BrokenDateLIBORUSD.java

  1. package org.drip.sample.intexfeed;

  3. import org.drip.analytics.date.*;
  4. import org.drip.analytics.daycount.Convention;
  5. import org.drip.analytics.support.Helper;
  6. import org.drip.market.otc.*;
  7. import org.drip.numerical.common.FormatUtil;
  8. import org.drip.service.env.EnvManager;
  9. import org.drip.service.template.LatentMarketStateBuilder;
  10. import org.drip.state.discount.MergedDiscountForwardCurve;
  11. import org.drip.state.identifier.ForwardLabel;

  13. /*
  14.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  15.  */

  17. /*!
  18.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  19.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  20.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  21.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  22.  * 
  23.  *  This file is part of DROP, an open-source library targeting risk, transaction costs, exposure, margin
  24.  *      calculations, valuation adjustment, and portfolio construction within and across fixed income,
  25.  *      credit, commodity, equity, FX, and structured products.
  26.  *  
  27.  *      https://lakshmidrip.github.io/DROP/
  28.  *  
  29.  *  DROP is composed of three modules:
  30.  *  
  31.  *  - DROP Analytics Core - https://lakshmidrip.github.io/DROP-Analytics-Core/
  32.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  33.  *  - DROP Numerical Core - https://lakshmidrip.github.io/DROP-Numerical-Core/
  34.  * 
  35.  *  DROP Analytics Core implements libraries for the following:
  36.  *  - Fixed Income Analytics
  37.  *  - Asset Backed Analytics
  38.  *  - XVA Analytics
  39.  *  - Exposure and Margin Analytics
  40.  * 
  41.  *  DROP Portfolio Core implements libraries for the following:
  42.  *  - Asset Allocation Analytics
  43.  *  - Transaction Cost Analytics
  44.  * 
  45.  *  DROP Numerical Core implements libraries for the following:
  46.  *  - Statistical Learning
  47.  *  - Numerical Optimizer
  48.  *  - Spline Builder
  49.  *  - Algorithm Support
  50.  * 
  51.  *  Documentation for DROP is Spread Over:
  52.  * 
  53.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  54.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  55.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  56.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  57.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  58.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  59.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  60.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  61.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  62.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  63.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  64.  * 
  65.  *  Licensed under the Apache License, Version 2.0 (the "License");
  66.  *      you may not use this file except in compliance with the License.
  67.  *   
  68.  *  You may obtain a copy of the License at
  69.  *      http://www.apache.org/licenses/LICENSE-2.0
  70.  *  
  71.  *  Unless required by applicable law or agreed to in writing, software
  72.  *      distributed under the License is distributed on an "AS IS" BASIS,
  73.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  74.  *  
  75.  *  See the License for the specific language governing permissions and
  76.  *      limitations under the License.
  77.  */

  79. /**
  80.  * <i>BrokenDateLIBORUSD</i> generates the USD LIBOR Forward's over Monthly Increments with Maturity up to 60
  81.  * Years for different Forward Tenors.
  82.  *  
  83.  * <br><br>
  84.  *  <ul>
  85.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/AnalyticsCore.md">Analytics Core Module</a></li>
  86.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics Library</a></li>
  87.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/README.md">Sample</a></li>
  88.  *      <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>
  89.  *  </ul>
  90.  * <br><br>
  91.  * 
  92.  * @author Lakshmi Krishnamurthy
  93.  */

  95. public class BrokenDateLIBORUSD {

  97.     private static final MergedDiscountForwardCurve FundingCurve (
  98.         final JulianDate dtSpot,
  99.         final String strCurrency)
  100.         throws Exception
  101.     {
  102.         String[] astrDepositMaturityTenor = new String[] {
  103.             "2D"
  104.         };

  106.         double[] adblDepositQuote = new double[] {
  107.             0.0130411 // 2D
  108.         };

