FixFloatMonteCarloEvolver.java
package org.drip.sample.lmm;
import java.util.*;
import org.drip.analytics.date.JulianDate;
import org.drip.analytics.definition.MarketSurface;
import org.drip.analytics.support.CompositePeriodBuilder;
import org.drip.dynamics.lmm.*;
import org.drip.function.r1tor1.QuadraticRationalShapeControl;
import org.drip.numerical.common.FormatUtil;
import org.drip.param.creator.*;
import org.drip.param.market.CurveSurfaceQuoteContainer;
import org.drip.param.period.*;
import org.drip.param.valuation.*;
import org.drip.product.creator.SingleStreamComponentBuilder;
import org.drip.product.rates.*;
import org.drip.sequence.random.*;
import org.drip.service.env.EnvManager;
import org.drip.spline.basis.PolynomialFunctionSetParams;
import org.drip.spline.grid.OverlappingStretchSpan;
import org.drip.spline.params.*;
import org.drip.spline.stretch.*;
import org.drip.state.creator.*;
import org.drip.state.curve.BasisSplineForwardRate;
import org.drip.state.discount.*;
import org.drip.state.estimator.LatentStateStretchBuilder;
import org.drip.state.forward.ForwardCurve;
import org.drip.state.identifier.*;
import org.drip.state.inference.*;
/*
* -*- 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
* Copyright (C) 2015 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>FixFloatMonteCarloEvolver</i> demonstrates the steps associated with a LMM-Based Monte-Carlo pricing of
* a Standard Fix-Float Swap. The References are:
*
* <br><br>
* <ul>
* <li>
* Goldys, B., M. Musiela, and D. Sondermann (1994): Log-normality of Rates and Term Structure
* Models, The University of New South Wales.
* </li>
* <li>
* Musiela, M. (1994): Nominal Annual Rates and Log-normal Volatility Structure, The University of
* New South Wales.
* </li>
* <li>
* Brace, A., D. Gatarek, and M. Musiela (1997): The Market Model of Interest Rate Dynamics,
* Mathematical Finance 7 (2), 127-155.
* </li>
* </ul>
*
* <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/lmm/README.md">LIBOR Market (LMM-BGM Variant) Evolution</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class FixFloatMonteCarloEvolver {
/*
* Construct the Array of Deposit Instruments from the given set of parameters
*
* USE WITH CARE: This sample ignores errors and does not handle exceptions.
*/
private static final SingleStreamComponent[] DepositInstrumentsFromMaturityDays (
final JulianDate dtEffective,
final String strCurrency,
final int[] aiDay)
throws Exception
{
SingleStreamComponent[] aDeposit = new SingleStreamComponent[aiDay.length];
ComposableFloatingUnitSetting cfus = new ComposableFloatingUnitSetting (
"3M",
CompositePeriodBuilder.EDGE_DATE_SEQUENCE_SINGLE,
null,
ForwardLabel.Create (
strCurrency,
"3M"
),
CompositePeriodBuilder.REFERENCE_PERIOD_IN_ADVANCE,
0.
);
CompositePeriodSetting cps = new CompositePeriodSetting (
4,
"3M",
strCurrency,
null,
1.,
null,
null,
null,
null
);
CashSettleParams csp = new CashSettleParams (
0,
strCurrency,
0
);
for (int i = 0; i < aiDay.length; ++i) {
aDeposit[i] = new SingleStreamComponent (
"DEPOSIT_" + aiDay[i],
new Stream (
CompositePeriodBuilder.FloatingCompositeUnit (
CompositePeriodBuilder.EdgePair (
dtEffective,
dtEffective.addBusDays (
aiDay[i],
strCurrency
)
),
cps,
cfus
)
),
csp
);
aDeposit[i].setPrimaryCode (aiDay[i] + "D");
}
return aDeposit;
}
/*
* Construct the Swap Instrument from the given set of parameters
*
* USE WITH CARE: This sample ignores errors and does not handle exceptions.
