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|--------------------------------------------------------------------------------------------------------||");
}
}