ShapePreservingOvernightZeroSmooth.java

package org.drip.sample.overnight;

import java.util.List;

import org.drip.analytics.date.*;
import org.drip.analytics.definition.LatentStateStatic;
import org.drip.analytics.support.*;
import org.drip.function.r1tor1.QuadraticRationalShapeControl;
import org.drip.market.otc.*;
import org.drip.numerical.common.FormatUtil;
import org.drip.param.creator.*;
import org.drip.param.period.*;
import org.drip.param.valuation.*;
import org.drip.product.creator.*;
import org.drip.product.definition.CalibratableComponent;
import org.drip.product.rates.*;
import org.drip.service.env.EnvManager;
import org.drip.spline.basis.*;
import org.drip.spline.params.*;
import org.drip.spline.pchip.LocalMonotoneCkGenerator;
import org.drip.spline.stretch.*;
import org.drip.state.creator.ScenarioDiscountCurveBuilder;
import org.drip.state.discount.*;
import org.drip.state.estimator.*;
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) 2018 Lakshmi Krishnamurthy
 * Copyright (C) 2017 Lakshmi Krishnamurthy
 * Copyright (C) 2016 Lakshmi Krishnamurthy
 * Copyright (C) 2015 Lakshmi Krishnamurthy
 * Copyright (C) 2014 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.
 */

/**
 * ShapePreservingOvernightZeroSmooth demonstrates the usage of different shape preserving and smoothing
 *  techniques involved in the Overnight curve creation. It shows the following:
 *  - Construct the Array of Cash/OIS Instruments and their Quotes from the given set of parameters.
 *  - Construct the Cash/OIS 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
 *  - Set up the Global Curve Control parameters as follows:
 *      - Zero Rate Quantification Metric
 *      - Cubic Polynomial Basis Spline Set
 *      - Ck = 2, Segment Curvature Penalty = 2
 *      - Quadratic Rational Shape Controller
 *      - Natural Boundary Setting
 *  - Set up the Local Curve Control parameters as follows:
 *      - C1 Bessel Monotone Smoothener with no spurious extrema elimination and no monotone filter
 *      - Zero Rate Quantification Metric
 *      - Cubic Polynomial Basis Spline Set
 *      - Ck = 2, Segment Curvature Penalty = 2
 *      - Quadratic Rational Shape Controller
 *      - Natural Boundary Setting
 *  - Construct the Shape Preserving OIS Discount Curve by applying the linear curve calibrator to the array of
 *      Cash and OIS Stretches.
 *  - Construct the Globally Smoothened OIS Discount Curve by applying the linear curve calibrator and the Global
 *      Curve Control parameters to the array of Cash and OIS Stretches and the shape preserving discount
 *      curve.
 *  - Construct the Locally Smoothened OIS Discount Curve by applying the linear curve calibrator and the Local
 *      Curve Control parameters to the array of Cash and OIS Stretches and the shape preserving discount
 *      curve.
 *  - Cross-Comparison of the Cash/OIS Calibration Instrument "Rate" metric across the different curve
 *      construction methodologies.
 *  - Cross-Comparison of the OIS Calibration Instrument "Rate" metric across the different curve
 *      construction methodologies for a sequence of bespoke OIS instruments.
 * 
 * @author Lakshmi Krishnamurthy
 */

public class ShapePreservingOvernightZeroSmooth {

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

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

    /*
     * 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];

        for (int i = 0; i < aiDay.length; ++i)
            aDeposit[i] = SingleStreamComponentBuilder.Deposit (
                dtEffective,
                dtEffective.addBusDays (
                    aiDay[i],
                    strCurrency
                ),
                OvernightLabel.Create (
                    strCurrency
                )
            );

        return aDeposit;
    }

    /*
     * Construct the Array of Overnight Index Instruments from the given set of parameters
     * 
     *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
     */

