// Extended demo code for FIA/Java // Shows initialisation of all types of variables, exporting results import com.flametree.attribution.fia_java; import com.flametree.attribution.stringmatrix; import com.flametree.attribution.stringvector; public class demo_java { //------------------------------------------------------------------------- public static stringvector ConvertStringArrayToStringVector( String[] v ) { stringvector v_data = new stringvector( v.length ); for ( int i = 0; i < v.length; i++ ) v_data.set ( i, v[i] ); return v_data; } //------------------------------------------------------------------------- public static stringmatrix ConvertStringArrayToStringMatrix( String[][] s ) { stringmatrix s_data = new stringmatrix( s.length ); for ( int i = 0; i < s.length; i++ ) { stringvector s1 = new stringvector ( s[i].length ); for ( int j = 0; j < s[i].length; j++ ) s1.set ( j, s[i][j] ); s_data.set ( i, s1 ); } return s_data; } //------------------------------------------------------------------------- public static void main( String argv[] ) { System.loadLibrary( "fia_java" ); fia_java.FIA_init(); System.out.println( "Running Flametree version " + fia_java.FIA_get_version() ); String[][] s = { {"ZERO_INTEREST_CASH", "ZERO_INTEREST_CASH", "SECURITY_TYPE=CASH", "", "FT_CASH", "", "", "", "AUD", "", "", "", "", "", "", "", ""}, {"BANK_BILL", "BANK_BILL", "SECURITY_TYPE=BILL", "", "FT_BILL", "", "", "", "AUD", "", "BASE_CURVE", "", "2011-Jan-01", "", "", "", ""}, {"VANILLA_BOND", "VANILLA_BOND", "SECURITY_TYPE=BOND", "", "FT_BOND_ZERO_CURVE", "", "", "", "AUD", "", "BASE_CURVE|SECTOR_CURVE", "", "2019-Jan-01", "0.04", "2", "", ""}, {"DELAYED_BOND", "DELAYED_BOND", "SECURITY_TYPE=BOND", "", "FT_BOND_ZERO_CURVE", "", "", "", "AUD", "", "BASE_CURVE", "2015-Jan-01", "2019-Jan-01", "0.05", "2", "", ""}, {"IL_BOND", "IL_BOND", "SECURITY_TYPE=IL BOND", "", "FT_BOND_ZERO_CURVE", "Inflation(AUD_CPI)", "", "", "AUD", "", "BASE_CURVE", "", "2019-Jan-15", "0.04", "4", "", ""}, {"FRN", "FRN", "SECURITY_TYPE=FRN", "", "FT_FRN_ZERO_CURVE(MONTHLY_LIBOR)", "", "", "", "AUD", "", "BASE_CURVE", "", "2019-Jan-01", "0.0025", "12", "", ""}, {"PERTURBATIONAL", "PERTURBATIONAL", "SECURITY_TYPE=BOND", "", "", "", "", "", "AUD", "", "BASE_CURVE|SECTOR_CURVE", "", "2011-Jan-01", "0.05", "2", "", ""}, {"AMORTIZING_BOND", "AMORTIZING_BOND", "SECURITY_TYPE=BOND", "", "FT_SINKER_ZERO_CURVE", "", "", "", "AUD", "", "BASE_CURVE", "", "2019-Jan-01", "0.05", "4", "", "8.5"}, {"CDS", "CDS", "SECURITY_TYPE=CDS", "", "FT_CDS", "", "", "", "AUD", "", "BASE_CURVE", "", "2019-Jan-01", "0.04", "12", "", ""} }; String[][] p = { { "2010-Jan-01", "PTF", "ZERO_INTEREST_CASH", "1.0", "0.0", "0.0", "", "", "" }, { "2011-Jan-01", "PTF", "VANILLA_BOND", "1.0", "0.0", "0.0", "", "", "" }, { "2011-Jan-01", "PTF", "ZERO_INTEREST_CASH", "1.0", "0.0", "0.0", "", "", "" }, { "2011-Jan-01", "PTF", "BANK_BILL", "1.0", "0.0", "0.0", "", "", "" }, { "2011-Jan-01", "PTF", "DELAYED_BOND", "1.0", "0.0", "0.0", "", "", "" }, { "2011-Jan-01", "PTF", "IL_BOND", "1.0", "0.0", "0.0", "", "", "" }, { "2011-Jan-01", "PTF", "FRN", "1.0", "0.0", "0.0", "", "", "" }, { "2011-Jan-01", "PTF", "CDS", "1.0", "0.0", "0.0", "", "", "" }, { "2011-Jan-01", "PTF", "PERTURBATIONAL", "1.0", "0.0", "0.0", "0.05", "5.0", "0.2" }, { "2011-Jan-01", "PTF", "AMORTIZING_BOND", "1.0", "0.0", "0.0", "", "", "" } }; String[][] b = { { "2010-Jan-01", "PTF", "ZERO_INTEREST_CASH", "1.0", "0.0", "0.0", "", "", "" }, { "2011-Jan-01", "PTF", "VANILLA_BOND", "1.0", "0.0", "0.0", "", "", "" }, { "2011-Jan-01", "PTF", "ZERO_INTEREST_CASH", "1.0", "0.0", "0.0", "", "", "" }, { "2011-Jan-01", "PTF", "BANK_BILL", "1.0", "0.0", "0.0", "", "", "" }, { "2011-Jan-01", "PTF", "DELAYED_BOND", "1.0", "0.0", "0.0", "", "", "" }, { "2011-Jan-01", "PTF", "IL_BOND", "1.0", "0.0", "0.0", "", "", "" }, { "2011-Jan-01", "PTF", "FRN", "1.0", "0.0", "0.0", "", "", "" }, { "2011-Jan-01", "PTF", "CDS", "1.0", "0.0", "0.0", "", "", "" }, { "2011-Jan-01", "PTF", "PERTURBATIONAL", "1.0", "0.0", "0.0", "0.05", "5.0", "0.2" }, { "2011-Jan-01", "PTF", "AMORTIZING_BOND", "1.0", "0.0", "0.0", "", "", "" } }; // Set up yield curve data String [][] y = { {"BASE_CURVE", "2010-Jan-01", "0.0", "0.050"}, {"BASE_CURVE", "2010-Jan-01", "4.0", "0.050"}, {"BASE_CURVE", "2010-Jan-01", "8.0", "0.050"}, {"BASE_CURVE", "2011-Jan-01", "0.0", "0.045"}, {"BASE_CURVE", "2011-Jan-01", "4.0", "0.045"}, {"BASE_CURVE", "2011-Jan-01", "8.0", "0.045"}, {"SECTOR_CURVE", "2010-Jan-01", "0.0", "0.055"}, {"SECTOR_CURVE", "2010-Jan-01", "4.0", "0.055"}, {"SECTOR_CURVE", "2010-Jan-01", "8.0", "0.055"}, {"SECTOR_CURVE", "2011-Jan-01", "0.0", "0.051"}, {"SECTOR_CURVE", "2011-Jan-01", "4.0", "0.051"}, {"SECTOR_CURVE", "2011-Jan-01", "8.0", "0.051"} }; String[][] index = { { "2009-Jun-01", "AUD_CPI", "80.0" }, { "2009-Jul-01", "AUD_CPI", "80.1" }, { "2009-Aug-01", "AUD_CPI", "80.2" }, { "2009-Sep-01", "AUD_CPI", "80.3" }, { "2009-Oct-01", "AUD_CPI", "80.4" }, { "2009-Nov-01", "AUD_CPI", "80.5" }, { "2009-Dec-01", "AUD_CPI", "80.6" }, { "2009-Jun-01", "MONTHLY_LIBOR", "0.01" }, { "2009-Jul-01", "MONTHLY_LIBOR", "0.01" }, { "2009-Aug-01", "MONTHLY_LIBOR", "0.01" }, { "2009-Sep-01", "MONTHLY_LIBOR", "0.01" }, { "2009-Oct-01", "MONTHLY_LIBOR", "0.01" }, { "2009-Nov-01", "MONTHLY_LIBOR", "0.01" }, { "2009-Dec-01", "MONTHLY_LIBOR", "0.01" } }; String [] report_sectors = {"COUPON,SECURITY", "MATURITY,SECURITY"}; // Assign statically declared arrays to FIA-readable structures stringmatrix s_data = ConvertStringArrayToStringMatrix ( s ); stringmatrix p_data = ConvertStringArrayToStringMatrix ( p ); stringmatrix b_data = ConvertStringArrayToStringMatrix ( b ); stringmatrix y_data = ConvertStringArrayToStringMatrix ( y ); stringmatrix i_data = ConvertStringArrayToStringMatrix ( index ); stringvector r_data = ConvertStringArrayToStringVector( report_sectors ); // Initialize all FIA variables fia_java.FIA_set_matrix( FIA_API_constants.FT_MATRIX_PORTFOLIO, p_data ); fia_java.FIA_set_matrix( FIA_API_constants.FT_MATRIX_BENCHMARK, b_data ); fia_java.FIA_set_matrix( FIA_API_constants.FT_MATRIX_SECURITY, s_data ); fia_java.FIA_set_matrix( FIA_API_constants.FT_MATRIX_YIELDCURVE, y_data ); fia_java.FIA_set_matrix( FIA_API_constants.FT_MATRIX_INDEX, i_data ); fia_java.FIA_set_string ( FIA_API_constants.FT_STRING_CARRY_DECOMPOSITION, "PULL_TO_PAR" ); fia_java.FIA_set_string ( FIA_API_constants.FT_STRING_AVERAGE_CURVE_LEVEL, "TRAPEZOIDAL" ); fia_java.FIA_set_string ( FIA_API_constants.FT_STRING_SOVEREIGN_CURVE_DECOMPOSITION, "STB" ); fia_java.FIA_set_bool ( FIA_API_constants.FT_BOOL_CONVEXITY_ATTRIBUTION, true ); fia_java.FIA_set_bool ( FIA_API_constants.FT_BOOL_CSV_REPORT, true ); fia_java.FIA_set_bool ( FIA_API_constants.FT_BOOL_XLS_REPORT, true ); fia_java.FIA_set_string ( FIA_API_constants.FT_STRING_DATE_FORMAT, "%Y-%b-%d" ); fia_java.FIA_set_integer ( FIA_API_constants.FT_INT_BATCH_ID, 999 ); fia_java.FIA_set_integer ( FIA_API_constants.FT_INT_N_CORES, 1 ); fia_java.FIA_set_bool ( FIA_API_constants.FT_BOOL_SUMMARY_ATTRIBUTION_REPORT, true ); fia_java.FIA_set_vector_string ( FIA_API_constants.FT_STRING_REPORT_SECTORS, r_data ); fia_java.FIA_run(); } }