ShapePreservingZeroSmooth.java

package org.drip.sample.funding;

import org.drip.analytics.date.*;
import org.drip.analytics.definition.LatentStateStatic;
import org.drip.function.r1tor1.QuadraticRationalShapeControl;
import org.drip.market.otc.*;
import org.drip.numerical.common.FormatUtil;
import org.drip.param.creator.*;
import org.drip.param.valuation.*;
import org.drip.product.creator.*;
import org.drip.product.definition.CalibratableComponent;
import org.drip.product.rates.*;
import org.drip.service.env.EnvManager;
import org.drip.spline.basis.*;
import org.drip.spline.params.*;
import org.drip.spline.pchip.LocalMonotoneCkGenerator;
import org.drip.spline.stretch.*;
import org.drip.state.creator.ScenarioDiscountCurveBuilder;
import org.drip.state.discount.*;
import org.drip.state.estimator.*;
import org.drip.state.identifier.*;
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>ShapePreservingZeroSmooth</i> demonstrates the usage of different shape preserving and smoothing
 * techniques involved in the funding curve creation. It shows the following:
 *  
 * <br><br>
 *  <ul>
 *      <li>
 *          Construct the Array of Cash/Swap Instruments and their Quotes from the given set of parameters.
 *      </li>
 *      <li>
 *          Construct the Cash/Swap Instrument Set Stretch Builder.
 *      </li>
 *      <li>
 *          Set up the Linear Curve Calibrator using the following parameters:
 *          <ul>
 *              <li>
 *                  Cubic Exponential Mixture Basis Spline Set
 *              </li>
 *              <li>
 *                  C<sub>k</sub> = 2
 *                  Segment Curvature Penalty = 2
 *              </li>
 *              <li>
 *                  Quadratic Rational Shape Controller
 *              </li>
 *              <li>
 *                  Natural Boundary Setting
 *              </li>
 *          </ul>
 *      </li>
 *      <li>
 *          Set up the Global Curve Control parameters as follows:
 *          <ul>
 *              <li>
 *                  Zero Rate Quantification Metric
 *              </li>
 *              <li>
 *                  Cubic Polynomial Basis Spline Set
 *              </li>
 *              <li>
 *                  C<sub>k</sub> = 2
 *                  Segment Curvature Penalty = 2
 *              </li>
 *              <li>
 *                  Quadratic Rational Shape Controller
 *              </li>
 *              <li>
 *                  Natural Boundary Setting
 *              </li>
 *          </ul>
 *      </li>
 *      <li>
 *          Set up the Local Curve Control parameters as follows:
 *          <ul>
 *              <li>
 *                  C1 Bessel Monotone Smoothener with no spurious extrema elimination and no monotone filter
 *              </li>
 *              <li>
 *                  Zero Rate Quantification Metric
 *              </li>
 *              <li>
 *                  Cubic Polynomial Basis Spline Set
 *              </li>
 *              <li>
 *                  C<sub>k</sub> = 2
 *                  Segment Curvature Penalty = 2
 *              </li>
 *              <li>
 *                  Quadratic Rational Shape Controller
 *              </li>
 *              <li>
 *                  Natural Boundary Setting
 *              </li>
 *          </ul>
 *      </li>
 *      <li>
 *          Construct the Shape Preserving Discount Curve by applying the linear curve calibrator to the
 *              array of Cash and Swap Stretches.
 *      </li>
 *      <li>
 *          Construct the Globally Smoothened Discount Curve by applying the linear curve calibrator and the
 *              Global Curve Control parameters to the array of Cash and Swap Stretches and the shape
 *              preserving discount curve.
 *      </li>
 *      <li>
 *          Construct the Locally Smoothened Discount Curve by applying the linear curve calibrator and the
 *              Local Curve Control parameters to the array of Cash and Swap Stretches and the shape
 *              preserving discount curve.
 *      </li>
 *      <li>
 *          Cross-Comparison of the Cash/Swap Calibration Instrument "Rate" metric across the different curve
 *              construction methodologies.
 *      </li>
 *      <li>
 *          Cross-Comparison of the Swap Calibration Instrument "Rate" metric across the different curve
 *              construction methodologies for a sequence of bespoke swap instruments.
 *      </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 ShapePreservingZeroSmooth {

