OvernightStateShifted.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>OvernightStateShifted</i> demonstrates the Generation of the Tenor Bumped Overnight 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 OvernightStateShifted {

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

  115.         String strCurrency = "EUR";
  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.             "03D"
  129.         };

  131.         double[] adblDepositQuote = new double[] {
  132.             0.0004,     // 1D
  133.             // 0.0004,      // 2D
  134.             0.0004      // 3D
  135.         };

  137.         String[] astrShortEndOISMaturityTenor = new String[] {
  138.             "01W",
  139.             "02W",
  140.             "03W",
  141.             "01M"
  142.         };

  144.         double[] adblShortEndOISQuote = new double[] {
  145.             0.00070,    //   1W
  146.             0.00069,    //   2W
  147.             0.00078,    //   3W
  148.             0.00074     //   1M
  149.         };

  151.         String[] astrOISFuturesEffectiveTenor = new String[] {
  152.             "01M",
  153.             "02M",
  154.             "03M",
  155.             "04M",
  156.             "05M"
  157.         };

  159.         String[] astrOISFuturesMaturityTenor = new String[] {
  160.             "1M",
  161.             "1M",
  162.             "1M",
  163.             "1M",
  164.             "1M"
  165.         };

  167.         double[] adblOISFuturesQuote = new double[] {
  168.              0.00046,    //   1M x 1M
  169.              0.00016,    //   2M x 1M
  170.             -0.00007,    //   3M x 1M
  171.             -0.00013,    //   4M x 1M
  172.             -0.00014     //   5M x 1M
  173.         };

  175.         String[] astrLongEndOISMaturityTenor = new String[] {
  176.             "15M",
  177.             "18M",
  178.             "21M",
  179.             "02Y",
  180.             "03Y",
  181.             "04Y",
  182.             "05Y",
  183.             "06Y",
  184.             "07Y",
  185.             "08Y",
  186.             "09Y",
  187.             "10Y",
  188.             "11Y",
  189.             "12Y",
  190.             "15Y",
  191.             "20Y",
  192.             "25Y",
  193.             "30Y"
  194.         };

  196.         double[] adblLongEndOISQuote = new double[] {
  197.             0.00002,    //  15M
  198.             0.00008,    //  18M
  199.             0.00021,    //  21M
  200.             0.00036,    //   2Y
  201.             0.00127,    //   3Y
  202.             0.00274,    //   4Y
  203.             0.00456,    //   5Y
  204.             0.00647,    //   6Y
  205.             0.00827,    //   7Y
  206.             0.00996,    //   8Y
  207.             0.01147,    //   9Y
  208.             0.01280,    //  10Y
  209.             0.01404,    //  11Y
  210.             0.01516,    //  12Y
  211.             0.01764,    //  15Y
  212.             0.01939,    //  20Y
  213.             0.02003,    //  25Y
  214.             0.02038     //  30Y
  215.         };

  217.         Map<String, MergedDiscountForwardCurve> bumpedOvernightCurve = LatentMarketStateBuilder.BumpedOvernightCurve (
  218.             dtSpot,
  219.             strCurrency,
  220.             astrDepositMaturityTenor,
  221.             adblDepositQuote,
  222.             "ForwardRate",
  223.             astrShortEndOISMaturityTenor,
  224.             adblShortEndOISQuote,
  225.             "SwapRate",
  226.             astrOISFuturesEffectiveTenor,
  227.             astrOISFuturesMaturityTenor,
  228.             adblOISFuturesQuote,
  229.             "SwapRate",
  230.             astrLongEndOISMaturityTenor,
  231.             adblLongEndOISQuote,
  232.             "SwapRate",
  233.             LatentMarketStateBuilder.SMOOTH,
  234.             dblBump,
  235.             bIsBumpProportional
  236.         );

  238.         Component[] aDepositComp = OTCInstrumentBuilder.OvernightDeposit (
  239.             dtSpot,
  240.             strCurrency,
  241.             astrDepositMaturityTenor
  242.         );

  244.         Component[] aShortEndOISComp = OTCInstrumentBuilder.OISFixFloat (
  245.             dtSpot,
  246.             strCurrency,
  247.             astrShortEndOISMaturityTenor,
  248.             adblShortEndOISQuote,
  249.             false
  250.         );

  252.         Component[] aOISFuturesComp = OTCInstrumentBuilder.OISFixFloatFutures (
  253.             dtSpot,
  254.             strCurrency,
  255.             astrOISFuturesEffectiveTenor,
  256.             astrOISFuturesMaturityTenor,
  257.             adblOISFuturesQuote,
  258.             false
  259.         );

  261.         Component[] aLongEndOISComp = OTCInstrumentBuilder.OISFixFloat (
  262.             dtSpot,
  263.             strCurrency,
  264.             astrLongEndOISMaturityTenor,
  265.             adblLongEndOISQuote,
  266.             false
  267.         );

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

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

  273.         for (Map.Entry<String, MergedDiscountForwardCurve> meFunding : bumpedOvernightCurve.entrySet()) {
  274.             String strKey = meFunding.getKey();

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

  278.             CurveSurfaceQuoteContainer csqc = new CurveSurfaceQuoteContainer();

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

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

  284.             for (Component comp : aDepositComp)
  285.                 System.out.print (FormatUtil.FormatDouble (
  286.                     comp.measureValue (
  287.                         valParams,
  288.                         null,
  289.                         csqc,
  290.                         null,
  291.                         "ForwardRate"
  292.                     ), 1, 4, 1.) + " |");

