CustomSwapMeasures.java

package org.drip.sample.oisapi;

import java.util.*;

import org.drip.analytics.date.*;
import org.drip.service.product.OvernightIndexSwapAPI;

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

/*!
 * Copyright (C) 2018 Lakshmi Krishnamurthy
 * Copyright (C) 2017 Lakshmi Krishnamurthy
 * Copyright (C) 2016 Lakshmi Krishnamurthy
 * 
 *  This file is part of DRIP, a free-software/open-source library for buy/side financial/trading model
 *      libraries targeting analysts and developers
 *      https://lakshmidrip.github.io/DRIP/
 *  
 *  DRIP is composed of four main libraries:
 *  
 *  - DRIP Fixed Income - https://lakshmidrip.github.io/DRIP-Fixed-Income/
 *  - DRIP Asset Allocation - https://lakshmidrip.github.io/DRIP-Asset-Allocation/
 *  - DRIP Numerical Optimizer - https://lakshmidrip.github.io/DRIP-Numerical-Optimizer/
 *  - DRIP Statistical Learning - https://lakshmidrip.github.io/DRIP-Statistical-Learning/
 * 
 *  - DRIP Fixed Income: Library for Instrument/Trading Conventions, Treasury Futures/Options,
 *      Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valuation and XVA
 *      Metric Generation, Calibration and Hedge Attributions, Statistical Curve Construction, Bond RV
 *      Metrics, Stochastic Evolution and Option Pricing, Interest Rate Dynamics and Option Pricing, LMM
 *      Extensions/Calibrations/Greeks, Algorithmic Differentiation, and Asset Backed Models and Analytics.
 * 
 *  - DRIP Asset Allocation: Library for model libraries for MPT framework, Black Litterman Strategy
 *      Incorporator, Holdings Constraint, and Transaction Costs.
 * 
 *  - DRIP Numerical Optimizer: Library for Numerical Optimization and Spline Functionality.
 * 
 *  - DRIP Statistical Learning: Library for Statistical Evaluation and Machine Learning.
 * 
 *  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.
 */

/**
 * CustomSwapMeasures demonstrates the Invocation and Usage of the OIS API.
 *
 * @author Lakshmi Krishnamurthy
 */

public class CustomSwapMeasures {

    public static void main (
        final String[] astrArgs)
        throws Exception
    {
        JulianDate dtSpot = DateUtil.Today();

        String strOISCurrency = "USD";
        String strOISTenor = "3W";
        double dblOISCoupon = 0.0043;

        String[] astrOvernightCurveDepositTenor = new String[] {
            "1D"
        };

        double[] adblOvernightCurveDepositQuote = new double[] {
            0.0010
        };

        String[] astrOvernightCurveOISTenor = new String[] {
            "1W",
            "2W",
            "3W",
            "1M",
            "2M",
            "3M",
            "4M",
            "5M",
            "6M",
            "9M",
            "1Y",
            "18M",
            "2Y",
            "3Y",
            "4Y",
            "5Y"
        };

        double[] adblOvernightCurveOISQuote = new double[] {
            0.0020, // 1W
            0.0028, // 2W
            0.0043, // 3W
            0.0064, // 1M
            0.0086, // 2M
            0.0109, // 3M
            0.0133, // 4M
            0.0154, // 5M
            0.0171, // 6M
            0.0210, // 9M
            0.0231, // 1Y
            0.0234, // 18M
            0.0235, // 2Y
            0.0235, // 3Y
            0.0237, // 4Y
            0.0240  // 5Y
        };

        Map<String, Double> mapMeasures = OvernightIndexSwapAPI.ValuationMetrics (
            strOISCurrency,
            strOISTenor,
            dblOISCoupon,
            dtSpot.julian(),
            astrOvernightCurveDepositTenor,
            adblOvernightCurveDepositQuote,
            astrOvernightCurveOISTenor,
            adblOvernightCurveOISQuote,
            false
        );

        Set<String> setstrKeys = mapMeasures.keySet();

        for (String strKey : setstrKeys)
            System.out.println ("\t" + strKey + " => " + mapMeasures.get (strKey));
    }
}