    private static final FixFloatComponent[] OISFromMaturityTenor (
        final JulianDate dtSpot,
        final String strCurrency,
        final String[] astrMaturityTenor,
        final double[] adblCoupon)
        throws Exception
    {
        FixFloatComponent[] aOIS = new FixFloatComponent[astrMaturityTenor.length];

        for (int i = 0; i < astrMaturityTenor.length; ++i)
            aOIS[i] = OTCOISFixFloat (
                dtSpot,
                strCurrency,
                astrMaturityTenor[i],
                adblCoupon[i]
            );

        return aOIS;
    }

    private static final FixFloatComponent[] OvernightIndexFromMaturityTenor (
        final JulianDate dtEffective,
        final String[] astrMaturityTenor,
        final double[] adblCoupon,
        final String strCurrency)
        throws Exception
    {
        FixFloatComponent[] aOIS = new FixFloatComponent[astrMaturityTenor.length];

        UnitCouponAccrualSetting ucasFixed = new UnitCouponAccrualSetting (
            2,
            "Act/360",
            false,
            "Act/360",
            false,
            strCurrency,
            false,
            CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC
        );

        CashSettleParams csp = new CashSettleParams (
            0,
            strCurrency,
            0
        );

        for (int i = 0; i < astrMaturityTenor.length; ++i) {
            java.lang.String strFixedTenor = Helper.LEFT_TENOR_LESSER == Helper.TenorCompare (
                astrMaturityTenor[i],
                "6M"
            ) ? astrMaturityTenor[i] : "6M";

            java.lang.String strFloatingTenor = Helper.LEFT_TENOR_LESSER == Helper.TenorCompare (
                astrMaturityTenor[i],
                "3M"
            ) ? astrMaturityTenor[i] : "3M";

            ComposableFloatingUnitSetting cfusFloating = new ComposableFloatingUnitSetting (
                "ON",
                CompositePeriodBuilder.EDGE_DATE_SEQUENCE_OVERNIGHT,
                null,
                OvernightLabel.Create (
                    strCurrency
                ),
                CompositePeriodBuilder.REFERENCE_PERIOD_IN_ADVANCE,
                0.
            );

            ComposableFixedUnitSetting cfusFixed = new ComposableFixedUnitSetting (
                strFixedTenor,
                CompositePeriodBuilder.EDGE_DATE_SEQUENCE_REGULAR,
                null,
                adblCoupon[i],
                0.,
                strCurrency
            );

            CompositePeriodSetting cpsFloating = new CompositePeriodSetting (
                4,
                strFloatingTenor,
                strCurrency,
                null,
                -1.,
                null,
                null,
                null,
                null
            );

            CompositePeriodSetting cpsFixed = new CompositePeriodSetting (
                2,
                strFixedTenor,
                strCurrency,
                null,
                1.,
                null,
                null,
                null,
                null
            );

            List<Integer> lsFixedStreamEdgeDate = CompositePeriodBuilder.RegularEdgeDates (
                dtEffective,
                strFixedTenor,
                astrMaturityTenor[i],
                null
            );

            List<Integer> lsFloatingStreamEdgeDate = CompositePeriodBuilder.RegularEdgeDates (
                dtEffective,
                strFloatingTenor,
                astrMaturityTenor[i],
                null
            );

            Stream floatingStream = new Stream (
                CompositePeriodBuilder.FloatingCompositeUnit (
                    lsFloatingStreamEdgeDate,
                    cpsFloating,
                    cfusFloating
                )
            );

            Stream fixedStream = new Stream (
                CompositePeriodBuilder.FixedCompositeUnit (
                    lsFixedStreamEdgeDate,
                    cpsFixed,
                    ucasFixed,
                    cfusFixed
                )
            );

