UnifiedShapePreserving1YStart.java

  1. package org.drip.sample.fundingfeed;

  3. import java.io.BufferedWriter;
  4. import java.util.Map;

  6. import org.drip.analytics.date.JulianDate;
  7. import org.drip.feed.loader.*;
  8. import org.drip.historical.state.FundingCurveMetrics;
  9. import org.drip.numerical.common.FormatUtil;
  10. import org.drip.param.market.CurveSurfaceQuoteContainer;
  11. import org.drip.param.valuation.ValuationParams;
  12. import org.drip.product.rates.*;
  13. import org.drip.service.env.EnvManager;
  14. import org.drip.service.state.FundingCurveAPI;
  15. import org.drip.service.template.*;
  16. import org.drip.state.discount.MergedDiscountForwardCurve;

  18. /*
  19.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  20.  */

  22. /*!
  23.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  24.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  25.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  26.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  27.  * 
  28.  *  This file is part of DROP, an open-source library targeting risk, transaction costs, exposure, margin
  29.  *      calculations, valuation adjustment, and portfolio construction within and across fixed income,
  30.  *      credit, commodity, equity, FX, and structured products.
  31.  *  
  32.  *      https://lakshmidrip.github.io/DROP/
  33.  *  
  34.  *  DROP is composed of three modules:
  35.  *  
  36.  *  - DROP Analytics Core - https://lakshmidrip.github.io/DROP-Analytics-Core/
  37.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  38.  *  - DROP Numerical Core - https://lakshmidrip.github.io/DROP-Numerical-Core/
  39.  * 
  40.  *  DROP Analytics Core implements libraries for the following:
  41.  *  - Fixed Income Analytics
  42.  *  - Asset Backed Analytics
  43.  *  - XVA Analytics
  44.  *  - Exposure and Margin Analytics
  45.  * 
  46.  *  DROP Portfolio Core implements libraries for the following:
  47.  *  - Asset Allocation Analytics
  48.  *  - Transaction Cost Analytics
  49.  * 
  50.  *  DROP Numerical Core implements libraries for the following:
  51.  *  - Statistical Learning
  52.  *  - Numerical Optimizer
  53.  *  - Spline Builder
  54.  *  - Algorithm Support
  55.  * 
  56.  *  Documentation for DROP is Spread Over:
  57.  * 
  58.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  59.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  60.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  61.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  62.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  63.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  64.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  65.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  66.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  67.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  68.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  69.  * 
  70.  *  Licensed under the Apache License, Version 2.0 (the "License");
  71.  *      you may not use this file except in compliance with the License.
  72.  *   
  73.  *  You may obtain a copy of the License at
  74.  *      http://www.apache.org/licenses/LICENSE-2.0
  75.  *  
  76.  *  Unless required by applicable law or agreed to in writing, software
  77.  *      distributed under the License is distributed on an "AS IS" BASIS,
  78.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  79.  *  
  80.  *  See the License for the specific language governing permissions and
  81.  *      limitations under the License.
  82.  */

  84. /**
  85.  * <i>UnifiedShapePreserving1YStart</i> demonstrates the unified re-constitution and Metrics Generation.
  86.  *  
  87.  * <br><br>
  88.  *  <ul>
  89.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/AnalyticsCore.md">Analytics Core Module</a></li>
  90.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics Library</a></li>
  91.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/README.md">Sample</a></li>
  92.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/fundingfeed/README.md">Funding Marks Feed ETL</a></li>
  93.  *  </ul>
  94.  * <br><br>
  95.  * 
  96.  * @author Lakshmi Krishnamurthy
  97.  */

  99. public class UnifiedShapePreserving1YStart {

  101.     public static final void main (
  102.         final String[] args)
  103.         throws Exception
  104.     {
  105.         EnvManager.InitEnv ("");

  107.         String strCurrency = "USD";
  108.         String strFundingMarksLocation = "C:\\DROP\\Daemons\\Feeds\\FundingMarks\\" + strCurrency + "Formatted.csv";
  109.         String strFundingMetricsLocation = "C:\\DROP\\Daemons\\Metrics\\FundingCurve\\Unified\\" + strCurrency + ".csv";

  111.         String[] astrPreFixFloatTenor = new String[] {
  112.             "1Y",
  113.             "2Y",
  114.             "3Y",
  115.             "4Y",
  116.             "5Y",
  117.             "6Y",
  118.             "7Y",
  119.             "8Y",
  120.             "9Y",
  121.             "10Y",
  122.             "11Y",
  123.             "12Y",
  124.             "15Y",
  125.             "20Y",
  126.             "25Y",
  127.             "30Y",
  128.             "40Y",
  129.             "50Y"
  130.         };
  131.         String[] astrInTenor = new String[] {
  132.             "1Y"
  133.         };
  134.         String[] astrForTenor = new String[] {
  135.             "1Y",
  136.             "2Y",
  137.             "3Y",
  138.             "4Y",
  139.             "5Y",
  140.             "6Y",
  141.             "7Y",
  142.             "8Y",
  143.             "9Y",
  144.             "10Y",
  145.             "11Y",
  146.             "12Y",
  147.             "15Y",
  148.             "20Y",
  149.             "25Y",
  150.         };
  151.         String[] astrPostFixFloatMaturityTenor = new String[] {
  152.             "1Y",
  153.             "2Y",
  154.             "3Y",
  155.             "4Y",
  156.             "5Y",
  157.             "6Y",
  158.             "7Y",
  159.             "8Y",
  160.             "9Y",
  161.             "10Y",
  162.             "11Y",
  163.             "12Y",
  164.             "15Y",
  165.             "20Y",
  166.             "25Y",
  167.             "30Y",
  168.             "40Y",
  169.             "50Y"
  170.         };

