TreasuryBondExplainProcessor.java

  1. package org.drip.historical.engine;

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

  80. /**
  81.  * <i>TreasuryBondExplainProcessor</i> contains the Functionality associated with the Horizon Analysis of the
  82.  * Treasury Bond.
  83.  *
  84.  *  <br><br>
  85.  *  <ul>
  86.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  87.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationSupportLibrary.md">Computation Support</a></li>
  88.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/historical/README.md">Historical State Processing Utilities</a></li>
  89.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/historical/engine/README.md">Product Horizon Change Explain Engine</a></li>
  90.  *  </ul>
  91.  * 
  92.  * @author Lakshmi Krishnamurthy
  93.  */

  95. public class TreasuryBondExplainProcessor extends org.drip.historical.engine.HorizonChangeExplainProcessor {

  97.     /**
  98.      * TreasuryBondExplainProcessor Constructor
  99.      * 
  100.      * @param tsyComponent The Treasury Component
  101.      * @param strMarketMeasureName The Market Measure Name
  102.      * @param dblMarketMeasureValue The Market Measure Value
  103.      * @param dtFirst First Date
  104.      * @param dtSecond Second Date
  105.      * @param csqcFirst First Market Parameters
  106.      * @param csqcSecond Second Market Parameters
  107.      * @param mapCSQCRollDown Map of the Roll Down Market Parameters
  108.      * 
  109.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  110.      */

  112.     public TreasuryBondExplainProcessor (
  113.         final org.drip.product.govvie.TreasuryComponent tsyComponent,
  114.         final java.lang.String strMarketMeasureName,
  115.         final double dblMarketMeasureValue,
  116.         final org.drip.analytics.date.JulianDate dtFirst,
  117.         final org.drip.analytics.date.JulianDate dtSecond,
  118.         final org.drip.param.market.CurveSurfaceQuoteContainer csqcFirst,
  119.         final org.drip.param.market.CurveSurfaceQuoteContainer csqcSecond,
  120.         final
  121.             org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.param.market.CurveSurfaceQuoteContainer>
  122.             mapCSQCRollDown)
  123.         throws java.lang.Exception
  124.     {
  125.         super (tsyComponent, 0, strMarketMeasureName, dblMarketMeasureValue, dtFirst, dtSecond, csqcFirst,
  126.             csqcSecond, mapCSQCRollDown);
  127.     }

  129.     @Override public org.drip.historical.engine.MarketMeasureRollDown rollDownMeasureMap()
  130.     {
  131.         org.drip.product.definition.Component comp = component();

  133.         int iMaturityDate = comp.maturityDate().julian();

  135.         org.drip.historical.engine.MarketMeasureRollDown mmrd = null;

  137.         org.drip.state.identifier.GovvieLabel govvieLabel = comp.govvieLabel();

  139.         org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.param.market.CurveSurfaceQuoteContainer>
  140.             mapCSQCRollDown = rollDownMarketParameters();

  142.         for (java.lang.String strRollDownTenor : mapCSQCRollDown.keySet()) {
  143.             org.drip.state.govvie.GovvieCurve gc = mapCSQCRollDown.get (strRollDownTenor).govvieState
  144.                 (govvieLabel);

  146.             try {
  147.                 double dblMarketMeasureRollDown = gc.yield (iMaturityDate);

  149.                 if ("Native".equalsIgnoreCase (strRollDownTenor))
  150.                     mmrd = new org.drip.historical.engine.MarketMeasureRollDown (dblMarketMeasureRollDown);
  151.                 else
  152.                     mmrd.add (strRollDownTenor, dblMarketMeasureRollDown);
  153.             } catch (java.lang.Exception e) {
  154.                 e.printStackTrace();

  156.                 return null;
  157.             }
  158.         }

  160.         return mmrd;
  161.     }

  163.     @Override public org.drip.historical.attribution.PositionMarketSnap snapFirstMarketValue()
  164.     {
  165.         org.drip.analytics.date.JulianDate dtValuation = firstDate();

  167.         org.drip.product.govvie.TreasuryComponent tsyComponent = (org.drip.product.govvie.TreasuryComponent)
  168.             component();

  170.         org.drip.param.market.CurveSurfaceQuoteContainer csqc = firstMarketParameters();

  172.         org.drip.state.identifier.GovvieLabel govvieLabel = tsyComponent.govvieLabel();