            FixFloatComponent ois = new FixFloatComponent (
                fixedStream,
                floatingStream,
                csp
            );

            ois.setPrimaryCode ("OIS." + astrMaturityTenor[i] + "." + strCurrency);

            aOIS[i] = ois;
        }

        return aOIS;
    }

    /*
     * Construct the Array of Overnight Index Future Instruments from the given set of parameters
     * 
     *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
     */

    private static final FixFloatComponent[] OISFuturesFromMaturityTenor (
        final JulianDate dtSpot,
        final String strCurrency,
        final String[] astrStartTenor,
        final String[] astrMaturityTenor,
        final double[] adblCoupon)
        throws Exception
    {
        FixFloatComponent[] aOISFutures = new FixFloatComponent[astrMaturityTenor.length];

        for (int i = 0; i < astrMaturityTenor.length; ++i)
            aOISFutures[i] = OTCOISFixFloat (
                dtSpot.addTenor (astrStartTenor[i]),
                strCurrency,
                astrMaturityTenor[i],
                adblCoupon[i]
            );

        return aOISFutures;
    }

    /*
     * This sample demonstrates the usage of different shape preserving and smoothing techniques involved in
     *  the OIS discount curve creation. It shows the following:
     *  - Construct the Array of Cash/OIS Instruments and their Quotes from the given set of parameters.
     *  - Construct the Cash/OIS 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
     *  - Set up the Global Curve Control parameters as follows:
     *      - Zero Rate Quantification Metric
     *      - Cubic Polynomial Basis Spline Set
     *      - Ck = 2, Segment Curvature Penalty = 2
     *      - Quadratic Rational Shape Controller
     *      - Natural Boundary Setting
     *  - Set up the Local Curve Control parameters as follows:
     *      - C1 Bessel Monotone Smoothener with no spurious extrema elimination and no monotone filter
     *      - Zero Rate Quantification Metric
     *      - Cubic Polynomial Basis Spline Set
     *      - Ck = 2, Segment Curvature Penalty = 2
     *      - Quadratic Rational Shape Controller
     *      - Natural Boundary Setting
     *  - Construct the Shape Preserving OIS Discount Curve by applying the linear curve calibrator to the array
     *      of Cash and OIS Stretches.
     *  - Construct the Globally Smoothened OIS Discount Curve by applying the linear curve calibrator and the
     *      Global Curve Control parameters to the array of Cash and OIS Stretches and the shape preserving
     *      discount curve.
     *  - Construct the Locally Smoothened OIS Discount Curve by applying the linear curve calibrator and the
     *      Local Curve Control parameters to the array of Cash and OIS Stretches and the shape preserving
     *      discount curve.
     *  - Cross-Comparison of the Cash/OIS Calibration Instrument "Rate" metric across the different curve
     *      construction methodologies.
     *  - Cross-Comparison of the OIS Calibration Instrument "Rate" metric across the different curve
     *      construction methodologies for a sequence of bespoke OIS instruments.
     * 
     *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
     */

    private static final void ShapePreservingOISDFZeroSmoothSample (
        final JulianDate dtSpot,
        final String strCurrency)
        throws Exception
    {
        /*
         * Initialize the Credit Analytics Library
         */

        EnvManager.InitEnv ("");

        /*
         * Construct the Array of Deposit Instruments and their Quotes from the given set of parameters
         */

        SingleStreamComponent[] aDepositComp = DepositInstrumentsFromMaturityDays (
            dtSpot,
            strCurrency,
            new int[] {
                1, 2, 3
            }
        );

        double[] adblDepositQuote = new double[] {
            0.0004, 0.0004, 0.0004       // Deposit
        };

        /*
         * Construct the Deposit Instrument Set Stretch Builder
         */

        LatentStateStretchSpec depositStretch = LatentStateStretchBuilder.ForwardFundingStretchSpec (
            "   DEPOSIT   ",
            aDepositComp,
            "ForwardRate",
            adblDepositQuote
        );

        /*
         * Construct the Array of Short End OIS Instruments and their Quotes from the given set of parameters
         */

