BondRefData.java

  1. package org.drip.feed.loader;

  3. /*
  4.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  5.  */

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  11.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  12.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  13.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  14.  * Copyright (C) 2014 Lakshmi Krishnamurthy
  15.  * Copyright (C) 2013 Lakshmi Krishnamurthy
  16.  * Copyright (C) 2012 Lakshmi Krishnamurthy
  17.  * Copyright (C) 2011 Lakshmi Krishnamurthy
  18.  * 
  19.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  20.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  21.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  22.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  23.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  24.  *      and computational support.
  25.  *  
  26.  *      https://lakshmidrip.github.io/DROP/
  27.  *  
  28.  *  DROP is composed of three modules:
  29.  *  
  30.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  31.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  32.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  33.  * 
  34.  *  DROP Product Core implements libraries for the following:
  35.  *  - Fixed Income Analytics
  36.  *  - Loan Analytics
  37.  *  - Transaction Cost Analytics
  38.  * 
  39.  *  DROP Portfolio Core implements libraries for the following:
  40.  *  - Asset Allocation Analytics
  41.  *  - Asset Liability Management Analytics
  42.  *  - Capital Estimation Analytics
  43.  *  - Exposure Analytics
  44.  *  - Margin Analytics
  45.  *  - XVA Analytics
  46.  * 
  47.  *  DROP Computational Core implements libraries for the following:
  48.  *  - Algorithm Support
  49.  *  - Computation Support
  50.  *  - Function Analysis
  51.  *  - Model Validation
  52.  *  - Numerical Analysis
  53.  *  - Numerical Optimizer
  54.  *  - Spline Builder
  55.  *  - Statistical Learning
  56.  * 
  57.  *  Documentation for DROP is Spread Over:
  58.  * 
  59.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  60.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  61.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  62.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  63.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  64.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  65.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  66.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  67.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  68.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  69.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  70.  * 
  71.  *  Licensed under the Apache License, Version 2.0 (the "License");
  72.  *      you may not use this file except in compliance with the License.
  73.  *   
  74.  *  You may obtain a copy of the License at
  75.  *      http://www.apache.org/licenses/LICENSE-2.0
  76.  *  
  77.  *  Unless required by applicable law or agreed to in writing, software
  78.  *      distributed under the License is distributed on an "AS IS" BASIS,
  79.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  80.  *  
  81.  *  See the License for the specific language governing permissions and
  82.  *      limitations under the License.
  83.  */

  85. /**
  86.  * <i>BondRefData</i> contains functionality to load a variety of Bond Product reference data and closing
  87.  * marks. It exposes the following functionality:
  88.  * <ul>
  89.  *  <li>
  90.  *      Load the bond valuation-based reference data, amortization schedule and EOS
  91.  *  </li>
  92.  *  <li>
  93.  *      Build the bond instance entities from the valuation-based reference data
  94.  *  </li>
  95.  *  <li>
  96.  *      Load the bond non-valuation-based reference data
  97.  *  </li>
  98.  * </ul>
  99.  * 
  100.  * BondRefData assumes the appropriate connections are available to load the data.
  101.  *
  102.  *  <br><br>
  103.  *  <ul>
  104.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  105.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationSupportLibrary.md">Computation Support</a></li>
  106.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/feed/README.md">Load, Transform, and compute Target Metrics across Feeds</a></li>
  107.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/feed/loader/README.md">Reference/Market Data Feed Loader</a></li>
  108.  *  </ul>
  109.  * 
  110.  * @author Lakshmi Krishnamurthy
  111.  */

  113. class BondRefData {
  114.     private static final boolean m_bBlog = false;
  115.     private static final boolean m_bDBExec = true;

  117.     private static final org.drip.product.creator.BondRefDataBuilder MakeBRDB (
  118.         final java.lang.String[] astrFODATA)
  119.     {
  120.         if (null == astrFODATA || 88 != astrFODATA.length) return null;

