MultiCurveFRAStandardAnalysis.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.product.creator.*;
  12. import org.drip.product.definition.*;
  13. import org.drip.product.fra.FRAStandardComponent;
  14. import org.drip.product.rates.*;
  15. import org.drip.service.env.EnvManager;
  16. import org.drip.spline.basis.PolynomialFunctionSetParams;
  17. import org.drip.spline.stretch.MultiSegmentSequenceBuilder;
  18. import org.drip.state.creator.*;
  19. import org.drip.state.discount.*;
  20. import org.drip.state.forward.ForwardCurve;
  21. import org.drip.state.identifier.*;

  23. /*
  24.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  25.  */

  27. /*!
  28.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  29.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  30.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  31.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  32.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  33.  * Copyright (C) 2014 Lakshmi Krishnamurthy
  34.  * 
  35.  *  This file is part of DROP, an open-source library targeting risk, transaction costs, exposure, margin
  36.  *      calculations, valuation adjustment, and portfolio construction within and across fixed income,
  37.  *      credit, commodity, equity, FX, and structured products.
  38.  *  
  39.  *      https://lakshmidrip.github.io/DROP/
  40.  *  
  41.  *  DROP is composed of three modules:
  42.  *  
  43.  *  - DROP Analytics Core - https://lakshmidrip.github.io/DROP-Analytics-Core/
  44.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  45.  *  - DROP Numerical Core - https://lakshmidrip.github.io/DROP-Numerical-Core/
  46.  * 
  47.  *  DROP Analytics Core implements libraries for the following:
  48.  *  - Fixed Income Analytics
  49.  *  - Asset Backed Analytics
  50.  *  - XVA Analytics
  51.  *  - Exposure and Margin Analytics
  52.  * 
  53.  *  DROP Portfolio Core implements libraries for the following:
  54.  *  - Asset Allocation Analytics
  55.  *  - Transaction Cost Analytics
  56.  * 
  57.  *  DROP Numerical Core implements libraries for the following:
  58.  *  - Statistical Learning
  59.  *  - Numerical Optimizer
  60.  *  - Spline Builder
  61.  *  - Algorithm Support
  62.  * 
  63.  *  Documentation for DROP is Spread Over:
  64.  * 
  65.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  66.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  67.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  68.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  69.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  70.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  71.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  72.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  73.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  74.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  75.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  76.  * 
  77.  *  Licensed under the Apache License, Version 2.0 (the "License");
  78.  *      you may not use this file except in compliance with the License.
  79.  *   
  80.  *  You may obtain a copy of the License at
  81.  *      http://www.apache.org/licenses/LICENSE-2.0
  82.  *  
  83.  *  Unless required by applicable law or agreed to in writing, software
  84.  *      distributed under the License is distributed on an "AS IS" BASIS,
  85.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  86.  *  
  87.  *  See the License for the specific language governing permissions and
  88.  *      limitations under the License.
  89.  */

  91. /**
  92.  * <i>MultiCurveFRAStandardAnalysis</i> contains an Analysis of the Correlation and the Volatility Impact on
  93.  * the Standard FRA.
  94.  *  
  95.  * <br><br>
  96.  *  <ul>
  97.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/AnalyticsCore.md">Analytics Core Module</a></li>
  98.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics Library</a></li>
  99.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/README.md">Sample</a></li>
  100.  *      <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>
  101.  *  </ul>
  102.  * <br><br>
  103.  * 
  104.  * @author Lakshmi Krishnamurthy
  105.  */

  107. public class MultiCurveFRAStandardAnalysis {

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

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

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

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

  149.     /*
  150.      * Construct the Array of Deposit Instruments from the given set of parameters
  151.      * 
  152.      *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
  153.      */

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

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

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

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

  186.         return aCalibComp;
  187.     }

  189.     /*
  190.      * Construct the Array of Swap Instruments from the given set of parameters
  191.      * 
  192.      *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
  193.      */

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

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

  212.         return aIRS;
  213.     }

  215.     /*
  216.      * Construct the discount curve using the following steps:
  217.      *  - Construct the array of cash instruments and their quotes.
  218.      *  - Construct the array of swap instruments and their quotes.
  219.      *  - Construct a shape preserving and smoothing KLK Hyperbolic Spline from the cash/swap instruments.
  220.      * 
  221.      *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
  222.      */

