FRAStandardOptionAnalysis.java

  1. package org.drip.sample.fra;

  3. import java.util.*;

  5. import org.drip.analytics.date.*;
  6. import org.drip.function.r1tor1.FlatUnivariate;
  7. import org.drip.market.otc.*;
  8. import org.drip.param.creator.*;
  9. import org.drip.param.market.CurveSurfaceQuoteContainer;
  10. import org.drip.param.valuation.*;
  11. import org.drip.pricer.option.BlackScholesAlgorithm;
  12. import org.drip.product.creator.*;
  13. import org.drip.product.definition.*;
  14. import org.drip.product.fra.*;
  15. import org.drip.product.params.LastTradingDateSetting;
  16. import org.drip.product.rates.*;
  17. import org.drip.service.env.EnvManager;
  18. import org.drip.spline.basis.PolynomialFunctionSetParams;
  19. import org.drip.spline.stretch.MultiSegmentSequenceBuilder;
  20. import org.drip.state.creator.*;
  21. import org.drip.state.discount.*;
  22. import org.drip.state.forward.ForwardCurve;
  23. import org.drip.state.identifier.*;

  25. /*
  26.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  27.  */

  29. /*!
  30.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  31.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  32.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  33.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  34.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  35.  * Copyright (C) 2014 Lakshmi Krishnamurthy
  36.  * 
  37.  *  This file is part of DROP, an open-source library targeting risk, transaction costs, exposure, margin
  38.  *      calculations, valuation adjustment, and portfolio construction within and across fixed income,
  39.  *      credit, commodity, equity, FX, and structured products.
  40.  *  
  41.  *      https://lakshmidrip.github.io/DROP/
  42.  *  
  43.  *  DROP is composed of three modules:
  44.  *  
  45.  *  - DROP Analytics Core - https://lakshmidrip.github.io/DROP-Analytics-Core/
  46.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  47.  *  - DROP Numerical Core - https://lakshmidrip.github.io/DROP-Numerical-Core/
  48.  * 
  49.  *  DROP Analytics Core implements libraries for the following:
  50.  *  - Fixed Income Analytics
  51.  *  - Asset Backed Analytics
  52.  *  - XVA Analytics
  53.  *  - Exposure and Margin Analytics
  54.  * 
  55.  *  DROP Portfolio Core implements libraries for the following:
  56.  *  - Asset Allocation Analytics
  57.  *  - Transaction Cost Analytics
  58.  * 
  59.  *  DROP Numerical Core implements libraries for the following:
  60.  *  - Statistical Learning
  61.  *  - Numerical Optimizer
  62.  *  - Spline Builder
  63.  *  - Algorithm Support
  64.  * 
  65.  *  Documentation for DROP is Spread Over:
  66.  * 
  67.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  68.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  69.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  70.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  71.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  72.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  73.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  74.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  75.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  76.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  77.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  78.  * 
  79.  *  Licensed under the Apache License, Version 2.0 (the "License");
  80.  *      you may not use this file except in compliance with the License.
  81.  *   
  82.  *  You may obtain a copy of the License at
  83.  *      http://www.apache.org/licenses/LICENSE-2.0
  84.  *  
  85.  *  Unless required by applicable law or agreed to in writing, software
  86.  *      distributed under the License is distributed on an "AS IS" BASIS,
  87.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  88.  *  
  89.  *  See the License for the specific language governing permissions and
  90.  *      limitations under the License.
  91.  */

  93. /**
  94.  * <i>FRAStandardOptionAnalysis</i> contains the demonstration of the custom volatility-correlation analysis
  95.  * of Option on a Standard Multi-Curve FRA.
  96.  *  
  97.  * <br><br>
  98.  *  <ul>
  99.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/AnalyticsCore.md">Analytics Core Module</a></li>
  100.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics Library</a></li>
  101.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/README.md">Sample</a></li>
  102.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/fra/README.md">FRA Analytics</a></li>
  103.  *  </ul>
  104.  * <br><br>
  105.  * 
  106.  * @author Lakshmi Krishnamurthy
  107.  */

