INR.java
- package org.drip.template.irs;
- import java.util.Map;
- import org.drip.analytics.cashflow.CompositePeriod;
- import org.drip.analytics.date.*;
- 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.*;
- /*
- * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
- */
- /*!
- * Copyright (C) 2020 Lakshmi Krishnamurthy
- * Copyright (C) 2019 Lakshmi Krishnamurthy
- * Copyright (C) 2018 Lakshmi Krishnamurthy
- * Copyright (C) 2017 Lakshmi Krishnamurthy
- * Copyright (C) 2016 Lakshmi Krishnamurthy
- * Copyright (C) 2015 Lakshmi Krishnamurthy
- *
- * This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
- * asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
- * analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
- * equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
- * numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
- * and computational support.
- *
- * https://lakshmidrip.github.io/DROP/
- *
- * DROP is composed of three modules:
- *
- * - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
- * - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
- * - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
- *
- * DROP Product Core implements libraries for the following:
- * - Fixed Income Analytics
- * - Loan Analytics
- * - Transaction Cost Analytics
- *
- * DROP Portfolio Core implements libraries for the following:
- * - Asset Allocation Analytics
- * - Asset Liability Management Analytics
- * - Capital Estimation Analytics
- * - Exposure Analytics
- * - Margin Analytics
- * - XVA Analytics
- *
- * DROP Computational Core implements libraries for the following:
- * - Algorithm Support
- * - Computation Support
- * - Function Analysis
- * - Model Validation
- * - Numerical Analysis
- * - Numerical Optimizer
- * - Spline Builder
- * - Statistical Learning
- *
- * Documentation for DROP is Spread Over:
- *
- * - Main => https://lakshmidrip.github.io/DROP/
- * - Wiki => https://github.com/lakshmiDRIP/DROP/wiki
- * - GitHub => https://github.com/lakshmiDRIP/DROP
- * - Repo Layout Taxonomy => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
- * - Javadoc => https://lakshmidrip.github.io/DROP/Javadoc/index.html
- * - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
- * - Release Versions => https://lakshmidrip.github.io/DROP/version.html
- * - Community Credits => https://lakshmidrip.github.io/DROP/credits.html
- * - Issues Catalog => https://github.com/lakshmiDRIP/DROP/issues
- * - JUnit => https://lakshmidrip.github.io/DROP/junit/index.html
- * - Jacoco => https://lakshmidrip.github.io/DROP/jacoco/index.html
- *
- * 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.
- */
- /**
- * <i>INR</i> contains a Templated Pricing of the OTC Fix-Float INR IRS Instrument.
- *
- * <br><br>
- * <ul>
- * <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
- * <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
- * <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/template/README.md">Pricing/Risk Templates for Fixed Income Component Products</a></li>
- * <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/template/irs/README.md">Standard IRS Fix-Float Template</a></li>
- * </ul>
- * <br><br>
- *
- * @author Lakshmi Krishnamurthy
- */
- public class INR {
- public static final void main (
- final String[] args)
- throws Exception
- {
- EnvManager.InitEnv ("");
- JulianDate dtSpot = DateUtil.Today();
- String strCurrency = "INR";
- String strMaturityTenor = "5Y";
- FixFloatComponent irs = OTCInstrumentBuilder.FixFloatStandard (
- dtSpot,
- strCurrency,
- "ALL",
- strMaturityTenor,
- "MAIN",
- 0.0206
- );
- CurveSurfaceQuoteContainer csqc = new CurveSurfaceQuoteContainer();
- csqc.setFundingState (
- LatentMarketStateBuilder.SmoothFundingCurve (
- dtSpot,
- strCurrency,
- new String[] {
- "04D", "07D", "14D", "30D", "60D"
- },
- new double[] {
- 0.0017, 0.0017, 0.0018, 0.0020, 0.0023
- },
- "ForwardRate",
- new double[] {
- 0.0027, 0.0032, 0.0041, 0.0054, 0.0077, 0.0104, 0.0134, 0.0160
- },
- "ForwardRate",
- new String[] {