  172.         CSVGrid csvGrid = CSVParser.StringGrid (
  173.             strFundingMarksLocation,
  174.             false
  175.         );

  177.         Map<JulianDate, InstrumentSetTenorQuote> mapISTQ = csvGrid.groupedOrderedDouble (0.01);

  179.         int iNumClose = mapISTQ.size();

  181.         int iCloseDate = 0;
  182.         String strDump = "Date";
  183.         JulianDate[] adtClose = new JulianDate[iNumClose];
  184.         double[][] aadblFixFloatQuote = new double[iNumClose][18];

  186.         for (String strInTenor : astrInTenor) {
  187.             for (String strForTenor : astrForTenor)
  188.                 strDump += "," + strInTenor + strForTenor;
  189.         }

  191.         System.out.println (strDump);

  193.         BufferedWriter bwMetrics = new BufferedWriter (new java.io.FileWriter (strFundingMetricsLocation));

  195.         bwMetrics.write (strDump + "\n");

  197.         for (Map.Entry<JulianDate, InstrumentSetTenorQuote> meISTQ : mapISTQ.entrySet()) {
  198.             if (null == meISTQ) continue;

  200.             JulianDate dtSpot = meISTQ.getKey();

  202.             InstrumentSetTenorQuote istq = meISTQ.getValue();

  204.             if (null == dtSpot || null == istq) continue;

  206.             double[] adblDepositQuote = istq.instrumentQuote ("DEPOSIT");

  208.             String[] astrDepositMaturityTenor = istq.instrumentTenor ("DEPOSIT");

  210.             double[] adblFixFloatQuote = istq.instrumentQuote ("FIXFLOAT");

  212.             String[] astrFixFloatMaturityTenor = istq.instrumentTenor ("FIXFLOAT");

  214.             int iNumDepositQuote = null == adblDepositQuote ? 0 : adblDepositQuote.length;
  215.             int iNumFixFloatQuote = null == adblFixFloatQuote ? 0 : adblFixFloatQuote.length;
  216.             int iNumDepositTenor = null == astrDepositMaturityTenor ? 0 : astrDepositMaturityTenor.length;
  217.             int iNumFixFloatTenor = null == astrFixFloatMaturityTenor ? 0 : astrFixFloatMaturityTenor.length;

  219.             if (0 == iNumFixFloatQuote || iNumDepositQuote != iNumDepositTenor || iNumFixFloatQuote !=
  220.                 iNumFixFloatTenor)
  221.                 continue;

  223.             MergedDiscountForwardCurve dcFunding = LatentMarketStateBuilder.FundingCurve (
  224.                 dtSpot,
  225.                 strCurrency,
  226.                 astrDepositMaturityTenor,
  227.                 adblDepositQuote,
  228.                 "ForwardRate",
  229.                 null,
  230.                 "ForwardRate",
  231.                 astrFixFloatMaturityTenor,
  232.                 adblFixFloatQuote,
  233.                 "SwapRate",
  234.                 LatentMarketStateBuilder.SHAPE_PRESERVING
  235.             );

  237.             CurveSurfaceQuoteContainer csqc = new CurveSurfaceQuoteContainer();

  239.             if (!csqc.setFundingState (dcFunding)) continue;

  241.             ValuationParams valParams = ValuationParams.Spot (dtSpot.julian());

  243.             FixFloatComponent[] aFFC = OTCInstrumentBuilder.FixFloatStandard (
  244.                 dtSpot,
  245.                 strCurrency,
  246.                 "ALL",
  247.                 astrPreFixFloatTenor,
  248.                 "MAIN",
  249.                 0.
  250.             );

  252.             for (int j = 0; j < aFFC.length; ++j)
  253.                 aadblFixFloatQuote[iCloseDate][j] = aFFC[j].measureValue (
  254.                     valParams,
  255.                     null,
  256.                     csqc,
  257.                     null,
  258.                     "SwapRate"
  259.                 );

  261.             adtClose[iCloseDate] = dtSpot;

  263.             if (++iCloseDate >= iNumClose) break;
  264.         }

  266.         Map<JulianDate, FundingCurveMetrics> mapFCM = FundingCurveAPI.HorizonMetrics (
  267.             adtClose,
  268.             astrPostFixFloatMaturityTenor,
  269.             aadblFixFloatQuote,
  270.             astrInTenor,
  271.             astrForTenor,
  272.             strCurrency,
  273.             LatentMarketStateBuilder.SHAPE_PRESERVING
  274.         );

  276.         for (int i = 0; i < iNumClose; ++i) {
  277.             FundingCurveMetrics fcm = mapFCM.get (adtClose[i]);

  279.             strDump = adtClose[i].toString();

  281.             for (String strInTenor : astrInTenor) {
  282.                 for (String strForTenor : astrForTenor)
  283.                     strDump += "," + FormatUtil.FormatDouble (
  284.                         fcm.nativeForwardRate (
  285.                             strInTenor,
  286.                             strForTenor
  287.                         ), 1, 5, 100.
  288.                     );
  289.             }

  291.             System.out.println (strDump);

  293.             bwMetrics.write (strDump + "\n");
  294.         }

  296.         bwMetrics.close();

  298.         EnvManager.TerminateEnv();
  299.     }
  300. }
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