ForwardSwapRate.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
 * 
 *  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>ForwardSwapRate</i> generates the Forward Swap Rates over Monthly Increments with Maturity up to 60
 * Years for different Swap 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 ForwardSwapRate {

    private static final FixFloatComponent OTCIRS (
        final JulianDate dtSpot,
        final String strCurrency,
        final String strMaturityTenor)
    {
        FixedFloatSwapConvention ffsc = IBORFixedFloatContainer.ConventionFromJurisdiction (
            strCurrency,
            "NYC",
            strMaturityTenor,
            "MAIN"
        );

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

    private static final MergedDiscountForwardCurve FundingCurve (
        final JulianDate dtSpot,
        final String strCurrency)
        throws Exception
    {
        String[] astrDepositMaturityTenor = new String[] {
            "2D"
        };

        double[] adblDepositQuote = new double[] {
            0.0130411 // 2D
        };

        double[] adblFuturesQuote = new double[] {
            0.01345,    // 98.655
            0.01470,    // 98.530
            0.01575,    // 98.425
            0.01660,    // 98.340
            0.01745,    // 98.255
            0.01845     // 98.155
        };

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

        double[] adblFixFloatQuote = new double[] {
            0.016410, //  2Y
            0.017863, //  3Y
            0.019030, //  4Y
            0.020035, //  5Y
            0.020902, //  6Y
            0.021660, //  7Y
            0.022307, //  8Y
            0.022879, //  9Y
            0.023363, // 10Y
            0.023820, // 11Y
            0.024172, // 12Y
            0.024934, // 15Y
            0.025581, // 20Y
            0.025906, // 25Y
            0.025973, // 30Y
            0.025838, // 40Y
            0.025560  // 50Y
        };

        return LatentMarketStateBuilder.SmoothFundingCurve (
            dtSpot,
            strCurrency,
            astrDepositMaturityTenor,
            adblDepositQuote,
            "ForwardRate",
            adblFuturesQuote,
            "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[] astrSwapTenor = new String[] {
            "02Y",
            "03Y",
            "04Y",
            "05Y",
            "06Y",
            "07Y",
            "08Y",
            "09Y",
            "10Y",
            "11Y",
            "12Y",
            "15Y",
            "20Y",
            "25Y",
            "30Y",
            "40Y",
            "50Y"
        };

        MergedDiscountForwardCurve mdfc = FundingCurve (
            dtSpot,
            strCurrency
        );

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

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

        System.out.println ("SpotDate,ForwardDate,MaturityTenor,MaturityDate,SwapRate,SpotDV01,ForwardDV01");

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

            double dblDFForward = mdfc.df (dtForward);

            for (int j = 0; j < astrSwapTenor.length; ++j) {
                FixFloatComponent ffc = OTCIRS (
                    dtForward,
                    strCurrency,
                    astrSwapTenor[j]
                );

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

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

                double dblForwardSwapDV01 = mapOutput.get ("CleanFixedDV01");

                System.out.println (
                    dtSpot + "," +
                    dtForward + "," +
                    astrSwapTenor[j] + "," +
                    ffc.maturityDate() + "," +
                    FormatUtil.FormatDouble (dblForwardSwapRate, 1, 8, 100.) + "%" + "," +
                    FormatUtil.FormatDouble (dblForwardSwapDV01, 1, 8, 10000.) + "," +
                    FormatUtil.FormatDouble (dblForwardSwapDV01 / dblDFForward, 1, 8, 10000.)
                );
            }
        }

        EnvManager.TerminateEnv();
    }
}