FundingStateShifted.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.service.env.EnvManager;
  11. import org.drip.service.template.*;
  12. import org.drip.state.discount.MergedDiscountForwardCurve;

  14. /*
  15.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  16.  */

  18. /*!
  19.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  20.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  21.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  22.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  23.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  24.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  25.  * 
  26.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  27.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  28.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  29.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  30.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  31.  *      and computational support.
  32.  *  
  33.  *      https://lakshmidrip.github.io/DROP/
  34.  *  
  35.  *  DROP is composed of three modules:
  36.  *  
  37.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  38.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  39.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  40.  * 
  41.  *  DROP Product Core implements libraries for the following:
  42.  *  - Fixed Income Analytics
  43.  *  - Loan Analytics
  44.  *  - Transaction Cost Analytics
  45.  * 
  46.  *  DROP Portfolio Core implements libraries for the following:
  47.  *  - Asset Allocation Analytics
  48.  *  - Asset Liability Management Analytics
  49.  *  - Capital Estimation Analytics
  50.  *  - Exposure Analytics
  51.  *  - Margin Analytics
  52.  *  - XVA Analytics
  53.  * 
  54.  *  DROP Computational Core implements libraries for the following:
  55.  *  - Algorithm Support
  56.  *  - Computation Support
  57.  *  - Function Analysis
  58.  *  - Model Validation
  59.  *  - Numerical Analysis
  60.  *  - Numerical Optimizer
  61.  *  - Spline Builder
  62.  *  - Statistical Learning
  63.  * 
  64.  *  Documentation for DROP is Spread Over:
  65.  * 
  66.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  67.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  68.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  69.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  70.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  71.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  72.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  73.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  74.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  75.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  76.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  77.  * 
  78.  *  Licensed under the Apache License, Version 2.0 (the "License");
  79.  *      you may not use this file except in compliance with the License.
  80.  *   
  81.  *  You may obtain a copy of the License at
  82.  *      http://www.apache.org/licenses/LICENSE-2.0
  83.  *  
  84.  *  Unless required by applicable law or agreed to in writing, software
  85.  *      distributed under the License is distributed on an "AS IS" BASIS,
  86.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  87.  *  
  88.  *  See the License for the specific language governing permissions and
  89.  *      limitations under the License.
  90.  */

  92. /**
  93.  * <i>FundingStateShifted</i> generates a Sequence of Tenor Bumped Funding Curves.
  94.  *
  95.  *  <br><br>
  96.  *  <ul>
  97.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  98.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  99.  *      <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>
  100.  *      <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>
  101.  *  </ul>
  102.  * <br><br>
  103.  * 
  104.  * @author Lakshmi Krishnamurthy
  105.  */

  107. public class FundingStateShifted {

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

  115.         String strCurrency = "USD";
  116.         double dblBump = 0.0001;
  117.         boolean bIsBumpProportional = false;

  119.         JulianDate dtSpot = DateUtil.CreateFromYMD (
  120.             2017,
  121.             DateUtil.DECEMBER,
  122.             21
  123.         );

  125.         String[] astrDepositMaturityTenor = new String[] {
  126.             "01D",
  127.             "02D",
  128.             "07D",
  129.             "14D",
  130.             "30D",
  131.             "60D"
  132.         };

  134.         double[] adblDepositQuote = new double[] {
  135.             0.0013,     //  1D
  136.             0.0017,     //  2D
  137.             0.0017,     //  7D
  138.             0.0018,     // 14D
  139.             0.0020,     // 30D
  140.             0.0023      // 60D
  141.         };

  143.         double[] adblFuturesQuote = new double[] {
  144.             0.0027,
  145.             0.0032,
  146.             0.0041,
  147.             0.0054,
  148.             0.0077,
  149.             0.0104,
  150.             0.0134,
  151.             0.0160
  152.         };

  154.         String[] astrFixFloatMaturityTenor = new String[] {
  155.             "04Y",
  156.             "05Y",
  157.             "06Y",
  158.             "07Y",
  159.             "08Y",
  160.             "09Y",
  161.             "10Y",
  162.             "11Y",
  163.             "12Y",
  164.             "15Y",
  165.             "20Y",
  166.             "25Y",
  167.             "30Y",
  168.             "40Y",
  169.             "50Y"
  170.         };

  172.         double[] adblFixFloatQuote = new double[] {
  173.             0.0166,     //   4Y
  174.             0.0206,     //   5Y
  175.             0.0241,     //   6Y
  176.             0.0269,     //   7Y
  177.             0.0292,     //   8Y
  178.             0.0311,     //   9Y
  179.             0.0326,     //  10Y
  180.             0.0340,     //  11Y
  181.             0.0351,     //  12Y
  182.             0.0375,     //  15Y
  183.             0.0393,     //  20Y
  184.             0.0402,     //  25Y
  185.             0.0407,     //  30Y
  186.             0.0409,     //  40Y
  187.             0.0409      //  50Y
  188.         };

  190.         Map<String, MergedDiscountForwardCurve> mapFundingCurve = LatentMarketStateBuilder.BumpedFundingCurve (
  191.             dtSpot,
  192.             strCurrency,
  193.             astrDepositMaturityTenor,
  194.             adblDepositQuote,
  195.             "ForwardRate",
  196.             adblFuturesQuote,
  197.             "ForwardRate",
  198.             astrFixFloatMaturityTenor,
  199.             adblFixFloatQuote,
  200.             "SwapRate",
  201.             LatentMarketStateBuilder.SMOOTH,
  202.             dblBump,
  203.             bIsBumpProportional
  204.         );

