/**
* 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;
}
/**
* 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 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;
}
/**
* 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);
}