  122.         org.drip.product.creator.BondRefDataBuilder brdb = new org.drip.product.creator.BondRefDataBuilder();

  124.         if (!brdb.setISIN (astrFODATA[40])) {
  125.             System.out.println ("Bad ISIN " + astrFODATA[40]);

  127.             return null;
  128.         }

  130.         if (!brdb.setCUSIP (astrFODATA[42])) {
  131.             System.out.println ("Bad CUSIP " + astrFODATA[42]);

  133.             return null;
  134.         }

  136.         brdb.setBBGID (astrFODATA[1]);

  138.         brdb.setIssuerCategory (astrFODATA[2]);

  140.         brdb.setTicker (astrFODATA[3]);

  142.         brdb.setSeries (astrFODATA[7]);

  144.         brdb.setName (astrFODATA[8]);

  146.         brdb.setShortName (astrFODATA[9]);

  148.         brdb.setIssuerIndustry (astrFODATA[10]);

  150.         brdb.setCouponType (astrFODATA[13]);

  152.         brdb.setMaturityType (astrFODATA[14]);

  154.         brdb.setCalculationType (astrFODATA[15]);

  156.         brdb.setDayCountCode (astrFODATA[16]);

  158.         brdb.setMarketIssueType (astrFODATA[17]);

  160.         brdb.setIssueCountryCode (astrFODATA[18]);

  162.         brdb.setIssueCountry (astrFODATA[19]);

  164.         brdb.setCollateralType (astrFODATA[20]);

  166.         brdb.setIssueAmount (astrFODATA[21]);

  168.         brdb.setOutstandingAmount (astrFODATA[22]);

  170.         brdb.setMinimumPiece (astrFODATA[23]);

  172.         brdb.setMinimumIncrement (astrFODATA[24]);

  174.         brdb.setParAmount (astrFODATA[25]);

  176.         brdb.setLeadManager (astrFODATA[26]);

  178.         brdb.setExchangeCode (astrFODATA[27]);

  180.         brdb.setRedemptionValue (astrFODATA[28]);

  182.         brdb.setAnnounce (astrFODATA[29]);

  184.         brdb.setFirstSettle (astrFODATA[31]);

  186.         brdb.setFirstCoupon (astrFODATA[33]);

  188.         brdb.setInterestAccrualStart (astrFODATA[35]);

  190.         brdb.setIssue (astrFODATA[37]);

  192.         brdb.setIssuePrice (astrFODATA[39]);

  194.         brdb.setNextCouponDate (astrFODATA[43]);

  196.         brdb.setIsCallable (astrFODATA[45]);

  198.         brdb.setIsSinkable (astrFODATA[46]);

  200.         brdb.setIsPutable (astrFODATA[47]);

  202.         brdb.setBBGParent (astrFODATA[48]);

  204.         brdb.setCountryOfIncorporation (astrFODATA[53]);

  206.         brdb.setIndustrySector (astrFODATA[54]);

  208.         brdb.setIndustryGroup (astrFODATA[55]);

  210.         brdb.setIndustrySubgroup (astrFODATA[56]);

  212.         brdb.setCountryOfGuarantor (astrFODATA[57]);

  214.         brdb.setCountryOfDomicile (astrFODATA[58]);

  216.         brdb.setDescription (astrFODATA[59]);

  218.         brdb.setSecurityType (astrFODATA[60]);

  220.         brdb.setPrevCouponDate (astrFODATA[61]);

  222.         brdb.setBBGUniqueID (astrFODATA[63]);

  224.         brdb.setLongCompanyName (astrFODATA[64]);

  226.         brdb.setRedemptionCurrency (astrFODATA[66]);

  228.         brdb.setCouponCurrency (astrFODATA[67]);

  230.         brdb.setIsStructuredNote (astrFODATA[68]);

  232.         brdb.setIsUnitTraded (astrFODATA[69]);

  234.         brdb.setIsReversibleConvertible (astrFODATA[70]);

  236.         brdb.setTradeCurrency (astrFODATA[71]);