  109. public class FRAStandardOptionAnalysis {

  111.     private static final FixFloatComponent OTCFixFloat (
  112.         final JulianDate dtSpot,
  113.         final String strCurrency,
  114.         final String strMaturityTenor,
  115.         final double dblCoupon)
  116.     {
  117.         FixedFloatSwapConvention ffConv = IBORFixedFloatContainer.ConventionFromJurisdiction (
  118.             strCurrency,
  119.             "ALL",
  120.             strMaturityTenor,
  121.             "MAIN"
  122.         );

  124.         return ffConv.createFixFloatComponent (
  125.             dtSpot,
  126.             strMaturityTenor,
  127.             dblCoupon,
  128.             0.,
  129.             1.
  130.         );
  131.     }

  133.     private static final FloatFloatComponent OTCFloatFloat (
  134.         final JulianDate dtSpot,
  135.         final String strCurrency,
  136.         final String strDerivedTenor,
  137.         final String strMaturityTenor,
  138.         final double dblBasis)
  139.     {
  140.         FloatFloatSwapConvention ffConv = IBORFloatFloatContainer.ConventionFromJurisdiction (strCurrency);

  142.         return ffConv.createFloatFloatComponent (
  143.             dtSpot,
  144.             strDerivedTenor,
  145.             strMaturityTenor,
  146.             dblBasis,
  147.             1.
  148.         );
  149.     }

  151.     /*
  152.      * Construct the Array of Deposit Instruments from the given set of parameters
  153.      * 
  154.      *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
  155.      */

  157.     private static final CalibratableComponent[] DepositInstrumentsFromMaturityDays (
  158.         final JulianDate dtEffective,
  159.         final int[] aiDay,
  160.         final int iNumFuture,
  161.         final String strCurrency)
  162.         throws Exception
  163.     {
  164.         CalibratableComponent[] aCalibComp = new CalibratableComponent[aiDay.length + iNumFuture];

  166.         for (int i = 0; i < aiDay.length; ++i)
  167.             aCalibComp[i] = SingleStreamComponentBuilder.Deposit (
  168.                 dtEffective,
  169.                 dtEffective.addBusDays (
  170.                     aiDay[i],
  171.                     strCurrency
  172.                 ),
  173.                 ForwardLabel.Create (
  174.                     strCurrency,
  175.                     "3M"
  176.                 )
  177.             );

  179.         CalibratableComponent[] aEDF = SingleStreamComponentBuilder.ForwardRateFuturesPack (
  180.             dtEffective,
  181.             iNumFuture,
  182.             strCurrency
  183.         );

  185.         for (int i = aiDay.length; i < aiDay.length + iNumFuture; ++i)
  186.             aCalibComp[i] = aEDF[i - aiDay.length];

  188.         return aCalibComp;
  189.     }

  191.     /*
  192.      * Construct the Array of Swap Instruments from the given set of parameters
  193.      * 
  194.      *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
  195.      */

  197.     private static final FixFloatComponent[] SwapInstrumentsFromMaturityTenor (
  198.         final JulianDate dtSpot,
  199.         final String strCurrency,
  200.         final String[] astrMaturityTenor,
  201.         final double[] adblCoupon)
  202.         throws Exception
  203.     {
  204.         FixFloatComponent[] aIRS = new FixFloatComponent[astrMaturityTenor.length];

  206.         for (int i = 0; i < astrMaturityTenor.length; ++i)
  207.             aIRS[i] = OTCFixFloat (
  208.                 dtSpot,
  209.                 strCurrency,
  210.                 astrMaturityTenor[i],
  211.                 adblCoupon[i]
  212.             );

  214.         return aIRS;
  215.     }

  217.     /*
  218.      * Construct the discount curve using the following steps:
  219.      *  - Construct the array of cash instruments and their quotes.
  220.      *  - Construct the array of swap instruments and their quotes.
  221.      *  - Construct a shape preserving and smoothing KLK Hyperbolic Spline from the cash/swap instruments.
  222.      * 
  223.      *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
  224.      */

