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();
}
}