*/
private static final FixFloatComponent SwapInstrumentFromMaturityTenor (
final JulianDate dtEffective,
final String strCurrency,
final double dblFixedCoupon,
final String strMaturityTenor)
throws Exception
{
UnitCouponAccrualSetting ucasFixed = new UnitCouponAccrualSetting (
4,
"Act/360",
false,
"Act/360",
false,
strCurrency,
true,
CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC
);
ComposableFloatingUnitSetting cfusFloating = new ComposableFloatingUnitSetting (
"3M",
CompositePeriodBuilder.EDGE_DATE_SEQUENCE_REGULAR,
null,
ForwardLabel.Create (
strCurrency,
"3M"
),
CompositePeriodBuilder.REFERENCE_PERIOD_IN_ADVANCE,
0.
);
ComposableFixedUnitSetting cfusFixed = new ComposableFixedUnitSetting (
"3M",
CompositePeriodBuilder.EDGE_DATE_SEQUENCE_REGULAR,
null,
dblFixedCoupon,
0.,
strCurrency
);
CompositePeriodSetting cpsFloating = new CompositePeriodSetting (
4,
"3M",
strCurrency,
null,
-1.,
null,
null,
null,
null
);
CompositePeriodSetting cpsFixed = new CompositePeriodSetting (
4,
"3M",
strCurrency,
null,
1.,
null,
null,
null,
null
);
CashSettleParams csp = new CashSettleParams (
0,
strCurrency,
0
);
List<Integer> lsFixedStreamEdgeDate = CompositePeriodBuilder.RegularEdgeDates (
dtEffective,
"3M",
strMaturityTenor,
null
);
List<Integer> lsFloatingStreamEdgeDate = CompositePeriodBuilder.RegularEdgeDates (
dtEffective,
"3M",
strMaturityTenor,
null
);
Stream floatingStream = new Stream (
CompositePeriodBuilder.FloatingCompositeUnit (
lsFloatingStreamEdgeDate,
cpsFloating,
cfusFloating
)
);
Stream fixedStream = new Stream (
CompositePeriodBuilder.FixedCompositeUnit (
lsFixedStreamEdgeDate,
cpsFixed,
ucasFixed,
cfusFixed
)
);
FixFloatComponent irs = new FixFloatComponent (
fixedStream,
floatingStream,
csp
);
irs.setPrimaryCode ("IRS." + strMaturityTenor + "." + strCurrency);
return irs;
}
/*
* Construct the Array of Swap Instruments from the given set of parameters
*
* USE WITH CARE: This sample ignores errors and does not handle exceptions.
*/
private static final FixFloatComponent[] SwapInstrumentsFromMaturityTenor (
final JulianDate dtEffective,
final String strCurrency,
final String[] astrMaturityTenor)
throws Exception
{
FixFloatComponent[] aIRS = new FixFloatComponent[astrMaturityTenor.length];
for (int i = 0; i < astrMaturityTenor.length; ++i)
aIRS[i] = SwapInstrumentFromMaturityTenor (
dtEffective,
strCurrency,
0.,
astrMaturityTenor[i]
);
return aIRS;
}
/*
* This sample demonstrates discount curve calibration and input instrument calibration quote recovery.
* It shows the following:
* - Construct the Array of Cash/Swap Instruments and their Quotes from the given set of parameters.
* - Construct the Cash/Swap Instrument Set Stretch Builder.
* - Set up the Linear Curve Calibrator using the following parameters:
* - Cubic Exponential Mixture Basis Spline Set
* - Ck = 2, Segment Curvature Penalty = 2
* - Quadratic Rational Shape Controller
* - Natural Boundary Setting
* - Construct the Shape Preserving Discount Curve by applying the linear curve calibrator to the array
* of Cash and Swap Stretches.
* - Cross-Comparison of the Cash/Swap Calibration Instrument "Rate" metric across the different curve
* construction methodologies.
*
* USE WITH CARE: This sample ignores errors and does not handle exceptions.