  226.     private static final MergedDiscountForwardCurve MakeDC (
  227.         final JulianDate dtSpot,
  228.         final String strCurrency)
  229.         throws Exception
  230.     {
  231.         /*
  232.          * Construct the array of Deposit instruments and their quotes.
  233.          */

  235.         CalibratableComponent[] aDepositComp = DepositInstrumentsFromMaturityDays (
  236.             dtSpot,
  237.             new int[] {
  238.                 1, 2, 3, 7, 14, 21, 30, 60
  239.             },
  240.             0,
  241.             strCurrency
  242.         );

  244.         double[] adblDepositQuote = new double[] {
  245.             0.01200, 0.01200, 0.01200, 0.01450, 0.01550, 0.01600, 0.01660, 0.01850
  246.         };

  248.         String[] astrDepositManifestMeasure = new String[] {
  249.             "ForwardRate",
  250.             "ForwardRate",
  251.             "ForwardRate",
  252.             "ForwardRate",
  253.             "ForwardRate",
  254.             "ForwardRate",
  255.             "ForwardRate",
  256.             "ForwardRate"
  257.         };

  259.         /*
  260.          * Construct the array of Swap instruments and their quotes.
  261.          */

  263.         double[] adblSwapQuote = new double[] {
  264.             0.02604,    //  4Y
  265.             0.02808,    //  5Y
  266.             0.02983,    //  6Y
  267.             0.03136,    //  7Y
  268.             0.03268,    //  8Y
  269.             0.03383,    //  9Y
  270.             0.03488,    // 10Y
  271.             0.03583,    // 11Y
  272.             0.03668,    // 12Y
  273.             0.03833,    // 15Y
  274.             0.03854,    // 20Y
  275.             0.03672,    // 25Y
  276.             0.03510,    // 30Y
  277.             0.03266,    // 40Y
  278.             0.03145     // 50Y
  279.         };

  281.         String[] astrSwapManifestMeasure = new String[] {
  282.             "SwapRate",    //  4Y
  283.             "SwapRate",    //  5Y
  284.             "SwapRate",    //  6Y
  285.             "SwapRate",    //  7Y
  286.             "SwapRate",    //  8Y
  287.             "SwapRate",    //  9Y
  288.             "SwapRate",    // 10Y
  289.             "SwapRate",    // 11Y
  290.             "SwapRate",    // 12Y
  291.             "SwapRate",    // 15Y
  292.             "SwapRate",    // 20Y
  293.             "SwapRate",    // 25Y
  294.             "SwapRate",    // 30Y
  295.             "SwapRate",    // 40Y
  296.             "SwapRate"     // 50Y
  297.         };

  299.         CalibratableComponent[] aSwapComp = SwapInstrumentsFromMaturityTenor (
  300.             dtSpot,
  301.             strCurrency,
  302.             new java.lang.String[] {
  303.                 "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "11Y", "12Y", "15Y", "20Y", "25Y", "30Y", "40Y", "50Y"
  304.             },
  305.             adblSwapQuote
  306.         );

  308.         /*
  309.          * Construct a shape preserving and smoothing KLK Hyperbolic Spline from the cash/swap instruments.
  310.          */

  312.         return ScenarioDiscountCurveBuilder.CubicKLKHyperbolicDFRateShapePreserver (
  313.             "KLK_HYPERBOLIC_SHAPE_TEMPLATE",
  314.             new ValuationParams (
  315.                 dtSpot,
  316.                 dtSpot,
  317.                 strCurrency
  318.             ),
  319.             aDepositComp,
  320.             adblDepositQuote,
  321.             astrDepositManifestMeasure,
  322.             aSwapComp,
  323.             adblSwapQuote,
  324.             astrSwapManifestMeasure,
  325.             false
  326.         );
  327.     }

