.println ("\t----------------------------------------------------------------");

                System.out.println ("\t     FIX-FLOAT INSTRUMENTS QUOTE RECOVERY");

                System.out.println ("\t----------------------------------------------------------------");

                for (int i = 0; i < aFixFloat.length; ++i)
                    System.out.println ("\t[" + aFixFloat[i].effectiveDate() + " - " + aFixFloat[i].maturityDate() + "] = " +
                        FormatUtil.FormatDouble (aFixFloat[i].measureValue (valParams, null, mktParams, null, strFixFloatCalibMeasure), 1, 4, 100.) +
                            "% | " + FormatUtil.FormatDouble (adblFixFloatQuote[i], 1, 4, 100.) + "% | " +
                                FormatUtil.FormatDouble (fcDerived.forward (aFixFloat[i].maturityDate()), 1, 4, 100.) + "%");
            }

            /*
             * Cross-Comparison of the Float-Float Calibration Instrument "DerivedParBasisSpread" metric.
             */

            if (null != aFloatFloat && null != adblFloatFloatQuote) {
                System.out.println ("\t----------------------------------------------------------------");

                System.out.println ("\t     FLOAT-FLOAT INSTRUMENTS QUOTE RECOVERY");

                System.out.println ("\t----------------------------------------------------------------");

                for (int i = 0; i < aFloatFloat.length; ++i)
                    System.out.println ("\t[" + aFloatFloat[i].effectiveDate() + " - " + aFloatFloat[i].maturityDate() + "] = " +
                        FormatUtil.FormatDouble (aFloatFloat[i].measureValue (valParams, null, mktParams, null, strFloatFloatCalibMeasure), 1, 2, 1.) +
                            " | " + FormatUtil.FormatDouble (adblFloatFloatQuote[i], 1, 2, 10000.) + " | " +
                                FormatUtil.FormatDouble (fcDerived.forward (aFloatFloat[i].maturityDate()), 1, 4, 100.) + "%");
            }

            /*
             * Cross-Comparison of the Synthetic Float-Float Calibration Instrument "DerivedParBasisSpread" metric.
             */

            if (null != aSyntheticFloatFloat && null != adblSyntheticFloatFloatQuote) {
                System.out.println ("\t----------------------------------------------------------------");

                System.out.println ("\t     SYNTHETIC FLOAT-FLOAT INSTRUMENTS QUOTE RECOVERY");

                System.out.println ("\t----------------------------------------------------------------");

                for (int i = 0; i < aSyntheticFloatFloat.length; ++i)
                    System.out.println ("\t[" + aSyntheticFloatFloat[i].effectiveDate() + " - " + aSyntheticFloatFloat[i].maturityDate() + "] = " +
                        FormatUtil.FormatDouble (aSyntheticFloatFloat[i].measureValue (valParams, null, mktParams, null, strSyntheticFloatFloatCalibMeasure), 1, 2, 1.) +
                            " | " + FormatUtil.FormatDouble (adblSyntheticFloatFloatQuote[i], 1, 2, 10000.) + " | " +
                                FormatUtil.FormatDouble (fcDerived.forward (aSyntheticFloatFloat[i].maturityDate()), 1, 4, 100.) + "%");
            }
        }

        return fcDerived;
    }

    public static final ForwardCurve CustomIBORBuilderSample2 (
        final MergedDiscountForwardCurve dc,
        final ForwardCurve fcReference,
        final ForwardLabel fri,
        final SegmentCustomBuilderControl scbc,
        final String[] astrDepositTenor,
        final double[] adblDepositQuote,
        final String strDepositCalibMeasure,
        final String[] astrFRATenor,
        final double[] adblFRAQuote,
        final String strFRACalibMeasure,
        final String[] astrFixFloatTenor,
        final double[] adblFixFloatQuote,
        final String strFixFloatCalibMeasure,
        final String[] astrComponentPairTenor,
        final double[] adblComponentPairQuote,
        final String strComponentPairCalibMeasure,
        final String[] astrSyntheticComponentPairTenor,
        final double[] adblSyntheticComponentPairQuote,
        final String strSyntheticComponentPairCalibMeasure,
        final String strHeaderComment,
        final boolean bPrintMetric)
        throws Exception
    {
        if (bPrintMetric) {
            System.out.println ("\n\t----------------------------------------------------------------");

            System.out.println ("\t     " + strHeaderComment);

            System.out.println ("\t----------------------------------------------------------------");
        }

        JulianDate dtValue = dc.epoch();

        ValuationParams valParams = new ValuationParams (
            dtValue,
            dtValue,
            fri.currency()
        );

        /*
         * Set the discount curve based component market parameters.
         */

        CurveSurfaceQuoteContainer mktParams = MarketParamsBuilder.Create (
            dc,
            fcReference,
            null,
            null,
            null,
            null,
            null,
            null
        );

        SingleStreamComponent[] aDeposit = DepositFromMaturityDays (
            dtValue,
            astrDepositTenor,
            fri
        );

