FXStateShifted.java

  1. package org.drip.template.statebump;

  3. import java.util.Map;

  5. import org.drip.analytics.date.*;
  6. import org.drip.numerical.common.FormatUtil;
  7. import org.drip.param.market.CurveSurfaceQuoteContainer;
  8. import org.drip.param.valuation.ValuationParams;
  9. import org.drip.product.definition.Component;
  10. import org.drip.product.fx.FXForwardComponent;
  11. import org.drip.product.params.CurrencyPair;
  12. import org.drip.service.env.EnvManager;
  13. import org.drip.service.template.*;
  14. import org.drip.state.fx.FXCurve;

  16. /*
  17.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  18.  */

  20. /*!
  21.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  22.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  23.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  24.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  25.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  26.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  27.  * 
  28.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  29.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  30.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  31.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  32.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  33.  *      and computational support.
  34.  *  
  35.  *      https://lakshmidrip.github.io/DROP/
  36.  *  
  37.  *  DROP is composed of three modules:
  38.  *  
  39.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  40.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  41.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  42.  * 
  43.  *  DROP Product Core implements libraries for the following:
  44.  *  - Fixed Income Analytics
  45.  *  - Loan Analytics
  46.  *  - Transaction Cost Analytics
  47.  * 
  48.  *  DROP Portfolio Core implements libraries for the following:
  49.  *  - Asset Allocation Analytics
  50.  *  - Asset Liability Management Analytics
  51.  *  - Capital Estimation Analytics
  52.  *  - Exposure Analytics
  53.  *  - Margin Analytics
  54.  *  - XVA Analytics
  55.  * 
  56.  *  DROP Computational Core implements libraries for the following:
  57.  *  - Algorithm Support
  58.  *  - Computation Support
  59.  *  - Function Analysis
  60.  *  - Model Validation
  61.  *  - Numerical Analysis
  62.  *  - Numerical Optimizer
  63.  *  - Spline Builder
  64.  *  - Statistical Learning
  65.  * 
  66.  *  Documentation for DROP is Spread Over:
  67.  * 
  68.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  69.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  70.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  71.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  72.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  73.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  74.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  75.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  76.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  77.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  78.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  79.  * 
  80.  *  Licensed under the Apache License, Version 2.0 (the "License");
  81.  *      you may not use this file except in compliance with the License.
  82.  *   
  83.  *  You may obtain a copy of the License at
  84.  *      http://www.apache.org/licenses/LICENSE-2.0
  85.  *  
  86.  *  Unless required by applicable law or agreed to in writing, software
  87.  *      distributed under the License is distributed on an "AS IS" BASIS,
  88.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  89.  *  
  90.  *  See the License for the specific language governing permissions and
  91.  *      limitations under the License.
  92.  */

  94. /**
  95.  * <i>FXStateShifted</i> demonstrates the Generation and the Usage of Tenor Bumped FX Curves.
  96.  *
  97.  *  <br><br>
  98.  *  <ul>
  99.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  100.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  101.  *      <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>
  102.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/template/statebump/README.md">Shifted Latent State Construction Template</a></li>
  103.  *  </ul>
  104.  * <br><br>
  105.  * 
  106.  * @author Lakshmi Krishnamurthy
  107.  */

  109. public class FXStateShifted {

  111.     public static final void main (
  112.         final String[] astrArgs)
  113.         throws Exception
  114.     {
  115.         EnvManager.InitEnv ("");

  117.         CurrencyPair cp = new CurrencyPair (
  118.             "EUR",
  119.             "USD",
  120.             "USD",
  121.             10000.
  122.         );

  124.         JulianDate dtSpot = DateUtil.Today().addBusDays (
  125.             0,
  126.             cp.denomCcy()
  127.         );

  129.         double dblFXSpot = 1.1013;
  130.         double dblBump = 0.0001;
  131.         boolean bIsBumpProportional = false;

  133.         String[] astrMaturityTenor = new String[] {
  134.             "1D",
  135.             "2D",
  136.             "3D",
  137.             "1W",
  138.             "2W",
  139.             "3W",
  140.             "1M",
  141.             "2M",
  142.             "3M",
  143.             "6M",
  144.             "9M"
  145.         };

  147.         double[] adblFXForward = new double[] {
  148.             1.1011,     // "1D"
  149.             1.1007,     // "2D"
  150.             1.0999,     // "3D"
  151.             1.0976,     // "1W"
  152.             1.0942,     // "2W"
  153.             1.0904,     // "3W"
  154.             1.0913,     // "1M"
  155.             1.0980,     // "2M"
  156.             1.1088,     // "3M"
  157.             1.1115,     // "6M"
  158.             1.1011      // "9M"
  159.         };

  161.         Map<String, FXCurve> mapBumpedFXCurve = LatentMarketStateBuilder.BumpedFXCurve (
  162.             dtSpot,
  163.             cp,
  164.             astrMaturityTenor,
  165.             adblFXForward,
  166.             "Outright",
  167.             dblFXSpot,
  168.             LatentMarketStateBuilder.SMOOTH,
  169.             dblBump,
  170.             bIsBumpProportional
  171.         );

  173.         FXForwardComponent[] aFXFC = OTCInstrumentBuilder.FXForward (
  174.             dtSpot,
  175.             cp,
  176.             astrMaturityTenor
  177.         );

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

  181.         ValuationParams valParams = ValuationParams.Spot (dtSpot.julian());

  183.         for (Map.Entry<String, FXCurve> meFX : mapBumpedFXCurve.entrySet()) {
  184.             String strKey = meFX.getKey();

  186.             if (!strKey.startsWith ("fxfwd")) continue;

  188.             CurveSurfaceQuoteContainer csqc = new CurveSurfaceQuoteContainer();

  190.             csqc.setFXState (meFX.getValue());

  192.             System.out.print ("\t|  [" + meFX.getKey() + "] => ");

  194.             for (Component comp : aFXFC)
  195.                 System.out.print (FormatUtil.FormatDouble (
  196.                     comp.measureValue (
  197.                         valParams,
  198.                         null,
  199.                         csqc,
  200.                         null,
  201.                         "Outright"
  202.                     ), 1, 4, 1.) + " |");

  204.             System.out.print ("|\n");
  205.         }

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

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

  211.         CurveSurfaceQuoteContainer csqcBase = new CurveSurfaceQuoteContainer();

  213.         csqcBase.setFXState (mapBumpedFXCurve.get ("Base"));

  215.         CurveSurfaceQuoteContainer csqcBump = new CurveSurfaceQuoteContainer();

  217.         csqcBump.setFXState (mapBumpedFXCurve.get ("Bump"));

  219.         for (Component comp : aFXFC)
  220.             System.out.println (
  221.                 "\t| OUTRIGHT  => " +
  222.                 comp.maturityDate() + " | " +
  223.                 FormatUtil.FormatDouble (comp.measureValue (
  224.                     valParams,
  225.                     null,
  226.                     csqcBase,
  227.                     null,
  228.                     "Outright"
  229.                 ), 1, 4, 1.) + " | " +
  230.                 FormatUtil.FormatDouble (comp.measureValue (
  231.                     valParams,
  232.                     null,
  233.                     csqcBump,
  234.                     null,
  235.                     "Outright"
  236.                 ), 1, 4, 1.) + " ||"
  237.             );

  239.         System.out.println ("\t|---------------------------------------------||");
  240.     }
  241. }
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