  329.     /*
  330.      * Construct an array of float-float swaps from the corresponding reference (6M) and the derived legs.
  331.      * 
  332.      *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
  333.      */

  335.     private static final FloatFloatComponent[] MakexM6MBasisSwap (
  336.         final JulianDate dtSpot,
  337.         final String strCurrency,
  338.         final String[] astrMaturityTenor,
  339.         final int iTenorInMonths)
  340.         throws Exception
  341.     {
  342.         FloatFloatComponent[] aFFC = new FloatFloatComponent[astrMaturityTenor.length];

  344.         for (int i = 0; i < astrMaturityTenor.length; ++i)
  345.             aFFC[i] = OTCFloatFloat (
  346.                 dtSpot,
  347.                 strCurrency,
  348.                 iTenorInMonths + "M",
  349.                 astrMaturityTenor[i],
  350.                 0.
  351.             );

  353.         return aFFC;
  354.     }

  356.     private static final ForwardCurve MakeFC (
  357.         final JulianDate dtSpot,
  358.         final String strCurrency,
  359.         final MergedDiscountForwardCurve dc,
  360.         final int iTenorInMonths,
  361.         final String[] astrxM6MFwdTenor,
  362.         final double[] adblxM6MBasisSwapQuote)
  363.         throws Exception
  364.     {
  365.         /*
  366.          * Construct the 6M-xM float-float basis swap.
  367.          */

  369.         FloatFloatComponent[] aFFC = MakexM6MBasisSwap (
  370.             dtSpot,
  371.             strCurrency,
  372.             astrxM6MFwdTenor,
  373.             iTenorInMonths
  374.         );

  376.         String strBasisTenor = iTenorInMonths + "M";

  378.         ValuationParams valParams = new ValuationParams (
  379.             dtSpot,
  380.             dtSpot,
  381.             strCurrency
  382.         );

  384.         /*
  385.          * Calculate the starting forward rate off of the discount curve.
  386.          */

  388.         double dblStartingFwd = dc.forward (
  389.             dtSpot.julian(),
  390.             dtSpot.addTenor (strBasisTenor).julian()
  391.         );

  393.         /*
  394.          * Set the discount curve based component market parameters.
  395.          */

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

  399.         /*
  400.          * Construct the shape preserving forward curve off of Quartic Polynomial Basis Spline.
  401.          */

  403.         return ScenarioForwardCurveBuilder.ShapePreservingForwardCurve (
  404.             "QUARTIC_FWD" + strBasisTenor,
  405.             ForwardLabel.Create (
  406.                 strCurrency,
  407.                 strBasisTenor
  408.             ),
  409.             valParams,
  410.             null,
  411.             mktParams,
  412.             null,
  413.             MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
  414.             new PolynomialFunctionSetParams (5),
  415.             aFFC,
  416.             "DerivedParBasisSpread",
  417.             adblxM6MBasisSwapQuote,
  418.             dblStartingFwd
  419.         );
  420.     }

  422.     private static final Map<String, ForwardCurve> MakeFC (
  423.         final JulianDate dt,
  424.         final String strCurrency,
  425.         final MergedDiscountForwardCurve dc)
  426.         throws Exception
  427.     {
  428.         Map<String, ForwardCurve> mapFC = new HashMap<String, ForwardCurve>();

  430.         /*
  431.          * Build and run the sampling for the 1M-6M Tenor Basis Swap from its instruments and quotes.
  432.          */

  434.         ForwardCurve fc1M = MakeFC (
  435.             dt,
  436.             strCurrency,
  437.             dc,
  438.             1,
  439.             new String[] {
  440.                 "1Y", "2Y", "3Y", "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "11Y", "12Y", "15Y", "20Y", "25Y", "30Y"
  441.             },
  442.             new double[] {
  443.                 0.00551,    //  1Y
  444.                 0.00387,    //  2Y
  445.                 0.00298,    //  3Y
  446.                 0.00247,    //  4Y
  447.                 0.00211,    //  5Y
  448.                 0.00185,    //  6Y
  449.                 0.00165,    //  7Y
  450.                 0.00150,    //  8Y
  451.                 0.00137,    //  9Y
  452.                 0.00127,    // 10Y
  453.                 0.00119,    // 11Y
  454.                 0.00112,    // 12Y
  455.                 0.00096,    // 15Y
  456.                 0.00079,    // 20Y
  457.                 0.00069,    // 25Y
  458.                 0.00062     // 30Y
  459.             }
  460.         );

