Working with Simple Numerix Trades

This example shows how to price a callable reverse floater using Numerix® CAIL.

Initialize Numerix environment.

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]

Create a market.

quotes = java.util.HashMap;
quotes.put('IR.USD-LIBOR-3M.SWAP-1Y.MID', 0.0066056);
quotes.put('IR.USD-LIBOR-3M.SWAP-10Y.MID', 0.022465005);
quotes.put('IR.USD-LIBOR-3M.SWAP-20Y.MID', 0.027544995);
market = Market('EOD_14-NOV-2011', DateExtensions.date('14-Nov-2011'), quotes.entrySet);

Define a trade instance for a callable reverse floater based on instrument template located in the Repository.

tradeDescriptor = 'TRADE.IR.CALLABLEREVERSEFLOATER';
tradeParameters = java.util.HashMap;
tradeParameters.put('Trade ID','1001');
tradeParameters.put('Quote Type', 'MID');
tradeParameters.put('Currency', 'USD');
tradeParameters.put('Notional', 1000000.0);
tradeParameters.put('Effective Date', DateExtensions.date('1-Dec-2011'));
tradeParameters.put('Termination Date', DateExtensions.date('1-Dec-2021'));
tradeParameters.put('IR Index', 'LIBOR');
tradeParameters.put('IR Index Tenor', '3M');
tradeParameters.put('Structured Freq', '3M');
tradeParameters.put('Structured Side', 'Receive');
tradeParameters.put('Structured Coupon Floor', 0.0);
tradeParameters.put('Structured Coupon UpBd', 0.08);
tradeParameters.put('StructuredCoupon Multiplier', 1.4);
tradeParameters.put('Structured Coupon Cap', 0.05);
tradeParameters.put('Structured Basis', 'ACT/360');
tradeParameters.put('Funding Freq', '3M');
tradeParameters.put('Funding Side', 'Pay');
tradeParameters.put('Funding Spread', 0.003);
tradeParameters.put('Funding Basis', 'ACT/360');
tradeParameters.put('Call Start Date', DateExtensions.date('1-Dec-2013'));
tradeParameters.put('Call End Date', DateExtensions.date('1-Dec-2020'));
tradeParameters.put('Option Side', 'Short');
tradeParameters.put('Option Type', 'Right to Terminate');
tradeParameters.put('Call Frequency', '3M');
tradeParameters.put('Model', 'IR.USD-LIBOR-3M.MID.DET');
tradeParameters.put('Method', 'BackwardAnalytic');

Create the trade instance.

trade = RepositoryExtensions.createTradeInstance(n.Repository, tradeDescriptor, tradeParameters)

Price the trade.

results = CalculationContextExtensions.calculate(n.Context, trade, market, Request.getAll);

Parse the results for MATLAB® and display.

r = n.parseResults(results)
disp([r.Name r.Category r.Currency r.Data])
r = 

    Category: {13x1 cell}
    Currency: {13x1 cell}
        Name: {13x1 cell}
        Data: {13x1 cell}

    'Reporting Currency'           'Price'       ''       'USD'        
    'Structured Cashflow Log'      'Cashflow'    ''        {41x20 cell}
    'Structured Leg PV Accrued'    'Price'       'USD'    [          0]
    'PV'                           'Price'       'USD'    [ 6.4133e+04]
    'Structured Leg PV Clean'      'Price'       'USD'    [ 4.2637e+05]
    'Option PV'                    'Price'       'USD'    [-1.3220e+05]
    'Funding Cashflow Log'         'Cashflow'    ''        {41x20 cell}
    'Structured Leg PV'            'Price'       'USD'    [ 4.2637e+05]
    'Funding Leg PV'               'Price'       'USD'    [-2.3004e+05]
    'Funding Leg PV Accrued'       'Price'       'USD'    [          0]
    'Funding Leg PV Clean'         'Price'       'USD'    [-2.3004e+05]
    'Yield Risk Report'            ''            ''        { 4x30 cell}
    'Messages'                     ''            ''        { 4x1  cell}

See Also

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