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

        CalibratableComponent[] aShortEndOISComp = OISFromMaturityTenor (
            dtSpot,
            strCurrency,
            new java.lang.String[] {
                "1W", "2W", "3W", "1M"
            },
            adblShortEndOISQuote
        );

        /*
         * Construct the Short End OIS Instrument Set Stretch Builder
         */

        LatentStateStretchSpec oisShortEndStretch = LatentStateStretchBuilder.ForwardFundingStretchSpec (
            "SHORT END OIS",
            aShortEndOISComp,
            "SwapRate",
            adblShortEndOISQuote
        );

        /*
         * Construct the Array of OIS Futures Instruments and their Quotes from the given set of parameters
         */

        double[] adblOISFutureQuote = 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
        };

        CalibratableComponent[] aOISFutureComp = OISFuturesFromMaturityTenor (
            dtSpot,
            strCurrency,
            new java.lang.String[] {
                "1M", "2M", "3M", "4M", "5M"
            },
            new java.lang.String[] {
                "1M", "1M", "1M", "1M", "1M"
            },
            adblOISFutureQuote
        );

        /*
         * Construct the OIS Future Instrument Set Stretch Builder
         */

        LatentStateStretchSpec oisFutureStretch = LatentStateStretchBuilder.ForwardFundingStretchSpec (
            " OIS FUTURE  ",
            aOISFutureComp,
            "SwapRate",
            adblOISFutureQuote
        );

        /*
         * Construct the Array of Long End OIS Instruments and their Quotes from the given set of parameters
         */

        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
        };

        CalibratableComponent[] aLongEndOISComp = OISFromMaturityTenor (
            dtSpot,
            strCurrency,
            new java.lang.String[] {
                "15M", "18M", "21M", "2Y", "3Y", "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "11Y", "12Y", "15Y", "20Y", "25Y", "30Y"
            },
            adblLongEndOISQuote
        );

        /*
         * Construct the Long End OIS Instrument Set Stretch Builder
         */

        LatentStateStretchSpec oisLongEndStretch = LatentStateStretchBuilder.ForwardFundingStretchSpec (
            "LONG END OIS ",
            aLongEndOISComp,
            "SwapRate",
            adblLongEndOISQuote
        );

        LatentStateStretchSpec[] aStretchSpec = new LatentStateStretchSpec[] {
            depositStretch,
            oisShortEndStretch,
            oisFutureStretch,
            oisLongEndStretch
        };

        /*
         * 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_EXPONENTIAL_MIXTURE,
                new ExponentialMixtureSetParams (
                    new double[] {
                        0.01,
                        0.05,
                        0.25
                    }
                ),
                SegmentInelasticDesignControl.Create (
                    2,
                    2
                ),
                new ResponseScalingShapeControl (
                    true,
                    new QuadraticRationalShapeControl (0.)
                ),
                null
            ),
            BoundarySettings.NaturalStandard(),
            MultiSegmentSequence.CALIBRATE,
            null,
            null
        );

        /*
         * Set up the Local Curve Control parameters as follows:
         *  - C1 Bessel Monotone Smoothener with no spurious extrema elimination and no monotone filter
         *  - Zero Rate Quantification Metric
         *  - Cubic Polynomial Basis Spline Set
         *  - Ck = 2, Segment Curvature Penalty = 2
         *  - Quadratic Rational Shape Controller
         *  - Natural Boundary Setting
         */

        LocalControlCurveParams lccp = new LocalControlCurveParams (
            LocalMonotoneCkGenerator.C1_BESSEL,
            LatentStateStatic.DISCOUNT_QM_ZERO_RATE,
            new SegmentCustomBuilderControl (
                MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
                new PolynomialFunctionSetParams (4),
                SegmentInelasticDesignControl.Create (
                    2,
                    2
                ),
                new ResponseScalingShapeControl (
                    true,
                    new QuadraticRationalShapeControl (0.)
                ),
                null
            ),
            MultiSegmentSequence.CALIBRATE,
            null,
            null,
            false,
            false
        );