        /*
         * Construct the Deposit Instrument Set Stretch Builder
         */

        LatentStateStretchSpec depositStretch = LatentStateStretchBuilder.ForwardStretchSpec (
            "DEPOSIT",
            aDeposit,
            strDepositCalibMeasure,
            adblDepositQuote
        );

        FRAStandardComponent[] aFRA = FRAFromMaturityDays (
            dtValue,
            fri,
            astrFRATenor,
            adblFRAQuote
        );

        /*
         * Construct the FRA Instrument Set Stretch Builder
         */

        LatentStateStretchSpec fraStretch = LatentStateStretchBuilder.ForwardStretchSpec (
            "FRA",
            aFRA,
            strFRACalibMeasure,
            adblFRAQuote
        );

        FixFloatComponent[] aFixFloat = FixFloatSwap (
            dtValue,
            fri,
            astrFixFloatTenor
        );

        /*
         * Construct the Fix-Float Component Set Stretch Builder
         */

        LatentStateStretchSpec fixFloatStretch = LatentStateStretchBuilder.ForwardStretchSpec (
            "FIXFLOAT",
            aFixFloat,
            strFixFloatCalibMeasure,
            adblFixFloatQuote
        );

        org.drip.product.fx.ComponentPair[] aComponentPair = FixFloatComponentPair (
            dtValue,
            mktParams,
            fri,
            astrComponentPairTenor
        );

        /*
         * Construct the Float-Float Component Set Stretch Builder
         */

        LatentStateStretchSpec fixFloatCPStretch = LatentStateStretchBuilder.ComponentPairForwardStretch (
            "FIXFLOATCP",
            aComponentPair,
            valParams,
            mktParams,
            adblComponentPairQuote,
            true,
            true
        );

        org.drip.product.fx.ComponentPair[] aSyntheticComponentPair = FixFloatComponentPair (
            dtValue,
            mktParams,
            fri,
            astrSyntheticComponentPairTenor
        );

        /*
         * Construct the Synthetic Fix-Float Component Set Stretch Builder
         */

        LatentStateStretchSpec syntheticFixFloatCPStretch = LatentStateStretchBuilder.ComponentPairForwardStretch (
            "SYNTHETICFIXFLOATCP",
            aSyntheticComponentPair,
            valParams,
            mktParams,
            adblSyntheticComponentPairQuote,
            true,
            true
        );

        LatentStateStretchSpec[] aStretchSpec = new LatentStateStretchSpec[] {
            depositStretch,
            fraStretch,
            fixFloatStretch,
            fixFloatCPStretch,
            syntheticFixFloatCPStretch
        };

        /*
         * Set up the Linear Curve Calibrator using the following parameters:
         *  - Cubic Exponential Mixture Basis Spline Set
         *  - Ck = 2, Segment Curvature Penalty = 2
         *  - Quadratic Rational Shape Controller
         *  - Natural Boundary Setting
         */

        LinearLatentStateCalibrator lcc = new LinearLatentStateCalibrator (
            scbc,
            BoundarySettings.NaturalStandard(),
            MultiSegmentSequence.CALIBRATE,
            null,
            null
        );

        /*
         * Construct the Shape Preserving Forward Curve by applying the linear curve calibrator to the array
         *  of Deposit and Swap Stretches.
         */

        ForwardCurve fcDerived = ScenarioForwardCurveBuilder.ShapePreservingForwardCurve (
            lcc,
            aStretchSpec,
            fri,
            valParams,
            null,
            mktParams,
            null,
            null == adblDepositQuote || 0 == adblDepositQuote.length ? adblFRAQuote[0] : adblDepositQuote[0]
        );

        /*
         * Set the discount curve + cubic polynomial forward curve based component market parameters.
         */

        mktParams.setForwardState (fcDerived);

        if (bPrintMetric) {
            /*
             * Cross-Comparison of the Deposit Calibration Instrument "Forward" metric.
             */

            if (null != aDeposit && null != adblDepositQuote) {
                System.out.println ("\t----------------------------------------------------------------");

                System.out.println ("\t     DEPOSIT INSTRUMENTS QUOTE RECOVERY");

                System.out.println ("\t----------------------------------------------------------------");

                for (int i = 0; i < aDeposit.length; ++i)
                    System.out.println ("\t[" + aDeposit[i].effectiveDate() + " - " + aDeposit[i].maturityDate() + "] = " +
                        FormatUtil.FormatDouble (aDeposit[i].measureValue (valParams, null, mktParams, null, strDepositCalibMeasure), 1, 6, 1.) +
                            " | " + FormatUtil.FormatDouble (adblDepositQuote[i], 1, 6, 1.) + " | " +
                                FormatUtil.FormatDouble (fcDerived.forward (aDeposit[i].maturityDate()), 1, 4, 100.) + "%");
            }

            /*
             * Cross-Comparison of the FRA Calibration Instrument "Forward" metric.
             */

            if (null != aFRA && null != adblFRAQuote) {
                System.out.println ("\t----------------------------------------------------------------");

                System.out.println ("\t     FRA INSTRUMENTS QUOTE RECOVERY");

