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()));
}
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")));
}
}
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()));
}
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 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 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]));
}