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

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

  242.         double[] adblDepositQuote = new double[] {
  243.             0.01200, 0.01200, 0.01200, 0.01450, 0.01550, 0.01600, 0.01660, 0.01850
  244.         };

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

  257.         /*
  258.          * Construct the array of Swap instruments and their quotes.
  259.          */

  261.         double[] adblSwapQuote = new double[] {
  262.             0.02604,    //  4Y
  263.             0.02808,    //  5Y
  264.             0.02983,    //  6Y
  265.             0.03136,    //  7Y
  266.             0.03268,    //  8Y
  267.             0.03383,    //  9Y
  268.             0.03488,    // 10Y
  269.             0.03583,    // 11Y
  270.             0.03668,    // 12Y
  271.             0.03833,    // 15Y
  272.             0.03854,    // 20Y
  273.             0.03672,    // 25Y
  274.             0.03510,    // 30Y
  275.             0.03266,    // 40Y
  276.             0.03145     // 50Y
  277.         };

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

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

  306.         /*
  307.          * Construct a shape preserving and smoothing KLK Hyperbolic Spline from the cash/swap instruments.
  308.          */

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

  327.     /*
  328.      * Construct an array of float-float swaps from the corresponding reference (6M) and the derived legs.
  329.      * 
  330.      *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
  331.      */

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

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

  351.         return aFFC;
  352.     }

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

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

  374.         String strBasisTenor = iTenorInMonths + "M";

  376.         ValuationParams valParams = new ValuationParams (
  377.             dtSpot,
  378.             dtSpot,
  379.             strCurrency
  380.         );

  382.         /*
  383.          * Calculate the starting forward rate off of the discount curve.
  384.          */

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

  391.         /*
  392.          * Set the discount curve based component market parameters.
  393.          */

  395.         CurveSurfaceQuoteContainer mktParams = MarketParamsBuilder.Create (
  396.             dc,
  397.             null,
  398.             null,
  399.             null,
  400.             null,
  401.             null,
  402.             null
  403.         );

  405.         /*
  406.          * Construct the shape preserving forward curve off of Quartic Polynomial Basis Spline.
  407.          */

  409.         return ScenarioForwardCurveBuilder.ShapePreservingForwardCurve (
  410.             "QUARTIC_FWD" + strBasisTenor,
  411.             ForwardLabel.Create (
  412.                 strCurrency,
  413.                 strBasisTenor
  414.             ),
  415.             valParams,
  416.             null,
  417.             mktParams,
  418.             null,
  419.             MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
  420.             new PolynomialFunctionSetParams (5),
  421.             aFFC,
  422.             "DerivedParBasisSpread",
  423.             adblxM6MBasisSwapQuote,
  424.             dblStartingFwd
  425.         );
  426.     }

  428.     private static final Map<String, ForwardCurve> MakeFC (
  429.         final JulianDate dt,
  430.         final String strCurrency,
  431.         final MergedDiscountForwardCurve dc)
  432.         throws Exception
  433.     {
  434.         Map<String, ForwardCurve> mapFC = new HashMap<String, ForwardCurve>();

  436.         /*
  437.          * Build and run the sampling for the 1M-6M Tenor Basis Swap from its instruments and quotes.
  438.          */

  440.         ForwardCurve fc1M = MakeFC (
  441.             dt,
  442.             strCurrency,
  443.             dc,
  444.             1,
  445.             new String[] {
  446.                 "1Y", "2Y", "3Y", "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "11Y", "12Y", "15Y", "20Y", "25Y", "30Y"
  447.             },
  448.             new double[] {
  449.                 0.00551,    //  1Y
  450.                 0.00387,    //  2Y
  451.                 0.00298,    //  3Y
  452.                 0.00247,    //  4Y
  453.                 0.00211,    //  5Y
  454.                 0.00185,    //  6Y
  455.                 0.00165,    //  7Y
  456.                 0.00150,    //  8Y
  457.                 0.00137,    //  9Y
  458.                 0.00127,    // 10Y
  459.                 0.00119,    // 11Y
  460.                 0.00112,    // 12Y
  461.                 0.00096,    // 15Y
  462.                 0.00079,    // 20Y
  463.                 0.00069,    // 25Y
  464.                 0.00062     // 30Y
  465.                 }
  466.             );

