FundingState.java
package org.drip.template.state;
import org.drip.analytics.date.*;
import org.drip.numerical.common.FormatUtil;
import org.drip.service.env.EnvManager;
import org.drip.service.template.LatentMarketStateBuilder;
import org.drip.state.discount.MergedDiscountForwardCurve;
/*
* -*- 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>FundingState</i> sets up the Calibration of the Funding Latent State and examine the Emitted Metrics.
*
* <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/state/README.md">Standard Latent State Construction Template</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class FundingState {
public static final void main (
final String[] astrArgs)
throws Exception
{
EnvManager.InitEnv ("");
String strCurrency = "USD";
JulianDate dtSpot = DateUtil.Today().addBusDays (
0,
strCurrency
);
String[] astrDepositMaturityTenor = new String[] {
"01D",
"04D",
"07D",
"14D",
"30D",
"60D"
};
double[] adblDepositQuote = new double[] {
0.0013, // 1D
0.0017, // 2D
0.0017, // 7D
0.0018, // 14D
0.0020, // 30D
0.0023 // 60D
};
double[] adblFuturesQuote = new double[] {
0.0027,
0.0032,
0.0041,
0.0054,
0.0077,
0.0104,
0.0134,
0.0160
};
String[] astrFixFloatMaturityTenor = new String[] {
"04Y",
"05Y",
"06Y",
"07Y",
"08Y",
"09Y",
"10Y",
"11Y",
"12Y",
"15Y",
"20Y",
"25Y",
"30Y",
"40Y",
"50Y"
};
double[] adblFixFloatQuote = new double[] {
0.0166, // 4Y
0.0206, // 5Y
0.0241, // 6Y
0.0269, // 7Y
0.0292, // 8Y
0.0311, // 9Y
0.0326, // 10Y
0.0340, // 11Y
0.0351, // 12Y
0.0375, // 15Y
0.0393, // 20Y
0.0402, // 25Y
0.0407, // 30Y
0.0409, // 40Y
0.0409 // 50Y
};
MergedDiscountForwardCurve dcFunding = LatentMarketStateBuilder.SmoothFundingCurve (
dtSpot,
strCurrency,
astrDepositMaturityTenor,
adblDepositQuote,
"ForwardRate",
adblFuturesQuote,
"ForwardRate",
astrFixFloatMaturityTenor,
adblFixFloatQuote,
"SwapRate"
);
String strLatentStateLabel = dcFunding.label().fullyQualifiedName();
System.out.println ("\n\n\t||---------------------------------------------------------------||");
for (int i = 0; i < adblDepositQuote.length; ++i)
System.out.println (
"\t|| " + strLatentStateLabel +
" | DEPOSIT | " + astrDepositMaturityTenor[i] + " | " +
FormatUtil.FormatDouble (adblDepositQuote[i], 1, 4, 1.) +
" | Forward Rate | " +
FormatUtil.FormatDouble (dcFunding.df (astrDepositMaturityTenor[i]), 1, 6, 1.) +
" ||"
);
System.out.println ("\t||---------------------------------------------------------------||");
System.out.println ("\n\n\t||--------------------------------------------------------||");
for (int i = 0; i < adblFuturesQuote.length; ++i)
System.out.println (
"\t|| " + strLatentStateLabel + " | FUTURES | " +
FormatUtil.FormatDouble (adblFuturesQuote[i], 1, 4, 1.) +
" | Forward Rate | " +
FormatUtil.FormatDouble (dcFunding.df ((3 + 3 * i) + "M"), 1, 6, 1.) +
" ||"
);
System.out.println ("\t||--------------------------------------------------------||");
System.out.println ("\n\n\t||--------------------------------------------------------------||");
for (int i = 0; i < adblFixFloatQuote.length; ++i)
System.out.println (
"\t|| " + strLatentStateLabel +
" | FIX FLOAT | " + astrFixFloatMaturityTenor[i] + " | " +
FormatUtil.FormatDouble (adblFixFloatQuote[i], 1, 4, 1.) +
" | Swap Rate | " +
FormatUtil.FormatDouble (dcFunding.df (astrFixFloatMaturityTenor[i]), 1, 6, 1.) +
" ||"
);
System.out.println ("\t||--------------------------------------------------------------||\n");
}
}