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.) + "%"
        );
    }
}