  174.         org.drip.analytics.date.JulianDate dtEffective = tsyComponent.effectiveDate();

  176.         org.drip.analytics.date.JulianDate dtMaturity = tsyComponent.maturityDate();

  178.         org.drip.state.govvie.GovvieCurve gc = csqc.govvieState (govvieLabel);

  180.         double dblFixedCoupon = tsyComponent.couponSetting().couponRate();

  182.         java.lang.String strCurrency = tsyComponent.currency();

  184.         int iValuationDate = dtValuation.julian();

  186.         org.drip.param.valuation.ValuationParams valParams = org.drip.param.valuation.ValuationParams.Spot
  187.             (iValuationDate);

  189.         org.drip.historical.engine.MarketMeasureRollDown mmrd = rollDownMeasureMap();

  191.         if (null == mmrd) return null;

  193.         double dblRollDownInnate = mmrd.innate();

  195.         org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double> mapHorizonMetric =
  196.             mmrd.horizon();

  198.         java.lang.String strAccrualDC = tsyComponent.accrualDC();

  200.         try {
  201.             double dblYield = gc.yield (dtMaturity.julian());

  203.             double dblAccrued = tsyComponent.accrued (iValuationDate, csqc);

  205.             double dblCleanPrice = tsyComponent.priceFromYield (valParams, csqc, null, dblYield);

  207.             double dblYieldSensitivity = 10000. * tsyComponent.modifiedDurationFromYield (valParams, csqc,
  208.                 null, dblYield);

  210.             double dblCumulativeCouponDCF = org.drip.analytics.daycount.Convention.YearFraction
  211.                 (dtEffective.julian(), iValuationDate, strAccrualDC, false,
  212.                     org.drip.analytics.daycount.ActActDCParams.FromFrequency (gc.freq()), strCurrency);

  214.             org.drip.historical.attribution.PositionMarketSnap pms = new
  215.                 org.drip.historical.attribution.PositionMarketSnap (dtValuation, dblCleanPrice);

  217.             if (!pms.setR1 ("Accrued", dblAccrued)) return null;

  219.             if (!pms.setC1 ("AccruedDC", strAccrualDC)) return null;

  221.             if (!pms.setR1 ("CleanPrice", dblCleanPrice)) return null;

  223.             if (!pms.setR1 ("CumulativeCouponAmount", dblCumulativeCouponDCF * dblFixedCoupon)) return null;

  225.             if (!pms.setR1 ("CumulativeCouponDCF", dblCumulativeCouponDCF)) return null;

  227.             if (!pms.setC1 ("Currency", strCurrency)) return null;

  229.             if (!pms.setR1 ("DirtyPrice", dblCleanPrice + dblAccrued)) return null;

  231.             if (!pms.setDate ("EffectiveDate", dtEffective)) return null;

  233.             if (!pms.setC1 ("FixedAccrualDayCount", strAccrualDC)) return null;

  235.             if (!pms.setR1 ("FixedCoupon", dblFixedCoupon)) return null;

  237.             if (!pms.setDate ("MaturityDate", dtMaturity)) return null;

  239.             if (!pms.setC1 ("MaturityTenor", tsyComponent.tenor())) return null;

  241.             if (!pms.setR1 ("ModifiedDuration", dblYieldSensitivity)) return null;

  243.             if (!pms.setR1 ("Yield", dblYield)) return null;

  245.             if (!pms.setR1 ("YieldRollDown", dblRollDownInnate)) return null;

  247.             for (java.lang.String strRollDownTenor : mapHorizonMetric.keySet()) {
  248.                 if (!pms.setR1 ("YieldRollDown" + strRollDownTenor, mapHorizonMetric.get (strRollDownTenor)))
  249.                     return null;
  250.             }

  252.             if (!pms.addManifestMeasureSnap ("Yield", dblYield, -1. * dblYieldSensitivity,
  253.                 dblRollDownInnate))
  254.                 return null;

  256.             return pms;
  257.         } catch (java.lang.Exception e) {
  258.             e.printStackTrace();
  259.         }

  261.         return null;
  262.     }

  264.     @Override public boolean updateFixings()
  265.     {
  266.         return true;
  267.     }

  269.     @Override public org.drip.historical.attribution.PositionMarketSnap snapSecondMarketValue()
  270.     {
  271.         org.drip.product.govvie.TreasuryComponent tsyComponent = (org.drip.product.govvie.TreasuryComponent)
  272.             component();