        /*
         * Construct the Shape Preserving OIS Discount Curve by applying the linear curve calibrator to the array
         *  of Cash and OIS Stretches.
         */

        MergedDiscountForwardCurve dcShapePreserving = ScenarioDiscountCurveBuilder.ShapePreservingDFBuild (
            strCurrency,
            lcc,
            aStretchSpec,
            new ValuationParams (
                dtSpot,
                dtSpot,
                strCurrency
            ),
            null,
            null,
            null,
            1.
        );

        /*
         * Construct the Globally Smoothened OIS Discount Curve by applying the linear curve calibrator and the
         *  Global Curve Control parameters to the array of Cash and OIS Stretches and the shape preserving
         *  discount curve.
         */

        /* DiscountCurve dcGloballySmooth = ScenarioDiscountCurveBuilder.SmoothingGlobalControlBuild (
            dcShapePreserving,
            lcc,
            gccp,
            aRRS,
            new ValuationParams (dtToday, dtToday, "USD"),
            null,
            null,
            null); */

        /*
         * Construct the Locally Smoothened OIS Discount Curve by applying the linear curve calibrator and the
         *  Local Curve Control parameters to the array of Cash and OIS Stretches and the shape preserving
         *  discount curve.
         */

        MergedDiscountForwardCurve dcLocallySmooth = ScenarioDiscountCurveBuilder.SmoothingLocalControlBuild (
            dcShapePreserving,
            lcc,
            lccp,
            new ValuationParams (
                dtSpot,
                dtSpot,
                strCurrency
            ),
            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----------------------------------------------------------------");

        System.out.println ("\t               DEPOSIT INSTRUMENTS CALIBRATION RECOVERY");

        System.out.println ("\t----------------------------------------------------------------");

        System.out.println ("\t        SHAPE PRESERVING   | SMOOTHING #1  | SMOOTHING #2  |  INPUT QUOTE  ");

        System.out.println ("\t----------------------------------------------------------------");

        System.out.println ("\t----------------------------------------------------------------");

        for (int i = 0; i < aDepositComp.length; ++i)
            System.out.println ("\t[" + aDepositComp[i].maturityDate() + "] = " +
                FormatUtil.FormatDouble (
                    aDepositComp[i].measureValue (
                        new ValuationParams (dtSpot, dtSpot, strCurrency), null,
                        MarketParamsBuilder.Create (dcShapePreserving, null, null, null, null, null, null),
                        null,
                        "Rate"),
                    1, 6, 1.) + "   |   " +
                /* FormatUtil.FormatDouble (
                    aDeposit[i].measureValue (
                        new ValuationParams (dtToday, dtToday, "USD"), null,
                        ComponentMarketParamsBuilder.Create (dcGloballySmooth, null, null, null, null, null, null),
                        null,
                        "Rate"),
                    1, 6, 1.) + "   |   " + */
                FormatUtil.FormatDouble (
                    aDepositComp[i].measureValue (
                        new ValuationParams (dtSpot, dtSpot, strCurrency), null,
                        MarketParamsBuilder.Create (dcLocallySmooth, null, null, null, null, null, null),
                        null,
                        "Rate"),
                    1, 6, 1.) + "   |   " +
                FormatUtil.FormatDouble (adblDepositQuote[i], 1, 6, 1.)
            );

        /*
         * Cross-Comparison of the OIS Calibration Instrument "Rate" metric across the different curve
         *  construction methodologies.
         */

        System.out.println ("\n\t----------------------------------------------------------------");

        System.out.println ("\t----------------------------------------------------------------");

        System.out.println ("\t               OIS INSTRUMENTS CALIBRATION RECOVERY");

        System.out.println ("\t----------------------------------------------------------------");

        System.out.println ("\t        SHAPE PRESERVING   | SMOOTHING #1  | SMOOTHING #2  |  INPUT QUOTE  ");