*/
private static final MergedDiscountForwardCurve OTCInstrumentCurve (
final JulianDate dtSpot,
final String strCurrency)
throws Exception
{
/*
* Construct the Array of Deposit Instruments and their Quotes from the given set of parameters
*/
SingleStreamComponent[] aDepositComp = DepositInstrumentsFromMaturityDays (
dtSpot,
strCurrency,
new int[] {
1, 2, 7, 14, 30, 60
}
);
double[] adblDepositQuote = new double[] {
0.0013, 0.0017, 0.0017, 0.0018, 0.0020, 0.0023
};
/*
* Construct the Deposit Instrument Set Stretch Builder
*/
LatentStateStretchSpec depositStretch = LatentStateStretchBuilder.ForwardFundingStretchSpec (
"DEPOSIT",
aDepositComp,
"ForwardRate",
adblDepositQuote
);
/*
* Construct the Array of EDF Instruments and their Quotes from the given set of parameters
*/
SingleStreamComponent[] aEDFComp = SingleStreamComponentBuilder.ForwardRateFuturesPack (
dtSpot,
8,
strCurrency
);
double[] adblEDFQuote = new double[] {
0.0027, 0.0032, 0.0041, 0.0054, 0.0077, 0.0104, 0.0134, 0.0160
};
/*
* Construct the EDF Instrument Set Stretch Builder
*/
LatentStateStretchSpec edfStretch = LatentStateStretchBuilder.ForwardFundingStretchSpec (
"EDF",
aEDFComp,
"ForwardRate",
adblEDFQuote
);
/*
* Construct the Array of Swap Instruments and their Quotes from the given set of parameters
*/
FixFloatComponent[] aSwapComp = SwapInstrumentsFromMaturityTenor (
dtSpot,
strCurrency,
new java.lang.String[] {
"4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "11Y", "12Y", "15Y", "20Y", "25Y", "30Y", "40Y", "50Y"
}
);
double[] adblSwapQuote = new double[] {
0.0166, 0.0206, 0.0241, 0.0269, 0.0292, 0.0311, 0.0326, 0.0340, 0.0351, 0.0375, 0.0393, 0.0402, 0.0407, 0.0409, 0.0409
};
/*
* Construct the Swap Instrument Set Stretch Builder
*/
LatentStateStretchSpec swapStretch = LatentStateStretchBuilder.ForwardFundingStretchSpec (
"SWAP",
aSwapComp,
"SwapRate",
adblSwapQuote
);
LatentStateStretchSpec[] aStretchSpec = new LatentStateStretchSpec[] {
depositStretch,
edfStretch,
swapStretch
};
/*
* Set up the Linear Curve Calibrator using the following parameters:
* - Cubic Exponential Mixture Basis Spline Set
* - Ck = 2, Segment Curvature Penalty = 2
* - Quadratic Rational Shape Controller
* - Natural Boundary Setting
*/
LinearLatentStateCalibrator lcc = new LinearLatentStateCalibrator (
new SegmentCustomBuilderControl (
MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
new PolynomialFunctionSetParams (4),
SegmentInelasticDesignControl.Create (
2,
2
),
new ResponseScalingShapeControl (
true,
new QuadraticRationalShapeControl (0.)
),
null
),
BoundarySettings.NaturalStandard(),
MultiSegmentSequence.CALIBRATE,
null,
null
);
ValuationParams valParams = new ValuationParams (
dtSpot,
dtSpot,
strCurrency
);
/*
* Construct the Shape Preserving Discount Curve by applying the linear curve calibrator to the array
* of Deposit, Futures, and Swap Stretches.
*/
MergedDiscountForwardCurve dc = ScenarioDiscountCurveBuilder.ShapePreservingDFBuild (
strCurrency,
lcc,
aStretchSpec,
valParams,
null,
null,
null,
1.
);
CurveSurfaceQuoteContainer csqs = MarketParamsBuilder.Create (
dc,
null,
null,
null,
null,
null,
null
);
/*
* Cross-Comparison of the Deposit Calibration Instrument "Rate" metric across the different curve
* construction methodologies.