  294.             System.out.print ("|\n");
  295.         }

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

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

  301.         for (Map.Entry<String, MergedDiscountForwardCurve> meFunding : bumpedOvernightCurve.entrySet()) {
  302.             String strKey = meFunding.getKey();

  304.             if (!strKey.startsWith ("shortendois")) continue;

  306.             CurveSurfaceQuoteContainer csqc = new CurveSurfaceQuoteContainer();

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

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

  312.             for (Component comp : aShortEndOISComp)
  313.                 System.out.print (FormatUtil.FormatDouble (
  314.                     comp.measureValue (
  315.                         valParams,
  316.                         null,
  317.                         csqc,
  318.                         null,
  319.                         "SwapRate"
  320.                     ), 1, 4, 1.) + " |");

  322.             System.out.print ("|\n");
  323.         }

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

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

  329.         for (Map.Entry<String, MergedDiscountForwardCurve> meFunding : bumpedOvernightCurve.entrySet()) {
  330.             String strKey = meFunding.getKey();

  332.             if (!strKey.startsWith ("oisfutures")) continue;

  334.             CurveSurfaceQuoteContainer csqc = new CurveSurfaceQuoteContainer();

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

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

  340.             for (Component comp : aOISFuturesComp)
  341.                 System.out.print (FormatUtil.FormatDouble (
  342.                     comp.measureValue (
  343.                         valParams,
  344.                         null,
  345.                         csqc,
  346.                         null,
  347.                         "SwapRate"
  348.                     ), 1, 4, 1.) + " |");

  350.             System.out.print ("|\n");
  351.         }

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

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

  357.         for (Map.Entry<String, MergedDiscountForwardCurve> meFunding : bumpedOvernightCurve.entrySet()) {
  358.             String strKey = meFunding.getKey();

  360.             if (!strKey.startsWith ("longendois")) continue;

  362.             CurveSurfaceQuoteContainer csqc = new CurveSurfaceQuoteContainer();

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

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

  368.             for (Component comp : aLongEndOISComp)
  369.                 System.out.print (FormatUtil.FormatDouble (
  370.                     comp.measureValue (
  371.                         valParams,
  372.                         null,
  373.                         csqc,
  374.                         null,
  375.                         "SwapRate"
  376.                     ), 1, 4, 1.) + " |");

  378.             System.out.print ("|\n");
  379.         }

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

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

  385.         CurveSurfaceQuoteContainer csqcBase = new CurveSurfaceQuoteContainer();

  387.         csqcBase.setFundingState (bumpedOvernightCurve.get ("Base"));

  389.         CurveSurfaceQuoteContainer csqcBump = new CurveSurfaceQuoteContainer();

  391.         csqcBump.setFundingState (bumpedOvernightCurve.get ("Bump"));

  393.         for (Component comp : aDepositComp)
  394.             System.out.println (
  395.                 "\t| FORWARD RATE  => " +
  396.                 comp.maturityDate() + " | " +
  397.                 FormatUtil.FormatDouble (comp.measureValue (
  398.                     valParams,
  399.                     null,
  400.                     csqcBase,
  401.                     null,
  402.                     "ForwardRate"
  403.                 ), 1, 6, 1.) + " | " +
  404.                 FormatUtil.FormatDouble (comp.measureValue (
  405.                     valParams,
  406.                     null,
  407.                     csqcBump,
  408.                     null,
  409.                     "ForwardRate"
  410.                 ), 1, 6, 1.) + " ||"
  411.             );

  413.         for (Component comp : aShortEndOISComp)
  414.             System.out.println (
  415.                 "\t|  SWAP   RATE  => " +
  416.                 comp.maturityDate() + " | " +
  417.                 FormatUtil.FormatDouble (comp.measureValue (
  418.                     valParams,
  419.                     null,
  420.                     csqcBase,
  421.                     null,
  422.                     "SwapRate"
  423.                 ), 1, 6, 1.) + " | " +
  424.                 FormatUtil.FormatDouble (comp.measureValue (
  425.                     valParams,
  426.                     null,
  427.                     csqcBump,
  428.                     null,
  429.                     "SwapRate"
  430.                 ), 1, 6, 1.) + " ||"
  431.             );

  433.         for (Component comp : aOISFuturesComp)
  434.             System.out.println (
  435.                 "\t|  SWAP   RATE  => " +
  436.                 comp.maturityDate() + " | " +
  437.                 FormatUtil.FormatDouble (comp.measureValue (
  438.                     valParams,
  439.                     null,
  440.                     csqcBase,
  441.                     null,
  442.                     "SwapRate"
  443.                 ), 1, 6, 1.) + " | " +
  444.                 FormatUtil.FormatDouble (comp.measureValue (
  445.                     valParams,
  446.                     null,
  447.                     csqcBump,
  448.                     null,
  449.                     "SwapRate"
  450.                 ), 1, 6, 1.) + " ||"
  451.             );

  453.         for (Component comp : aLongEndOISComp)
  454.             System.out.println (
  455.                 "\t|  SWAP   RATE  => " +
  456.                 comp.maturityDate() + " | " +
  457.                 FormatUtil.FormatDouble (comp.measureValue (
  458.                     valParams,
  459.                     null,
  460.                     csqcBase,
  461.                     null,
  462.                     "SwapRate"
  463.                 ), 1, 6, 1.) + " | " +
  464.                 FormatUtil.FormatDouble (comp.measureValue (
  465.                     valParams,
  466.                     null,
  467.                     csqcBump,
  468.                     null,
  469.                     "SwapRate"
  470.                 ), 1, 6, 1.) + " ||"
  471.             );

  473.         System.out.println ("\t|-----------------------------------------------------||");
  474.     }
  475. }
Created with JaCoCo 0.7.9.201702052155