/**
* Print the Contents of the 2D Array Triplet
*
* @param strLeftLabel Left Label
* @param strMiddleLabel Middle Label
* @param strRightLabel Right Label
* @param aadblLeft The Left 2D array
* @param aadblMiddle The Middle 2D array
* @param aadblRight The Right 2D array
* @param bBailOnNaN Bail on encountering an NaN
* @return TRUE => Print Successful
*/
public static final boolean Print2DArrayTriplet(
final java.lang.String strLeftLabel,
final java.lang.String strMiddleLabel,
final java.lang.String strRightLabel,
final double[][] aadblLeft,
final double[][] aadblMiddle,
final double[][] aadblRight,
final boolean bBailOnNaN) {
if (null == aadblLeft || null == aadblMiddle || null == aadblRight) return false;
int iSize = aadblLeft.length;
if (0 == iSize || iSize != aadblMiddle.length || iSize != aadblRight.length) return false;
for (int i = 0; i < iSize; ++i) {
for (int j = 0; j < iSize; ++j) {
if (!org.drip.quant.common.NumberUtil.IsValid(aadblLeft[i][j])
&& !org.drip.quant.common.NumberUtil.IsValid(aadblLeft[i][j])
&& !org.drip.quant.common.NumberUtil.IsValid(aadblRight[i][j])
&& bBailOnNaN) return false;
System.out.println(
strLeftLabel
+ "["
+ i
+ "]["
+ j
+ "] = "
+ org.drip.quant.common.FormatUtil.FormatDouble(aadblLeft[i][j], 1, 6, 1.)
+ " | "
+ strMiddleLabel
+ "["
+ i
+ "]["
+ j
+ "] = "
+ org.drip.quant.common.FormatUtil.FormatDouble(aadblMiddle[i][j], 1, 6, 1.)
+ " | "
+ strRightLabel
+ "["
+ i
+ "]["
+ j
+ "] = "
+ org.drip.quant.common.FormatUtil.FormatDouble(aadblRight[i][j], 1, 6, 1.));
}
}
return true;
}
/**
* Print the contents of the 2D array
*
* @param strName Label Name
* @param aadblA The 2D array
* @param bBailOnNaN Bail on encountering an NaN
* @return TRUE => Print Successful
*/
public static final boolean Print2DArray(
final java.lang.String strName, final double[][] aadblA, final boolean bBailOnNaN) {
if (null == aadblA || 0 == aadblA.length) return false;
int iSize = aadblA.length;
for (int i = 0; i < iSize; ++i) {
for (int j = 0; j < iSize; ++j) {
if (!org.drip.quant.common.NumberUtil.IsValid(aadblA[i][j]) && bBailOnNaN) return false;
System.out.println(
strName
+ "["
+ i
+ "]["
+ j
+ "] = "
+ org.drip.quant.common.FormatUtil.FormatDouble(aadblA[i][j], 1, 6, 1.));
}
}
return true;
}
@Override
public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> value(
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.pricer.PricerParams pricerParams,
final org.drip.param.definition.ComponentMarketParams mktParams,
final org.drip.param.valuation.QuotingParams quotingParams) {
if (null == valParams || null == mktParams) return null;
org.drip.analytics.rates.DiscountCurve dc = mktParams.getDiscountCurve();
if (null == dc) return null;
long lStart = System.nanoTime();
double dblFixing01 = 0.;
double dblAccrued01 = 0.;
double dblDirtyDV01 = 0.;
boolean bFirstPeriod = true;
double dblDirtyFloatingPV = 0.;
double dblCashPayDF = java.lang.Double.NaN;
double dblResetDate = java.lang.Double.NaN;
double dblResetRate = java.lang.Double.NaN;
java.lang.String strFRI = _fri.fullyQualifiedName();
org.drip.analytics.rates.ForwardRateEstimator fc = mktParams.getForwardCurve();
if (null != fc && !_fri.match(fc.index())) fc = null;
for (org.drip.analytics.period.CashflowPeriod period : _lsCouponPeriod) {
double dblFloatingRate = 0.;
double dblDirtyPeriodDV01 = java.lang.Double.NaN;
double dblPeriodPayDate = period.getPayDate();
if (dblPeriodPayDate < valParams.valueDate()) continue;
if (null == fc) fc = dc.forwardRateEstimator(dblPeriodPayDate, _fri);
try {
if (bFirstPeriod) {
bFirstPeriod = false;
if (null == mktParams.getFixings()
|| null
== mktParams
.getFixings()
.get(new org.drip.analytics.date.JulianDate(period.getResetDate()))
|| null
== mktParams
.getFixings()
