final Quote zc6mRate = new SimpleQuote(zc6mQuote);
final Quote zc1yRate = new SimpleQuote(zc1yQuote);
final DayCounter zcBondsDayCounter = new Actual365Fixed();
final RateHelper zc3m = new DepositRateHelper(
new Handle<Quote>(zc3mRate), new Period(3, TimeUnit.Months),
fixingDays, calendar,
BusinessDayConvention.ModifiedFollowing, true, zcBondsDayCounter);
final RateHelper zc6m = new DepositRateHelper(
new Handle<Quote>(zc6mRate), new Period(6, TimeUnit.Months),
fixingDays, calendar,
BusinessDayConvention.ModifiedFollowing, true, zcBondsDayCounter);
final RateHelper zc1y = new DepositRateHelper(
new Handle<Quote>(zc1yRate), new Period(1, TimeUnit.Years),
fixingDays, calendar,
BusinessDayConvention.ModifiedFollowing, true, zcBondsDayCounter);
// setup bonds
final double redemption = 100.0;
final int numberOfBonds = 5;
final Date issueDates[] = {
new Date(15, Month.March, 2005),
new Date(15, Month.June, 2005),
new Date(30, Month.June, 2006),
new Date(15, Month.November, 2002),
new Date(15, Month.May, 1987) };
final Date maturities[] = {
new Date(31, Month.August, 2010),
new Date(31, Month.August, 2011),
new Date(31, Month.August, 2013),
new Date(15, Month.August, 2018),
new Date(15, Month.May, 2038) };
final double couponRates[] = { 0.02375,
0.04625,
0.03125,
0.04000,
0.04500
};
final double marketQuotes[] = { 100.390625,
106.21875,
100.59375,
101.6875,
102.140625
};
final List<SimpleQuote> quote = new ArrayList<SimpleQuote>(numberOfBonds);
final List<RelinkableHandle<Quote>> quoteHandle = new ArrayList<RelinkableHandle<Quote>>(numberOfBonds);
for (int i = 0; i < numberOfBonds; i++) {
final SimpleQuote sq = new SimpleQuote(marketQuotes[i]);
final RelinkableHandle<Quote> handle = new RelinkableHandle<Quote>(sq);
quote.add(sq);
quoteHandle.add(handle);
}
// Definition of the rate helpers
// final List<FixedRateBondHelper<YieldTermStructure>> bondsHelpers = new ArrayList<FixedRateBondHelper<YieldTermStructure>>();
final List<FixedRateBondHelper> bondsHelpers = new ArrayList<FixedRateBondHelper>();
for (int i = 0; i < numberOfBonds; i++) {
final Schedule schedule = new Schedule(
issueDates[i], maturities[i],
new Period(Frequency.Semiannual),
new UnitedStates(UnitedStates.Market.GOVERNMENTBOND),
BusinessDayConvention.Unadjusted,
BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward,
false);
final FixedRateBondHelper bondHelper = new FixedRateBondHelper(
quoteHandle.get(i),
settlementDays,
100.0,
schedule,
new double[]{ couponRates[i] },
new ActualActual(ActualActual.Convention.Bond),
BusinessDayConvention.Unadjusted,
redemption,
issueDates[i]);
bondsHelpers.add(bondHelper);
}
/*********************
** CURVE BUILDING **
*********************/
// Any DayCounter would be fine.
// ActualActual::ISDA ensures that 30 years is 30.0
final DayCounter termStructureDayCounter = new ActualActual(ActualActual.Convention.ISDA);
final double tolerance = 1.0e-15;
// A depo-bond curve
final List<RateHelper> bondInstruments = new ArrayList<RateHelper>();
// Adding the ZC bonds to the curve for the short end
bondInstruments.add(zc3m);
bondInstruments.add(zc6m);
bondInstruments.add(zc1y);
// Adding the Fixed rate bonds to the curve for the long end
for (int i = 0; i < numberOfBonds; i++) {
bondInstruments.add(bondsHelpers.get(i));
}
final RateHelper[] instruments1 = new RateHelper[bondInstruments.size()];
bondInstruments.toArray(instruments1);
final Handle[] jumps1 = new Handle[0];
final Date[] jumpDates1 = new Date[0];
final double tolerance1 = 1.0e-15;
final LogLinear interpolator = null;
final IterativeBootstrap bootstrap = null;
final YieldTermStructure bondDiscountingTermStructur =
new PiecewiseYieldCurve<Discount,LogLinear,IterativeBootstrap>(
Discount.class, LogLinear.class, IterativeBootstrap.class,
settlementDate,
instruments1,
termStructureDayCounter,
jumps1,
jumpDates1,
tolerance1,
interpolator,
bootstrap){/* anonymous */};
// Building of the Libor forecasting curve
// deposits
final double d1wQuote = 0.043375;
final double d1mQuote = 0.031875;
final double d3mQuote = 0.0320375;
final double d6mQuote = 0.03385;
final double d9mQuote = 0.0338125;
final double d1yQuote = 0.0335125;
// swaps
final double s2yQuote = 0.0295;
final double s3yQuote = 0.0323;
final double s5yQuote = 0.0359;
final double s10yQuote = 0.0412;
final double s15yQuote = 0.0433;
/********************
*** QUOTES ***
********************/
// SimpleQuote stores a value which can be manually changed;
// other Quote subclasses could read the value from a database
// or some kind of data feed.
// deposits
final Quote d1wRate = (new SimpleQuote(d1wQuote));
final Quote d1mRate = (new SimpleQuote(d1mQuote));
final Quote d3mRate = (new SimpleQuote(d3mQuote));
final Quote d6mRate = (new SimpleQuote(d6mQuote));
final Quote d9mRate = (new SimpleQuote(d9mQuote));
final Quote d1yRate = (new SimpleQuote(d1yQuote));
// swaps
final Quote s2yRate = (new SimpleQuote(s2yQuote));
final Quote s3yRate = (new SimpleQuote(s3yQuote));
final Quote s5yRate = (new SimpleQuote(s5yQuote));
final Quote s10yRate = (new SimpleQuote(s10yQuote));
final Quote s15yRate = (new SimpleQuote(s15yQuote));
/*********************
*** RATE HELPERS ***
*********************/
// RateHelpers are built from the above quotes together with
// other instrument dependant infos. Quotes are passed in
// relinkable handles which could be relinked to some other
// data source later.
// deposits
final DayCounter depositDayCounter = new Actual360();
final RateHelper d1w = new DepositRateHelper(
new Handle<Quote>(d1wRate),
new Period(1, TimeUnit.Weeks),
fixingDays, calendar,
BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
final RateHelper d1m = new DepositRateHelper(
new Handle<Quote>(d1mRate),
new Period(1, TimeUnit.Months),
fixingDays, calendar,
BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
final RateHelper d3m = new DepositRateHelper(
new Handle<Quote>(d3mRate),
new Period(3, TimeUnit.Months),
fixingDays, calendar,
BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
final RateHelper d6m = new DepositRateHelper(
new Handle<Quote>(d6mRate),
new Period(6, TimeUnit.Months),
fixingDays, calendar,
BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
final RateHelper d9m = new DepositRateHelper(
new Handle<Quote>(d9mRate),
new Period(9, TimeUnit.Months),
fixingDays, calendar,
BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
final RateHelper d1y = new DepositRateHelper(
new Handle<Quote>(d1yRate),
new Period(1, TimeUnit.Years),
fixingDays, calendar,
BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);