OISCurveQuoteSensitivity.java

package org.drip.sample.sensitivity;

import java.util.List;

import org.drip.analytics.date.*;
import org.drip.analytics.support.*;
import org.drip.function.r1tor1.QuadraticRationalShapeControl;
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.rates.*;
import org.drip.service.env.EnvManager;
import org.drip.spline.basis.ExponentialTensionSetParams;
import org.drip.spline.params.*;
import org.drip.spline.stretch.*;
import org.drip.state.creator.ScenarioDiscountCurveBuilder;
import org.drip.state.discount.*;
import org.drip.state.estimator.LatentStateStretchBuilder;
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.
 */

/**
 * OISCurveQuoteSensitivity demonstrates the calculation of the OIS discount curve sensitivity to the
 *  calibration instrument quotes. It does 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
 *  - Construct the Shape Preserving OIS Discount Curve by applying the linear curve calibrator to the array
 *      of Cash and OIS Stretches.
 *  - Cross-Comparison of the Cash/OIS Calibration Instrument "Rate" metric across the different curve
 *      construction methodologies.
 *  - Display of the Cash Instrument Discount Factor Quote Jacobian Sensitivities.
 *  - Display of the OIS Instrument Discount Factor Quote Jacobian Sensitivities.
 * 
 * @author Lakshmi Krishnamurthy
 */

public class OISCurveQuoteSensitivity {

    /*
     * 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[] 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[] OvernightIndexFutureFromMaturityTenor (
        final JulianDate dtSpot,
        final String[] astrStartTenor,
        final String[] astrMaturityTenor,
        final double[] adblCoupon,
        final String strCurrency)
        throws Exception
    {
        FixFloatComponent[] aOIS = new FixFloatComponent[astrStartTenor.length];

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

        for (int i = 0; i < astrStartTenor.length; ++i) {
            JulianDate dtEffective = dtSpot.addTenor (astrStartTenor[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";

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

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

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

            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,
                "6M",
                astrMaturityTenor[i],
                null
            );

            List<Integer> lsFloatingStreamEdgeDate = CompositePeriodBuilder.RegularEdgeDates (
                dtEffective,
                "3M",
                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;
    }

    /*
     * This sample demonstrates the calculation of the discount curve sensitivity to the calibration
     *  instrument quotes. It does 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
     *  - Construct the Shape Preserving Discount Curve by applying the linear curve calibrator to the array
     *      of Cash and OIS Stretches.
     *  - Cross-Comparison of the Cash/OIS Calibration Instrument "Rate" metric across the different curve
     *      construction methodologies.
     *  - Display of the Cash Instrument Discount Factor Quote Jacobian Sensitivities.
     *  - Display of the OIS Instrument Discount Factor Quote Jacobian Sensitivities.
     * 
     *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
     */

    private static final void OISCurveQuoteSensitivitySample (
        final JulianDate dtSpot,
        final String strHeaderComment,
        final String strCurrency)
        throws Exception
    {
        System.out.println ("\n\t----------------------------------------------------------------");

        System.out.println ("\t" + strHeaderComment);

        /*
         * 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
        };

        /*
         * Setup the Deposit instruments stretch latent state representation - this uses the discount factor
         *  quantification metric and the "rate" manifest measure.
         */

        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
        };

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

        /*
         * 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
        };

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

        /*
         * 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
        };

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

        /*
         * 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 Default Segment Control parameters:
         *  - Cubic Exponential Mixture Basis Spline Set
         *  - Ck = 2, Segment Curvature Penalty = 2
         *  - Quadratic Rational Shape Controller
         *  - Prior Quote Sensitivity Control with first derivative tail fade, with FADE ON
         *  - Natural Boundary Setting
         */

        LinearLatentStateCalibrator lcc = new LinearLatentStateCalibrator (
            new SegmentCustomBuilderControl (
                MultiSegmentSequenceBuilder.BASIS_SPLINE_KLK_HYPERBOLIC_TENSION,
                new ExponentialTensionSetParams (2.),
                SegmentInelasticDesignControl.Create (
                    2,
                    2
                ),
                new ResponseScalingShapeControl (
                    true,
                    new QuadraticRationalShapeControl (0.)
                ),
                new org.drip.spline.params.PreceedingManifestSensitivityControl (
                    true,
                    1,
                    null
                )
            ),
            BoundarySettings.NaturalStandard(),
            MultiSegmentSequence.CALIBRATE,
            null,
            null
        );