  462.         mapFC.put (
  463.             "1M",
  464.             fc1M
  465.         );

  467.         /*
  468.          * Build and run the sampling for the 3M-6M Tenor Basis Swap from its instruments and quotes.
  469.          */

  471.         ForwardCurve fc3M = MakeFC (
  472.             dt,
  473.             strCurrency,
  474.             dc,
  475.             3,
  476.             new String[] {
  477.                 "1Y", "2Y", "3Y", "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "11Y", "12Y", "15Y", "20Y", "25Y", "30Y"
  478.             },
  479.             new double[] {
  480.                 0.00186,    //  1Y
  481.                 0.00127,    //  2Y
  482.                 0.00097,    //  3Y
  483.                 0.00080,    //  4Y
  484.                 0.00067,    //  5Y
  485.                 0.00058,    //  6Y
  486.                 0.00051,    //  7Y
  487.                 0.00046,    //  8Y
  488.                 0.00042,    //  9Y
  489.                 0.00038,    // 10Y
  490.                 0.00035,    // 11Y
  491.                 0.00033,    // 12Y
  492.                 0.00028,    // 15Y
  493.                 0.00022,    // 20Y
  494.                 0.00020,    // 25Y
  495.                 0.00018     // 30Y
  496.             }
  497.         );

  499.         mapFC.put (
  500.             "3M",
  501.             fc3M
  502.         );

  504.         /*
  505.          * Build and run the sampling for the 12M-6M Tenor Basis Swap from its instruments and quotes.
  506.          */

  508.         ForwardCurve fc12M = MakeFC (
  509.             dt,
  510.             strCurrency,
  511.             dc,
  512.             12,
  513.             new String[] {
  514.                 "1Y", "2Y", "3Y", "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "11Y", "12Y", "15Y", "20Y", "25Y", "30Y", "35Y", "40Y"
  515.             },
  516.             new double[] {
  517.                 -0.00212,    //  1Y
  518.                 -0.00152,    //  2Y
  519.                 -0.00117,    //  3Y
  520.                 -0.00097,    //  4Y
  521.                 -0.00082,    //  5Y
  522.                 -0.00072,    //  6Y
  523.                 -0.00063,    //  7Y
  524.                 -0.00057,    //  8Y
  525.                 -0.00051,    //  9Y
  526.                 -0.00047,    // 10Y
  527.                 -0.00044,    // 11Y
  528.                 -0.00041,    // 12Y
  529.                 -0.00035,    // 15Y
  530.                 -0.00028,    // 20Y
  531.                 -0.00025,    // 25Y
  532.                 -0.00022,    // 30Y
  533.                 -0.00022,    // 35Y Extrapolated
  534.                 -0.00022,    // 40Y Extrapolated
  535.             }
  536.         );

  538.         mapFC.put (
  539.             "12M",
  540.             fc12M
  541.         );

  543.         return mapFC;
  544.     }

  546.     private static final void VolCorrScenario (
  547.         final FRAStandardComponent fra,
  548.         final ValuationParams valParams,
  549.         final CurveSurfaceQuoteContainer mktParams,
  550.         final double dblForwardVol,
  551.         final double dblFundingVol,
  552.         final double dblForwardFundingCorr)
  553.         throws Exception
  554.     {
  555.         ForwardLabel fri = fra.forwardLabel().get ("DERIVED");

