BrokenDateSwapRate.java

  1. package org.drip.sample.intexfeed;

  3. import java.util.Map;

  5. import org.drip.analytics.date.*;
  6. import org.drip.market.otc.*;
  7. import org.drip.numerical.common.FormatUtil;
  8. import org.drip.param.creator.MarketParamsBuilder;
  9. import org.drip.param.market.CurveSurfaceQuoteContainer;
  10. import org.drip.param.valuation.ValuationParams;
  11. import org.drip.product.rates.FixFloatComponent;
  12. import org.drip.service.env.EnvManager;
  13. import org.drip.service.template.LatentMarketStateBuilder;
  14. import org.drip.state.discount.MergedDiscountForwardCurve;

  16. /*
  17.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  18.  */

  20. /*!
  21.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  22.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  23.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  24.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  25.  * 
  26.  *  This file is part of DROP, an open-source library targeting risk, transaction costs, exposure, margin
  27.  *      calculations, valuation adjustment, and portfolio construction within and across fixed income,
  28.  *      credit, commodity, equity, FX, and structured products.
  29.  *  
  30.  *      https://lakshmidrip.github.io/DROP/
  31.  *  
  32.  *  DROP is composed of three modules:
  33.  *  
  34.  *  - DROP Analytics Core - https://lakshmidrip.github.io/DROP-Analytics-Core/
  35.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  36.  *  - DROP Numerical Core - https://lakshmidrip.github.io/DROP-Numerical-Core/
  37.  * 
  38.  *  DROP Analytics Core implements libraries for the following:
  39.  *  - Fixed Income Analytics
  40.  *  - Asset Backed Analytics
  41.  *  - XVA Analytics
  42.  *  - Exposure and Margin Analytics
  43.  * 
  44.  *  DROP Portfolio Core implements libraries for the following:
  45.  *  - Asset Allocation Analytics
  46.  *  - Transaction Cost Analytics
  47.  * 
  48.  *  DROP Numerical Core implements libraries for the following:
  49.  *  - Statistical Learning
  50.  *  - Numerical Optimizer
  51.  *  - Spline Builder
  52.  *  - Algorithm Support
  53.  * 
  54.  *  Documentation for DROP is Spread Over:
  55.  * 
  56.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  57.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  58.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  59.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  60.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  61.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  62.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  63.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  64.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  65.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  66.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  67.  * 
  68.  *  Licensed under the Apache License, Version 2.0 (the "License");
  69.  *      you may not use this file except in compliance with the License.
  70.  *   
  71.  *  You may obtain a copy of the License at
  72.  *      http://www.apache.org/licenses/LICENSE-2.0
  73.  *  
  74.  *  Unless required by applicable law or agreed to in writing, software
  75.  *      distributed under the License is distributed on an "AS IS" BASIS,
  76.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  77.  *  
  78.  *  See the License for the specific language governing permissions and
  79.  *      limitations under the License.
  80.  */

  82. /**
  83.  * <i>BrokenDateSwapRate</i> generates the Swap Rate for Monthly Increments in Maturity over 60 Years.
  84.  *  
  85.  * <br><br>
  86.  *  <ul>
  87.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/AnalyticsCore.md">Analytics Core Module</a></li>
  88.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics Library</a></li>
  89.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/README.md">Sample</a></li>
  90.  *      <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>
  91.  *  </ul>
  92.  * <br><br>
  93.  * 
  94.  * @author Lakshmi Krishnamurthy
  95.  */

  97. public class BrokenDateSwapRate {

  99.     private static final FixFloatComponent OTCIRS (
  100.         final JulianDate dtSpot,
  101.         final String strCurrency,
  102.         final String strMaturityTenor,
  103.         final double dblCoupon)
  104.     {
  105.         FixedFloatSwapConvention ffsc = IBORFixedFloatContainer.ConventionFromJurisdiction (
  106.             strCurrency,
  107.             "NYC",
  108.             strMaturityTenor,
  109.             "MAIN"
  110.         );

  112.         return ffsc.createFixFloatComponent (
  113.             dtSpot,
  114.             strMaturityTenor,
  115.             dblCoupon,
  116.             0.,
  117.             1.
  118.         );
  119.     }

