BrokenDateOISRate.java

package org.drip.sample.intexfeed;

import java.util.Map;

import org.drip.analytics.date.*;
import org.drip.market.otc.*;
import org.drip.numerical.common.FormatUtil;
import org.drip.param.creator.MarketParamsBuilder;
import org.drip.param.market.CurveSurfaceQuoteContainer;
import org.drip.param.valuation.ValuationParams;
import org.drip.product.rates.FixFloatComponent;
import org.drip.service.env.EnvManager;
import org.drip.service.template.LatentMarketStateBuilder;
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>BrokenDateOISRate</i> generates the OIS Rate for Monthly Increments in Maturity over 60 Years.
 *  
 * <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 BrokenDateOISRate {

    private static final FixFloatComponent OTCOISFixFloat (
        final JulianDate dtSpot,
        final String strCurrency,
        final String strMaturityTenor)
    {
        FixedFloatSwapConvention ffsc = OvernightFixedFloatContainer.FundConventionFromJurisdiction (
            strCurrency
        );

        return ffsc.createFixFloatComponent (
            dtSpot,
            strMaturityTenor,
            0.,
            0.,
            1.
        );
    }

    private static final MergedDiscountForwardCurve OvernightCurve (
        final JulianDate dtSpot,
        final String strCurrency)
        throws Exception
    {
        String[] astrDepositMaturityTenor = new String[] {
            "1D",
            // "3D"
        };

        double[] adblDepositQuote = new double[] {
            0.0004,     // 1D
            // 0.0004       // 3D
        };

        String[] astrShortEndOISMaturityTenor = new String[] {
            "1W",
            "2W",
            "3W",
            "1M"
        };

        double[] adblShortEndOISQuote = new double[] {
            0.00070,    //   1W
            0.00069,    //   2W
            0.00078,    //   3W
            0.00074     //   1M
        };

        String[] astrOISFuturesEffectiveTenor = new String[] {
            "1M",
            "2M",
            "3M",
            "4M",
            "5M"
        };

        String[] astrOISFuturesMaturityTenor = new String[] {
            "1M",
            "1M",
            "1M",
            "1M",
            "1M"
        };

        double[] adblOISFuturesQuote = new double[] {
             0.00046,    //   1M x 1M
             0.00016,    //   2M x 1M
            -0.00007,    //   3M x 1M
            -0.00013,    //   4M x 1M
            -0.00014     //   5M x 1M
        };

        String[] astrLongEndOISMaturityTenor = new String[] {
            "15M",
            "18M",
            "21M",
            "02Y",
            "03Y",
            "04Y",
            "05Y",
            "06Y",
            "07Y",
            "08Y",
            "09Y",
            "10Y",
            "11Y",
            "12Y",
            "15Y",
            "20Y",
            "25Y",
            "30Y"
        };

        double[] adblLongEndOISQuote = new double[] {
            0.00002,    //  15M
            0.00008,    //  18M
            0.00021,    //  21M
            0.00036,    //   2Y
            0.00127,    //   3Y
            0.00274,    //   4Y
            0.00456,    //   5Y
            0.00647,    //   6Y
            0.00827,    //   7Y
            0.00996,    //   8Y
            0.01147,    //   9Y
            0.01280,    //  10Y
            0.01404,    //  11Y
            0.01516,    //  12Y
            0.01764,    //  15Y
            0.01939,    //  20Y
            0.02003,    //  25Y
            0.02038     //  30Y
        };

        return LatentMarketStateBuilder.SmoothOvernightCurve (
            dtSpot,
            strCurrency,
            astrDepositMaturityTenor,
            adblDepositQuote,
            "Rate",
            astrShortEndOISMaturityTenor,
            adblShortEndOISQuote,
            "SwapRate",
            astrOISFuturesEffectiveTenor,
            astrOISFuturesMaturityTenor,
            adblOISFuturesQuote,
            "SwapRate",
            astrLongEndOISMaturityTenor,
            adblLongEndOISQuote,
            "SwapRate"
        );
    }

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

        int iNumMonth = 720;
        String strCurrency = "USD";

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

        MergedDiscountForwardCurve mdfc = OvernightCurve (
            dtSpot,
            strCurrency
        );

        ValuationParams valParams = ValuationParams.Spot (dtSpot.julian());

        CurveSurfaceQuoteContainer csqc = MarketParamsBuilder.Create (
            mdfc,
            null,
            null,
            null,
            null,
            null,
            null
        );

        for (int i = 1; i <= iNumMonth; ++i) {
            String strMaturityTenor = i + "M";

            FixFloatComponent ffc = OTCOISFixFloat (
                dtSpot,
                strCurrency,
                strMaturityTenor
            );

            Map<String, Double> mapOutput = ffc.value (
                valParams,
                null,
                csqc,
                null
            );

            double dblOISRate = mapOutput.get ("SwapRate");

            double dblOISDV01 = mapOutput.get ("CleanFixedDV01");

            System.out.println (
                dtSpot + "," +
                strMaturityTenor + "," +
                ffc.maturityDate() + "," +
                FormatUtil.FormatDouble (dblOISRate, 1, 8, 100.) + "%" + "," +
                FormatUtil.FormatDouble (dblOISDV01, 1, 8, 10000.)
            );
        }

        EnvManager.TerminateEnv();
    }
}