  468.         mapFC.put (
  469.             "1M",
  470.             fc1M
  471.         );

  473.         /*
  474.          * Build and run the sampling for the 3M-6M Tenor Basis Swap from its instruments and quotes.
  475.          */

  477.         ForwardCurve fc3M = MakeFC (
  478.             dt,
  479.             strCurrency,
  480.             dc,
  481.             3,
  482.             new String[] {
  483.                 "1Y", "2Y", "3Y", "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "11Y", "12Y", "15Y", "20Y", "25Y", "30Y"
  484.             },
  485.             new double[] {
  486.                 0.00186,    //  1Y
  487.                 0.00127,    //  2Y
  488.                 0.00097,    //  3Y
  489.                 0.00080,    //  4Y
  490.                 0.00067,    //  5Y
  491.                 0.00058,    //  6Y
  492.                 0.00051,    //  7Y
  493.                 0.00046,    //  8Y
  494.                 0.00042,    //  9Y
  495.                 0.00038,    // 10Y
  496.                 0.00035,    // 11Y
  497.                 0.00033,    // 12Y
  498.                 0.00028,    // 15Y
  499.                 0.00022,    // 20Y
  500.                 0.00020,    // 25Y
  501.                 0.00018     // 30Y
  502.                 }
  503.             );

  505.         mapFC.put (
  506.             "3M",
  507.             fc3M
  508.         );

  510.         /*
  511.          * Build and run the sampling for the 12M-6M Tenor Basis Swap from its instruments and quotes.
  512.          */

  514.         ForwardCurve fc12M = MakeFC (
  515.             dt,
  516.             strCurrency,
  517.             dc,
  518.             12,
  519.             new String[] {
  520.                 "1Y", "2Y", "3Y", "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "11Y", "12Y", "15Y", "20Y", "25Y", "30Y",
  521.                 "35Y", "40Y" // Extrapolated
  522.             },
  523.             new double[] {
  524.                 -0.00212,    //  1Y
  525.                 -0.00152,    //  2Y
  526.                 -0.00117,    //  3Y
  527.                 -0.00097,    //  4Y
  528.                 -0.00082,    //  5Y
  529.                 -0.00072,    //  6Y
  530.                 -0.00063,    //  7Y
  531.                 -0.00057,    //  8Y
  532.                 -0.00051,    //  9Y
  533.                 -0.00047,    // 10Y
  534.                 -0.00044,    // 11Y
  535.                 -0.00041,    // 12Y
  536.                 -0.00035,    // 15Y
  537.                 -0.00028,    // 20Y
  538.                 -0.00025,    // 25Y
  539.                 -0.00022,    // 30Y
  540.                 -0.00022,    // 35Y Extrapolated
  541.                 -0.00022,    // 40Y Extrapolated
  542.                 }
  543.             );

  545.         mapFC.put (
  546.             "12M",
  547.             fc12M
  548.         );

  550.         return mapFC;
  551.     }

  553.     private static final void RunWithVolCorrelation (
  554.         final FRAStandardComponent fra,
  555.         final ValuationParams valParams,
  556.         final CurveSurfaceQuoteContainer mktParams,
  557.         final ForwardLabel fri,
  558.         final double dblForwardVol,
  559.         final double dblFundingVol,
  560.         final double dblForwardFundingCorr)
  561.         throws Exception
  562.     {
  563.         FundingLabel fundingLabel = FundingLabel.Standard (fri.currency());

  565.         mktParams.setForwardVolatility (
  566.             ScenarioDeterministicVolatilityBuilder.FlatForward (
  567.                 valParams.valueDate(),
  568.                 VolatilityLabel.Standard (fri),
  569.                 fri.currency(),
  570.                 dblForwardVol
  571.             )
  572.         );

  574.         mktParams.setFundingVolatility (
  575.             ScenarioDeterministicVolatilityBuilder.FlatForward (
  576.                 valParams.valueDate(),
  577.                 VolatilityLabel.Standard (fundingLabel),
  578.                 fri.currency(),
  579.                 dblFundingVol
  580.             )
  581.         );

  583.         mktParams.setForwardFundingCorrelation (
  584.             fri,
  585.             fundingLabel,
  586.             new FlatUnivariate (dblForwardFundingCorr)
  587.         );