  121.     private static final MergedDiscountForwardCurve FundingCurve (
  122.         final JulianDate dtSpot,
  123.         final String strCurrency)
  124.         throws Exception
  125.     {
  126.         String[] astrDepositMaturityTenor = new String[] {
  127.             "2D"
  128.         };

  130.         double[] adblDepositQuote = new double[] {
  131.             0.0130411 // 2D
  132.         };

  134.         double[] adblFuturesQuote = new double[] {
  135.             0.01345,    // 98.655
  136.             0.01470,    // 98.530
  137.             0.01575,    // 98.425
  138.             0.01660,    // 98.340
  139.             0.01745,    // 98.255
  140.             0.01845     // 98.155
  141.         };

  143.         String[] astrFixFloatMaturityTenor = new String[] {
  144.             "02Y",
  145.             "03Y",
  146.             "04Y",
  147.             "05Y",
  148.             "06Y",
  149.             "07Y",
  150.             "08Y",
  151.             "09Y",
  152.             "10Y",
  153.             "11Y",
  154.             "12Y",
  155.             "15Y",
  156.             "20Y",
  157.             "25Y",
  158.             "30Y",
  159.             "40Y",
  160.             "50Y"
  161.         };

  163.         double[] adblFixFloatQuote = new double[] {
  164.             0.016410, //  2Y
  165.             0.017863, //  3Y
  166.             0.019030, //  4Y
  167.             0.020035, //  5Y
  168.             0.020902, //  6Y
  169.             0.021660, //  7Y
  170.             0.022307, //  8Y
  171.             0.022879, //  9Y
  172.             0.023363, // 10Y
  173.             0.023820, // 11Y
  174.             0.024172, // 12Y
  175.             0.024934, // 15Y
  176.             0.025581, // 20Y
  177.             0.025906, // 25Y
  178.             0.025973, // 30Y
  179.             0.025838, // 40Y
  180.             0.025560  // 50Y
  181.         };

  183.         return LatentMarketStateBuilder.SmoothFundingCurve (
  184.             dtSpot,
  185.             strCurrency,
  186.             astrDepositMaturityTenor,
  187.             adblDepositQuote,
  188.             "ForwardRate",
  189.             adblFuturesQuote,
  190.             "ForwardRate",
  191.             astrFixFloatMaturityTenor,
  192.             adblFixFloatQuote,
  193.             "SwapRate"
  194.         );
  195.     }

  197.     public static final void main (
  198.         final String[] astrArgs)
  199.         throws Exception
  200.     {
  201.         EnvManager.InitEnv ("");

  203.         int iNumMonth = 720;
  204.         String strCurrency = "USD";

  206.         JulianDate dtSpot = DateUtil.CreateFromYMD (
  207.             2017,
  208.             DateUtil.OCTOBER,
  209.             5
  210.         );

  212.         MergedDiscountForwardCurve mdfc = FundingCurve (
  213.             dtSpot,
  214.             strCurrency
  215.         );

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

  219.         CurveSurfaceQuoteContainer csqc = MarketParamsBuilder.Create (
  220.             mdfc,
  221.             null,
  222.             null,
  223.             null,
  224.             null,
  225.             null,
  226.             null
  227.         );

  229.         System.out.println ("SpotDate,MaturityTenor,MaturityDate,SwapRate,CleanFixedDV01");

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

  234.             FixFloatComponent ffc = OTCIRS (
  235.                 dtSpot,
  236.                 strCurrency,
  237.                 strMaturityTenor,
  238.                 0.
  239.             );

  241.             Map<String, Double> mapOutput = ffc.value (
  242.                 valParams,
  243.                 null,
  244.                 csqc,
  245.                 null
  246.             );

  248.             double dblSwapRate = mapOutput.get ("SwapRate");

  250.             double dblSwapDV01 = mapOutput.get ("CleanFixedDV01");

  252.             System.out.println (
  253.                 dtSpot + "," +
  254.                 strMaturityTenor + "," +
  255.                 ffc.maturityDate() + "," +
  256.                 FormatUtil.FormatDouble (dblSwapRate, 1, 8, 100.) + "%" + "," +
  257.                 FormatUtil.FormatDouble (dblSwapDV01, 1, 8, 10000.)
  258.             );
  259.         }

  261.         EnvManager.TerminateEnv();
  262.     }
  263. }
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