В этом примере показано, как использовать Numerix® CROSSASSET API для устранения кривых процентных ставок для оценки риска.
Инициализируйте окружение Numerix.
import com.numerix.integration.*; import com.numerix.integration.implementation.*; n = numerix('i:\NumeriX_java_10_3_0\data')
n =
Path: 'i:\NumeriX_java_10_3_0\data'
RepositoryPath: 'i:\NumeriX_java_10_3_0\data\Repository'
Repository: [1x1 com.numerix.integration.implementation.FileSystemRepository]
Context: [1x1 com.numerix.integration.implementation.LocalCalculationContext]
LookupsPath: 'i:\NumeriX_java_10_3_0\data\Data\LookupRules'
MarketsPath: 'i:\NumeriX_java_10_3_0\data\Data\Markets'
FixingsPath: 'i:\NumeriX_java_10_3_0\data\Data\Fixings'
TradesPath: 'i:\NumeriX_java_10_3_0\data\Data\Trades'
Parameters: [1x1 com.numerix.integration.implementation.CalculationParameters]Укажите текущий рынок, сопоставленный со окружением Numerix CROSSASSET.
markets = get(n.Parameters,'Markets');
currentMarket = markets.get(0);
outInstance = RefObject(currentMarket);Определите ключ кривой процентной ставки IR.USD-LIBOR-3M.MID.
n.Context.tryResolveId('IR.USD-LIBOR-3M.MID',outInstance);
currentInstance = outInstance.argvalue;Установите образец и рынок.
n.Parameters.setMarkets(java.util.Arrays.asList(currentMarket)); n.Parameters.setInstances(java.util.Arrays.asList(currentInstance));
Вычислите снятие кривой процентной ставки.
results = n.Context.calculate(n.Parameters,Request.getAll);
Расчет возвращает результаты удаления кривой процентной ставки для IR.USD-LIBOR-3M.MID. Анализ результатов для MATLAB® и отображение.
% IR.USD-LIBOR-3M.MID.
r = n.parseResults(results)
disp([r.Instance r.Market])
disp([r.Results{1}.Name r.Results{1}.Category r.Results{1}.Currency r.Results{1}.Data])
disp([r.Results{1}.Name{1}])
disp([r.Results{1}.Data{1}])
r =
Instance: {'IR.USD-LIBOR-3M.MID'}
Market: {'EOD'}
Results: {[1x1 struct]}
'IR.USD-LIBOR-3M.MID' 'EOD'
'Curve Info' '' '' {30x3 cell}
'Messages' '' '' { 7x1 cell}
Curve Info
'KEY' 'DATE' 'DISCOUNTFACTOR'
'CASH RATE 16-APR-2012 17-APR-2012' 'Tue Apr 17 13:00:00 EDT 2012' [ 1.0000]
'CASH RATE 16-APR-2012 18-APR-2012' 'Wed Apr 18 13:00:00 EDT 2012' [ 1.0000]
'CASH RATE 16-APR-2012 23-APR-2012' 'Mon Apr 23 13:00:00 EDT 2012' [ 1.0000]
'CASH RATE 16-APR-2012 30-APR-2012' 'Mon Apr 30 13:00:00 EDT 2012' [ 0.9999]
'CASH RATE 16-APR-2012 16-MAY-2012' 'Wed May 16 13:00:00 EDT 2012' [ 0.9998]
'CASH RATE 16-APR-2012 18-JUN-2012' 'Mon Jun 18 13:00:00 EDT 2012' [ 0.9994]
'CASH RATE 16-APR-2012 16-JUL-2012' 'Mon Jul 16 13:00:00 EDT 2012' [ 0.9988]
'CASH RATE 18-MAY-2012 12-AUG-2012' 'Sun Aug 12 13:00:00 EDT 2012' [ 0.9987]
'CASH RATE 20-JUN-2012 20-SEP-2012' 'Thu Sep 20 13:00:00 EDT 2012' [ 0.9981]
'CASH RATE 18-JUL-2012 18-OCT-2012' 'Thu Oct 18 13:00:00 EDT 2012' [ 0.9975]
'CASH RATE 15-AUG-2012 15-NOV-2012' 'Thu Nov 15 12:00:00 EST 2012' [ 0.9973]
'CASH RATE 19-SEP-2012 19-DEC-2012' 'Wed Dec 19 12:00:00 EST 2012' [ 0.9968]
'CASH RATE 17-OCT-2012 17-JAN-2013' 'Thu Jan 17 12:00:00 EST 2013' [ 0.9962]
'CASH RATE 19-DEC-2012 19-MAR-2013' 'Tue Mar 19 13:00:00 EDT 2013' [ 0.9955]
'SWAP RATE 18-APR-2012 19-APR-2016' 'Tue Apr 19 13:00:00 EDT 2016' [ 0.9645]
'SWAP RATE 18-APR-2012 18-APR-2017' 'Tue Apr 18 13:00:00 EDT 2017' [ 0.9445]
'SWAP RATE 18-APR-2012 18-APR-2018' 'Wed Apr 18 13:00:00 EDT 2018' [ 0.9199]
'SWAP RATE 18-APR-2012 18-APR-2019' 'Thu Apr 18 13:00:00 EDT 2019' [ 0.8925]
'SWAP RATE 18-APR-2012 21-APR-2020' 'Tue Apr 21 13:00:00 EDT 2020' [ 0.8639]
'SWAP RATE 18-APR-2012 19-APR-2021' 'Mon Apr 19 13:00:00 EDT 2021' [ 0.8356]
'SWAP RATE 18-APR-2012 19-APR-2022' 'Tue Apr 19 13:00:00 EDT 2022' [ 0.8069]
'SWAP RATE 18-APR-2012 18-APR-2023' 'Tue Apr 18 13:00:00 EDT 2023' [ 0.7784]
'SWAP RATE 18-APR-2012 18-APR-2024' 'Thu Apr 18 13:00:00 EDT 2024' [ 0.7506]
'SWAP RATE 18-APR-2012 19-APR-2027' 'Mon Apr 19 13:00:00 EDT 2027' [ 0.6733]
'SWAP RATE 18-APR-2012 20-APR-2032' 'Tue Apr 20 13:00:00 EDT 2032' [ 0.5682]
'SWAP RATE 18-APR-2012 20-APR-2037' 'Mon Apr 20 13:00:00 EDT 2037' [ 0.4828]
'SWAP RATE 18-APR-2012 21-APR-2042' 'Mon Apr 21 13:00:00 EDT 2042' [ 0.4112]
'SWAP RATE 18-APR-2012 18-APR-2052' 'Thu Apr 18 13:00:00 EDT 2052' [ 0.3087]
'SWAP RATE 18-APR-2012 18-APR-2062' 'Tue Apr 18 13:00:00 EDT 2062' [ 0.2414]numerix | numerixCrossAsset | parseResults