        System.out.println ("\t----------------------------------------------------------------");

        System.out.println ("\t----------------------------------------------------------------");

        for (int i = 0; i < aLongEndOISComp.length; ++i)
            System.out.println ("\t[" + aLongEndOISComp[i].maturityDate() + "] = " +
                FormatUtil.FormatDouble (
                    aLongEndOISComp[i].measureValue (
                        new ValuationParams (dtSpot, dtSpot, strCurrency), null,
                        MarketParamsBuilder.Create (dcShapePreserving, null, null, null, null, null, null),
                        null,
                        "CalibSwapRate"),
                    1, 6, 1.) + "   |   " +
                /* FormatUtil.FormatDouble (
                    aOISComp[i].measureValue (
                        new ValuationParams (dtToday, dtToday, "USD"), null,
                        ComponentMarketParamsBuilder.Create (dcGloballySmooth, null, null, null, null, null, null),
                        null,
                        "CalibSwapRate"),
                    1, 6, 1.) + "   |   " + */
                FormatUtil.FormatDouble (
                    aLongEndOISComp[i].measureValue (
                        new ValuationParams (dtSpot, dtSpot, strCurrency), null,
                        MarketParamsBuilder.Create (dcLocallySmooth, null, null, null, null, null, null),
                        null,
                        "CalibSwapRate"),
                    1, 6, 1.) + "   |   " +
                FormatUtil.FormatDouble (adblLongEndOISQuote[i], 1, 6, 1.)
            );

        /*
         * Cross-Comparison of the OIS Calibration Instrument "Rate" metric across the different curve
         *  construction methodologies for a sequence of bespoke OIS instruments.
         */

        CalibratableComponent[] aCC = OvernightIndexFromMaturityTenor (
            dtSpot,
            new java.lang.String[] {
                "3Y", "6Y", "9Y", "12Y", "15Y", "18Y", "21Y", "24Y", "27Y", "30Y"
            },
            new double[] {
                0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01
            },
            strCurrency
        );

        System.out.println ("\n\t----------------------------------------------------------------");

        System.out.println ("\t----------------------------------------------------------------");

        System.out.println ("\t           BESPOKE OIS PAR RATE");

        System.out.println ("\t----------------------------------------------------------------");

        System.out.println ("\t        SHAPE PRESERVING   |  SMOOTHING #1 |  SMOOTHING #2");

        System.out.println ("\t----------------------------------------------------------------");

        System.out.println ("\t----------------------------------------------------------------");

        for (int i = 0; i < aCC.length; ++i)
            System.out.println ("\t[" + aCC[i].maturityDate() + "] = " +
                FormatUtil.FormatDouble (
                    aCC[i].measureValue (new ValuationParams (dtSpot, dtSpot, strCurrency), null,
                    MarketParamsBuilder.Create (dcShapePreserving, null, null, null, null, null, null),
                    null,
                    "CalibSwapRate"),
                1, 6, 1.) + "   |   " +
                /* FormatUtil.FormatDouble (
                    aCC[i].measureValue (new ValuationParams (dtToday, dtToday, "USD"), null,
                    ComponentMarketParamsBuilder.Create (dcGloballySmooth, null, null, null, null, null, null),
                    null,
                    "CalibSwapRate"),
                1, 6, 1.) + "   |   " + */
                FormatUtil.FormatDouble (
                    aCC[i].measureValue (new ValuationParams (dtSpot, dtSpot, strCurrency), null,
                    MarketParamsBuilder.Create (dcLocallySmooth, null, null, null, null, null, null),
                    null,
                    "CalibSwapRate"),
                1, 6, 1.)
            );
    }

    public static final void main (
        final String[] astrArgs)
        throws Exception
    {
        ShapePreservingOISDFZeroSmoothSample (
            DateUtil.Today(),
            "EUR"
        );
    }
}