MultiStreamSwapMeasures.java

package org.drip.sample.funding;

/*
 * Credit Analytics Imports
 */

import org.drip.analytics.date.*;
import org.drip.analytics.daycount.*;
import org.drip.analytics.support.*;
import org.drip.market.otc.*;
import org.drip.param.market.CurveSurfaceQuoteContainer;
import org.drip.param.period.*;
import org.drip.param.valuation.*;
import org.drip.product.definition.CalibratableComponent;
import org.drip.product.params.CurrencyPair;
import org.drip.product.rates.*;
import org.drip.service.env.EnvManager;
import org.drip.state.creator.*;
import org.drip.state.discount.MergedDiscountForwardCurve;
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
 * Copyright (C) 2013 Lakshmi Krishnamurthy
 * Copyright (C) 2012 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>MultiStreamSwapMeasures</i> illustrates the creation, invocation, and usage of the MultiStreamSwap. It
 * shows how to:
 *  
 * <br><br>
 *  <ul>
 *      <li>
 *          Create the Discount Curve from the rates instruments.
 *      </li>
 *      <li>
 *          Set up the valuation and the market parameters.
 *      </li>
 *      <li>
 *          Create the Rates Basket from the fixed/float streams.
 *      </li>
 *      <li>
 *          Value the Rates Basket.
 *      </li>
 *  </ul>
 *  
 * <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/funding/README.md">Funding Curve Builder</a></li>
 *  </ul>
 * <br><br>
 * 
 * @author Lakshmi Krishnamurthy
 */

public class MultiStreamSwapMeasures {

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

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

    /*
     * Sample demonstrating building of rates curve from deposit/future/swaps
     * 
     *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
     */

    private static MergedDiscountForwardCurve BuildRatesCurveFromInstruments (
        final JulianDate dtStart,
        final String[] astrDepositTenor,
        final double[] adblDepositRate,
        final String[] astrIRSTenor,
        final double[] adblIRSRate,
        final double dblBump,
        final String strCurrency)
        throws Exception
    {
        int iNumDCInstruments = astrDepositTenor.length + adblIRSRate.length;
        int aiDate[] = new int[iNumDCInstruments];
        double adblRate[] = new double[iNumDCInstruments];
        String astrCalibMeasure[] = new String[iNumDCInstruments];
        double adblCompCalibValue[] = new double[iNumDCInstruments];
        CalibratableComponent aCompCalib[] = new CalibratableComponent[iNumDCInstruments];

        // Deposit Calibration

        ComposableFloatingUnitSetting cfusDeposit = new ComposableFloatingUnitSetting (
            "3M",
            CompositePeriodBuilder.EDGE_DATE_SEQUENCE_SINGLE,
            null,
            ForwardLabel.Create (
                strCurrency,
                "3M"
            ),
            CompositePeriodBuilder.REFERENCE_PERIOD_IN_ADVANCE,
            0.
        );

        CompositePeriodSetting cpsDeposit = new CompositePeriodSetting (
            4,
            "3M",
            strCurrency,
            null,
            1.,
            null,
            null,
            null,
            null
        );

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

        for (int i = 0; i < astrDepositTenor.length; ++i) {
            astrCalibMeasure[i] = "Rate";
            adblRate[i] = java.lang.Double.NaN;
            adblCompCalibValue[i] = adblDepositRate[i] + dblBump;

            aCompCalib[i] = new SingleStreamComponent (
                "DEPOSIT_" + astrDepositTenor[i],
                new Stream (
                    CompositePeriodBuilder.FloatingCompositeUnit (
                        CompositePeriodBuilder.EdgePair (
                            dtStart,
                            new JulianDate (aiDate[i] = dtStart.addTenor (astrDepositTenor[i]).julian())
                        ),
                        cpsDeposit,
                        cfusDeposit
                    )
                ),
                csp
            );

            aCompCalib[i].setPrimaryCode (astrDepositTenor[i]);
        }

        // IRS Calibration

        for (int i = 0; i < astrIRSTenor.length; ++i) {
            astrCalibMeasure[i + astrDepositTenor.length] = "Rate";
            adblRate[i + astrDepositTenor.length] = java.lang.Double.NaN;
            adblCompCalibValue[i + astrDepositTenor.length] = adblIRSRate[i] + dblBump;

