public static final void main(final java.lang.String[] astrArgs) throws java.lang.Exception {
FloatingStream fs =
new org.drip.product.rates.FloatingStream(
org.drip.analytics.date.JulianDate.Today().getJulian(),
org.drip.analytics.date.JulianDate.Today().addTenor("4Y").getJulian(),
0.03,
org.drip.product.params.FloatingRateIndex.Create("JPY-LIBOR-6M"),
2,
"30/360",
"30/360",
false,
null,
null,
null,
null,
null,
null,
null,
null,
null,
100.,
"JPY",
"JPY");
byte[] abFS = fs.serialize();
System.out.println(new java.lang.String(abFS));
FloatingStream fsDeser = new FloatingStream(abFS);
System.out.println(new java.lang.String(fsDeser.serialize()));
}
/**
* Validate the CDXRefData instance
*
* @return TRUE if successful
*/
public boolean validate() {
if (null == _strCurveID
|| _strCurveID.isEmpty()
|| null == _strSPN
|| _strSPN.isEmpty()
|| null == _strIndexLabel
|| _strIndexLabel.isEmpty()
|| null == _strIndexName
|| _strIndexName.isEmpty()
|| null == _strCurveName
|| _strCurveName.isEmpty()
|| null == _dtIssue
|| null == _dtMaturity
|| _dtIssue.getJulian() >= _dtMaturity.getJulian()
|| !org.drip.quant.common.NumberUtil.IsValid(_dblCoupon)
|| null == _strCurrency
|| _strCurrency.isEmpty()
|| null == _strDayCount
|| _strDayCount.isEmpty()
|| !org.drip.quant.common.NumberUtil.IsValid(_dblRecovery)
|| null == _strRedID
|| _strRedID.isEmpty()
|| null == _strIndexClass
|| _strIndexClass.isEmpty()
|| null == _strIndexGroupName
|| _strIndexGroupName.isEmpty()) return false;
return true;
}
/**
* Create a credit curve from an array of dates and hazard rates
*
* @param dtStart Curve epoch date
* @param strName Credit Curve Name
* @param strCurrency Currency
* @param adblDate Array of dates
* @param adblHazardRate Array of hazard rates
* @param dblRecovery Recovery
* @return CreditCurve instance
*/
public static final org.drip.analytics.definition.ExplicitBootCreditCurve CreateCreditCurve(
final org.drip.analytics.date.JulianDate dtStart,
final java.lang.String strName,
final java.lang.String strCurrency,
final double[] adblDate,
final double[] adblHazardRate,
final double dblRecovery) {
if (null == dtStart
|| null == adblHazardRate
|| null == adblDate
|| adblHazardRate.length != adblDate.length
|| !org.drip.quant.common.NumberUtil.IsValid(dblRecovery)) return null;
try {
double[] adblRecovery = new double[1];
double[] adblRecoveryDate = new double[1];
adblRecovery[0] = dblRecovery;
adblRecoveryDate[0] = dtStart.julian();
return new org.drip.state.curve.ForwardHazardCreditCurve(
dtStart.julian(),
org.drip.state.identifier.CreditLabel.Standard(strName),
strCurrency,
adblHazardRate,
adblDate,
adblRecovery,
adblRecoveryDate,
java.lang.Double.NaN);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
private static final void CreditCurveEODAPISample() throws Exception {
JulianDate dt = JulianDate.CreateFromYMD(2011, 7, 21);
/*
* Retrieves all the CDS curves available for the given EOD
*/
Set<String> setstrCDSCurves = CreditAnalytics.GetEODCDSCurveNames(dt);
for (String strCDSCurveName : setstrCDSCurves) System.out.println(strCDSCurveName);
/*
* Retrieves the calibrated credit curve from the CDS instruments for the given CDS curve name,
* IR curve name, and EOD. Also shows the 10Y survival probability and hazard rate.