    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.
        );
    }

    /*
     * 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[] DepositInstrumentsFromMaturityDays (
        final JulianDate dtEffective,
        final String strCurrency,
        final int[] aiDay)
        throws Exception
    {
        SingleStreamComponent[] aDeposit = new SingleStreamComponent[aiDay.length];

        for (int i = 0; i < aiDay.length; ++i)
            aDeposit[i] = SingleStreamComponentBuilder.Deposit (
                dtEffective,
                dtEffective.addBusDays (
                    aiDay[i],
                    strCurrency
                ),
                ForwardLabel.Create (
                    "USD",
                    "3M"
                )
            );

        return aDeposit;
    }

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

    private static final FixFloatComponent[] SwapInstrumentsFromMaturityTenor (
        final JulianDate dtSpot,
        final String strCurrency,
        final String[] astrMaturityTenor)
        throws Exception
    {
        FixFloatComponent[] aIRS = new FixFloatComponent[astrMaturityTenor.length];

        for (int i = 0; i < astrMaturityTenor.length; ++i) {
            FixFloatComponent irs = OTCIRS (
                dtSpot,
                strCurrency,
                astrMaturityTenor[i],
                0.
            );

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

            aIRS[i] = irs;
        }

        return aIRS;
    }

    /*
     * This sample demonstrates the usage of different shape preserving and smoothing techniques involved in
     *  the discount curve creation. It shows the following:
     *  - Construct the Array of Cash/Swap Instruments and their Quotes from the given set of parameters.
     *  - Construct the Cash/Swap Instrument Set Stretch Builder.
     *  - 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
     *  - Set up the Global Curve Control parameters as follows:
     *      - Zero Rate Quantification Metric
     *      - Cubic Polynomial Basis Spline Set
     *      - Ck = 2, Segment Curvature Penalty = 2
     *      - Quadratic Rational Shape Controller
     *      - Natural Boundary Setting
     *  - Set up the Local Curve Control parameters as follows:
     *      - C1 Bessel Monotone Smoothener with no spurious extrema elimination and no monotone filter
     *      - Zero Rate Quantification Metric
     *      - Cubic Polynomial Basis Spline Set
     *      - Ck = 2, Segment Curvature Penalty = 2
     *      - Quadratic Rational Shape Controller
     *      - Natural Boundary Setting
     *  - Construct the Shape Preserving Discount Curve by applying the linear curve calibrator to the array
     *      of Cash and Swap Stretches.
     *  - Construct the Globally Smoothened Discount Curve by applying the linear curve calibrator and the
     *      Global Curve Control parameters to the array of Cash and Swap Stretches and the shape preserving
     *      discount curve.
     *  - Construct the Locally Smoothened Discount Curve by applying the linear curve calibrator and the
     *      Local Curve Control parameters to the array of Cash and Swap Stretches and the shape preserving
     *      discount curve.
     *  - Cross-Comparison of the Cash/Swap Calibration Instrument "Rate" metric across the different curve
     *      construction methodologies.
     *  - Cross-Comparison of the Swap Calibration Instrument "Rate" metric across the different curve
     *      construction methodologies for a sequence of bespoke swap instruments.
     * 
     *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
     */

    private static final void ShapePreservingDFZeroSmoothSample (
        final JulianDate dtSpot,
        final String strCurrency)
        throws Exception
    {
        /*
         * Construct the Array of Deposit Instruments and their Quotes from the given set of parameters
         */

        SingleStreamComponent[] aDepositComp = DepositInstrumentsFromMaturityDays (
            dtSpot,
            strCurrency,
            new int[] {
                2,
                7,
                14,
                30,
                60
            }
        );

        double[] adblDepositQuote = new double[] {
            0.0013,
            0.0017,
            0.0018,
            0.0020,
            0.0023
        };

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

        LatentStateStretchSpec depositStretch = LatentStateStretchBuilder.ForwardFundingStretchSpec (
            "DEPOSIT",
            aDepositComp,
            "ForwardRate",
            adblDepositQuote
        );

        /*
         * Construct the Array of EDF Instruments and their Quotes from the given set of parameters
         */

        SingleStreamComponent[] aEDFComp = SingleStreamComponentBuilder.ForwardRateFuturesPack (
            dtSpot,
            8,
            strCurrency
        );

        double[] adblEDFQuote = new double[] {
            0.0027,
            0.0032,
            0.0041,
            0.0054,
            0.0077,
            0.0104,
            0.0134,
            0.0160
        };

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

        LatentStateStretchSpec edfStretch = LatentStateStretchBuilder.ForwardFundingStretchSpec (
            "EDF",
            aEDFComp,
            "ForwardRate",
            adblEDFQuote
        );

        /*
         * Construct the Array of Swap Instruments and their Quotes from the given set of parameters
         */

        FixFloatComponent[] aSwapComp = SwapInstrumentsFromMaturityTenor (
            dtSpot,
            strCurrency,
            new java.lang.String[] {
                "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "11Y", "12Y", "15Y", "20Y", "25Y", "30Y", "40Y", "50Y"
            }
        );

        double[] adblSwapQuote = new double[] {
            0.0166, 0.0206, 0.0241, 0.0269, 0.0292, 0.0311, 0.0326, 0.0340, 0.0351, 0.0375, 0.0393, 0.0402, 0.0407, 0.0409, 0.0409
        };

