ForwardVolatilityStateShifted.java
- package org.drip.template.statebump;
- import java.util.Map;
- 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.definition.Component;
- import org.drip.product.fra.FRAStandardCapFloor;
- import org.drip.service.env.EnvManager;
- import org.drip.service.template.*;
- import org.drip.state.discount.MergedDiscountForwardCurve;
- import org.drip.state.forward.ForwardCurve;
- import org.drip.state.identifier.ForwardLabel;
- import org.drip.state.volatility.VolatilityCurve;
- /*
- * -*- 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>ForwardVolatilityStateShifted</i> demonstrates the Generation and the Usage of Tenor Bumped Forward
- * Volatility Curves.
- *
- * <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/statebump/README.md">Shifted Latent State Construction Template</a></li>
- * </ul>
- * <br><br>
- *
- * @author Lakshmi Krishnamurthy
- */
- public class ForwardVolatilityStateShifted {
- public static final void main (
- final String[] astrArgs)
- throws Exception
- {
- EnvManager.InitEnv ("");
- String strFRATenor = "3M";
- String strCurrency = "GBP";
- double dblBump = 0.0000001;
- boolean bIsBumpProportional = false;
- JulianDate dtSpot = DateUtil.CreateFromYMD (
- 2017,
- DateUtil.DECEMBER,
- 21
- );
- ForwardLabel forwardLabel = ForwardLabel.Create (
- strCurrency,
- strFRATenor
- );
- MergedDiscountForwardCurve dcFunding = LatentMarketStateBuilder.SmoothFundingCurve (
- dtSpot,
- strCurrency,
- new String[] {
- "30D",
- "60D",
- "91D",
- "182D",
- "273D"
- },
- new double[] {
- 0.0668750, // 30D
- 0.0675000, // 60D
- 0.0678125, // 91D
- 0.0712500, // 182D
- 0.0750000 // 273D
- },
- "ForwardRate",
- null,
- "ForwardRate",
- new String[] {
- "2Y",
- "3Y",
- "4Y",
- "5Y",
- "7Y",
- "10Y"
- },
- new double[] {
- 0.08265, // 2Y
- 0.08550, // 3Y
- 0.08655, // 4Y
- 0.08770, // 5Y
- 0.08910, // 7Y
- 0.08920 // 10Y
- },
- "SwapRate"
- );
- String[] astrMaturityTenor = new String[] {
- "01Y",
- "02Y",
- "03Y",
- "04Y",
- "05Y",
- "07Y",
- "10Y"
- };
- double[] adblStrike = new double[] {
- 0.0788, // "1Y",
- 0.0839, // "2Y",
- 0.0864, // "3Y",
- 0.0869, // "4Y",
- 0.0879, // "5Y",
- 0.0890, // "7Y",
- 0.0889 // "10Y"
- };
- double[] adblPrice = new double[] {
- 0.0017, // "1Y",
- 0.0132, // "2Y",
- 0.0234, // "3Y",
- 0.0343, // "4Y",
- 0.0491, // "5Y",
- 0.0968, // "7Y"
- 0.1625 // "10Y"
- };
- ForwardCurve fc = dcFunding.nativeForwardCurve (strFRATenor);
- Map<String, VolatilityCurve> bumpedForwardVolatilityCurve = LatentMarketStateBuilder.BumpedForwardVolatilityCurve (
- dtSpot,
- forwardLabel,
- true,
- astrMaturityTenor,
- adblStrike,
- adblPrice,
- "Price",
- dcFunding,
- fc,
- dblBump,
- bIsBumpProportional
- );
- FRAStandardCapFloor[] aFRACapFloor = OTCInstrumentBuilder.CapFloor (
- dtSpot,
- forwardLabel,
- astrMaturityTenor,
- adblStrike,
- true
- );
- System.out.println ("\n\t|---------------------------------------------------------------------------------------------------------------||");
- ValuationParams valParams = ValuationParams.Spot (dtSpot.julian());
- for (Map.Entry<String, VolatilityCurve> meForwardVolatility : bumpedForwardVolatilityCurve.entrySet()) {
- String strKey = meForwardVolatility.getKey();
- if (!strKey.startsWith ("capfloor")) continue;
- CurveSurfaceQuoteContainer csqc = new CurveSurfaceQuoteContainer();
- csqc.setFundingState (dcFunding);
- csqc.setForwardState (fc);
- csqc.setForwardVolatility (meForwardVolatility.getValue());
- System.out.print ("\t| [" + meForwardVolatility.getKey() + "] => ");
- for (Component comp : aFRACapFloor)
- System.out.print (FormatUtil.FormatDouble (comp.measureValue (
- valParams,
- null,
- csqc,
- null,
- "Price"
- ), 1, 8, 1.) + " |");
- System.out.print ("|\n");
- }
- System.out.println ("\t|---------------------------------------------------------------------------------------------------------------||");
- System.out.println ("\n\t|-------------------------------------------------||");
- CurveSurfaceQuoteContainer csqcBase = new CurveSurfaceQuoteContainer();
- csqcBase.setFundingState (dcFunding);
- csqcBase.setForwardState (fc);
- csqcBase.setForwardVolatility (bumpedForwardVolatilityCurve.get ("Base"));
- CurveSurfaceQuoteContainer csqcBump = new CurveSurfaceQuoteContainer();
- csqcBump.setFundingState (dcFunding);
- csqcBump.setForwardState (fc);
- csqcBump.setForwardVolatility (bumpedForwardVolatilityCurve.get ("Bump"));
- for (Component comp : aFRACapFloor)
- System.out.println (
- "\t| PRICE => " +
- comp.maturityDate() + " | " +
- FormatUtil.FormatDouble (comp.measureValue (
- valParams,
- null,
- csqcBase,
- null,
- "Price"
- ), 1, 8, 1.) + " | " +
- FormatUtil.FormatDouble (comp.measureValue (
- valParams,
- null,
- csqcBump,
- null,
- "Price"
- ), 1, 8, 1.) + " ||"
- );
- System.out.println ("\t|-------------------------------------------------||");
- }
- }