*/
CreditCurve ccEOD = CreditAnalytics.LoadEODCDSCreditCurve("813796", "USD", dt);
JulianDate dt10Y = JulianDate.Today().addYears(10);
System.out.println(
"CCFromEOD["
+ dt10Y.toString()
+ "]; Survival="
+ ccEOD.getSurvival("10Y")
+ "; Hazard="
+ ccEOD.calcHazard("10Y"));
/*
* Displays the CDS quotes used to construct the closing credit curve
*/
CalibratableComponent[] aCompCDS = ccEOD.calibComp();
for (int i = 0; i < aCompCDS.length; ++i)
System.out.println(
aCompCDS[i].getPrimaryCode()
+ " => "
+ (int) (ccEOD.manifestMeasure(aCompCDS[i].getPrimaryCode())));
/*
* Loads all available credit curves for the given curve ID built from CDS instruments between 2 dates
*/
Map<JulianDate, CreditCurve> mapCC =
CreditAnalytics.LoadEODCDSCreditCurves(
"813796", "USD", JulianDate.CreateFromYMD(2011, 7, 14), dt);
/*
* Displays their 5Y CDS quote
*/
for (Map.Entry<JulianDate, CreditCurve> meCC : mapCC.entrySet()) {
JulianDate dtME = meCC.getKey();
CreditCurve ccCOB = meCC.getValue();
System.out.println(dtME + "[CDS.5Y] => " + (int) (ccCOB.manifestMeasure("CDS.5Y")));
}
}
@Override
public org.drip.analytics.date.JulianDate getMaturityDate() {
org.drip.analytics.date.JulianDate dtFloatReferenceMaturity = _floatReference.getMaturityDate();
org.drip.analytics.date.JulianDate dtFloatDerivedMaturity = _floatDerived.getMaturityDate();
if (null == dtFloatReferenceMaturity || null == dtFloatDerivedMaturity) return null;
return dtFloatReferenceMaturity.getJulian() > dtFloatDerivedMaturity.getJulian()
? dtFloatReferenceMaturity
: dtFloatDerivedMaturity;
}
@Override
public org.drip.analytics.date.JulianDate getEffectiveDate() {
org.drip.analytics.date.JulianDate dtFloatReferenceEffective =
_floatReference.getEffectiveDate();
org.drip.analytics.date.JulianDate dtFloatDerivedEffective = _floatDerived.getEffectiveDate();
if (null == dtFloatReferenceEffective || null == dtFloatDerivedEffective) return null;
return dtFloatReferenceEffective.getJulian() < dtFloatDerivedEffective.getJulian()
? dtFloatReferenceEffective
: dtFloatDerivedEffective;
}
/**
* Get the first coupon date
*
* @return First Coupon Date
*/
public org.drip.analytics.date.JulianDate getFirstCouponDate() {
org.drip.product.definition.Component[] aComp = getComponents();
int iNumComp = aComp.length;
org.drip.analytics.date.JulianDate dtFirstCoupon = aComp[0].getFirstCouponDate();
for (int i = 1; i < iNumComp; ++i) {
if (dtFirstCoupon.getJulian() > aComp[i].getFirstCouponDate().getJulian())
dtFirstCoupon = aComp[i].getFirstCouponDate();
}
return dtFirstCoupon;
}
@Override
public org.drip.analytics.date.JulianDate getFirstCouponDate() {
org.drip.analytics.date.JulianDate dtFloatReferenceFirstCoupon =
_floatReference.getFirstCouponDate();
org.drip.analytics.date.JulianDate dtFloatDerivedFirstCoupon =
_floatDerived.getFirstCouponDate();
if (null == dtFloatReferenceFirstCoupon || null == dtFloatDerivedFirstCoupon) return null;
return dtFloatReferenceFirstCoupon.getJulian() < dtFloatDerivedFirstCoupon.getJulian()
? dtFloatReferenceFirstCoupon
: dtFloatDerivedFirstCoupon;
}
/**
* Return the maturity date of the basket product
*
* @return Maturity date of the basket product
*/
public org.drip.analytics.date.JulianDate getMaturityDate() {
org.drip.product.definition.Component[] aComp = getComponents();
int iNumComp = aComp.length;
org.drip.analytics.date.JulianDate dtMaturity = aComp[0].getMaturityDate();
for (int i = 1; i < iNumComp; ++i) {
org.drip.analytics.date.JulianDate dtCompMaturity = aComp[i].getMaturityDate();
if (dtCompMaturity.getJulian() < dtMaturity.getJulian()) dtMaturity = dtCompMaturity;
}
return dtMaturity;
}
public static final void main(final java.lang.String[] astrArgs) throws java.lang.Exception {
double dblScheduleStart = org.drip.analytics.date.JulianDate.Today().getJulian();
double[] adblDate = new double[3];
double[] adblFactor = new double[3];
adblFactor[0] = 1.20;
adblFactor[1] = 1.10;
adblFactor[2] = 1.00;
adblDate[0] = dblScheduleStart + 30.;
adblDate[1] = dblScheduleStart + 396.;
adblDate[2] = dblScheduleStart + 761.;
EmbeddedOptionSchedule eos =
EmbeddedOptionSchedule.fromAmerican(
dblScheduleStart,
adblDate,
adblFactor,
true,
30,
false,
java.lang.Double.NaN,
"CRAP",
java.lang.Double.NaN);
byte[] abEOS = eos.serialize();
System.out.println(new java.lang.String(abEOS));
EmbeddedOptionSchedule eosDeser = new EmbeddedOptionSchedule(abEOS);
System.out.println(new java.lang.String(eosDeser.serialize()));