  238.         brdb.setIsBearer (astrFODATA[72]);

  240.         brdb.setIsRegistered (astrFODATA[73]);

  242.         brdb.setHasBeenCalled (astrFODATA[74]);

  244.         brdb.setIssuer (astrFODATA[75]);

  246.         brdb.setPenultimateCouponDate (astrFODATA[76]);

  248.         brdb.setFloatCouponConvention (astrFODATA[77]);

  250.         brdb.setCurrentCoupon (astrFODATA[78]);

  252.         brdb.setIsFloater (astrFODATA[79]);

  254.         brdb.setTradeStatus (astrFODATA[80]);

  256.         brdb.setCDRCountryCode (astrFODATA[81]);

  258.         brdb.setCDRSettleCode (astrFODATA[82]);

  260.         brdb.setFinalMaturity (astrFODATA[83]);

  262.         brdb.setIsPrivatePlacement (astrFODATA[85]);

  264.         brdb.setIsPerpetual (astrFODATA[86]);

  266.         brdb.setIsDefaulted (astrFODATA[87]);

  268.         if (!brdb.validate()) return null;

  270.         return brdb;
  271.     }

  273.     private static final org.drip.product.creator.BondProductBuilder MakeBPB (
  274.         final java.lang.String[] astrFODATA,
  275.         final org.drip.param.definition.ScenarioMarketParams mpc)
  276.     {
  277.         if (null == astrFODATA || 88 != astrFODATA.length || null == mpc) return null;

  279.         org.drip.product.creator.BondProductBuilder bpb = new org.drip.product.creator.BondProductBuilder();

  281.         if (!bpb.setISIN (astrFODATA[40])) {
  282.             System.out.println ("Bad ISIN " + astrFODATA[40]);

  284.             return null;
  285.         }

  287.         if (!bpb.setCUSIP (astrFODATA[42])) {
  288.             System.out.println ("Bad CUSIP " + astrFODATA[42]);

  290.             return null;
  291.         }

  293.         bpb.setTicker (astrFODATA[3]);

  295.         bpb.setCoupon (astrFODATA[4]);

  297.         if (!bpb.setMaturity (astrFODATA[5])) {
  298.             System.out.println ("Bad Maturity " + astrFODATA[5]);

  300.             return null;
  301.         }

  303.         if (!bpb.setCouponFreq (astrFODATA[12])) {
  304.             System.out.println ("Bad Cpn Freq " + astrFODATA[12]);

  306.             return null;
  307.         }

  309.         bpb.setCouponType (astrFODATA[13]);

  311.         bpb.setMaturityType (astrFODATA[14]);

  313.         bpb.setCalculationType (astrFODATA[15]);

  315.         if (!bpb.setDayCountCode (astrFODATA[16])) {
  316.             System.out.println ("Bad Day Count " + astrFODATA[40]);

  318.             return null;
  319.         }

  321.         if (!bpb.setRedemptionValue (astrFODATA[28])) {
  322.             System.out.println ("Bad Redemp Value " + astrFODATA[40]);

  324.             return null;
  325.         }

  327.         bpb.setAnnounce (astrFODATA[29]);

  329.         bpb.setFirstSettle (astrFODATA[31]);

  331.         bpb.setFirstCoupon (astrFODATA[33]);

  333.         bpb.setInterestAccrualStart (astrFODATA[35]);

  335.         bpb.setIssue (astrFODATA[37]);

  337.         bpb.setIsCallable (astrFODATA[45]);

  339.         bpb.setIsSinkable (astrFODATA[46]);

  341.         bpb.setIsPutable (astrFODATA[47]);

  343.         if (!bpb.setRedemptionCurrency (astrFODATA[66])) {
  344.             System.out.println ("Bad Redemp Ccy " + astrFODATA[66]);

  346.             return null;
  347.         }

  349.         if (!bpb.setCouponCurrency (astrFODATA[67])) {
  350.             System.out.println ("Bad Cpn Ccy " + astrFODATA[40]);

