CMEFixFloat.java
package org.drip.sample.securitysuite;
import java.util.Map;
import org.drip.analytics.date.*;
import org.drip.analytics.support.CaseInsensitiveTreeMap;
import org.drip.market.otc.*;
import org.drip.numerical.common.FormatUtil;
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;
import org.drip.state.forward.ForwardCurve;
import org.drip.state.identifier.ForwardLabel;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2018 Lakshmi Krishnamurthy
* Copyright (C) 2017 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.
*/
/**
* CMEFixFloat demonstrates the Analytics Calculation/Reconciliation for the CME Cleared Fix-Float IRS.
*
* @author Lakshmi Krishnamurthy
*/
public class CMEFixFloat {
private static final MergedDiscountForwardCurve OvernightCurve (
final JulianDate dtSpot,
final String strCurrency)
throws Exception
{
EnvManager.InitEnv ("");
String[] astrDepositMaturityTenor = new String[] {
"1D",
};
double[] adblDepositQuote = new double[] {
0.0116, // 1D
};
String[] astrShortEndOISMaturityTenor = new String[] {
"1W",
"2W",
"3W",
"1M",
"2M",
"3M",
"4M",
"5M",
"6M",
"9M",
"12M",
"18M",
"2Y",
"3Y",
"4Y",
"5Y",
"10Y",
};
double[] adblShortEndOISQuote = new double[] {
0.0117, // 1W
0.0115, // 2W
0.0116, // 3W
0.0116, // 1M
0.0120, // 2M
0.0125, // 3M
0.0128, // 4M
0.0131, // 5M
0.0133, // 6M
0.0139, // 9M
0.0146, // 12M
0.0154, // 18M
0.0161, // 2Y
0.0171, // 3Y
0.0179, // 4Y
0.0185, // 5Y
0.0206, // 10Y
};
return LatentMarketStateBuilder.SmoothOvernightCurve (
dtSpot,
strCurrency,
astrDepositMaturityTenor,
adblDepositQuote,
"Rate",
astrShortEndOISMaturityTenor,
adblShortEndOISQuote,
"SwapRate",
null,
null,
null,
"SwapRate",
null,
null,
"SwapRate"
);
}
public static final void main (
final String[] astrArgs)
throws Exception
{
/*
* Initialize the Credit Analytics Library
*/
EnvManager.InitEnv ("");
String strCurrency = "USD";
String strForwardTenor = "3M";
JulianDate dtSpot = DateUtil.CreateFromYMD (
2017,
DateUtil.SEPTEMBER,
1
);
MergedDiscountForwardCurve dcOvernight = OvernightCurve (
dtSpot,
strCurrency
);
ForwardLabel forwardLabel = ForwardLabel.Create (
strCurrency,
strForwardTenor
);
String[] astrDepositMaturityTenor = new String[] {
"1D",
};
double[] adblDepositQuote = new double[] {
0.013161, // 1D
};
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[] {
0.015540, // 2Y
0.016423, // 3Y
0.017209, // 4Y
0.017980, // 5Y
0.018743, // 6Y
0.019455, // 7Y
0.020080, // 8Y
0.020651, // 9Y
0.021195, // 10Y
0.021651, // 11Y
0.022065, // 12Y
0.022952, // 15Y
0.023825, // 20Y
0.024175, // 25Y
0.024347, // 30Y
0.024225, // 40Y
0.023968, // 50Y
};
ForwardCurve fc = LatentMarketStateBuilder.ShapePreservingForwardCurve (
dtSpot,
forwardLabel,
astrDepositMaturityTenor,
adblDepositQuote,
"ForwardRate",
null,
null,
"ParForwardRate",
astrFixFloatMaturityTenor,
adblFixFloatQuote,
"SwapRate",
null,
null,
"DerivedParBasisSpread",
null,
null,
"DerivedParBasisSpread",
dcOvernight,
null
);
String strMaturityTenor = "7Y";
double dblFixedCoupon = 0.021893;
JulianDate dtEffective = DateUtil.CreateFromYMD (
2017,
DateUtil.JULY,
8
);
FixedFloatSwapConvention ffsc = IBORFixedFloatContainer.ConventionFromJurisdiction (
strCurrency,
"ALL",
strMaturityTenor,
"MAIN"
);
FixFloatComponent ffc = ffsc.createFixFloatComponent (
dtEffective,
strMaturityTenor,
dblFixedCoupon,
0.,
1.
);
CurveSurfaceQuoteContainer csqc = new CurveSurfaceQuoteContainer();
csqc.setFundingState (dcOvernight);
csqc.setForwardState (fc);
ValuationParams valParams = new ValuationParams (
dtSpot,
dtSpot,
strCurrency
);
CaseInsensitiveTreeMap<Double> mapOutput = ffc.value (
valParams,
null,
csqc,
null
);
for (Map.Entry<String, Double> me : mapOutput.entrySet())
System.out.println ("\t\t" + me.getKey() + " => " + me.getValue());
System.out.println();
System.out.println ("\tClean Price =>" +
FormatUtil.FormatDouble (mapOutput.get ("CleanPrice"), 1, 4, 1.)
);
System.out.println ("\tDirty Price =>" +
FormatUtil.FormatDouble (mapOutput.get ("DirtyPrice"), 1, 4, 1.)
);
System.out.println ("\tFixed Stream PV => " +
FormatUtil.FormatDouble (mapOutput.get ("ReferencePV"), 1, 8, 1.)
);
System.out.println ("\tFloat Stream PV => " +
FormatUtil.FormatDouble (mapOutput.get ("DerivedPV"), 1, 8, 1.)
);
System.out.println ("\tFixed Stream PV => " +
FormatUtil.FormatDouble (mapOutput.get ("ReferencePV"), 1, 8, 1.)
);
System.out.println ("\tFixed Stream DV01 => " +
FormatUtil.FormatDouble (mapOutput.get ("ReferenceDV01"), 1, 8, 10000.)
);
System.out.println ("\tFloat Stream DV01 => " +
FormatUtil.FormatDouble (mapOutput.get ("DerivedDV01"), 1, 8, 10000.)
);
System.out.println ("\tFixing 01 => " +
FormatUtil.FormatDouble (mapOutput.get ("Fixing01"), 1, 8, 10000.)
);
System.out.println ("\tClean PV => " +
FormatUtil.FormatDouble (mapOutput.get ("CleanPV"), 1, 8, 1.)
);
System.out.println ("\tDirty PV => " +
FormatUtil.FormatDouble (mapOutput.get ("DirtyPV"), 1, 8, 1.)
);
System.out.println ("\tFixed Accrued => " +
FormatUtil.FormatDouble (mapOutput.get ("FixedAccrued"), 1, 8, 1.)
);
System.out.println ("\tFloat Accrued => " +
FormatUtil.FormatDouble (mapOutput.get ("FloatAccrued"), 1, 8, 1.)
);
System.out.println ("\tAccrued => " +
FormatUtil.FormatDouble (mapOutput.get ("Accrued"), 1, 8, 1.)
);
System.out.println ("\tPar Swap Rate => " +
FormatUtil.FormatDouble (mapOutput.get ("ParSwapRate"), 1, 4, 100.) + "%"
);
}
}