        /*
         * Set up the DEPOSIT Segment Control parameters with the following details:
         *  - Cubic Exponential Mixture Basis Spline Set
         *  - Ck = 2, Segment Curvature Penalty = 2
         *  - Quadratic Rational Shape Controller
         *  - Prior Quote Sensitivity Control with first derivative tail fade, with FADE ON
         *  - Natural Boundary Setting
         */

        lcc.setStretchSegmentBuilderControl (
            depositStretch.name(),
            new SegmentCustomBuilderControl (
                MultiSegmentSequenceBuilder.BASIS_SPLINE_KLK_HYPERBOLIC_TENSION,
                new ExponentialTensionSetParams (2.),
                SegmentInelasticDesignControl.Create (
                    2,
                    2
                ),
                new ResponseScalingShapeControl (
                    true,
                    new QuadraticRationalShapeControl (0.)
                ),
                new org.drip.spline.params.PreceedingManifestSensitivityControl (
                    true,
                    1,
                    null
                )
            )
        );

        /*
         * Set up the Short End OIS Segment Control parameters with the following details:
         *  - Cubic Exponential Mixture Basis Spline Set
         *  - Ck = 2, Segment Curvature Penalty = 2
         *  - Quadratic Rational Shape Controller
         *  - Prior Quote Sensitivity Control with first derivative tail fade, with FADE ON
         *  - Natural Boundary Setting
         */

        lcc.setStretchSegmentBuilderControl (
            oisShortEndStretch.name(),
            new SegmentCustomBuilderControl (
                MultiSegmentSequenceBuilder.BASIS_SPLINE_KLK_HYPERBOLIC_TENSION,
                new ExponentialTensionSetParams (2.),
                SegmentInelasticDesignControl.Create (
                    2,
                    2
                ),
                new ResponseScalingShapeControl (
                    true,
                    new QuadraticRationalShapeControl (0.)
                ),
                new org.drip.spline.params.PreceedingManifestSensitivityControl (
                    true,
                    1,
                    null
                )
            )
        );

        /*
         * Set up the Long End OIS Segment Control parameters with the following details:
         *  - Cubic Exponential Mixture Basis Spline Set
         *  - Ck = 2, Segment Curvature Penalty = 2
         *  - Quadratic Rational Shape Controller
         *  - Prior Quote Sensitivity Control with first derivative tail fade, with FADE ON
         *  - Natural Boundary Setting
         */

        lcc.setStretchSegmentBuilderControl (
            oisLongEndStretch.name(),
            new SegmentCustomBuilderControl (
                MultiSegmentSequenceBuilder.BASIS_SPLINE_KLK_HYPERBOLIC_TENSION,
                new ExponentialTensionSetParams (2.),
                SegmentInelasticDesignControl.Create (
                    2,
                    2
                ),
                new ResponseScalingShapeControl (
                    true,
                    new QuadraticRationalShapeControl (0.)
                ),
                new org.drip.spline.params.PreceedingManifestSensitivityControl (
                    true,
                    1,
                    null
                )
            )
        );

        ValuationParams valParams = new ValuationParams (
            dtSpot,
            dtSpot,
            strCurrency
        );

        /*
         * Construct the Shape Preserving Discount Curve by applying the linear curve calibrator to the array
         *  of DEPOSIT, OIS SHORT END, and OIS LONG END Stretches.
         */

        MergedDiscountForwardCurve dc = ScenarioDiscountCurveBuilder.ShapePreservingDFBuild (
            strCurrency,
            lcc,
            aStretchSpec,
            valParams,
            null,
            null,
            null,
            1.
        );

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

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

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

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

        for (int i = 0; i < aDepositComp.length; ++i)
            System.out.println ("\t[" + aDepositComp[i].maturityDate() + "] = " +
                FormatUtil.FormatDouble (aDepositComp[i].measureValue (valParams, null,
                    MarketParamsBuilder.Create (dc, null, null, null, null, null, null),
                        null, "Rate"), 1, 6, 1.) + " | " + FormatUtil.FormatDouble (adblDepositQuote[i], 1, 6, 1.));