  352.             return null;
  353.         }

  355.         if (!bpb.setTradeCurrency (astrFODATA[71])) {
  356.             System.out.println ("Bad Trade ccy " + astrFODATA[40]);

  358.             return null;
  359.         }

  361.         bpb.setHasBeenCalled (astrFODATA[74]);

  363.         bpb.setFloatCouponConvention (astrFODATA[77]);

  365.         bpb.setCurrentCoupon (astrFODATA[78]);

  367.         bpb.setIsFloater (astrFODATA[79]);

  369.         bpb.setFinalMaturity (astrFODATA[83]);

  371.         bpb.setIsPerpetual (astrFODATA[86]);

  373.         bpb.setIsDefaulted (astrFODATA[87]);

  375.         if (!bpb.validate (mpc)) return null;

  377.         return bpb;
  378.     }

  380.     public static final void UploadBondFromFODATA (
  381.         final java.lang.String strFODATAFile,
  382.         final java.sql.Statement stmt,
  383.         final org.drip.param.definition.ScenarioMarketParams mpc)
  384.         throws java.lang.Exception
  385.     {
  386.         int iNumBonds = 0;
  387.         int iNumFloaters = 0;
  388.         int iNumFailedToLoad = 0;
  389.         java.lang.String strBondFODATALine = "";

  391.         java.io.BufferedReader inBondFODATA = new java.io.BufferedReader (new java.io.FileReader
  392.             (strFODATAFile));

  394.         while (null != (strBondFODATALine = inBondFODATA.readLine())) {
  395.             ++iNumBonds;

  397.             java.lang.String[] astrBondFODATARecord = strBondFODATALine.split (",");

  399.             org.drip.product.creator.BondRefDataBuilder brdb = MakeBRDB (astrBondFODATARecord);

  401.             if (null != brdb) {
  402.                 System.out.println ("Doing #" + iNumBonds + ": " + brdb._strCUSIP);

  404.                 java.lang.String strSQLBRDBDelete = brdb.makeSQLDelete();

  406.                 if (null != strSQLBRDBDelete) {
  407.                     if (m_bBlog) System.out.println (strSQLBRDBDelete);

  409.                     if (m_bDBExec) stmt.executeUpdate (strSQLBRDBDelete);
  410.                 }

  412.                 java.lang.String strSQLBRDBInsert = brdb.makeSQLInsert();

  414.                 if (null != strSQLBRDBInsert) {
  415.                     if (m_bBlog) System.out.println (strSQLBRDBInsert);

  417.                     if (m_bDBExec) stmt.executeUpdate (strSQLBRDBInsert);
  418.                 }
  419.             }

  421.             org.drip.product.creator.BondProductBuilder bpb = MakeBPB (astrBondFODATARecord, mpc);

  423.             if (null != bpb) {
  424.                 if (null != bpb.getFloaterParams()) ++iNumFloaters;

  426.                 java.lang.String strSQLBPBDelete = bpb.makeSQLDelete();

  428.                 if (null != strSQLBPBDelete) {
  429.                     if (m_bBlog) System.out.println (strSQLBPBDelete);

  431.                     if (m_bDBExec) stmt.executeUpdate (strSQLBPBDelete);
  432.                 }

  434.                 java.lang.String strSQLBPBInsert = bpb.makeSQLInsert();

  436.                 if (null != strSQLBPBInsert) {
  437.                     if (m_bBlog) System.out.println (strSQLBPBInsert);

  439.                     if (m_bDBExec) stmt.executeUpdate (strSQLBPBInsert);
  440.                 }
  441.             }

  443.             if (null == brdb || null == bpb) ++iNumFailedToLoad;
  444.         }

  446.         inBondFODATA.close();

  448.         System.out.println (iNumFailedToLoad + " out of " + iNumBonds + " failed to load");

  450.         System.out.println ("There were " + iNumFloaters + " floaters!");
  451.     }
  452. }
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