.get(new org.drip.analytics.date.JulianDate(period.getResetDate()))
.get(strFRI))
dblResetRate =
dblFloatingRate =
null == fc ? dc.libor(_fri.tenor()) : fc.forward(period.getPayDate());
else
dblResetRate =
dblFloatingRate =
mktParams
.getFixings()
.get(new org.drip.analytics.date.JulianDate(period.getResetDate()))
.get(strFRI);
dblFixing01 =
period.getAccrualDCF(valParams.valueDate())
* 0.0001
* getNotional(period.getAccrualStartDate(), valParams.valueDate());
if (period.getStartDate() < valParams.valueDate()) dblAccrued01 = dblFixing01;
dblResetDate = period.getResetDate();
} else
dblFloatingRate =
null == fc
? dc.libor(period.getStartDate(), period.getEndDate())
: fc.forward(period.getPayDate());
dblDirtyPeriodDV01 =
0.0001
* period.getCouponDCF()
* mktParams.getDiscountCurve().df(dblPeriodPayDate)
* getNotional(period.getAccrualStartDate(), period.getEndDate());
} catch (java.lang.Exception e) {
e.printStackTrace();
return null;
}
if (s_bBlog) {
try {
System.out.println(
new org.drip.analytics.date.JulianDate(period.getResetDate())
+ " ["
+ new org.drip.analytics.date.JulianDate(period.getStartDate())
+ "->"
+ new org.drip.analytics.date.JulianDate(period.getEndDate())
+ "] => "
+ org.drip.quant.common.FormatUtil.FormatDouble(dblFloatingRate, 1, 4, 100.));
} catch (java.lang.Exception e) {
e.printStackTrace();
}
}
dblDirtyDV01 += dblDirtyPeriodDV01;
dblDirtyFloatingPV += dblDirtyPeriodDV01 * 10000. * dblFloatingRate;
}
try {
double dblCashSettle = valParams.cashPayDate();
if (null != _settleParams)
dblCashSettle = _settleParams.cashSettleDate(valParams.valueDate());
dblCashPayDF = mktParams.getDiscountCurve().df(dblCashSettle);
} catch (java.lang.Exception e) {
e.printStackTrace();
return null;
}
dblDirtyDV01 /= dblCashPayDF;
dblDirtyFloatingPV /= dblCashPayDF;
double dblCleanDV01 = dblDirtyDV01 - dblAccrued01;
double dblCleanFloatingPV = dblDirtyFloatingPV - dblAccrued01 * (dblResetRate + _dblSpread);
org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapResult =
new org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>();
mapResult.put("ResetDate", dblResetDate);
mapResult.put("ResetRate", dblResetRate);
mapResult.put("Accrued01", dblAccrued01 * _dblNotional);
mapResult.put("Fixing01", dblFixing01 * _dblNotional);
mapResult.put(
"FloatAccrued", dblAccrued01 * 10000. * (dblResetRate + _dblSpread) * _dblNotional);
mapResult.put("DV01", dblCleanDV01 * _dblNotional);
mapResult.put("CleanDV01", dblCleanDV01 * _dblNotional);
mapResult.put("DirtyDV01", dblDirtyDV01 * _dblNotional);
mapResult.put("CleanFloatingPV", dblCleanFloatingPV * _dblNotional);
mapResult.put("DirtyFloatingPV", dblDirtyFloatingPV * _dblNotional);
mapResult.put("PV", dblCleanFloatingPV * _dblNotional);
mapResult.put("CleanPV", dblCleanFloatingPV * _dblNotional);
mapResult.put("DirtyPV", dblDirtyFloatingPV * _dblNotional);
mapResult.put("Upfront", dblCleanFloatingPV * _dblNotional);
mapResult.put("FairPremium", dblCleanFloatingPV / dblCleanDV01);
mapResult.put("Rate", dblCleanFloatingPV / dblCleanDV01);
mapResult.put("ParRate", dblCleanFloatingPV / dblCleanDV01);
double dblValueNotional = java.lang.Double.NaN;
try {
dblValueNotional = getNotional(valParams.valueDate());
} catch (java.lang.Exception e) {
e.printStackTrace();
}
if (org.drip.quant.common.NumberUtil.IsValid(dblValueNotional)) {
double dblPrice = 100. * (1. + (dblCleanFloatingPV / _dblNotional / dblValueNotional));
mapResult.put("Price", dblPrice);
mapResult.put("CleanPrice", dblPrice);
}
mapResult.put("CalcTime", (System.nanoTime() - lStart) * 1.e-09);
return mapResult;
}
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.));
}
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|----------------------------------------------------------------------------|");
}