CHFShapePreserving1YStart.java
package org.drip.sample.fundinghistorical;
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.service.env.EnvManager;
import org.drip.service.state.FundingCurveAPI;
import org.drip.service.template.LatentMarketStateBuilder;
/*
* -*- 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>CHFShapePreserving1YStart</i> Generates the Historical CHF Shape Preserving Funding Curve Native
* Compounded Forward Rate starting at 1Y Tenor.
*
* <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/fundinghistorical/README.md">Multi-Mode Funding Curve Historical Forwards</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class CHFShapePreserving1YStart {
public static final void main (
final String[] astrArgs)
throws Exception
{
EnvManager.InitEnv ("");
String strCurrency = "CHF";
String strClosesLocation = "C:\\DROP\\Daemons\\Transforms\\FundingStateMarks\\" + strCurrency + "ShapePreservingReconstitutor.csv";
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[] astrFixFloatMaturityTenor = new String[] {
"1Y",
"2Y",
"3Y",
"4Y",
"5Y",
"6Y",
"7Y",
"8Y",
"9Y",
"10Y",
"11Y",
"12Y",
"15Y",
"20Y",
"25Y",
"30Y",
"40Y",
"50Y"
};
CSVGrid csvGrid = CSVParser.StringGrid (
strClosesLocation,
true
);
JulianDate[] adtClose = csvGrid.dateArrayAtColumn (0);
double[] adblFixFloatQuote1Y = csvGrid.doubleArrayAtColumn (1);
double[] adblFixFloatQuote2Y = csvGrid.doubleArrayAtColumn (2);
double[] adblFixFloatQuote3Y = csvGrid.doubleArrayAtColumn (3);
double[] adblFixFloatQuote4Y = csvGrid.doubleArrayAtColumn (4);
double[] adblFixFloatQuote5Y = csvGrid.doubleArrayAtColumn (5);
double[] adblFixFloatQuote6Y = csvGrid.doubleArrayAtColumn (6);
double[] adblFixFloatQuote7Y = csvGrid.doubleArrayAtColumn (7);
double[] adblFixFloatQuote8Y = csvGrid.doubleArrayAtColumn (8);
double[] adblFixFloatQuote9Y = csvGrid.doubleArrayAtColumn (9);
double[] adblFixFloatQuote10Y = csvGrid.doubleArrayAtColumn (10);
double[] adblFixFloatQuote11Y = csvGrid.doubleArrayAtColumn (11);
double[] adblFixFloatQuote12Y = csvGrid.doubleArrayAtColumn (12);
double[] adblFixFloatQuote15Y = csvGrid.doubleArrayAtColumn (13);
double[] adblFixFloatQuote20Y = csvGrid.doubleArrayAtColumn (14);
double[] adblFixFloatQuote25Y = csvGrid.doubleArrayAtColumn (15);
double[] adblFixFloatQuote30Y = csvGrid.doubleArrayAtColumn (16);
double[] adblFixFloatQuote40Y = csvGrid.doubleArrayAtColumn (17);
double[] adblFixFloatQuote50Y = csvGrid.doubleArrayAtColumn (18);
int iNumClose = adtClose.length;
JulianDate[] adtSpot = new JulianDate[iNumClose];
double[][] aadblFixFloatQuote = new double[iNumClose][18];
for (int i = 0; i < iNumClose; ++i) {
adtSpot[i] = adtClose[i];
aadblFixFloatQuote[i][0] = adblFixFloatQuote1Y[i];
aadblFixFloatQuote[i][1] = adblFixFloatQuote2Y[i];
aadblFixFloatQuote[i][2] = adblFixFloatQuote3Y[i];
aadblFixFloatQuote[i][3] = adblFixFloatQuote4Y[i];
aadblFixFloatQuote[i][4] = adblFixFloatQuote5Y[i];
aadblFixFloatQuote[i][5] = adblFixFloatQuote6Y[i];
aadblFixFloatQuote[i][6] = adblFixFloatQuote7Y[i];
aadblFixFloatQuote[i][7] = adblFixFloatQuote8Y[i];
aadblFixFloatQuote[i][8] = adblFixFloatQuote9Y[i];
aadblFixFloatQuote[i][9] = adblFixFloatQuote10Y[i];
aadblFixFloatQuote[i][10] = adblFixFloatQuote11Y[i];
aadblFixFloatQuote[i][11] = adblFixFloatQuote12Y[i];
aadblFixFloatQuote[i][12] = adblFixFloatQuote15Y[i];
aadblFixFloatQuote[i][13] = adblFixFloatQuote20Y[i];
aadblFixFloatQuote[i][14] = adblFixFloatQuote25Y[i];
aadblFixFloatQuote[i][15] = adblFixFloatQuote30Y[i];
aadblFixFloatQuote[i][16] = adblFixFloatQuote40Y[i];
aadblFixFloatQuote[i][17] = adblFixFloatQuote50Y[i];
}
String strDump = "Date";
for (String strInTenor : astrInTenor) {
for (String strForTenor : astrForTenor)
strDump += "," + strInTenor + strForTenor;
}
System.out.println (strDump);
Map<JulianDate, FundingCurveMetrics> mapFCM = FundingCurveAPI.HorizonMetrics (
adtSpot,
astrFixFloatMaturityTenor,
aadblFixFloatQuote,
astrInTenor,
astrForTenor,
strCurrency,
LatentMarketStateBuilder.SHAPE_PRESERVING
);
for (int i = 0; i < iNumClose; ++i) {
FundingCurveMetrics fcm = mapFCM.get (adtSpot[i]);
strDump = adtSpot[i].toString();
for (String strInTenor : astrInTenor) {
for (String strForTenor : astrForTenor)
strDump += "," + FormatUtil.FormatDouble (
fcm.nativeForwardRate (
strInTenor,
strForTenor
), 1, 5, 100.
);
}
System.out.println (strDump);
}
EnvManager.TerminateEnv();
}
}