}
public static final void main(final java.lang.String[] astrArgs) throws java.lang.Exception {
CashComponent cash =
new CashComponent(
org.drip.analytics.date.JulianDate.Today(),
org.drip.analytics.date.JulianDate.Today().addTenor("1Y"),
"AUD",
"Act/360",
"BMA");
byte[] abCash = cash.serialize();
System.out.println(new java.lang.String(abCash));
CashComponent cashDeser = new CashComponent(abCash);
System.out.println(new java.lang.String(cashDeser.serialize()));
}
/**
* Constructs a Cash Component
*
* @param dtEffective Effective Date
* @param dtMaturity Maturity Date
* @param strIR IR Curve
* @param strDC Day Count
* @param strCalendar Calendar
* @throws java.lang.Exception Thrown if the inputs are invalid
*/
public CashComponent(
final org.drip.analytics.date.JulianDate dtEffective,
final org.drip.analytics.date.JulianDate dtMaturity,
final java.lang.String strIR,
final java.lang.String strDC,
final java.lang.String strCalendar)
throws java.lang.Exception {
if (null == dtEffective
|| null == dtMaturity
|| null == (_strIR = strIR)
|| strIR.isEmpty()
|| (_dblMaturity = dtMaturity.getJulian()) <= (_dblEffective = dtEffective.getJulian()))
throw new java.lang.Exception("CashComponent ctr: Invalid Inputs!");
_strDC = strDC;
_strCalendar = strCalendar;
_notlSchedule = org.drip.product.params.FactorSchedule.CreateBulletSchedule();
}
/**
* Loads the map of the holiday calendars from the database settings set in the XML Configuration
* file
*
* @param strConfigFile XML Configuration file
* @return Map of the holiday calendars
*/
public static final org.drip.analytics.support.CaseInsensitiveTreeMap<
org.drip.analytics.holiday.Locale>
LoadHolidayCalendarsFromDB(final java.lang.String strConfigFile) {
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.holiday.Locale> mapHols =
new org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.holiday.Locale>();
java.sql.Statement stmt = OracleInit(strConfigFile);
if (null == stmt) return null;
long lStart = System.nanoTime();
try {
java.sql.ResultSet rs = stmt.executeQuery("SELECT Location, Holiday FROM Holidays");
while (null != rs && rs.next()) {
java.lang.String strLocation = rs.getString("Location");
java.util.Date dtSQLHoliday = rs.getDate("Holiday");
if (null != dtSQLHoliday) {
org.drip.analytics.holiday.Locale lh = mapHols.get(strLocation);
if (null == lh) lh = new org.drip.analytics.holiday.Locale();
lh.addStaticHoliday(
org.drip.analytics.date.JulianDate.CreateFromYMD(
org.drip.analytics.support.GenericUtil.GetYear(dtSQLHoliday),
org.drip.analytics.support.GenericUtil.GetMonth(dtSQLHoliday),
org.drip.analytics.support.GenericUtil.GetYear(dtSQLHoliday)),
"");
mapHols.put(strLocation, lh);
}
}
} catch (java.lang.Exception e) {
e.printStackTrace();
return null;
}
int[] aiWeekend = new int[2];
aiWeekend[1] = org.drip.analytics.date.JulianDate.SUNDAY;
aiWeekend[0] = org.drip.analytics.date.JulianDate.SATURDAY;
for (java.util.Map.Entry<java.lang.String, org.drip.analytics.holiday.Locale> me :
mapHols.entrySet()) me.getValue().addWeekend(aiWeekend);
System.out.println(
"Loading hols from DB took " + (System.nanoTime() - lStart) * 1.e-06 + " m-sec\n");
return mapHols;
}
private static final void CreditCurveAPISample() throws Exception {
JulianDate dtStart = JulianDate.Today();
JulianDate dt10Y = dtStart.addYears(10);
/*
* Create Credit Curve from flat Hazard Rate
*/
CreditCurve ccFlatHazard =
CreditCurveBuilder.FromFlatHazard(dtStart.getJulian(), "CC", "USD", 0.02, 0.4);
System.out.println(
"CCFromFlatHazard["
+ dt10Y.toString()
+ "]; Survival="
+ ccFlatHazard.getSurvival("10Y")
+ "; Hazard="
+ ccFlatHazard.calcHazard("10Y"));
double[] adblDate = new double[5];
double[] adblSurvival = new double[5];
for (int i = 0; i < 5; ++i) {
adblDate[i] = dtStart.addYears(2 * i + 2).getJulian();
adblSurvival[i] = 1. - 0.1 * (i + 1);
}
/*
* Create Credit Curve from an array of dates and their corresponding survival probabilities
*/
CreditCurve ccFromSurvival =
CreditCurveBuilder.FromSurvival(
dtStart.getJulian(), "CC", "USD", adblDate, adblSurvival, 0.4);
System.out.println(
"CCFromSurvival["
+ dt10Y.toString()
+ "]; Survival="
+ ccFromSurvival.getSurvival("10Y")
+ "; Hazard="
+ ccFromSurvival.calcHazard("10Y"));
}
private static final void CDSEODMeasuresAPISample() {
JulianDate dtEOD = JulianDate.CreateFromYMD(2011, 7, 21); // EOD
/*
* Create a spot starting CDS based off of a specific credit curve
*/
