UnifiedShapePreserving1YStart.java
package org.drip.sample.fundingfeed;
import java.io.BufferedWriter;
import java.util.Map;
import org.drip.analytics.date.JulianDate;
import org.drip.feed.loader.*;
import org.drip.historical.state.FundingCurveMetrics;
import org.drip.numerical.common.FormatUtil;
import org.drip.param.market.CurveSurfaceQuoteContainer;
import org.drip.param.valuation.ValuationParams;
import org.drip.product.rates.*;
import org.drip.service.env.EnvManager;
import org.drip.service.state.FundingCurveAPI;
import org.drip.service.template.*;
import org.drip.state.discount.MergedDiscountForwardCurve;
/*
* -*- 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
*
* 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>UnifiedShapePreserving1YStart</i> demonstrates the unified re-constitution and Metrics Generation.
*
* <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/fundingfeed/README.md">Funding Marks Feed ETL</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class UnifiedShapePreserving1YStart {
public static final void main (
final String[] args)
throws Exception
{
EnvManager.InitEnv ("");
String strCurrency = "USD";
String strFundingMarksLocation = "C:\\DROP\\Daemons\\Feeds\\FundingMarks\\" + strCurrency + "Formatted.csv";
String strFundingMetricsLocation = "C:\\DROP\\Daemons\\Metrics\\FundingCurve\\Unified\\" + strCurrency + ".csv";
String[] astrPreFixFloatTenor = new String[] {
"1Y",
"2Y",
"3Y",
"4Y",
"5Y",
"6Y",
"7Y",
"8Y",
"9Y",
"10Y",
"11Y",
"12Y",
"15Y",
"20Y",
"25Y",
"30Y",
"40Y",
"50Y"
};
String[] astrInTenor = new String[] {
"1Y"
};
String[] astrForTenor = new String[] {
"1Y",
"2Y",
"3Y",
"4Y",
"5Y",
"6Y",
"7Y",
"8Y",
"9Y",
"10Y",
"11Y",
"12Y",
"15Y",
"20Y",
"25Y",
};
String[] astrPostFixFloatMaturityTenor = new String[] {
"1Y",
"2Y",
"3Y",
"4Y",
"5Y",
"6Y",
"7Y",
"8Y",
"9Y",
"10Y",
"11Y",
"12Y",
"15Y",
"20Y",
"25Y",
"30Y",
"40Y",
"50Y"
};
CSVGrid csvGrid = CSVParser.StringGrid (
strFundingMarksLocation,
false
);
Map<JulianDate, InstrumentSetTenorQuote> mapISTQ = csvGrid.groupedOrderedDouble (0.01);
int iNumClose = mapISTQ.size();
int iCloseDate = 0;
String strDump = "Date";
JulianDate[] adtClose = new JulianDate[iNumClose];
double[][] aadblFixFloatQuote = new double[iNumClose][18];
for (String strInTenor : astrInTenor) {
for (String strForTenor : astrForTenor)
strDump += "," + strInTenor + strForTenor;
}
System.out.println (strDump);
BufferedWriter bwMetrics = new BufferedWriter (new java.io.FileWriter (strFundingMetricsLocation));
bwMetrics.write (strDump + "\n");
for (Map.Entry<JulianDate, InstrumentSetTenorQuote> meISTQ : mapISTQ.entrySet()) {
if (null == meISTQ) continue;
JulianDate dtSpot = meISTQ.getKey();
InstrumentSetTenorQuote istq = meISTQ.getValue();
if (null == dtSpot || null == istq) continue;
double[] adblDepositQuote = istq.instrumentQuote ("DEPOSIT");
String[] astrDepositMaturityTenor = istq.instrumentTenor ("DEPOSIT");
double[] adblFixFloatQuote = istq.instrumentQuote ("FIXFLOAT");
String[] astrFixFloatMaturityTenor = istq.instrumentTenor ("FIXFLOAT");
int iNumDepositQuote = null == adblDepositQuote ? 0 : adblDepositQuote.length;
int iNumFixFloatQuote = null == adblFixFloatQuote ? 0 : adblFixFloatQuote.length;
int iNumDepositTenor = null == astrDepositMaturityTenor ? 0 : astrDepositMaturityTenor.length;
int iNumFixFloatTenor = null == astrFixFloatMaturityTenor ? 0 : astrFixFloatMaturityTenor.length;
if (0 == iNumFixFloatQuote || iNumDepositQuote != iNumDepositTenor || iNumFixFloatQuote !=
iNumFixFloatTenor)
continue;
MergedDiscountForwardCurve dcFunding = LatentMarketStateBuilder.FundingCurve (
dtSpot,
strCurrency,
astrDepositMaturityTenor,
adblDepositQuote,
"ForwardRate",
null,
"ForwardRate",
astrFixFloatMaturityTenor,
adblFixFloatQuote,
"SwapRate",
LatentMarketStateBuilder.SHAPE_PRESERVING
);
CurveSurfaceQuoteContainer csqc = new CurveSurfaceQuoteContainer();
if (!csqc.setFundingState (dcFunding)) continue;
ValuationParams valParams = ValuationParams.Spot (dtSpot.julian());
FixFloatComponent[] aFFC = OTCInstrumentBuilder.FixFloatStandard (
dtSpot,
strCurrency,
"ALL",
astrPreFixFloatTenor,
"MAIN",
0.
);
for (int j = 0; j < aFFC.length; ++j)
aadblFixFloatQuote[iCloseDate][j] = aFFC[j].measureValue (
valParams,
null,
csqc,
null,
"SwapRate"
);
adtClose[iCloseDate] = dtSpot;
if (++iCloseDate >= iNumClose) break;
}
Map<JulianDate, FundingCurveMetrics> mapFCM = FundingCurveAPI.HorizonMetrics (
adtClose,
astrPostFixFloatMaturityTenor,
aadblFixFloatQuote,
astrInTenor,
astrForTenor,
strCurrency,
LatentMarketStateBuilder.SHAPE_PRESERVING
);
for (int i = 0; i < iNumClose; ++i) {
FundingCurveMetrics fcm = mapFCM.get (adtClose[i]);
strDump = adtClose[i].toString();
for (String strInTenor : astrInTenor) {
for (String strForTenor : astrForTenor)
strDump += "," + FormatUtil.FormatDouble (
fcm.nativeForwardRate (
strInTenor,
strForTenor
), 1, 5, 100.
);
}
System.out.println (strDump);
bwMetrics.write (strDump + "\n");
}
bwMetrics.close();
EnvManager.TerminateEnv();
}
}