private static final void CustomForwardCurveBuilderSample() throws Exception {
/*
* Initialize the Credit Analytics Library
*/
CreditAnalytics.Init("");
String strCurrency = "AUD";
JulianDate dtToday = DateUtil.Today().addTenor("0D");
/*
* Construct the Discount Curve using its instruments and quotes
*/
DiscountCurve dc = MakeDC(dtToday, strCurrency);
System.out.println("\n------------------------------------------------------------");
System.out.println("------------------- 1M-6M Basis Swap -----------------");
/*
* Build and run the sampling for the 1M-6M Tenor Basis Swap from its instruments and quotes.
*/
Map<String, ForwardCurve> mapForward1M6M =
xM6MBasisSample(
dtToday,
strCurrency,
dc,
1,
new String[] {
"1Y", "2Y", "3Y", "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "11Y", "12Y", "15Y",
"20Y", "25Y", "30Y"
},
new double[] {
0.00551, // 1Y
0.00387, // 2Y
0.00298, // 3Y
0.00247, // 4Y
0.00211, // 5Y
0.00185, // 6Y
0.00165, // 7Y
0.00150, // 8Y
0.00137, // 9Y
0.00127, // 10Y
0.00119, // 11Y
0.00112, // 12Y
0.00096, // 15Y
0.00079, // 20Y
0.00069, // 25Y
0.00062 // 30Y
});
/*
* Build and run the sampling for the 3M-6M Tenor Basis Swap from its instruments and quotes.
*/
System.out.println("\n------------------------------------------------------------");
System.out.println("------------------- 3M-6M Basis Swap -----------------");
Map<String, ForwardCurve> mapForward3M6M =
xM6MBasisSample(
dtToday,
strCurrency,
dc,
3,
new String[] {
"1Y", "2Y", "3Y", "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "11Y", "12Y", "15Y",
"20Y", "25Y", "30Y"
},
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
});
/*
* Build and run the sampling for the 12M-6M Tenor Basis Swap from its instruments and quotes.
*/
System.out.println("\n------------------------------------------------------------");
System.out.println("------------------- 12M-6M Basis Swap -----------------");
Map<String, ForwardCurve> mapForward12M6M =
xM6MBasisSample(
dtToday,
strCurrency,
dc,
12,
new String[] {
"1Y", "2Y", "3Y", "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "11Y", "12Y", "15Y",
"20Y", "25Y", "30Y", "35Y", "40Y"
},
new double[] {
-0.00212, // 1Y
-0.00152, // 2Y
-0.00117, // 3Y
-0.00097, // 4Y
-0.00082, // 5Y
-0.00072, // 6Y
-0.00063, // 7Y
-0.00057, // 8Y
-0.00051, // 9Y
-0.00047, // 10Y
-0.00044, // 11Y
-0.00041, // 12Y
-0.00035, // 15Y
-0.00028, // 20Y
-0.00025, // 25Y
-0.00022, // 30Y
-0.00022, // 35Y Extrapolated
-0.00022, // 40Y Extrapolated
});
System.out.println(
"\n--------------------------------------------------------------------------------------------------------------------------------------------");
System.out.println(
"------------------------------------------------------- 1M-6M Micro Jack -------------------------------------------------------------------");
System.out.println(
"--------------------------------------------------------------------------------------------------------------------------------------------\n");
ForwardJack(dtToday, mapForward1M6M);
System.out.println(
"\n--------------------------------------------------------------------------------------------------------------------------------------------");
System.out.println(
"------------------------------------------------------- 3M-6M Micro Jack -------------------------------------------------------------------");
System.out.println(
"--------------------------------------------------------------------------------------------------------------------------------------------\n");
ForwardJack(dtToday, mapForward3M6M);
System.out.println(
"\n--------------------------------------------------------------------------------------------------------------------------------------------");
System.out.println(
"------------------------------------------------------ 12M-6M Micro Jack -------------------------------------------------------------------");
System.out.println(
"--------------------------------------------------------------------------------------------------------------------------------------------\n");
ForwardJack(dtToday, mapForward12M6M);
}
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|----------------------------------------------------------------------------|");
}