- "04Y", "05Y", "06Y", "07Y", "08Y", "09Y", "10Y", "11Y", "12Y", "15Y", "20Y", "25Y", "30Y", "40Y", "50Y"
- },
- new double[] {
- 0.0166, 0.0206, 0.0241, 0.0269, 0.0292, 0.0311, 0.0326, 0.0340, 0.0351, 0.0375, 0.0393, 0.0402, 0.0407, 0.0409, 0.0409
- },
- "SwapRate"
- )
- );
- Map<String, Double> mapOutput = irs.value (
- ValuationParams.Spot (dtSpot.julian()),
- null,
- csqc,
- null
- );
- for (Map.Entry<String, Double> me : mapOutput.entrySet())
- System.out.println ("\t | " + me.getKey() + " => " + me.getValue() + " ||");
- System.out.println ("\t |------------------------------||");
- System.out.println ("\n\n\t\t|-----------------------------------------------------------------------------------------------------------------------||");
- System.out.println ("\t\t| Floating Stream Cash Flow Details ||");
- System.out.println ("\t\t| -------- ------ ---- ---- ------- ||");
- System.out.println ("\t\t| Start Date ||");
- System.out.println ("\t\t| End Date ||");
- System.out.println ("\t\t| Pay Date ||");
- System.out.println ("\t\t| FX Fixing Date ||");
- System.out.println ("\t\t| Base Notional ||");
- System.out.println ("\t\t| Period DCF ||");
- System.out.println ("\t\t| Tenor ||");
- System.out.println ("\t\t| Funding Label ||");
- System.out.println ("\t\t| Forward Label ||");
- System.out.println ("\t\t| Pay Discount Factor ||");
- System.out.println ("\t\t| Coupon Rate ||");
- System.out.println ("\t\t|-----------------------------------------------------------------------------------------------------------------------||");
- for (CompositePeriod cp : irs.derivedStream().cashFlowPeriod())
- System.out.println ("\t\t| [" +
- new JulianDate (cp.startDate()) + " - " +
- new JulianDate (cp.endDate()) + "] => " +
- new JulianDate (cp.payDate()) + " | " +
- new JulianDate (cp.fxFixingDate()) + " | " +
- FormatUtil.FormatDouble (cp.baseNotional(), 1, 4, 1.) + " | " +
- FormatUtil.FormatDouble (cp.couponDCF(), 1, 4, 1.) + " | " +
- cp.tenor() + " | " +
- cp.fundingLabel().fullyQualifiedName() + " | " +
- cp.floaterLabel().fullyQualifiedName() + " | " +
- FormatUtil.FormatDouble (cp.df (csqc), 1, 4, 1.) + " | " +
- FormatUtil.FormatDouble (cp.couponMetrics (dtSpot.julian(), csqc).rate(), 1, 2, 100.) + "% ||"
- );
- System.out.println ("\t\t|-----------------------------------------------------------------------------------------------------------------------||");
- System.out.println ("\n\n\t\t|--------------------------------------------------------------------------------------------------------||");
- System.out.println ("\t\t| Fixed Stream Cash Flow Details ||");
- System.out.println ("\t\t| ----- ------ ---- ---- ------- ||");
- System.out.println ("\t\t| Start Date ||");
- System.out.println ("\t\t| End Date ||");
- System.out.println ("\t\t| Pay Date ||");
- System.out.println ("\t\t| FX Fixing Date ||");
- System.out.println ("\t\t| Base Notional ||");
- System.out.println ("\t\t| Period DCF ||");
- System.out.println ("\t\t| Tenor ||");
- System.out.println ("\t\t| Funding Label ||");
- System.out.println ("\t\t| Pay Discount Factor ||");
- System.out.println ("\t\t| Coupon Rate ||");
- System.out.println ("\t\t|--------------------------------------------------------------------------------------------------------||");
- for (CompositePeriod cp : irs.referenceStream().cashFlowPeriod())
- System.out.println ("\t\t| [" +
- new JulianDate (cp.startDate()) + " - " +
- new JulianDate (cp.endDate()) + "] => " +
- new JulianDate (cp.payDate()) + " | " +
- new JulianDate (cp.fxFixingDate()) + " | " +
- FormatUtil.FormatDouble (cp.baseNotional(), 1, 4, 1.) + " | " +
- FormatUtil.FormatDouble (cp.couponDCF(), 1, 4, 1.) + " | " +
- cp.tenor() + " | " +
- cp.fundingLabel().fullyQualifiedName() + " | " +
- FormatUtil.FormatDouble (cp.df (csqc), 1, 4, 1.) + " | " +
- FormatUtil.FormatDouble (cp.couponMetrics (dtSpot.julian(), csqc).rate(), 1, 2, 100.) + "% ||"
- );
- System.out.println ("\t\t|--------------------------------------------------------------------------------------------------------||");
- }
- }