MultiCurveFRAMarket.java

package org.drip.sample.fra;

import java.util.*;

import org.drip.analytics.date.*;
import org.drip.function.r1tor1.FlatUnivariate;
import org.drip.param.creator.*;
import org.drip.param.market.CurveSurfaceQuoteContainer;
import org.drip.param.valuation.ValuationParams;
import org.drip.product.creator.SingleStreamComponentBuilder;
import org.drip.product.fra.FRAMarketComponent;
import org.drip.sample.forward.*;
import org.drip.service.env.EnvManager;
import org.drip.state.creator.ScenarioDeterministicVolatilityBuilder;
import org.drip.state.discount.*;
import org.drip.state.forward.ForwardCurve;
import org.drip.state.identifier.*;

/*
 * -*- 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>MultiCurveFRAMarket</i> contains the demonstration of the Market Multi-Curve FRA Product sample.
 *  
 * <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/fra/README.md">FRA Analytics</a></li>
 *  </ul>
 * <br><br>
 * 
 * @author Lakshmi Krishnamurthy
 */

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

        EnvManager.InitEnv ("");

        String strTenor = "6M";
        String strCurrency = "JPY";
        double dblEURIBOR6MVol = 0.37;
        double dblEONIAVol = 0.37;
        double dblEONIAEURIBOR6MCorrelation = 0.8;

        JulianDate dtToday = DateUtil.Today();

        MergedDiscountForwardCurve dcEONIA = OvernightIndexCurve.MakeDC (
            dtToday,
            strCurrency
        );

        ForwardCurve fcEURIBOR6M = IBOR6MQuarticPolyVanilla.Make6MForward (
            dtToday,
            strCurrency,
            strTenor
        );

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

        FundingLabel fundingLabel = FundingLabel.Standard (strCurrency);

        JulianDate dtForwardStart = dtToday.addTenor (strTenor);

        FRAMarketComponent fra = SingleStreamComponentBuilder.FRAMarket (
            dtForwardStart,
            fri,
            0.006
        );

        CurveSurfaceQuoteContainer mktParams = MarketParamsBuilder.Create (
            dcEONIA,
            fcEURIBOR6M,
            null,
            null,
            null,
            null,
            null,
            null
        );

        ValuationParams valParams = new ValuationParams (
            dtToday,
            dtToday,
            strCurrency
        );

        mktParams.setForwardVolatility (
            ScenarioDeterministicVolatilityBuilder.FlatForward (
                dtToday.julian(),
                VolatilityLabel.Standard (fri),
                fri.currency(),
                dblEURIBOR6MVol
            )
        );

        mktParams.setFundingVolatility (
            ScenarioDeterministicVolatilityBuilder.FlatForward (
                dtToday.julian(),
                VolatilityLabel.Standard (fundingLabel),
                fri.currency(),
                dblEONIAVol
            )
        );

        mktParams.setForwardFundingCorrelation (
            fri,
            fundingLabel,
            new FlatUnivariate (dblEONIAEURIBOR6MCorrelation)
        );

        Map<String, Double> mapFRAOutput = fra.value (
            valParams,
            null,
            mktParams,
            null
        );

        for (Map.Entry<String, Double> me : mapFRAOutput.entrySet())
            System.out.println ("\t" + me.getKey() + " => " + me.getValue());

        EnvManager.TerminateEnv();
    }
}