*/
System.out.println ("\n\t----------------------------------------------------------------");
System.out.println ("\t DEPOSIT INSTRUMENTS CALIBRATION RECOVERY");
System.out.println ("\t----------------------------------------------------------------");
for (int i = 0; i < aDepositComp.length; ++i)
System.out.println ("\t[" + aDepositComp[i].maturityDate() + "] = " +
FormatUtil.FormatDouble (aDepositComp[i].measureValue (valParams, null, csqs,
null, "Rate"), 1, 6, 1.) + " | " + FormatUtil.FormatDouble (adblDepositQuote[i], 1, 6, 1.));
/*
* Cross-Comparison of the EDF Calibration Instrument "Rate" metric across the different curve
* construction methodologies.
*/
System.out.println ("\n\t----------------------------------------------------------------");
System.out.println ("\t EDF INSTRUMENTS CALIBRATION RECOVERY");
System.out.println ("\t----------------------------------------------------------------");
for (int i = 0; i < aEDFComp.length; ++i)
System.out.println ("\t[" + aEDFComp[i].maturityDate() + "] = " +
FormatUtil.FormatDouble (aEDFComp[i].measureValue (valParams, null, csqs, null, "Rate"), 1, 6, 1.)
+ " | " + FormatUtil.FormatDouble (adblEDFQuote[i], 1, 6, 1.));
/*
* Cross-Comparison of the Swap Calibration Instrument "Rate" metric across the different curve
* construction methodologies.
*/
System.out.println ("\n\t----------------------------------------------------------------");
System.out.println ("\t SWAP INSTRUMENTS CALIBRATION RECOVERY");
System.out.println ("\t----------------------------------------------------------------");
for (int i = 0; i < aSwapComp.length; ++i)
System.out.println ("\t[" + aSwapComp[i].maturityDate() + "] = " +
FormatUtil.FormatDouble (aSwapComp[i].measureValue (valParams, null, csqs, null, "CalibSwapRate"), 1, 6, 1.)
+ " | " + FormatUtil.FormatDouble (adblSwapQuote[i], 1, 6, 1.) + " | " +
FormatUtil.FormatDouble (aSwapComp[i].measureValue (valParams, null, csqs, null, "FairPremium"), 1, 6, 1.));
return dc;
}
private static final ForwardCurve LIBORSpan (
final MergedDiscountForwardCurve dc,
final ForwardLabel forwardLabel,
final SegmentCustomBuilderControl scbc,
final JulianDate dtView,
final int iNumForwardTenor)
throws Exception
{
int[] aiDate = new int[iNumForwardTenor + 1];
double[] adblLIBOR = new double[iNumForwardTenor + 1];
SegmentCustomBuilderControl[] aSCBC = new SegmentCustomBuilderControl[iNumForwardTenor];
JulianDate dtForward = dtView.subtractTenor (forwardLabel.tenor());
for (int i = 0; i <= iNumForwardTenor; ++i) {
if (iNumForwardTenor != i) aSCBC[i] = scbc;
aiDate[i] = dtForward.julian();
adblLIBOR[i] = dc.libor (dtForward, forwardLabel.tenor());
dtForward = dtForward.addTenor (forwardLabel.tenor());
}
return new BasisSplineForwardRate (
forwardLabel,
new OverlappingStretchSpan (
MultiSegmentSequenceBuilder.CreateCalibratedStretchEstimator (
"SPOT_QM_LIBOR",
aiDate,
adblLIBOR,
aSCBC,
