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;
}
@Test(dataProvider = "mainparam", dataProviderClass = org.drip.sample.TestNGDataProvider.class)
public static void main(final String[] astrArgs) throws Exception {
/*
* Initialize the Credit Analytics Library
*/
CreditAnalytics.Init("");
JulianDate dtValue = DateUtil.CreateFromYMD(2012, DateUtil.DECEMBER, 11);
String strTenor = "1M";
String strCurrency = "USD";
ForwardLabel fri = ForwardLabel.Create(strCurrency, strTenor);
DiscountCurve dcEONIA = OvernightIndexCurve.MakeDC(dtValue, strCurrency);
SegmentCustomBuilderControl scbcCubic =
new SegmentCustomBuilderControl(
MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
new PolynomialFunctionSetParams(5),
SegmentInelasticDesignControl.Create(2, 2),
new ResponseScalingShapeControl(true, new QuadraticRationalShapeControl(0.)),
null);
/*
* Construct the Array of Deposit Instruments and their Quotes from the given set of parameters
*/
double[] adblDepositQuote = new double[] {0.000661, 0.000980, 0.000993};
String[] astrDepositTenor = new String[] {"1D", "7D", "14D"};
/*
* Construct the Array of Fix-Float Component and their Quotes from the given set of parameters
*/
double[] adblFixFloatQuote =
new double[] {
0.001100, 0.001060, 0.000960, 0.000850, 0.000790, 0.000750, 0.000710, 0.000690, 0.000660,
0.000650, 0.000640, 0.000630
};
String[] astrFixFloatTenor =
new String[] {"1M", "2M", "3M", "4M", "5M", "6M", "7M", "8M", "9M", "10M", "11M", "12M"};
/*
* Construct the Array of Float-Float Component and their Quotes from the given set of parameters
*/
double[] adblFloatFloatQuote =
new double[] {
0.002260, // 2Y
0.002380, // 3Y
0.002460, // 4Y
0.002500, // 5Y
0.002500, // 6Y
0.002480, // 7Y
0.002450, // 8Y
0.002410, // 9Y
0.002370, // 10Y
0.002330, // 11Y
0.002280, // 12Y
0.002110, // 15Y
0.001890, // 20Y
0.001750, // 25Y
0.001630 // 30Y
};
String[] astrFloatFloatTenor =
new String[] {
"2Y", "3Y", "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "11Y", "12Y", "15Y", "20Y", "25Y",
"30Y"
};
/*
* Construct the Array of Terminal Synthetic Float-Float Components and their Quotes from the given set of parameters
*/
String[] astrSyntheticFloatFloatTenor = new String[] {"35Y", "40Y", "50Y", "60Y"};
double[] adblSyntheticFloatFloatQuote = new double[] {0.001630, 0.001630, 0.001630, 0.001630};
ForwardCurve fc6M = IBOR6MCubicPolyVanilla.Make6MForward(dtValue, strCurrency, "6M", true);
ForwardCurve fc =
IBORCurve.CustomIBORBuilderSample(
dcEONIA,
fc6M,
fri,
scbcCubic,
astrDepositTenor,
adblDepositQuote,
"ForwardRate",
null,
null,
"ParForwardRate",
astrFixFloatTenor,
adblFixFloatQuote,
"SwapRate",
astrFloatFloatTenor,
adblFloatFloatQuote,
"DerivedParBasisSpread",
astrSyntheticFloatFloatTenor,
adblSyntheticFloatFloatQuote,
"DerivedParBasisSpread",
"---- VANILLA QUARTIC POLYNOMIAL FORWARD CURVE ---",
true);
IBORCurve.ForwardJack(
dtValue,
"---- VANILLA QUARTIC POLYNOMIAL FORWARD CURVE SENSITIVITY ---",
fc,
"DerivedParBasisSpread");
}
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;
}
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|----------------------------------------------------------------------------|");
}