                System.out.println ("\t----------------------------------------------------------------");

                for (int i = 0; i < aFRA.length; ++i)
                    System.out.println ("\t[" + aFRA[i].effectiveDate() + " - " + aFRA[i].maturityDate() + "] = " +
                        FormatUtil.FormatDouble (aFRA[i].measureValue (valParams, null, mktParams, null, strFRACalibMeasure), 1, 6, 1.) +
                            " | " + FormatUtil.FormatDouble (adblFRAQuote[i], 1, 6, 1.) + " | " +
                                FormatUtil.FormatDouble (fcDerived.forward (aFRA[i].maturityDate()), 1, 4, 100.) + "%");
            }

            /*
             * Cross-Comparison of the Fix-Float Calibration Instrument "DerivedParBasisSpread" metric.
             */

            if (null != aFixFloat && null != adblFixFloatQuote) {
                System.out.println ("\t----------------------------------------------------------------");

                System.out.println ("\t     FIX-FLOAT INSTRUMENTS QUOTE RECOVERY");

                System.out.println ("\t----------------------------------------------------------------");

                for (int i = 0; i < aFixFloat.length; ++i)
                    System.out.println ("\t[" + aFixFloat[i].effectiveDate() + " - " + aFixFloat[i].maturityDate() + "] = " +
                        FormatUtil.FormatDouble (aFixFloat[i].measureValue (valParams, null, mktParams, null, strFixFloatCalibMeasure), 1, 2, 100.) +
                            "% | " + FormatUtil.FormatDouble (adblFixFloatQuote[i], 1, 2, 100.) + "% | " +
                                FormatUtil.FormatDouble (fcDerived.forward (aFixFloat[i].maturityDate()), 1, 4, 100.) + "%");
            }

            /*
             * Cross-Comparison of the Fix-Float Component Pair "DerivedParBasisSpread" metric.
             */

            if (null != aComponentPair && null != adblComponentPairQuote) {
                System.out.println ("\t----------------------------------------------------------------");

                System.out.println ("\t     FIX-FLOAT COMPONENT PAIR QUOTE RECOVERY");

                System.out.println ("\t----------------------------------------------------------------");

                for (int i = 0; i < aComponentPair.length; ++i)
                    System.out.println ("\t[" + aComponentPair[i].effective() + " - " + aComponentPair[i].maturity() + "] = " +
                        FormatUtil.FormatDouble (aComponentPair[i].measureValue (valParams, null, mktParams, null, strComponentPairCalibMeasure), 1, 2, 1.) +
                            " | " + FormatUtil.FormatDouble (adblComponentPairQuote[i], 1, 2, 10000.) + " | " +
                                FormatUtil.FormatDouble (fcDerived.forward (aComponentPair[i].maturity()), 1, 4, 100.) + "%");
            }

            /*
             * Cross-Comparison of the Synthetic Float-Float Component Pair "DerivedParBasisSpread" metric.
             */

            if (null != aSyntheticComponentPair && null != adblSyntheticComponentPairQuote) {
                System.out.println ("\t----------------------------------------------------------------");

                System.out.println ("\t     SYNTHETIC FIX-FLOAT COMPONENT PAIR QUOTE RECOVERY");

                System.out.println ("\t----------------------------------------------------------------");

                for (int i = 0; i < aSyntheticComponentPair.length; ++i)
                    System.out.println ("\t[" + aSyntheticComponentPair[i].effective() + " - " + aSyntheticComponentPair[i].maturity() + "] = " +
                        FormatUtil.FormatDouble (aSyntheticComponentPair[i].measureValue (valParams, null, mktParams, null, strSyntheticComponentPairCalibMeasure), 1, 2, 1.) +
                            " | " + FormatUtil.FormatDouble (adblSyntheticComponentPairQuote[i], 1, 2, 10000.) + " | " +
                                FormatUtil.FormatDouble (fcDerived.forward (aSyntheticComponentPair[i].maturity()), 1, 4, 100.) + "%");
            }
        }

        return fcDerived;
    }

    private static final void ForwardJack (
        final JulianDate dt,
        final ForwardCurve fc,
        final String strStartDateTenor,
        final String strManifestMeasure)
    {
        JulianDate dtJack = dt.addTenor (strStartDateTenor);

        System.out.println ("\t" + 
            dtJack + " | " +
            strStartDateTenor + ": " +
            fc.jackDForwardDManifestMeasure (
                strManifestMeasure,
                dtJack).displayString()
            );
    }

    public static final void ForwardJack (
        final JulianDate dt,
        final String strHeaderComment,
        final ForwardCurve fc,
        final String strManifestMeasure)
    {
        System.out.println ("\n\t----------------------------------------------------------------");

        System.out.println ("\t" + strHeaderComment);

        System.out.println ("\t----------------------------------------------------------------");

        ForwardJack (dt, fc, "1Y", strManifestMeasure);

        ForwardJack (dt, fc, "2Y", strManifestMeasure);

        ForwardJack (dt, fc, "3Y", strManifestMeasure);

        ForwardJack (dt, fc, "5Y", strManifestMeasure);

        ForwardJack (dt, fc, "7Y", strManifestMeasure);
    }
}