FXSwap.java

package org.drip.sample.securitysuite;

import java.util.Map;

import org.drip.analytics.date.*;
import org.drip.function.r1tor1.QuadraticRationalShapeControl;
import org.drip.param.market.CurveSurfaceQuoteContainer;
import org.drip.param.valuation.ValuationParams;
import org.drip.product.fx.FXForwardComponent;
import org.drip.product.params.CurrencyPair;
import org.drip.service.env.EnvManager;
import org.drip.spline.basis.PolynomialFunctionSetParams;
import org.drip.spline.params.*;
import org.drip.spline.stretch.*;
import org.drip.state.creator.ScenarioFXCurveBuilder;
import org.drip.state.estimator.LatentStateStretchBuilder;
import org.drip.state.fx.FXCurve;
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
 * 
 *  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.
 */

/**
 * FXSwap demonstrates the Analytics Calculation/Reconciliation for an FX Swap.
 * 
 * @author Lakshmi Krishnamurthy
 */

public class FXSwap {

    private static FXForwardComponent[] FXForwardCalibComponent (
        final CurrencyPair cp,
        final JulianDate dtSpot,
        final String[] astrMaturityTenor)
        throws Exception
    {
        FXForwardComponent[] aFXForward = new FXForwardComponent[astrMaturityTenor.length];

        for (int i = 0; i < astrMaturityTenor.length; ++i)
            aFXForward[i] = new FXForwardComponent (
                cp.code() + "::FXFWD::" + astrMaturityTenor[i],
                cp,
                dtSpot.julian(),
                dtSpot.addTenor (astrMaturityTenor[i]).julian(),
                1.,
                null
            );

        return aFXForward;
    }

    public static final void main (
        final String[] astrArgs)
        throws Exception
    {
        EnvManager.InitEnv ("");

        JulianDate dtSpot = DateUtil.CreateFromYMD (
            2017,
            DateUtil.AUGUST,
            25
        );

        CurrencyPair cp = CurrencyPair.FromCode ("USD/EUR");

        double dblSpot = 1.0993;

        String[] astrMaturityTenor = new String[] {
            "1W",
            "1M",
            "3M",
            "6M",
            "1Y",
            "2Y",
            "3Y"
        };

        FXForwardComponent[] aFXForward = FXForwardCalibComponent (
            cp,
            dtSpot,
            astrMaturityTenor
        );

        double[] adblFXForward = new double[] {
            1.1000, //  "1W",
            1.1012, //  "1M",
            1.1039, //  "3M",
            1.1148, //  "6M",
            1.1232, //  "1Y",
            1.1497, //  "2Y",
            1.1865, //  "3Y"
        };

        LatentStateStretchSpec fxForwardStretch = LatentStateStretchBuilder.FXStretchSpec (
            "FXFORWARD",
            aFXForward,
            "Outright",
            adblFXForward
        );

        LatentStateStretchSpec[] aStretchSpec = new LatentStateStretchSpec[] {
            fxForwardStretch
        };

        LinearLatentStateCalibrator llsc = 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,
            cp.denomCcy()
        );

        FXCurve fxCurve = ScenarioFXCurveBuilder.ShapePreservingFXCurve (
            llsc,
            aStretchSpec,
            cp,
            valParams,
            null,
            null,
            null,
            dblSpot
        );

        CurveSurfaceQuoteContainer csqc = new CurveSurfaceQuoteContainer();

        csqc.setFXState (fxCurve);

        JulianDate dtMaturity = DateUtil.CreateFromYMD (
            2028,
            DateUtil.NOVEMBER,
            27
        );

        FXForwardComponent fxfc = new FXForwardComponent (
            cp.code() + "::FXFWD::" + dtMaturity,
            cp,
            dtSpot.julian(),
            dtMaturity.julian(),
            1.,
            null
        );

        Map<String, Double> mapOutput = fxfc.value (
            valParams,
            null,
            csqc,
            null
        );

        for (Map.Entry<String, Double> me : mapOutput.entrySet())
            System.out.println ("\t[" + me.getKey() + "] => " + me.getValue());
    }
}