null,
BoundarySettings.NaturalStandard(),
MultiSegmentSequence.CALIBRATE
)
)
);
}
private static final MarketSurface FlatVolatilitySurface (
final JulianDate dtStart,
final String strCurrency,
final double dblFlatVol)
throws Exception
{
return ScenarioMarketSurfaceBuilder.CustomSplineWireSurface (
"VIEW_TARGET_VOLATILITY_SURFACE",
dtStart,
strCurrency,
new double[] {
dtStart.julian(),
dtStart.addYears (2).julian(),
dtStart.addYears (4).julian(),
dtStart.addYears (6).julian(),
dtStart.addYears (8).julian(),
dtStart.addYears (10).julian()
},
new double[] {
dtStart.julian(),
dtStart.addYears (2).julian(),
dtStart.addYears (4).julian(),
dtStart.addYears (6).julian(),
dtStart.addYears (8).julian(),
dtStart.addYears (10).julian()
},
new double[][] {
{dblFlatVol, dblFlatVol, dblFlatVol, dblFlatVol, dblFlatVol, dblFlatVol},
{dblFlatVol, dblFlatVol, dblFlatVol, dblFlatVol, dblFlatVol, dblFlatVol},
{dblFlatVol, dblFlatVol, dblFlatVol, dblFlatVol, dblFlatVol, dblFlatVol},
{dblFlatVol, dblFlatVol, dblFlatVol, dblFlatVol, dblFlatVol, dblFlatVol},
{dblFlatVol, dblFlatVol, dblFlatVol, dblFlatVol, dblFlatVol, dblFlatVol},
{dblFlatVol, dblFlatVol, dblFlatVol, dblFlatVol, dblFlatVol, dblFlatVol},
},
new SegmentCustomBuilderControl (
MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
new PolynomialFunctionSetParams (4),
SegmentInelasticDesignControl.Create (
2,
2
),
null,
null
),
new SegmentCustomBuilderControl (
MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
new PolynomialFunctionSetParams (4),
SegmentInelasticDesignControl.Create (
2,
2
),
null,
null
)
);
}
private static final LognormalLIBORVolatility LLVInstance (
final int iSpotDate,
final ForwardLabel forwardLabel,
final MarketSurface[] aMS,
final double[][] aadblCorrelation,
final int iNumFactor)
throws Exception
{
UnivariateSequenceGenerator[] aUSG = new UnivariateSequenceGenerator[aMS.length];
for (int i = 0; i < aUSG.length; ++i)
aUSG[i] = new BoxMullerGaussian (
0.,
1.
);
return new LognormalLIBORVolatility (
iSpotDate,
forwardLabel,
aMS,
new PrincipalFactorSequenceGenerator (
aUSG,
aadblCorrelation,
iNumFactor
)
);
}
public static final void main (
final String[] astrArgs)
throws Exception
{
EnvManager.InitEnv ("");
String strForwardTenor = "3M";
String strViewTenor = "6M";
String strSimulationTenor = "6M";
String strSwapTenor = "5Y";
String strCurrency = "USD";
double dblFlatVol1 = 0.35;
double dblFlatVol2 = 0.42;
double dblFlatVol3 = 0.27;
int iNumForwardTenor = 30;
int iNumFactor = 2;
int iNumRun = 100;
double[][] aadblCorrelation = new double[][] {
{1.0, 0.1, 0.2},
{0.1, 1.0, 0.2},
{0.2, 0.1, 1.0}
};
SegmentCustomBuilderControl scbc = new SegmentCustomBuilderControl (
MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
new PolynomialFunctionSetParams (4),
SegmentInelasticDesignControl.Create (
2,
2
),
new ResponseScalingShapeControl (
true,
new QuadraticRationalShapeControl (1.)
