Use Numerix for Interest-Rate Risk Assessment
This example shows how to use the Numerix® CROSSASSET API for interest-rate curve stripping for risk assessment.
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]
Specify the current market associated with the Numerix CROSSASSET environment.
markets = get(n.Parameters,'Markets');
currentMarket = markets.get(0);
outInstance = RefObject(currentMarket);
Define the interest-rate curve key
IR.USD-LIBOR-3M.MID
.
n.Context.tryResolveId('IR.USD-LIBOR-3M.MID',outInstance);
currentInstance = outInstance.argvalue;
Set the instance and market.
n.Parameters.setMarkets(java.util.Arrays.asList(currentMarket)); n.Parameters.setInstances(java.util.Arrays.asList(currentInstance));
Calculate the interest-rate curve stripping.
results = n.Context.calculate(n.Parameters,Request.getAll);
The calculation returns the results from stripping the interest-rate curve for
IR.USD-LIBOR-3M.MID
. Parse the results for MATLAB® and display.
% 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]
See Also
numerix
| parseResults
| numerixCrossAsset
Related Topics
- Working with Simple Numerix Trades
- Working with Advanced Numerix Trades
- Use Numerix to Price Cash Deposits