  274.         org.drip.analytics.date.JulianDate dtValuation = secondDate();

  276.         int iValuationDate = dtValuation.julian();

  278.         org.drip.param.market.CurveSurfaceQuoteContainer csqc = secondMarketParameters();

  280.         org.drip.param.valuation.ValuationParams valParams = org.drip.param.valuation.ValuationParams.Spot
  281.             (iValuationDate);

  283.         try {
  284.             org.drip.state.govvie.GovvieCurve gc = csqc.govvieState (tsyComponent.govvieLabel());

  286.             double dblYield = gc.yield (tsyComponent.maturityDate().julian());

  288.             double dblCumulativeCouponDCF = org.drip.analytics.daycount.Convention.YearFraction
  289.                 (tsyComponent.effectiveDate().julian(), iValuationDate, tsyComponent.accrualDC(), false,
  290.                     org.drip.analytics.daycount.ActActDCParams.FromFrequency (gc.freq()),
  291.                         tsyComponent.currency());

  293.             org.drip.historical.attribution.PositionMarketSnap pms = new
  294.                 org.drip.historical.attribution.PositionMarketSnap (dtValuation, tsyComponent.priceFromYield
  295.                     (valParams, csqc, null, dblYield));

  297.             if (!pms.setR1 ("CumulativeCouponAmount", dblCumulativeCouponDCF *
  298.                 tsyComponent.couponSetting().couponRate()))
  299.                 return null;

  301.             if (!pms.setR1 ("CumulativeCouponDCF", dblCumulativeCouponDCF)) return null;

  303.             if (!pms.setR1 ("Yield", dblYield)) return null;

  305.             if (!pms.addManifestMeasureSnap ("Yield", dblYield, -10000. *
  306.                 tsyComponent.modifiedDurationFromYield (valParams, csqc, null, dblYield), 0.))
  307.                 return null;

  309.             return pms;
  310.         } catch (java.lang.Exception e) {
  311.             e.printStackTrace();
  312.         }

  314.         return null;
  315.     }

  317.     @Override public org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>
  318.         crossHorizonDifferentialMetrics (
  319.             final org.drip.historical.attribution.PositionMarketSnap pmsFirst,
  320.             final org.drip.historical.attribution.PositionMarketSnap pmsSecond)
  321.     {
  322.         if (null == pmsFirst || null == pmsSecond) return null;

  324.         org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double> mapDifferentialMetric = new
  325.             org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();

  327.         org.drip.analytics.date.JulianDate dtEffective = pmsFirst.date ("EffectiveDate");

  329.         java.lang.String strAccrualDC = pmsFirst.c1 ("AccruedDC");

  331.         java.lang.String strCalendar = pmsFirst.c1 ("Currency");

  333.         int iDate1M = dtEffective.addTenor ("1M").julian();

  335.         int iDate3M = dtEffective.addTenor ("3M").julian();

  337.         int iEffectiveDate = dtEffective.julian();

  339.         org.drip.analytics.daycount.ActActDCParams aap =
  340.             org.drip.analytics.daycount.ActActDCParams.FromFrequency
  341.                 (((org.drip.product.govvie.TreasuryComponent) component()).freq());

  343.         try {
  344.             mapDifferentialMetric.put ("CumulativeCouponAmount", pmsSecond.r1 ("CumulativeCouponAmount") -
  345.                 pmsFirst.r1 ("CumulativeCouponAmount"));

  347.             mapDifferentialMetric.put ("CumulativeCouponDCF", pmsSecond.r1 ("CumulativeCouponDCF") -
  348.                 pmsFirst.r1 ("CumulativeCouponDCF"));

  350.             mapDifferentialMetric.put ("CumulativeCouponDCF1M",
  351.                 org.drip.analytics.daycount.Convention.YearFraction (iEffectiveDate, iDate1M, strAccrualDC,
  352.                     false, aap, strCalendar));

  354.             mapDifferentialMetric.put ("CumulativeCouponDCF3M",
  355.                 org.drip.analytics.daycount.Convention.YearFraction (iEffectiveDate, iDate3M, strAccrualDC,
  356.                     false, aap, strCalendar));

  358.             return mapDifferentialMetric;
  359.         } catch (java.lang.Exception e) {
  360.             e.printStackTrace();
  361.         }

  363.         return null;
  364.     }
  365. }
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