),
null
);
JulianDate dtSpot = org.drip.analytics.date.DateUtil.Today();
MarketSurface[] aMS = new MarketSurface[] {
FlatVolatilitySurface (
dtSpot,
strCurrency,
dblFlatVol1
),
FlatVolatilitySurface (
dtSpot,
strCurrency,
dblFlatVol2
),
FlatVolatilitySurface (
dtSpot,
strCurrency,
dblFlatVol3
)
};
FundingLabel fundingLabel = FundingLabel.Standard (
strCurrency
);
ForwardLabel forwardLabel = ForwardLabel.Create (
strCurrency,
strForwardTenor
);
JulianDate dtView = dtSpot.addTenor (
strViewTenor
);
JulianDate dtSimulationEnd = dtSpot.addTenor (
strSimulationTenor
);
MergedDiscountForwardCurve dc = OTCInstrumentCurve (
dtSpot,
strCurrency
);
FixFloatComponent ffcFixFloat = SwapInstrumentFromMaturityTenor (
dtView,
strCurrency,
0.,
strSwapTenor
);
ValuationParams valParams = new ValuationParams (
dtSpot,
dtSpot,
strCurrency
);
ForwardCurve fc = LIBORSpan (
dc,
forwardLabel,
scbc,
dtView,
iNumForwardTenor
);
CurveSurfaceQuoteContainer csqs = MarketParamsBuilder.DiscountForward (
dc,
fc
);
double dblBaselineSwapRate = ffcFixFloat.value (
valParams,
null,
csqs,
null
).get (
"FairPremium"
);
ffcFixFloat = SwapInstrumentFromMaturityTenor (
dtSpot,
strCurrency,
dblBaselineSwapRate,
strSwapTenor
);
LognormalLIBORCurveEvolver llce = LognormalLIBORCurveEvolver.Create (
fundingLabel,
forwardLabel,
iNumForwardTenor,
scbc
);
BGMCurveUpdate bgmInitial = BGMCurveUpdate.Create (
fundingLabel,
forwardLabel,
dtSpot.julian(),
dtSpot.julian(),
fc,
null,
dc,
null,
null,
null,
null,
null,
LLVInstance (
dtSpot.julian(),
forwardLabel,
aMS,
aadblCorrelation,
iNumFactor
)
);
ForwardCurve[] aFCLIBOR = llce.simulateTerminalLatentState (
dtSpot.julian(),
dtSimulationEnd.julian(),
1,
dtView.julian(),
bgmInitial,
iNumRun
);
System.out.println ("\n\t||---------------------------------||");
System.out.println ("\t|| SIML | BASE | PV | ITM ||");
System.out.println ("\t||---------------------------------||");
int iNumITM = 0;
double dblOptionPayout = 0.;
for (int i = 0; i < iNumRun; ++i) {
Map<String, Double> mapScenOutput = ffcFixFloat.value (
new ValuationParams (
dtSimulationEnd,
dtSimulationEnd,
strCurrency
),
null,
MarketParamsBuilder.DiscountForward (
dc,
aFCLIBOR[i]
),
null
);
double dblSimulatedPayout = mapScenOutput.get ("PV");
double dblSimulatedSwapRate = mapScenOutput.get ("FairPremium");
boolean bITM = dblSimulatedSwapRate < dblBaselineSwapRate;
if (bITM) {
++iNumITM;
dblOptionPayout += dblSimulatedPayout;
}
System.out.println ("\t|| " +
FormatUtil.FormatDouble (dblSimulatedSwapRate, 1, 2, 100.) + "% | " +
FormatUtil.FormatDouble (dblBaselineSwapRate, 1, 2, 100.) + "% | " +
FormatUtil.FormatDouble (dblSimulatedPayout, 1, 2, 1.) + " | " +
(bITM ? " OUI ||" : " NON ||")
);
}
System.out.println ("\t||---------------------------------||");
System.out.println ("\n\t||---------------------------||");
System.out.println ("\t|| ITM Success Rate:" +
FormatUtil.FormatDouble (((double) iNumITM) / iNumRun, 2, 2, 100.) + "% ||"
);
System.out.println ("\t|| Option Payout :" +
FormatUtil.FormatDouble (dblOptionPayout / iNumRun, 1, 4, 1.) + " ||"
);
System.out.println ("\t|| Option PV :" +
FormatUtil.FormatDouble (dblOptionPayout * dc.df (dtSimulationEnd) / iNumRun, 1, 4, 1.) + " ||"
);
System.out.println ("\t||---------------------------||");
EnvManager.TerminateEnv();
}
}