  110.         double[] adblFuturesQuote = new double[] {
  111.             0.01345,    // 98.655
  112.             0.01470,    // 98.530
  113.             0.01575,    // 98.425
  114.             0.01660,    // 98.340
  115.             0.01745,    // 98.255
  116.             0.01845     // 98.155
  117.         };

  119.         String[] astrFixFloatMaturityTenor = new String[] {
  120.             "02Y",
  121.             "03Y",
  122.             "04Y",
  123.             "05Y",
  124.             "06Y",
  125.             "07Y",
  126.             "08Y",
  127.             "09Y",
  128.             "10Y",
  129.             "11Y",
  130.             "12Y",
  131.             "15Y",
  132.             "20Y",
  133.             "25Y",
  134.             "30Y",
  135.             "40Y",
  136.             "50Y"
  137.         };

  139.         double[] adblFixFloatQuote = new double[] {
  140.             0.016410, //  2Y
  141.             0.017863, //  3Y
  142.             0.019030, //  4Y
  143.             0.020035, //  5Y
  144.             0.020902, //  6Y
  145.             0.021660, //  7Y
  146.             0.022307, //  8Y
  147.             0.022879, //  9Y
  148.             0.023363, // 10Y
  149.             0.023820, // 11Y
  150.             0.024172, // 12Y
  151.             0.024934, // 15Y
  152.             0.025581, // 20Y
  153.             0.025906, // 25Y
  154.             0.025973, // 30Y
  155.             0.025838, // 40Y
  156.             0.025560  // 50Y
  157.         };

  159.         return LatentMarketStateBuilder.SmoothFundingCurve (
  160.             dtSpot,
  161.             strCurrency,
  162.             astrDepositMaturityTenor,
  163.             adblDepositQuote,
  164.             "ForwardRate",
  165.             adblFuturesQuote,
  166.             "ForwardRate",
  167.             astrFixFloatMaturityTenor,
  168.             adblFixFloatQuote,
  169.             "SwapRate"
  170.         );
  171.     }

  173.     public static final void main (
  174.         final String[] astrArgs)
  175.         throws Exception
  176.     {
  177.         EnvManager.InitEnv ("");

  179.         JulianDate dtSpot = DateUtil.CreateFromYMD (
  180.             2017,
  181.             DateUtil.OCTOBER,
  182.             5
  183.         );

  185.         int iNumMonth = 720;
  186.         String strCurrency = "USD";
  187.         String[] astrForwardTenor = new String[] {
  188.              "1M",
  189.              "2M",
  190.              "3M",
  191.              "6M",
  192.             "12M"
  193.         };

  195.         FixedFloatSwapConvention ffsc = IBORFixedFloatContainer.ConventionFromJurisdiction (strCurrency);

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

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

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

  203.         MergedDiscountForwardCurve mdfc = FundingCurve (
  204.             dtSpot,
  205.             strCurrency
  206.         );

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

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

  214.             double dblDFView = mdfc.df (dtView);

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

  219.                 double dblDFForward = mdfc.df (dtForward);

  221.                 double dblForwardRate = Helper.DF2Yield (
  222.                     iLIBORFreq,
  223.                     dblDFForward / dblDFView,
  224.                     Convention.YearFraction (
  225.                         dtView.julian(),
  226.                         dtForward.julian(),
  227.                         strLIBORDayCount,
  228.                         false,
  229.                         null,
  230.                         strCurrency
  231.                     )
  232.                 );

  234.                 System.out.println (
  235.                     dtSpot + "," +
  236.                     dtView + "," +
  237.                     astrForwardTenor[j] + "," +
  238.                     FormatUtil.FormatDouble (dblDFView, 1, 8, 1.) + "," +
  239.                     FormatUtil.FormatDouble (dblDFForward, 1, 8, 1.) + "," +
  240.                     FormatUtil.FormatDouble (dblForwardRate, 1, 8, 100.) + "%"
  241.                 );
  242.             }
  243.         }

  245.         EnvManager.TerminateEnv();
  246.     }
  247. }
Created with JaCoCo 0.7.9.201702052155