  589.         Map<String, Double> mapFRAOutput = fra.value (
  590.             valParams,
  591.             null,
  592.             mktParams,
  593.             null
  594.         );

  596.         System.out.println ("\t[" +
  597.             org.drip.numerical.common.FormatUtil.FormatDouble (dblForwardVol, 2, 0, 100.) + "%," +
  598.             org.drip.numerical.common.FormatUtil.FormatDouble (dblFundingVol, 2, 0, 100.) + "%," +
  599.             org.drip.numerical.common.FormatUtil.FormatDouble (dblForwardFundingCorr, 2, 0, 100.) + "%] =" +
  600.             org.drip.numerical.common.FormatUtil.FormatDouble (mapFRAOutput.get ("ParForward"), 1, 4, 100.) + "% |" +
  601.             org.drip.numerical.common.FormatUtil.FormatDouble (mapFRAOutput.get ("QuantoAdjustedParForward"), 1, 4, 100.) + "% |" +
  602.             org.drip.numerical.common.FormatUtil.FormatDouble (mapFRAOutput.get ("MultiplicativeQuantoAdjustment"), 1, 4, 1.) + " | " +
  603.             org.drip.numerical.common.FormatUtil.FormatDouble (mapFRAOutput.get ("AdditiveQuantoAdjustment"), 1, 1, 10000.));
  604.     }

  606.     public static final void main (
  607.         final String[] astrArgs)
  608.         throws Exception
  609.     {
  610.         /*
  611.          * Initialize the Credit Analytics Library
  612.          */

  614.         EnvManager.InitEnv ("");

  616.         String strTenor = "3M";
  617.         String strCurrency = "CHF";

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

  621.         /*
  622.          * Construct the Discount Curve using its instruments and quotes
  623.          */

  625.         MergedDiscountForwardCurve dc = MakeDC (
  626.             dtToday,
  627.             strCurrency
  628.         );

  630.         Map<String, ForwardCurve> mapFC = MakeFC (
  631.             dtToday,
  632.             strCurrency,
  633.             dc
  634.         );

  636.         ForwardLabel fri = ForwardLabel.Create (
  637.             strCurrency,
  638.             strTenor
  639.         );

  641.         FRAStandardComponent fra = SingleStreamComponentBuilder.FRAStandard (
  642.             dtToday.addTenor (strTenor),
  643.             fri,
  644.             0.006
  645.         );

  647.         CurveSurfaceQuoteContainer mktParams = MarketParamsBuilder.Create (
  648.             dc,
  649.             mapFC.get (strTenor),
  650.             null,
  651.             null,
  652.             null,
  653.             null,
  654.             null,
  655.             null
  656.         );

  658.         ValuationParams valParams = new ValuationParams (
  659.             dtToday,
  660.             dtToday,
  661.             strCurrency
  662.         );

  664.         double[] adblSigmaFwd = new double[] {
  665.             0.1, 0.2, 0.3, 0.4, 0.5
  666.         };
  667.         double[] adblSigmaFwd2DomX = new double[] {
  668.             0.10, 0.15, 0.20, 0.25, 0.30
  669.         };
  670.         double[] adblCorrFwdFwd2DomX = new double[] {
  671.             -0.99, -0.50, 0.00, 0.50, 0.99
  672.         };

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

  676.         System.out.println ("\t\tParForward (%)");

  678.         System.out.println ("\t\tQuantoAdjustedParForward (%)");

  680.         System.out.println ("\t\tMultiplicativeQuantoAdjustment (absolute)");

  682.         System.out.println ("\t\tAdditiveQuantoAdjustment (bp)");

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

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

  688.         for (double dblSigmaFwd : adblSigmaFwd) {
  689.             for (double dblSigmaFwd2DomX : adblSigmaFwd2DomX) {
  690.                 for (double dblCorrFwdFwd2DomX : adblCorrFwdFwd2DomX)
  691.                     RunWithVolCorrelation (
  692.                         fra,
  693.                         valParams,
  694.                         mktParams,
  695.                         fri,
  696.                         dblSigmaFwd,
  697.                         dblSigmaFwd2DomX,
  698.                         dblCorrFwdFwd2DomX
  699.                     );
  700.             }
  701.         }

  703.         EnvManager.TerminateEnv();
  704.     }
  705. }
Created with JaCoCo 0.7.9.201702052155