CreditDefaultSwap cds = CDSBuilder.CreateSNAC(JulianDate.Today(), "5Y", 0.1, "813796");
/*
* Calculate the EOD CDS measures
*/
CaseInsensitiveTreeMap<Double> mapEODCDSMeasures =
CreditAnalytics.GetEODCDSMeasures(cds, dtEOD);
/*
* Display the EOD CDS measures
*/
for (Map.Entry<String, Double> me : mapEODCDSMeasures.entrySet())
System.out.println(me.getKey() + " => " + me.getValue());
}
private static final void ForwardJack(
final JulianDate dt,
final Map<String, ForwardCurve> mapForward,
final String strStartDateTenor) {
for (Map.Entry<String, ForwardCurve> me : mapForward.entrySet())
System.out.println(
me.getKey()
+ " | "
+ strStartDateTenor
+ ": "
+ me.getValue()
.jackDForwardDManifestMeasure("PV", dt.addTenor(strStartDateTenor))
.displayString());
}
/**
* Construct an DerivedFXBasis instance from the currency pair, FX Spot, and FX basis parameters
*
* @param cp Currency Pair
* @param dtSpot Spot Date
* @param dblFXSpot FX Spot
* @param adblDate Array of dates
* @param adblFXBasis Array of FX Basis
* @param bIsFXBasisBootstrapped True if the inputs are for bootstrapped FX basis
* @throws java.lang.Exception Thrown if the FXBasis instance cannot be created
*/
public DerivedFXBasis(
final org.drip.product.params.CurrencyPair cp,
final org.drip.analytics.date.JulianDate dtSpot,
final double dblFXSpot,
final double[] adblDate,
final double[] adblFXBasis,
final boolean bIsFXBasisBootstrapped)
throws java.lang.Exception {
if (null == cp
|| null == dtSpot
|| !org.drip.quant.common.NumberUtil.IsValid(dblFXSpot)
|| null == adblDate
|| 0 == adblDate.length
|| null == adblFXBasis
|| 0 == adblFXBasis.length
|| adblDate.length != adblFXBasis.length)
throw new java.lang.Exception("DerivedFXBasis ctr: Invalid Params");
_dblSpotDate = dtSpot.julian();
_cp = cp;
_dblFXSpot = dblFXSpot;
_adblDate = new double[adblDate.length];
_adblFXBasis = new double[adblFXBasis.length];
_bIsFXBasisBootstrapped = bIsFXBasisBootstrapped;
for (int i = 0; i < adblFXBasis.length; ++i) {
if (!org.drip.quant.common.NumberUtil.IsValid(adblDate[i]) || adblDate[i] <= _dblSpotDate)
throw new java.lang.Exception(
"DerivedFXBasis ctr: Invalid params: Node date "
+ org.drip.analytics.date.DateUtil.FromJulian(adblDate[i])
+ " before spot "
+ dtSpot);
_adblDate[i] = adblDate[i];
_adblFXBasis[i] = adblFXBasis[i];
}
}
private static final CalibratableFixedIncomeComponent[] DepositInstrumentsFromMaturityDays(
final JulianDate dtEffective,
final int[] aiDay,
final int iNumFutures,
final String strCurrency)
throws Exception {
CalibratableFixedIncomeComponent[] aCalibComp =
new CalibratableFixedIncomeComponent[aiDay.length + iNumFutures];
for (int i = 0; i < aiDay.length; ++i)
aCalibComp[i] =
SingleStreamComponentBuilder.Deposit(
dtEffective,
dtEffective.addBusDays(aiDay[i], strCurrency),
ForwardLabel.Create(strCurrency, aiDay[i] + "D"));
CalibratableFixedIncomeComponent[] aEDF =
SingleStreamComponentBuilder.FuturesPack(dtEffective, iNumFutures, strCurrency);
for (int i = aiDay.length; i < aiDay.length + iNumFutures; ++i)
aCalibComp[i] = aEDF[i - aiDay.length];
return aCalibComp;
}
private static final Map<String, ForwardCurve> xM6MBasisSample(
final JulianDate dtSpot,
final String strCurrency,
final DiscountCurve dc,
final int iTenorInMonths,
final String[] astrxM6MFwdTenor,
final double[] adblxM6MBasisSwapQuote)
throws Exception {
System.out.println("------------------------------------------------------------");
System.out.println(" SPL => n=4 | | |");
System.out.println("---------------------------------------| LOG DF | LIBOR |");
System.out.println(" MSR => RECALC | REFEREN | DERIVED | | |");
System.out.println("------------------------------------------------------------");
/*
* Construct the 6M-xM float-float basis swap.
*/
FloatFloatComponent[] aFFC =
MakexM6MBasisSwap(dtSpot, strCurrency, astrxM6MFwdTenor, iTenorInMonths);
String strBasisTenor = iTenorInMonths + "M";
ValuationParams valParams = new ValuationParams(dtSpot, dtSpot, strCurrency);
/*
* Calculate the starting forward rate off of the discount curve.
*/
double dblStartingFwd = dc.forward(dtSpot.julian(), dtSpot.addTenor(strBasisTenor).julian());
/*
* Set the discount curve based component market parameters.
*/
CurveSurfaceQuoteSet mktParams =
MarketParamsBuilder.Create(dc, null, null, null, null, null, null);
Map<String, ForwardCurve> mapForward = new HashMap<String, ForwardCurve>();
/*
* Construct the shape preserving forward curve off of Quartic Polynomial Basis Spline.