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

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

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

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

        for (int i = 0; i < aShortEndOISComp.length; ++i)
            System.out.println ("\t[" + aShortEndOISComp[i].maturityDate() + "] = " +
                FormatUtil.FormatDouble (aShortEndOISComp[i].measureValue (valParams, null,
                    MarketParamsBuilder.Create (dc, null, null, null, null, null, null),
                        null, "CalibSwapRate"), 1, 6, 1.) + " | " + FormatUtil.FormatDouble (adblShortEndOISQuote[i], 1, 6, 1.));

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

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

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

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

        for (int i = 0; i < aOISFutureComp.length; ++i)
            System.out.println ("\t[" + aOISFutureComp[i].maturityDate() + "] = " +
                FormatUtil.FormatDouble (aOISFutureComp[i].measureValue (valParams, null,
                    MarketParamsBuilder.Create (dc, null, null, null, null, null, null),
                        null, "SwapRate"), 1, 6, 1.) + " | " + FormatUtil.FormatDouble (adblOISFutureQuote[i], 1, 6, 1.));

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

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

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

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

        for (int i = 0; i < aLongEndOISComp.length; ++i)
            System.out.println ("\t[" + aLongEndOISComp[i].maturityDate() + "] = " +
                FormatUtil.FormatDouble (aLongEndOISComp[i].measureValue (valParams, null,
                    MarketParamsBuilder.Create (dc, null, null, null, null, null, null),
                        null, "CalibSwapRate"), 1, 6, 1.) + " | " + FormatUtil.FormatDouble (adblLongEndOISQuote[i], 1, 6, 1.));

        /*
         * Display of the DEPOSIT Instrument Discount Factor Quote Jacobian Sensitivities.
         */

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

        System.out.println ("\t     DEPOSIT MATURITY DISCOUNT FACTOR JACOBIAN");

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

        for (int i = 0; i < aDepositComp.length; ++i) {
            org.drip.numerical.differentiation.WengertJacobian wj = dc.jackDDFDManifestMeasure (
                aDepositComp[i].maturityDate(),
                "PV"
            );

            System.out.println (aDepositComp[i].maturityDate() + " => " + wj.displayString());
        }

        /*
         * Display of the Short End OIS Instrument Discount Factor Quote Jacobian Sensitivities.
         */

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

        System.out.println ("\t     SHORT END OIS MATURITY DISCOUNT FACTOR JACOBIAN");

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

        for (int i = 0; i < aShortEndOISComp.length; ++i) {
            org.drip.numerical.differentiation.WengertJacobian wjDFQuote = dc.jackDDFDManifestMeasure (
                aShortEndOISComp[i].maturityDate(),
                "PV"
            );

            System.out.println (aShortEndOISComp[i].maturityDate() + " => " + wjDFQuote.displayString());
        }

        /*
         * Display of the OIS Future Instrument Discount Factor Quote Jacobian Sensitivities.
         */

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

        System.out.println ("\t     OIS FUTURE MATURITY DISCOUNT FACTOR JACOBIAN");

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

        for (int i = 0; i < aOISFutureComp.length; ++i) {
            org.drip.numerical.differentiation.WengertJacobian wjDFQuote = dc.jackDDFDManifestMeasure (
                aOISFutureComp[i].maturityDate(),
                "PV"
            );

            System.out.println (aOISFutureComp[i].maturityDate() + " => " + wjDFQuote.displayString());
        }

        /*
         * Display of the Long End OIS Instrument Discount Factor Quote Jacobian Sensitivities.
         */

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

        System.out.println ("\t     LONG END OIS MATURITY DISCOUNT FACTOR JACOBIAN");

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

        for (int i = 0; i < aLongEndOISComp.length; ++i) {
            org.drip.numerical.differentiation.WengertJacobian wjDFQuote = dc.jackDDFDManifestMeasure (
                aLongEndOISComp[i].maturityDate(),
                "PV"
            );

            System.out.println (aLongEndOISComp[i].maturityDate() + " => " + wjDFQuote.displayString());
        }
    }

    public static final void main (
        final String[] astrArgs)
        throws Exception
    {
        /*
         * Initialize the Credit Analytics Library
         */

        EnvManager.InitEnv ("");

        JulianDate dtSpot = DateUtil.CreateFromYMD (
            2018,
            DateUtil.MARCH,
            8
        );

        OISCurveQuoteSensitivitySample (
            dtSpot,
            "---- DISCOUNT CURVE WITH OVERNIGHT INDEX ---",
            "EUR"
        );
    }
}