  206.         Component[] aDepositComp = OTCInstrumentBuilder.FundingDeposit (
  207.             dtSpot,
  208.             strCurrency,
  209.             astrDepositMaturityTenor
  210.         );

  212.         Component[] aFuturesComp = ExchangeInstrumentBuilder.ForwardRateFuturesPack (
  213.             dtSpot,
  214.             adblFuturesQuote.length,
  215.             strCurrency
  216.         );

  218.         Component[] aFixFloatComp = OTCInstrumentBuilder.FixFloatStandard (
  219.             dtSpot,
  220.             strCurrency,
  221.             "ALL",
  222.             astrFixFloatMaturityTenor,
  223.             "MAIN",
  224.             0.
  225.         );

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

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

  231.         for (Map.Entry<String, MergedDiscountForwardCurve> meFunding : mapFundingCurve.entrySet()) {
  232.             String strKey = meFunding.getKey();

  234.             if (!strKey.startsWith ("deposit")) continue;

  236.             CurveSurfaceQuoteContainer csqc = new CurveSurfaceQuoteContainer();

  238.             csqc.setFundingState (meFunding.getValue());

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

  242.             for (Component comp : aDepositComp)
  243.                 System.out.print (FormatUtil.FormatDouble (
  244.                     comp.measureValue (
  245.                         valParams,
  246.                         null,
  247.                         csqc,
  248.                         null,
  249.                         "ForwardRate"
  250.                     ), 1, 4, 1.) + " |");

  252.             System.out.print ("|\n");
  253.         }

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

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

  259.         for (Map.Entry<String, MergedDiscountForwardCurve> meFunding : mapFundingCurve.entrySet()) {
  260.             String strKey = meFunding.getKey();

  262.             if (!strKey.startsWith ("futures")) continue;

  264.             CurveSurfaceQuoteContainer csqc = new CurveSurfaceQuoteContainer();

  266.             csqc.setFundingState (meFunding.getValue());

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

  270.             for (Component comp : aFuturesComp)
  271.                 System.out.print (FormatUtil.FormatDouble (
  272.                     comp.measureValue (
  273.                         valParams,
  274.                         null,
  275.                         csqc,
  276.                         null,
  277.                         "ForwardRate"
  278.                     ), 1, 4, 1.) + " |");

  280.             System.out.print ("|\n");
  281.         }

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

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

  287.         for (Map.Entry<String, MergedDiscountForwardCurve> meFunding : mapFundingCurve.entrySet()) {
  288.             String strKey = meFunding.getKey();

  290.             if (!strKey.startsWith ("fixfloat")) continue;

  292.             CurveSurfaceQuoteContainer csqc = new CurveSurfaceQuoteContainer();

  294.             csqc.setFundingState (meFunding.getValue());

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

  298.             for (Component comp : aFixFloatComp)
  299.                 System.out.print (FormatUtil.FormatDouble (
  300.                     comp.measureValue (
  301.                         valParams,
  302.                         null,
  303.                         csqc,
  304.                         null,
  305.                         "SwapRate"
  306.                     ), 1, 4, 1.) + " |");

  308.             System.out.print ("|\n");
  309.         }

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

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

  315.         CurveSurfaceQuoteContainer csqcBase = new CurveSurfaceQuoteContainer();

  317.         csqcBase.setFundingState (mapFundingCurve.get ("Base"));

  319.         CurveSurfaceQuoteContainer csqcBump = new CurveSurfaceQuoteContainer();

  321.         csqcBump.setFundingState (mapFundingCurve.get ("Bump"));

  323.         for (Component comp : aDepositComp)
  324.             System.out.println (
  325.                 "\t| FORWARD RATE  => " +
  326.                 comp.maturityDate() + " | " +
  327.                 FormatUtil.FormatDouble (comp.measureValue (
  328.                     valParams,
  329.                     null,
  330.                     csqcBase,
  331.                     null,
  332.                     "ForwardRate"
  333.                 ), 1, 6, 1.) + " | " +
  334.                 FormatUtil.FormatDouble (comp.measureValue (
  335.                     valParams,
  336.                     null,
  337.                     csqcBump,
  338.                     null,
  339.                     "ForwardRate"
  340.                 ), 1, 6, 1.) + " ||"
  341.             );

  343.         for (Component comp : aFuturesComp)
  344.             System.out.println (
  345.                 "\t| FORWARD RATE  => " +
  346.                 comp.maturityDate() + " | " +
  347.                 FormatUtil.FormatDouble (comp.measureValue (
  348.                     valParams,
  349.                     null,
  350.                     csqcBase,
  351.                     null,
  352.                     "ForwardRate"
  353.                 ), 1, 6, 1.) + " | " +
  354.                 FormatUtil.FormatDouble (comp.measureValue (
  355.                     valParams,
  356.                     null,
  357.                     csqcBump,
  358.                     null,
  359.                     "ForwardRate"
  360.                 ), 1, 6, 1.) + " ||"
  361.             );

  363.         for (Component comp : aFixFloatComp)
  364.             System.out.println (
  365.                 "\t|  SWAP   RATE  => " +
  366.                 comp.maturityDate() + " | " +
  367.                 FormatUtil.FormatDouble (comp.measureValue (
  368.                     valParams,
  369.                     null,
  370.                     csqcBase,
  371.                     null,
  372.                     "SwapRate"
  373.                 ), 1, 6, 1.) + " | " +
  374.                 FormatUtil.FormatDouble (comp.measureValue (
  375.                     valParams,
  376.                     null,
  377.                     csqcBump,
  378.                     null,
  379.                     "SwapRate"
  380.                 ), 1, 6, 1.) + " ||"
  381.             );

  383.         System.out.println ("\t|-----------------------------------------------------||");
  384.     }
  385. }
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