*/
ForwardCurve fcxMQuartic =
ScenarioForwardCurveBuilder.ShapePreservingForwardCurve(
"QUARTIC_FWD" + strBasisTenor,
ForwardLabel.Create(strCurrency, strBasisTenor),
valParams,
null,
mktParams,
null,
MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
new PolynomialFunctionSetParams(5),
aFFC,
"ReferenceParBasisSpread",
adblxM6MBasisSwapQuote,
dblStartingFwd);
mapForward.put(" QUARTIC_FWD" + strBasisTenor, fcxMQuartic);
/*
* Set the discount curve + quartic polynomial forward curve based component market parameters.
*/
CurveSurfaceQuoteSet mktParamsQuarticFwd =
MarketParamsBuilder.Create(dc, fcxMQuartic, null, null, null, null, null, null);
int i = 0;
int iFreq = 12 / iTenorInMonths;
/*
* Compute the following forward curve metrics for each of cubic polynomial forward, quartic
* polynomial forward, and KLK Hyperbolic tension forward curves:
* - Reference Basis Par Spread
* - Derived Basis Par Spread
*
* Further compare these with a) the forward rate off of the discount curve, b) the LIBOR rate, and
* c) Input Basis Swap Quote.
*/
for (String strMaturityTenor : astrxM6MFwdTenor) {
double dblFwdEndDate = dtSpot.addTenor(strMaturityTenor).julian();
double dblFwdStartDate =
dtSpot.addTenor(strMaturityTenor).subtractTenor(strBasisTenor).julian();
FloatFloatComponent ffc = aFFC[i++];
CaseInsensitiveTreeMap<Double> mapQuarticValue =
ffc.value(valParams, null, mktParamsQuarticFwd, null);
System.out.println(
" "
+ strMaturityTenor
+ " => "
+ FormatUtil.FormatDouble(fcxMQuartic.forward(strMaturityTenor), 2, 2, 100.)
+ " | "
+ FormatUtil.FormatDouble(mapQuarticValue.get("ReferenceParBasisSpread"), 2, 2, 1.)
+ " | "
+ FormatUtil.FormatDouble(mapQuarticValue.get("DerivedParBasisSpread"), 2, 2, 1.)
+ " | "
+ FormatUtil.FormatDouble(
iFreq * java.lang.Math.log(dc.df(dblFwdStartDate) / dc.df(dblFwdEndDate)),
1,
2,
100.)
+ " | "
+ FormatUtil.FormatDouble(dc.libor(dblFwdStartDate, dblFwdEndDate), 1, 2, 100.)
+ " | ");
}
return mapForward;
}
/**
* Return the stringified set of parameters in a java call that can be statically used to
* re-construct the index.
*
* @return Set of Stringified parameters as a java call.
*/
public java.lang.String setConstructionString() {
java.lang.StringBuffer sb = new java.lang.StringBuffer();
java.lang.String strCDXCode =
_strIndexClass
+ "."
+ _strIndexGroupName
+ "."
+ _iIndexLifeSpan
+ "Y."
+ _iIndexSeries
+ "."
+ _iIndexVersion;
sb.append(
"\t\tUpdateCDXRefDataMap ("
+ org.drip.quant.common.StringUtil.MakeStringArg(strCDXCode)
+ ",\n\t\t\torg.drip.product.creator.CDXRefDataBuilder.CreateCDXRefDataBuilder (");
sb.append(org.drip.quant.common.StringUtil.MakeStringArg(_strCurveID) + ", ");
sb.append(org.drip.quant.common.StringUtil.MakeStringArg(_strSPN) + ",\n\t\t\t\t");
sb.append(org.drip.quant.common.StringUtil.MakeStringArg(_strIndexLabel) + ", ");
sb.append(org.drip.quant.common.StringUtil.MakeStringArg(_strIndexName) + ",\n\t\t\t\t\t");
sb.append(org.drip.quant.common.StringUtil.MakeStringArg(_strCurveName) + ", ");
sb.append(_dtIssue.getJulian() + ", ");
sb.append(_dtMaturity.getJulian() + ", ");
sb.append(_dblCoupon + ", ");
sb.append(org.drip.quant.common.StringUtil.MakeStringArg(_strCurrency) + ",\n\t\t\t\t\t\t");
sb.append(org.drip.quant.common.StringUtil.MakeStringArg(_strDayCount) + ", ");
sb.append(_bFullFirstStub + ", ");
sb.append(_dblRecovery + ", ");
sb.append(_iFrequency + ", ");
sb.append(org.drip.quant.common.StringUtil.MakeStringArg(_strRedID) + ", ");
sb.append(org.drip.quant.common.StringUtil.MakeStringArg(_strIndexClass) + ", ");
sb.append(_iIndexSeries + ", ");
sb.append(org.drip.quant.common.StringUtil.MakeStringArg(_strIndexGroupName) + ", ");
sb.append(org.drip.quant.common.StringUtil.MakeStringArg(_strIndexShortName) + ", ");
sb.append(org.drip.quant.common.StringUtil.MakeStringArg(_strIndexShortGroupName) + ", ");