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

        LatentStateStretchSpec swapStretch = LatentStateStretchBuilder.ForwardFundingStretchSpec (
            "SWAP",
            aSwapComp,
            "SwapRate",
            adblSwapQuote
        );

        LatentStateStretchSpec[] aStretchSpec = new LatentStateStretchSpec[] {depositStretch, edfStretch, swapStretch};

        /*
         * 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 (
            new SegmentCustomBuilderControl (
                MultiSegmentSequenceBuilder.BASIS_SPLINE_EXPONENTIAL_MIXTURE,
                new ExponentialMixtureSetParams (
                    new double[] {
                        0.01,
                        0.05,
                        0.25
                    }
                ),
                SegmentInelasticDesignControl.Create (
                    2,
                    2
                ),
                new ResponseScalingShapeControl (
                    true,
                    new QuadraticRationalShapeControl (0.)
                ),
                null
            ),
            BoundarySettings.NaturalStandard(),
            MultiSegmentSequence.CALIBRATE,
            null,
            null
        );

        /*
         * Set up the Global Curve Control parameters as follows:
         *  - Zero Rate Quantification Metric
         *  - Cubic Polynomial Basis Spline Set
         *  - Ck = 2, Segment Curvature Penalty = 2
         *  - Quadratic Rational Shape Controller
         *  - Natural Boundary Setting
         */

        GlobalControlCurveParams gccp = new GlobalControlCurveParams (
            LatentStateStatic.DISCOUNT_QM_ZERO_RATE,
            new SegmentCustomBuilderControl (
                MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
                new PolynomialFunctionSetParams (4),
                SegmentInelasticDesignControl.Create (
                    2,
                    2
                ),
                new ResponseScalingShapeControl (
                    true,
                    new QuadraticRationalShapeControl (0.)
                ),
                null
            ),
            BoundarySettings.NaturalStandard(),
            MultiSegmentSequence.CALIBRATE,
            null,
            null
        );

        /*
         * Set up the Local Curve Control parameters as follows:
         *  - C1 Bessel Monotone Smoothener with no spurious extrema elimination and no monotone filter
         *  - Zero Rate Quantification Metric
         *  - Cubic Polynomial Basis Spline Set
         *  - Ck = 2, Segment Curvature Penalty = 2
         *  - Quadratic Rational Shape Controller
         *  - Natural Boundary Setting
         */

        LocalControlCurveParams lccp = new LocalControlCurveParams (
            LocalMonotoneCkGenerator.C1_BESSEL,
            LatentStateStatic.DISCOUNT_QM_ZERO_RATE,
            new SegmentCustomBuilderControl (
                MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
                new PolynomialFunctionSetParams (4),
                SegmentInelasticDesignControl.Create (
                    2,
                    2
                ),
                new ResponseScalingShapeControl (
                    true,
                    new QuadraticRationalShapeControl (0.)
                ),
                null
            ),
            MultiSegmentSequence.CALIBRATE,
            null,
            null,
            false,
            false
        );

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

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

        MergedDiscountForwardCurve dcShapePreserving = ScenarioDiscountCurveBuilder.ShapePreservingDFBuild (
            strCurrency,
            lcc,
            aStretchSpec,
            valParams,
            null,
            null,
            null,
            1.
        );

        /*
         * Construct the Globally Smoothened Discount Curve by applying the linear curve calibrator and the
         *  Global Curve Control parameters to the array of Cash and Swap Stretches and the shape preserving
         *  discount curve.
         */

        MergedDiscountForwardCurve dcGloballySmooth = ScenarioDiscountCurveBuilder.SmoothingGlobalControlBuild (
            dcShapePreserving,
            lcc,
            gccp,
            valParams,
            null,
            null,
            null
        );

        /*
         * Construct the Locally Smoothened Discount Curve by applying the linear curve calibrator and the
         *  Local Curve Control parameters to the array of Cash and Swap Stretches and the shape preserving
         *  discount curve.
         */

        MergedDiscountForwardCurve dcLocallySmooth = ScenarioDiscountCurveBuilder.SmoothingLocalControlBuild (
            dcShapePreserving,
            lcc,
            lccp,
            valParams,
            null,
            null,
            null
        );

        /*
         * Cross-Comparison of the Deposit Calibration Instrument "Rate" metric across the different curve
         *  construction methodologies.
         */

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

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

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

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

        System.out.println ("\t        SHAPE PRESERVING   | SMOOTHING #1  | SMOOTHING #2  |  INPUT QUOTE  ");