  557.         FundingLabel fundingLabel = FundingLabel.Standard (fri.currency());

  559.         mktParams.setForwardVolatility (
  560.             ScenarioDeterministicVolatilityBuilder.FlatForward (
  561.                 valParams.valueDate(),
  562.                 VolatilityLabel.Standard (fri),
  563.                 fri.currency(),
  564.                 dblForwardVol
  565.             )
  566.         );

  568.         mktParams.setFundingVolatility (
  569.             ScenarioDeterministicVolatilityBuilder.FlatForward (
  570.                 valParams.valueDate(),
  571.                 VolatilityLabel.Standard (fundingLabel),
  572.                 fri.currency(),
  573.                 dblFundingVol
  574.             )
  575.         );

  577.         mktParams.setForwardFundingCorrelation (
  578.             fri,
  579.             fundingLabel,
  580.             new FlatUnivariate (dblForwardFundingCorr)
  581.         );

  583.         double dblStrike = 0.0189;
  584.         String strManifestMeasure = "QuantoAdjustedParForward";

  586.         FRAStandardCapFloorlet fraCaplet = new FRAStandardCapFloorlet (
  587.             fra.name() + "::CAPLET",
  588.             fra,
  589.             strManifestMeasure,
  590.             true,
  591.             dblStrike,
  592.             1.,
  593.             new LastTradingDateSetting (
  594.                 LastTradingDateSetting.MID_CURVE_OPTION_QUARTERLY,
  595.                 "",
  596.                 Integer.MIN_VALUE
  597.             ),
  598.             new BlackScholesAlgorithm(),
  599.             null
  600.         );

  602.         FRAStandardCapFloorlet fraFloorlet = new FRAStandardCapFloorlet (
  603.             fra.name() + "::FLOORLET",
  604.             fra,
  605.             strManifestMeasure,
  606.             false,
  607.             dblStrike,
  608.             1.,
  609.             new LastTradingDateSetting (
  610.                 LastTradingDateSetting.MID_CURVE_OPTION_QUARTERLY,
  611.                 "",
  612.                 Integer.MIN_VALUE
  613.             ),
  614.             new BlackScholesAlgorithm(),
  615.             null
  616.         );

  618.         Map<String, Double> mapFRACapletOutput = fraCaplet.value (
  619.             valParams,
  620.             null,
  621.             mktParams,
  622.             null
  623.         );

  625.         Map<String, Double> mapFRAFloorletOutput = fraFloorlet.value (
  626.             valParams,
  627.             null,
  628.             mktParams,
  629.             null
  630.         );

  632.         double dblATMFRA = mapFRACapletOutput.get ("ATMFRA");

  634.         double dblManifestMeasureIntrinsic = mapFRACapletOutput.get ("ManifestMeasureIntrinsic");

  636.         double dblManifestMeasureIntrinsicValue = mapFRACapletOutput.get ("ManifestMeasureIntrinsicValue");

  638.         double dblForwardATMCapletPrice = mapFRACapletOutput.get ("ForwardATMIntrinsic");

  640.         double dblSpotCapletPrice = mapFRACapletOutput.get ("SpotPrice");

  642.         double dblForwardATMFloorletPrice = mapFRAFloorletOutput.get ("ForwardATMIntrinsic");

  644.         double dblSpotFloorletPrice = mapFRAFloorletOutput.get ("SpotPrice");

  646.         System.out.println ("\t[" +
  647.             org.drip.numerical.common.FormatUtil.FormatDouble (dblForwardVol, 2, 0, 100.) + "%," +
  648.             org.drip.numerical.common.FormatUtil.FormatDouble (dblFundingVol, 2, 0, 100.) + "%," +
  649.             org.drip.numerical.common.FormatUtil.FormatDouble (dblForwardFundingCorr, 2, 0, 100.) + "%] =" +
  650.             org.drip.numerical.common.FormatUtil.FormatDouble (dblATMFRA, 1, 4, 100.) + "% | " +
  651.             org.drip.numerical.common.FormatUtil.FormatDouble (dblManifestMeasureIntrinsic, 1, 1, 10000.) + " | " +
  652.             org.drip.numerical.common.FormatUtil.FormatDouble (dblManifestMeasureIntrinsicValue, 1, 1, 10000.) + " | " +
  653.             org.drip.numerical.common.FormatUtil.FormatDouble (dblForwardATMCapletPrice, 1, 1, 10000.) + " | " +
  654.             org.drip.numerical.common.FormatUtil.FormatDouble (dblSpotCapletPrice, 1, 1, 10000.) + " | " +
  655.             org.drip.numerical.common.FormatUtil.FormatDouble (dblForwardATMFloorletPrice, 1, 1, 10000.) + " | " +
  656.             org.drip.numerical.common.FormatUtil.FormatDouble (dblSpotFloorletPrice, 1, 1, 10000.));
  657.     }