sb.append(_iIndexVersion + ", ");
sb.append(_iIndexLifeSpan + ",\n\t\t\t\t\t\t\t");
sb.append(org.drip.quant.common.StringUtil.MakeStringArg(_strCurvyCurveID) + ", ");
sb.append(_dblIndexFactor + ", ");
sb.append(_iOriginalComponentCount + ", ");
sb.append(_iDefaultedComponentCount + ", ");
sb.append(org.drip.quant.common.StringUtil.MakeStringArg(_strLocation) + ", ");
sb.append(_bPayAccrued + ", ");
sb.append(_bKnockOutOnDefault + ", ");
sb.append(_bQuoteAsCDS + ", ");
sb.append(org.drip.quant.common.StringUtil.MakeStringArg(_strBBGTicker) + ", ");
sb.append(org.drip.quant.common.StringUtil.MakeStringArg(_strShortName) + "));\n\n");
return sb.toString();
}
public static final void main(final String[] astrArgs) throws Exception {
/*
* Initialize the Credit Analytics Library
*/
CreditAnalytics.Init("");
JulianDate dtToday = DateUtil.Today();
String[] astrTenor =
new String[] {
"1Y", "2Y", "3Y", "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "11Y", "12Y", "15Y", "20Y",
"25Y", "30Y"
};
double[] adblBasis =
new double[] {
0.00186, // 1Y
0.00127, // 2Y
0.00097, // 3Y
0.00080, // 4Y
0.00067, // 5Y
0.00058, // 6Y
0.00051, // 7Y
0.00046, // 8Y
0.00042, // 9Y
0.00038, // 10Y
0.00035, // 11Y
0.00033, // 12Y
0.00028, // 15Y
0.00022, // 20Y
0.00020, // 25Y
0.00018 // 30Y
};
BasisCurve bcCubicPolynomial =
ScenarioBasisCurveBuilder.CubicPolynomialBasisCurve(
"USD3M6MBasis_CubicPolynomial",
dtToday,
ForwardLabel.Create("USD", "6M"),
ForwardLabel.Create("USD", "3M"),
false,
new CollateralizationParams("OVERNIGHT", "USD"),
astrTenor,
adblBasis);
BasisCurve bcQuinticPolynomial =
ScenarioBasisCurveBuilder.QuarticPolynomialBasisCurve(
"USD3M6MBasis_QuinticPolynomial",
dtToday,
ForwardLabel.Create("USD", "6M"),
ForwardLabel.Create("USD", "3M"),
false,
new CollateralizationParams("OVERNIGHT", "USD"),
astrTenor,
adblBasis);
BasisCurve bcKaklisPandelis =
ScenarioBasisCurveBuilder.KaklisPandelisBasisCurve(
"USD3M6MBasis_KaklisPandelis",
dtToday,
ForwardLabel.Create("USD", "6M"),
ForwardLabel.Create("USD", "3M"),
false,
new CollateralizationParams("OVERNIGHT", "USD"),
astrTenor,
adblBasis);
BasisCurve bcKLKHyperbolic =
ScenarioBasisCurveBuilder.KLKHyperbolicBasisCurve(
"USD3M6MBasis_KLKHyperbolic",
dtToday,
ForwardLabel.Create("USD", "6M"),
ForwardLabel.Create("USD", "3M"),
false,
new CollateralizationParams("OVERNIGHT", "USD"),
astrTenor,
adblBasis,
1.);
BasisCurve bcKLKRationalLinear =
ScenarioBasisCurveBuilder.KLKRationalLinearBasisCurve(
"USD3M6MBasis_KLKRationalLinear",
dtToday,
ForwardLabel.Create("USD", "6M"),
ForwardLabel.Create("USD", "3M"),
false,
new CollateralizationParams("OVERNIGHT", "USD"),
astrTenor,
adblBasis,
0.1);
BasisCurve bcKLKRationalQuadratic =
ScenarioBasisCurveBuilder.KLKRationalLinearBasisCurve(
"USD3M6MBasis_KLKRationalQuadratic",
dtToday,
ForwardLabel.Create("USD", "6M"),
ForwardLabel.Create("USD", "3M"),
false,
new CollateralizationParams("OVERNIGHT", "USD"),
astrTenor,
adblBasis,
2.);
System.out.println("\tPrinting the Basis Node Values in Order (Left -> Right):");
System.out.println("\t\tCalculated Cubic Polynomial Basis (%)");
System.out.println("\t\tCalculated Quintic Polynomial Basis (%)");
System.out.println("\t\tCalculated Kaklis Pandelis Basis (%)");
System.out.println("\t\tCalculated KLK Hyperbolic Basis (%)");
System.out.println("\t\tCalculated KLK Rational Linear Basis (%)");
System.out.println("\t\tCalculated KLK Rational Quadratic Basis (%)");
System.out.println("\t\tInput Quote (bp)");
System.out.println("\t-------------------------------------------------------------");
System.out.println("\t-------------------------------------------------------------");
for (int i = 0; i < adblBasis.length; ++i)
System.out.println(
"\t"
+ astrTenor[i]
+ " => "
+ FormatUtil.FormatDouble(bcCubicPolynomial.basis(astrTenor[i]), 1, 2, 10000.)