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

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

        for (int i = 0; i < aDepositComp.length; ++i)
            System.out.println ("\t[" + aDepositComp[i].maturityDate() + "] = " +
                FormatUtil.FormatDouble (
                    aDepositComp[i].measureValue (
                        valParams,
                        null,
                        MarketParamsBuilder.Create (dcShapePreserving, null, null, null, null, null, null),
                        null,
                        "Rate"),
                    1, 6, 1.) + "   |   " +
                FormatUtil.FormatDouble (
                    aDepositComp[i].measureValue (
                        valParams,
                        null,
                        MarketParamsBuilder.Create (dcGloballySmooth, null, null, null, null, null, null),
                        null,
                        "Rate"),
                    1, 6, 1.) + "   |   " +
                FormatUtil.FormatDouble (
                    aDepositComp[i].measureValue (
                        valParams,
                        null,
                        MarketParamsBuilder.Create (dcLocallySmooth, null, null, null, null, null, null),
                        null,
                        "Rate"),
                    1, 6, 1.) + "   |   " +
                FormatUtil.FormatDouble (adblDepositQuote[i], 1, 6, 1.)
            );

        /*
         * Cross-Comparison of the Swap Calibration Instrument "Rate" metric across the different curve
         *  construction methodologies.
         */

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

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

        System.out.println ("\t               SWAP INSTRUMENTS CALIBRATION RECOVERY");

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

        System.out.println ("\t        SHAPE PRESERVING   | SMOOTHING #1  | SMOOTHING #2  |  INPUT QUOTE  ");

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

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

        for (int i = 0; i < aSwapComp.length; ++i)
            System.out.println ("\t[" + aSwapComp[i].maturityDate() + "] = " +
                FormatUtil.FormatDouble (
                    aSwapComp[i].measureValue (
                        valParams,
                        null,
                        MarketParamsBuilder.Create (dcShapePreserving, null, null, null, null, null, null),
                        null,
                        "CalibSwapRate"),
                    1, 6, 1.) + "   |   " +
                /* FormatUtil.FormatDouble (
                    aSwapComp[i].measureValue (
                        new ValuationParams (dtToday, dtToday, "MXN"), null,
                        MarketParamsBuilder.Create (dcGloballySmooth, null, null, null, null, null, null),
                        null,
                        "CalibSwapRate"),
                    1, 6, 1.) + "   |   " + */
                FormatUtil.FormatDouble (
                    aSwapComp[i].measureValue (
                        valParams,
                        null,
                        MarketParamsBuilder.Create (dcLocallySmooth, null, null, null, null, null, null),
                        null,
                        "CalibSwapRate"),
                    1, 6, 1.) + "   |   " +
                FormatUtil.FormatDouble (adblSwapQuote[i], 1, 6, 1.)
            );

        /*
         * Cross-Comparison of the Swap Calibration Instrument "Rate" metric across the different curve
         *  construction methodologies for a sequence of bespoke swap instruments.
         */

        CalibratableComponent[] aCC = SwapInstrumentsFromMaturityTenor (
            dtSpot,
            strCurrency,
            new java.lang.String[] {
                "3Y", "6Y", "9Y", "12Y", "15Y", "18Y", "21Y", "24Y", "27Y", "30Y"
            }
        );

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

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

        System.out.println ("\t           BESPOKE SWAPS PAR RATE");

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

        System.out.println ("\t        SHAPE PRESERVING   |  SMOOTHING #1 |  SMOOTHING #2");

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

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

        for (int i = 0; i < aCC.length; ++i)
            System.out.println ("\t[" + aCC[i].maturityDate() + "] = " +
                FormatUtil.FormatDouble (
                    aCC[i].measureValue (
                        valParams,
                        null,
                        MarketParamsBuilder.Create (dcShapePreserving, null, null, null, null, null, null),
                        null,
                        "CalibSwapRate"
                    ),
                1, 6, 1.) + "   |   " +
                /* FormatUtil.FormatDouble (
                    aCC[i].measureValue (new ValuationParams (dtToday, dtToday, "MXN"), null,
                    MarketParamsBuilder.Create (dcGloballySmooth, null, null, null, null, null, null),
                    null,
                    "CalibSwapRate"),
                1, 6, 1.) + "   |   " + */
                FormatUtil.FormatDouble (
                    aCC[i].measureValue (
                        valParams,
                        null,
                        MarketParamsBuilder.Create (dcLocallySmooth, null, null, null, null, null, null),
                        null,
                        "CalibSwapRate"
                    ),
                1, 6, 1.)
            );
    }

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

        EnvManager.InitEnv ("");

        JulianDate dtSpot = DateUtil.CreateFromYMD (
            2017,
            DateUtil.DECEMBER,
            21
        );

        String strCurrency = "USD";

        ShapePreservingDFZeroSmoothSample (
            dtSpot,
            strCurrency
        );

        EnvManager.TerminateEnv();
    }
}