FundingState.java

  1. package org.drip.template.state;

  3. import org.drip.analytics.date.*;
  4. import org.drip.numerical.common.FormatUtil;
  5. import org.drip.service.env.EnvManager;
  6. import org.drip.service.template.LatentMarketStateBuilder;
  7. import org.drip.state.discount.MergedDiscountForwardCurve;

  9. /*
  10.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  11.  */

  13. /*!
  14.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  15.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  16.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  17.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  18.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  19.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  20.  * 
  21.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  22.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  23.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  24.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  25.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  26.  *      and computational support.
  27.  *  
  28.  *      https://lakshmidrip.github.io/DROP/
  29.  *  
  30.  *  DROP is composed of three modules:
  31.  *  
  32.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  33.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  34.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  35.  * 
  36.  *  DROP Product Core implements libraries for the following:
  37.  *  - Fixed Income Analytics
  38.  *  - Loan Analytics
  39.  *  - Transaction Cost Analytics
  40.  * 
  41.  *  DROP Portfolio Core implements libraries for the following:
  42.  *  - Asset Allocation Analytics
  43.  *  - Asset Liability Management Analytics
  44.  *  - Capital Estimation Analytics
  45.  *  - Exposure Analytics
  46.  *  - Margin Analytics
  47.  *  - XVA Analytics
  48.  * 
  49.  *  DROP Computational Core implements libraries for the following:
  50.  *  - Algorithm Support
  51.  *  - Computation Support
  52.  *  - Function Analysis
  53.  *  - Model Validation
  54.  *  - Numerical Analysis
  55.  *  - Numerical Optimizer
  56.  *  - Spline Builder
  57.  *  - Statistical Learning
  58.  * 
  59.  *  Documentation for DROP is Spread Over:
  60.  * 
  61.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  62.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  63.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  64.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  65.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  66.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  67.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  68.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  69.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  70.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  71.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  72.  * 
  73.  *  Licensed under the Apache License, Version 2.0 (the "License");
  74.  *      you may not use this file except in compliance with the License.
  75.  *   
  76.  *  You may obtain a copy of the License at
  77.  *      http://www.apache.org/licenses/LICENSE-2.0
  78.  *  
  79.  *  Unless required by applicable law or agreed to in writing, software
  80.  *      distributed under the License is distributed on an "AS IS" BASIS,
  81.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  82.  *  
  83.  *  See the License for the specific language governing permissions and
  84.  *      limitations under the License.
  85.  */

  87. /**
  88.  * <i>FundingState</i> sets up the Calibration of the Funding Latent State and examine the Emitted Metrics.
  89.  *
  90.  *  <br><br>
  91.  *  <ul>
  92.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  93.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  94.  *      <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>
  95.  *      <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>
  96.  *  </ul>
  97.  * <br><br>
  98.  * 
  99.  * @author Lakshmi Krishnamurthy
  100.  */

  102. public class FundingState {

  104.     public static final void main (
  105.         final String[] astrArgs)
  106.         throws Exception
  107.     {
  108.         EnvManager.InitEnv ("");

  110.         String strCurrency = "USD";

  112.         JulianDate dtSpot = DateUtil.Today().addBusDays (
  113.             0,
  114.             strCurrency
  115.         );

  117.         String[] astrDepositMaturityTenor = new String[] {
  118.             "01D",
  119.             "04D",
  120.             "07D",
  121.             "14D",
  122.             "30D",
  123.             "60D"
  124.         };

  126.         double[] adblDepositQuote = new double[] {
  127.             0.0013,     //  1D
  128.             0.0017,     //  2D
  129.             0.0017,     //  7D
  130.             0.0018,     // 14D
  131.             0.0020,     // 30D
  132.             0.0023      // 60D
  133.         };

  135.         double[] adblFuturesQuote = new double[] {
  136.             0.0027,
  137.             0.0032,
  138.             0.0041,
  139.             0.0054,
  140.             0.0077,
  141.             0.0104,
  142.             0.0134,
  143.             0.0160
  144.         };

  146.         String[] astrFixFloatMaturityTenor = new String[] {
  147.             "04Y",
  148.             "05Y",
  149.             "06Y",
  150.             "07Y",
  151.             "08Y",
  152.             "09Y",
  153.             "10Y",
  154.             "11Y",
  155.             "12Y",
  156.             "15Y",
  157.             "20Y",
  158.             "25Y",
  159.             "30Y",
  160.             "40Y",
  161.             "50Y"
  162.         };

  164.         double[] adblFixFloatQuote = new double[] {
  165.             0.0166,     //   4Y
  166.             0.0206,     //   5Y
  167.             0.0241,     //   6Y
  168.             0.0269,     //   7Y
  169.             0.0292,     //   8Y
  170.             0.0311,     //   9Y
  171.             0.0326,     //  10Y
  172.             0.0340,     //  11Y
  173.             0.0351,     //  12Y
  174.             0.0375,     //  15Y
  175.             0.0393,     //  20Y
  176.             0.0402,     //  25Y
  177.             0.0407,     //  30Y
  178.             0.0409,     //  40Y
  179.             0.0409      //  50Y
  180.         };

  182.         MergedDiscountForwardCurve dcFunding = LatentMarketStateBuilder.SmoothFundingCurve (
  183.             dtSpot,
  184.             strCurrency,
  185.             astrDepositMaturityTenor,
  186.             adblDepositQuote,
  187.             "ForwardRate",
  188.             adblFuturesQuote,
  189.             "ForwardRate",
  190.             astrFixFloatMaturityTenor,
  191.             adblFixFloatQuote,
  192.             "SwapRate"
  193.         );

  195.         String strLatentStateLabel = dcFunding.label().fullyQualifiedName();

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

  199.         for (int i = 0; i < adblDepositQuote.length; ++i)
  200.             System.out.println (
  201.                 "\t||  " + strLatentStateLabel +
  202.                 " |  DEPOSIT  | " + astrDepositMaturityTenor[i] + "  | " +
  203.                 FormatUtil.FormatDouble (adblDepositQuote[i], 1, 4, 1.) +
  204.                 " | Forward Rate | " +
  205.                 FormatUtil.FormatDouble (dcFunding.df (astrDepositMaturityTenor[i]), 1, 6, 1.) +
  206.                 "  ||"
  207.             );

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

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

  213.         for (int i = 0; i < adblFuturesQuote.length; ++i)
  214.             System.out.println (
  215.                 "\t||  " + strLatentStateLabel + " |  FUTURES  | " +
  216.                 FormatUtil.FormatDouble (adblFuturesQuote[i], 1, 4, 1.) +
  217.                 " | Forward Rate | " +
  218.                 FormatUtil.FormatDouble (dcFunding.df ((3 + 3 * i) + "M"), 1, 6, 1.) +
  219.                 "  ||"
  220.             );

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

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

  226.         for (int i = 0; i < adblFixFloatQuote.length; ++i)
  227.             System.out.println (
  228.                 "\t||  " + strLatentStateLabel +
  229.                 " |  FIX FLOAT  | " + astrFixFloatMaturityTenor[i] + "  | " +
  230.                 FormatUtil.FormatDouble (adblFixFloatQuote[i], 1, 4, 1.) +
  231.                 " | Swap Rate | " +
  232.                 FormatUtil.FormatDouble (dcFunding.df (astrFixFloatMaturityTenor[i]), 1, 6, 1.) +
  233.                 "  ||"
  234.             );

  236.         System.out.println ("\t||--------------------------------------------------------------||\n");
  237.     }
  238. }
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