            FixFloatComponent irs = OTCIRS (
                dtStart,
                strCurrency,
                astrIRSTenor[i],
                adblIRSRate[i] + dblBump
            );

            irs.setPrimaryCode ("IRS." + astrIRSTenor[i] + "." + strCurrency);

            aCompCalib[i + astrDepositTenor.length] = irs;
        }

        /*
         * Build the IR curve from the components, their calibration measures, and their calibration quotes.
         */

        return ScenarioDiscountCurveBuilder.NonlinearBuild (
            dtStart,
            strCurrency,
            aCompCalib,
            adblCompCalibValue,
            astrCalibMeasure,
            null
        );
    }

    /*
     * Sample demonstrating creation of a rates basket instance from component fixed and floating streams
     * 
     *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
     */

    private static final RatesBasket MakeRatesBasket (
        final JulianDate dtEffective)
        throws Exception
    {
        /*
         * Create a sequence of Fixed Streams
         */

        Stream[] aFixedStream = new Stream[3];

        UnitCouponAccrualSetting ucasFixed = new UnitCouponAccrualSetting (
            2,
            "Act/360",
            false,
            "Act/360",
            false,
            "USD",
            false,
            CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC
        );

        ComposableFixedUnitSetting cfusFixed3Y = new ComposableFixedUnitSetting (
            "6M",
            CompositePeriodBuilder.EDGE_DATE_SEQUENCE_REGULAR,
            null,
            0.03,
            0.,
            "USD"
        );

        ComposableFixedUnitSetting cfusFixed5Y = new ComposableFixedUnitSetting (
            "6M",
            CompositePeriodBuilder.EDGE_DATE_SEQUENCE_REGULAR,
            null,
            0.05,
            0.,
            "USD"
        );

        ComposableFixedUnitSetting cfusFixed7Y = new ComposableFixedUnitSetting (
            "6M",
            CompositePeriodBuilder.EDGE_DATE_SEQUENCE_REGULAR,
            null,
            0.07,
            0.,
            "USD"
        );

        CompositePeriodSetting cpsFixed = new CompositePeriodSetting (
            2,
            "6M",
            "USD",
            null,
            1.,
            null,
            null,
            null,
            null
        );

        aFixedStream[0] = new Stream (
            CompositePeriodBuilder.FixedCompositeUnit (
                CompositePeriodBuilder.RegularEdgeDates (
                    dtEffective,
                    "6M",
                    "3Y",
                    null
                ),
                cpsFixed,
                ucasFixed,
                cfusFixed3Y
            )
        );

        aFixedStream[1] = new Stream (
            CompositePeriodBuilder.FixedCompositeUnit (
                CompositePeriodBuilder.RegularEdgeDates (
                    dtEffective,
                    "6M",
                    "5Y",
                    null
                ),
                cpsFixed,
                ucasFixed,
                cfusFixed5Y
            )
        );

        aFixedStream[2] = new Stream (
            CompositePeriodBuilder.FixedCompositeUnit (
                CompositePeriodBuilder.RegularEdgeDates (
                    dtEffective,
                    "6M",
                    "7Y",
                    null
                ),
                cpsFixed,
                ucasFixed,
                cfusFixed7Y
            )
        );

        /*
         * Create a sequence of Float Streams
         */

        Stream[] aFloatStream = new Stream[3];

        ComposableFloatingUnitSetting cfusFloat3Y = new ComposableFloatingUnitSetting (
            "3M",
            CompositePeriodBuilder.EDGE_DATE_SEQUENCE_SINGLE,
            null,
            ForwardLabel.Create (
                "USD",
                "3M"
            ),
            CompositePeriodBuilder.REFERENCE_PERIOD_IN_ADVANCE,
            0.03
        );

        ComposableFloatingUnitSetting cfusFloat5Y = new ComposableFloatingUnitSetting (
            "3M",
            CompositePeriodBuilder.EDGE_DATE_SEQUENCE_SINGLE,
            null,
            ForwardLabel.Create (
                "USD",
                "3M"
            ),
            CompositePeriodBuilder.REFERENCE_PERIOD_IN_ADVANCE,
            0.05
        );

