BrokenDateLIBOREUR.java

package org.drip.sample.intexfeed;

import org.drip.analytics.date.*;
import org.drip.analytics.daycount.Convention;
import org.drip.analytics.support.Helper;
import org.drip.market.otc.*;
import org.drip.numerical.common.FormatUtil;
import org.drip.product.definition.CalibratableComponent;
import org.drip.product.rates.*;
import org.drip.service.env.EnvManager;
// import org.drip.service.template.LatentMarketStateBuilder;
import org.drip.service.template.OTCInstrumentBuilder;
import org.drip.state.creator.ScenarioDiscountCurveBuilder;
import org.drip.state.discount.MergedDiscountForwardCurve;
import org.drip.state.identifier.ForwardLabel;

/*
 * -*- 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>BrokenDateLIBOREUR</i> generates the EUR LIBOR Forward's over Monthly Increments with Maturity up to 60
 * Years for different Forward Tenors.
 *  
 * <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/intexfeed/README.md">Intex Feed Inputs</a></li>
 *  </ul>
 * <br><br>
 * 
 * @author Lakshmi Krishnamurthy
 */

public class BrokenDateLIBOREUR {

    private static final MergedDiscountForwardCurve FundingCurve (
        final JulianDate dtSpot,
        final String strCurrency)
        throws Exception
    {
        String[] depositTenorArray = new String[] {
            "1W",
            "2W",
            "1M",
            "2M",
            "3M",
            "6M",
            "9M"
        };

        double[] depositQuoteArray = new double[] {
            -0.00379, // 1W
            -0.00372, // 2W
            -0.00370, // 1M
            -0.00341, // 2M
            -0.00329, // 3M
            -0.00271, // 6M
            -0.00221  // 9M
        };

        String[] fixFloatMaturityTenorArray = new String[] {
            "18M",
            "02Y",
            "03Y",
            "04Y",
            "05Y",
            "06Y",
            "07Y",
            "08Y",
            "09Y",
            "10Y",
            "11Y",
            "12Y",
            "15Y",
            "20Y",
            "25Y",
            "30Y",
            "35Y",
            "40Y",
            "45Y",
            "50Y"
        };

        double[] fixFloatQuoteArray = new double[] {
            -0.002040, // 18M
            -0.001190, // 02Y
             0.000855, // 03Y
             0.002960, // 04Y
             0.004990, // 05Y
             0.006630, // 06Y
             0.008090, // 07Y
             0.009360, // 08Y
             0.010490, // 09Y
             0.011300, // 10Y
             0.012360, // 11Y
             0.013150, // 12Y
             0.014890, // 15Y
             0.016300, // 20Y
             0.016690, // 25Y
             0.016740, // 30Y
             0.016680, // 35Y
             0.016530, // 40Y
             0.015944, // 45Y
             0.016090, // 50Y
        };

        int depositCount = depositTenorArray.length;
        int calibComponentCount = depositCount + fixFloatMaturityTenorArray.length;
        CalibratableComponent[] calibComponentArray = new CalibratableComponent[calibComponentCount];
        String[] calibMeasureArray = new String[calibComponentCount];
        double[] calibQuoteArray = new double[calibComponentCount];

        SingleStreamComponent[] depositArray = OTCInstrumentBuilder.FundingDeposit (
            dtSpot,
            strCurrency,
            depositTenorArray
        );

        FixFloatComponent[] fixFloatArray = OTCInstrumentBuilder.FixFloatStandard (
            dtSpot,
            strCurrency,
            "ALL",
            fixFloatMaturityTenorArray,
            "MAIN",
            0.
        );

        for (int i = 0; i < depositCount; ++i)
        {
            calibMeasureArray[i] = "Rate";
            calibQuoteArray[i] = depositQuoteArray[i];
            calibComponentArray[i] = depositArray[i];
        }

        for (int i = depositCount; i < calibComponentCount; ++i)
        {
            calibMeasureArray[i] = "SwapRate";
            calibComponentArray[i] = fixFloatArray[i - depositCount];
            calibQuoteArray[i] = fixFloatQuoteArray[i - depositCount];
        }

        return ScenarioDiscountCurveBuilder.NonlinearBuild (
            dtSpot,
            "USD",
            calibComponentArray,
            calibQuoteArray,
            calibMeasureArray,
            null
        );

        /* return LatentMarketStateBuilder.SingleStretchShapePreservingFundingCurve (
            dtSpot,
            strCurrency,
            depositTenorArray,
            depositQuoteArray,
            "ForwardRate",
            null, // adblFuturesQuote,
            null, // "ForwardRate",
            astrFixFloatMaturityTenor,
            adblFixFloatQuote,
            "SwapRate"
        ); */
    }

    public static final void main (
        final String[] astrArgs)
        throws Exception
    {
        EnvManager.InitEnv ("");

        JulianDate dtSpot = DateUtil.CreateFromYMD (
            2017,
            DateUtil.OCTOBER,
            5
        );

        int iNumMonth = 720;
        String strCurrency = "USD";
        String[] astrForwardTenor = new String[] {
             "1M",
             "2M",
             "3M",
             "6M",
            "12M"
        };

        FixedFloatSwapConvention ffsc = IBORFixedFloatContainer.ConventionFromJurisdiction (strCurrency);

        ForwardLabel forwardLabel = ffsc.floatStreamConvention().floaterIndex();

        String strLIBORDayCount = forwardLabel.floaterIndex().dayCount();

        int iLIBORFreq = Helper.TenorToFreq (forwardLabel.tenor());

        MergedDiscountForwardCurve mdfc = FundingCurve (
            dtSpot,
            strCurrency
        );

        System.out.println
            ("SpotDate,ViewDate,ForwardTenor,ViewDiscountFactor,ViewForwardDiscountFactor, ForwardRate");

        for (int i = 0; i < iNumMonth; ++i) {
            JulianDate dtView = 0 == i ? dtSpot : dtSpot.addMonths (i);

            double dblDFView = mdfc.df (dtView);

            for (int j = 0; j < astrForwardTenor.length; ++j) {
                JulianDate dtForward = dtView.addTenor (astrForwardTenor[j]);

                double dblDFForward = mdfc.df (dtForward);

                double dblForwardRate = Helper.DF2Yield (
                    iLIBORFreq,
                    dblDFForward / dblDFView,
                    Convention.YearFraction (
                        dtView.julian(),
                        dtForward.julian(),
                        strLIBORDayCount,
                        false,
                        null,
                        strCurrency
                    )
                );

                System.out.println (
                    dtSpot + "," +
                    dtView + "," +
                    astrForwardTenor[j] + "," +
                    FormatUtil.FormatDouble (dblDFView, 1, 8, 1.) + "," +
                    FormatUtil.FormatDouble (dblDFForward, 1, 8, 1.) + "," +
                    FormatUtil.FormatDouble (dblForwardRate, 1, 8, 100.) + "%"
                );
            }
        }

        EnvManager.TerminateEnv();
    }
}