+ " | "
+ FormatUtil.FormatDouble(bcQuinticPolynomial.basis(astrTenor[i]), 1, 2, 10000.)
+ " | "
+ FormatUtil.FormatDouble(bcKaklisPandelis.basis(astrTenor[i]), 1, 2, 10000.)
+ " | "
+ FormatUtil.FormatDouble(bcKLKHyperbolic.basis(astrTenor[i]), 1, 2, 10000.)
+ " | "
+ FormatUtil.FormatDouble(bcKLKRationalLinear.basis(astrTenor[i]), 1, 2, 10000.)
+ " | "
+ FormatUtil.FormatDouble(bcKLKRationalQuadratic.basis(astrTenor[i]), 1, 2, 10000.)
+ " | "
+ FormatUtil.FormatDouble(adblBasis[i], 1, 2, 10000.));
System.out.println(
"\n\t|----------------------------------------------------------------------------|");
System.out.println(
"\t| DATE => CUBIC | QUINTIC | KAKPAND | KLKHYPER | KLKRATLNR | KLKRATQUA |");
System.out.println(
"\t|----------------------------------------------------------------------------|\n");
for (int i = 3; i < 30; ++i) {
JulianDate dt = dtToday.addTenor(i + "Y");
System.out.println(
"\t"
+ dt
+ " => "
+ FormatUtil.FormatDouble(bcCubicPolynomial.basis(dt), 1, 2, 10000.)
+ " | "
+ FormatUtil.FormatDouble(bcQuinticPolynomial.basis(dt), 1, 2, 10000.)
+ " | "
+ FormatUtil.FormatDouble(bcKaklisPandelis.basis(dt), 1, 2, 10000.)
+ " | "
+ FormatUtil.FormatDouble(bcKLKHyperbolic.basis(dt), 1, 2, 10000.)
+ " | "
+ FormatUtil.FormatDouble(bcKLKRationalLinear.basis(dt), 1, 2, 10000.)
+ " | "
+ FormatUtil.FormatDouble(bcKLKRationalQuadratic.basis(dt), 1, 2, 10000.)
+ " | ");
}
System.out.println(
"\n\t|----------------------------------------------------------------------------|");
}
private static void CreateCreditCurveFromCDSInstruments() throws Exception {
JulianDate dtStart = JulianDate.Today();
/*
* Populate the instruments, the calibration measures, and the calibration quotes
*/
double[] adblQuotes = new double[5];
String[] astrCalibMeasure = new String[5];
CreditDefaultSwap[] aCDS = new CreditDefaultSwap[5];
for (int i = 0; i < 5; ++i) {
/*
* The Calibration CDS
*/
aCDS[i] = CDSBuilder.CreateSNAC(dtStart, (i + 1) + "Y", 0.01, "CORP");
/*
* Calibration Quote
*/
adblQuotes[i] = 100.;
/*
* Calibration Measure
*/
astrCalibMeasure[i] = "FairPremium";
}
/*
* Flat Discount Curve
*/
DiscountCurve dc = DiscountCurveBuilder.CreateFromFlatRate(dtStart, "USD", 0.05);
/*
* Create the Credit Curve from the give CDS instruments
*/
CreditCurve cc =
CreditScenarioCurveBuilder.CreateCreditCurve(
"CORP", dtStart, aCDS, dc, adblQuotes, astrCalibMeasure, 0.4, false);
/*
* Valuation Parameters
*/
ValuationParams valParams =
ValuationParams.CreateValParams(dtStart, 0, "", Convention.DR_ACTUAL);
/*
* Standard Credit Pricer Parameters (check javadoc for details)
*/
PricerParams pricerParams = PricerParams.MakeStdPricerParams();
/*
* Re-calculate the input calibration measures for the input CDSes
*/
for (int i = 0; i < aCDS.length; ++i)
System.out.println(
"\t"
+ astrCalibMeasure[i]
+ "["
+ i
+ "] = "
+ aCDS[i].calcMeasureValue(
valParams,
pricerParams,
ComponentMarketParamsBuilder.CreateComponentMarketParams(
dc, null, null, cc, null, null, null),
null,
astrCalibMeasure[i]));
}
private static final void CDSAPISample() throws Exception {
JulianDate dtStart = JulianDate.Today();
/*
* Flat Discount Curve
*/
DiscountCurve dc = DiscountCurveBuilder.CreateFromFlatRate(dtStart, "USD", 0.05);
/*
* Flat Credit Curve
*/
CreditCurve cc = CreditCurveBuilder.FromFlatHazard(dtStart.getJulian(), "CC", "USD", 0.02, 0.4);
/*
* Component Market Parameters built from the Discount and the Credit Curves
*/
ComponentMarketParams cmp = ComponentMarketParamsBuilder.MakeCreditCMP(dc, cc);
/*
* Create an SNAC CDS
*/
CreditDefaultSwap cds = CDSBuilder.CreateSNAC(dtStart, "5Y", 0.1, "CC");
/*
* Valuation Parameters
*/
ValuationParams valParams =
ValuationParams.CreateValParams(dtStart, 0, "", Convention.DR_ACTUAL);
/*
* Standard Credit Pricer Parameters (check javadoc for details)
*/
PricerParams pricerParams = PricerParams.MakeStdPricerParams();
System.out.println(
"Acc Start Acc End Pay Date Index Spread Cpn DCF Pay01 Surv01");
System.out.println(
"--------- --------- --------- ------ ------ -------- --------- --------");
/*