        ComposableFloatingUnitSetting cfusFloat7Y = new ComposableFloatingUnitSetting (
            "3M",
            CompositePeriodBuilder.EDGE_DATE_SEQUENCE_SINGLE,
            null,
            ForwardLabel.Create (
                "USD",
                "3M"
            ),
            CompositePeriodBuilder.REFERENCE_PERIOD_IN_ADVANCE,
            0.07
        );

        CompositePeriodSetting cpsFloat = new CompositePeriodSetting (
            4,
            "3M",
            "USD",
            null,
            1.,
            null,
            null,
            null,
            null
        );

        aFloatStream[0] = new Stream (
            CompositePeriodBuilder.FloatingCompositeUnit (
                CompositePeriodBuilder.RegularEdgeDates (
                    dtEffective,
                    "6M",
                    "3Y",
                    null
                ),
                cpsFloat,
                cfusFloat3Y
            )
        );

        aFloatStream[1] = new Stream (
            CompositePeriodBuilder.FloatingCompositeUnit (
                CompositePeriodBuilder.RegularEdgeDates (
                    dtEffective,
                    "6M",
                    "5Y",
                    null
                ),
                cpsFloat,
                cfusFloat5Y
            )
        );

        aFloatStream[2] = new Stream (
            CompositePeriodBuilder.FloatingCompositeUnit (
                CompositePeriodBuilder.RegularEdgeDates (
                    dtEffective,
                    "6M",
                    "7Y",
                    null
                ),
                cpsFloat,
                cfusFloat7Y
            )
        );

        /*
         * Create a Rates Basket instance containing the fixed and floating streams
         */

        return new RatesBasket (
            "RATESBASKET",
            aFixedStream,
            aFloatStream
        );
    }

    /*
     * Sample demonstrating creation of discount curve from cash/futures/swaps
     * 
     *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
     */

    private static final void MultiLegSwapSample()
        throws Exception
    {
        JulianDate dtValue = DateUtil.Today();

        /*
         * Create the Discount Curve from the rates instruments
         */

        String[] astrCashTenor = new String[] {"3M"};
        double[] adblCashRate = new double[] {0.00276};
        String[] astrIRSTenor = new String[] {   "1Y",    "2Y",    "3Y",    "4Y",    "5Y",    "6Y",    "7Y",
           "8Y",    "9Y",   "10Y",   "11Y",   "12Y",   "15Y",   "20Y",   "25Y",   "30Y",   "40Y",   "50Y"};
        double[] adblIRSRate = new double[]  {0.00367, 0.00533, 0.00843, 0.01238, 0.01609, 0.01926, 0.02191,
            0.02406, 0.02588, 0.02741, 0.02870, 0.02982, 0.03208, 0.03372, 0.03445, 0.03484, 0.03501, 0.03484};

        MergedDiscountForwardCurve dc = BuildRatesCurveFromInstruments (
            dtValue,
            astrCashTenor,
            adblCashRate,
            astrIRSTenor,
            adblIRSRate,
            0.,
            "USD"
        );

        /*
         * Set up the valuation and the market parameters
         */

        ValuationParams valParams = ValuationParams.Spot (
            dtValue,
            0,
            "",
            Convention.DATE_ROLL_ACTUAL
        );

        double dblUSDABCFXRate = 1.;

        CurveSurfaceQuoteContainer mktParams = new CurveSurfaceQuoteContainer();

        mktParams.setFundingState (dc);

        CurrencyPair cp = CurrencyPair.FromCode ("USD/ABC");

        mktParams.setFXState (
            ScenarioFXCurveBuilder.CubicPolynomialCurve (
                "FX::" + cp.code(),
                dtValue,
                cp,
                new String[] {"10Y"},
                new double[] {dblUSDABCFXRate},
                dblUSDABCFXRate
            )
        );

        /*
         * Create the Rates Basket from the streams
         */

        RatesBasket rb = MakeRatesBasket (dtValue);

        /*
         * Value the Rates Basket
         */

        CaseInsensitiveTreeMap<Double> mapRBResults = rb.value (
            valParams,
            null,
            mktParams,
            null
        );

        System.out.println (mapRBResults);
    }

    public static final void main (
        final String[] astrArgs)
        throws Exception
    {
        // String strConfig = "c:\\Lakshmi\\BondAnal\\Config.xml";

        String strConfig = "";

        EnvManager.InitEnv (strConfig);

        MultiLegSwapSample();

        EnvManager.TerminateEnv();
    }
}