  659.     public static final void main (
  660.         final String[] astrArgs)
  661.         throws Exception
  662.     {
  663.         /*
  664.          * Initialize the Credit Analytics Library
  665.          */

  667.         EnvManager.InitEnv ("");

  669.         String strTenor = "3M";
  670.         String strCurrency = "USD";

  672.         JulianDate dtToday = DateUtil.Today().addTenor ("0D");

  674.         /*
  675.          * Construct the Discount Curve using its instruments and quotes
  676.          */

  678.         MergedDiscountForwardCurve dc = MakeDC (
  679.             dtToday,
  680.             strCurrency
  681.         );

  683.         Map<String, ForwardCurve> mapFC = MakeFC (
  684.             dtToday,
  685.             strCurrency,
  686.             dc
  687.         );

  689.         ForwardLabel fri = ForwardLabel.Create (strCurrency, strTenor);

  691.         JulianDate dtForwardStart = dtToday.addTenor (strTenor);

  693.         FRAStandardComponent fra = SingleStreamComponentBuilder.FRAStandard (
  694.             dtForwardStart,
  695.             fri,
  696.             0.006
  697.         );

  699.         CurveSurfaceQuoteContainer mktParams = MarketParamsBuilder.Create (
  700.             dc,
  701.             mapFC.get (strTenor),
  702.             null,
  703.             null,
  704.             null,
  705.             null,
  706.             null,
  707.             null
  708.         );

  710.         ValuationParams valParams = new ValuationParams (
  711.             dtToday,
  712.             dtToday,
  713.             strCurrency
  714.         );

  716.         double[] adblSigmaFwd = new double[] {0.1, 0.2, 0.3, 0.4, 0.5};
  717.         double[] adblSigmaFwd2DomX = new double[] {0.10, 0.15, 0.20, 0.25, 0.30};
  718.         double[] adblCorrFwdFwd2DomX = new double[] {-0.99, -0.50, 0.00, 0.50, 0.99};

  720.         System.out.println ("\tPrinting the IRS Output in Order (Left -> Right):");

  722.         System.out.println ("\t\tFRA ATM (%)");

  724.         System.out.println ("\t\tManifest Measure Instrinsic (bp)");

  726.         System.out.println ("\t\tManifest Measure Instrinsic Value");

  728.         System.out.println ("\t\tForward Caplet ATM Price");

  730.         System.out.println ("\t\tSpot Caplet Price");

  732.         System.out.println ("\t\tForward Floorlet ATM Price");

  734.         System.out.println ("\t\tSpot Floorlet Price");

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

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

  740.         for (double dblSigmaFwd : adblSigmaFwd) {
  741.             for (double dblSigmaFwd2DomX : adblSigmaFwd2DomX) {
  742.                 for (double dblCorrFwdFwd2DomX : adblCorrFwdFwd2DomX)
  743.                     VolCorrScenario (
  744.                         fra,
  745.                         valParams,
  746.                         mktParams,
  747.                         dblSigmaFwd,
  748.                         dblSigmaFwd2DomX,
  749.                         dblCorrFwdFwd2DomX
  750.                     );
  751.             }
  752.         }

  754.         EnvManager.TerminateEnv();
  755.     }
  756. }
Created with JaCoCo 0.7.9.201702052155