* CDS Coupon Cash Flow
*/
for (CashflowPeriodCurveFactors p : cds.getCouponFlow(valParams, pricerParams, cmp))
System.out.println(
JulianDate.fromJulian(p.getAccrualStartDate())
+ FIELD_SEPARATOR
+ JulianDate.fromJulian(p.getAccrualEndDate())
+ FIELD_SEPARATOR
+ JulianDate.fromJulian(p.getPayDate())
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(p.getIndexRate(), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(p.getSpread(), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(p.getCouponDCF(), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(dc.df(p.getPayDate()), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(cc.getSurvival(p.getPayDate()), 1, 4, 1.));
System.out.println(
"Loss Start Loss End Pay Date Cpn Notl Rec EffDF StartSurv EndSurv");
System.out.println(
"---------- -------- -------- --- ---- --- ----- --------- -------");
/*
* CDS Loss Cash Flow
*/
for (LossPeriodCurveFactors dp : cds.getLossFlow(valParams, pricerParams, cmp))
System.out.println(
JulianDate.fromJulian(dp.getStartDate())
+ FIELD_SEPARATOR
+ JulianDate.fromJulian(dp.getEndDate())
+ FIELD_SEPARATOR
+ JulianDate.fromJulian(dp.getPayDate())
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(dp.getCouponDCF(), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(dp.effectiveNotional(), 1, 0, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(dp.effectiveRecovery(), 1, 2, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(dp.effectiveDF(), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(dp.startSurvival(), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(dp.endSurvival(), 1, 4, 1.));
}
/**
* Construct NonlinearDiscountFactorDiscountCurve instance from an array of dates and forward
* rates
*
* @param dtStart Epoch Date
* @param strCurrency Currency
* @param collatParams Collateralization Parameters
* @param adblDate Array of Dates
* @param adblRate Array of Forward Rates
* @throws java.lang.Exception Thrown if the curve cannot be created
*/
public NonlinearDiscountFactorDiscountCurve(
final org.drip.analytics.date.JulianDate dtStart,
final java.lang.String strCurrency,
final org.drip.param.valuation.CollateralizationParams collatParams,
final double[] adblDate,
final double[] adblRate)
throws java.lang.Exception {
super(dtStart.julian(), strCurrency, collatParams);
if (null == adblDate
|| 0 == adblDate.length
|| null == adblRate
|| adblDate.length != adblRate.length
|| null == dtStart)
throw new java.lang.Exception("NonlinearDiscountFactorDiscountCurve ctr: Invalid inputs");
_dblEpochDate = dtStart.julian();
org.drip.spline.params.SegmentCustomBuilderControl sbp =
new org.drip.spline.params.SegmentCustomBuilderControl(
org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
new org.drip.spline.basis.PolynomialFunctionSetParams(2),
org.drip.spline.params.SegmentInelasticDesignControl.Create(0, 2),
null,
null);
int iNumSegment = adblDate.length;
_adblDate = new double[iNumSegment];
double[] adblDF = new double[iNumSegment];
org.drip.spline.params.SegmentCustomBuilderControl[] aSBP =
new org.drip.spline.params.SegmentCustomBuilderControl[adblDate.length - 1];
for (int i = 0; i < iNumSegment; ++i) {
_adblDate[i] = adblDate[i];
if (0 == i)
adblDF[0] = java.lang.Math.exp(adblRate[0] * (_dblEpochDate - _adblDate[0]) / 365.25);
else {
aSBP[i - 1] = sbp;
adblDF[i] =
java.lang.Math.exp(adblRate[i] * (_adblDate[i - 1] - _adblDate[i]) / 365.25)
* adblDF[i - 1];
}
}
_dblLeftFlatForwardRate =
-365.25 * java.lang.Math.log(adblDF[0]) / (_adblDate[0] - _dblEpochDate);
_dblRightFlatForwardRate =
-365.25
* java.lang.Math.log(adblDF[iNumSegment - 1])
/ (_adblDate[iNumSegment - 1] - _dblEpochDate);
_msr =
org.drip.spline.stretch.MultiSegmentSequenceBuilder.CreateCalibratedStretchEstimator(
"POLY_SPLINE_DF_REGIME",
adblDate,
adblDF,
aSBP,
null,
org.drip.spline.stretch.BoundarySettings.NaturalStandard(),
org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE);
}
@Override
public java.lang.String getComponentName() {
return "FloatingStream=" + org.drip.analytics.date.JulianDate.fromJulian(_dblMaturity);
}