FixedBullet2.java

  1. package org.drip.sample.agency;

  3. import java.util.Map;

  5. import org.drip.analytics.date.*;
  6. import org.drip.analytics.output.BondRVMeasures;
  7. import org.drip.analytics.support.Helper;
  8. import org.drip.numerical.common.FormatUtil;
  9. import org.drip.param.creator.MarketParamsBuilder;
  10. import org.drip.param.market.CurveSurfaceQuoteContainer;
  11. import org.drip.param.quote.*;
  12. import org.drip.param.valuation.*;
  13. import org.drip.product.creator.BondBuilder;
  14. import org.drip.product.credit.BondComponent;
  15. import org.drip.product.definition.*;
  16. import org.drip.service.env.EnvManager;
  17. import org.drip.service.template.*;
  18. import org.drip.state.discount.MergedDiscountForwardCurve;
  19. import org.drip.state.govvie.GovvieCurve;

  21. /*
  22.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  23.  */

  25. /*!
  26.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  27.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  28.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  29.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  30.  * 
  31.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  32.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  33.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  34.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  35.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  36.  *      and computational support.
  37.  *  
  38.  *      https://lakshmidrip.github.io/DROP/
  39.  *  
  40.  *  DROP is composed of three modules:
  41.  *  
  42.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  43.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  44.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  45.  * 
  46.  *  DROP Product Core implements libraries for the following:
  47.  *  - Fixed Income Analytics
  48.  *  - Loan Analytics
  49.  *  - Transaction Cost Analytics
  50.  * 
  51.  *  DROP Portfolio Core implements libraries for the following:
  52.  *  - Asset Allocation Analytics
  53.  *  - Asset Liability Management Analytics
  54.  *  - Capital Estimation Analytics
  55.  *  - Exposure Analytics
  56.  *  - Margin Analytics
  57.  *  - XVA Analytics
  58.  * 
  59.  *  DROP Computational Core implements libraries for the following:
  60.  *  - Algorithm Support
  61.  *  - Computation Support
  62.  *  - Function Analysis
  63.  *  - Model Validation
  64.  *  - Numerical Analysis
  65.  *  - Numerical Optimizer
  66.  *  - Spline Builder
  67.  *  - Statistical Learning
  68.  * 
  69.  *  Documentation for DROP is Spread Over:
  70.  * 
  71.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  72.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  73.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  74.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  75.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  76.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  77.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  78.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  79.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  80.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  81.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  82.  * 
  83.  *  Licensed under the Apache License, Version 2.0 (the "License");
  84.  *      you may not use this file except in compliance with the License.
  85.  *   
  86.  *  You may obtain a copy of the License at
  87.  *      http://www.apache.org/licenses/LICENSE-2.0
  88.  *  
  89.  *  Unless required by applicable law or agreed to in writing, software
  90.  *      distributed under the License is distributed on an "AS IS" BASIS,
  91.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  92.  *  
  93.  *  See the License for the specific language governing permissions and
  94.  *      limitations under the License.
  95.  */

  97. /**
  98.  * <i>FixedBullet2</i> demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure
  99.  * Generation Functionality.
  100.  * 
  101.  * <br><br>
  102.  *  <ul>
  103.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  104.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  105.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/README.md">DROP API Construction and Usage</a></li>
  106.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/agency/README.md">Agency Bond Analytical Measures Generation</a></li>
  107.  *  </ul>
  108.  * <br><br>
  109.  * 
  110.  * @author Lakshmi Krishnamurthy
  111.  */

  113. public class FixedBullet2 {

  115.     private static final MergedDiscountForwardCurve FundingCurve (
  116.         final JulianDate dtSpot,
  117.         final String strCurrency)
  118.         throws Exception
  119.     {
  120.         String[] astrDepositMaturityTenor = new String[] {
  121.             "2D"
  122.         };

  124.         double[] adblDepositQuote = new double[] {
  125.             0.0111956 // 2D
  126.         };

  128.         double[] adblFuturesQuote = new double[] {
  129.             0.011375,   // 98.8625
  130.             0.013350,   // 98.6650
  131.             0.014800,   // 98.5200
  132.             0.016450,   // 98.3550
  133.             0.017850,   // 98.2150
  134.             0.019300    // 98.0700
  135.         };

  137.         String[] astrFixFloatMaturityTenor = new String[] {
  138.             "02Y",
  139.             "03Y",
  140.             "04Y",
  141.             "05Y",
  142.             "06Y",
  143.             "07Y",
  144.             "08Y",
  145.             "09Y",
  146.             "10Y",
  147.             "11Y",
  148.             "12Y",
  149.             "15Y",
  150.             "20Y",
  151.             "25Y",
  152.             "30Y",
  153.             "40Y",
  154.             "50Y"
  155.         };

  157.         double[] adblFixFloatQuote = new double[] {
  158.             0.017029, //  2Y
  159.             0.019354, //  3Y
  160.             0.021044, //  4Y
  161.             0.022291, //  5Y
  162.             0.023240, //  6Y
  163.             0.024025, //  7Y
  164.             0.024683, //  8Y
  165.             0.025243, //  9Y
  166.             0.025720, // 10Y
  167.             0.026130, // 11Y
  168.             0.026495, // 12Y
  169.             0.027230, // 15Y
  170.             0.027855, // 20Y
  171.             0.028025, // 25Y
  172.             0.028028, // 30Y
  173.             0.027902, // 40Y
  174.             0.027655  // 50Y
  175.         };

  177.         MergedDiscountForwardCurve dcFunding = LatentMarketStateBuilder.SmoothFundingCurve (
  178.             dtSpot,
  179.             strCurrency,
  180.             astrDepositMaturityTenor,
  181.             adblDepositQuote,
  182.             "ForwardRate",
  183.             adblFuturesQuote,
  184.             "ForwardRate",
  185.             astrFixFloatMaturityTenor,
  186.             adblFixFloatQuote,
  187.             "SwapRate"
  188.         );

  190.         Component[] aDepositComp = OTCInstrumentBuilder.FundingDeposit (
  191.             dtSpot,
  192.             strCurrency,
  193.             astrDepositMaturityTenor
  194.         );

  196.         Component[] aFuturesComp = ExchangeInstrumentBuilder.ForwardRateFuturesPack (
  197.             dtSpot,
  198.             adblFuturesQuote.length,
  199.             strCurrency
  200.         );

  202.         Component[] aFixFloatComp = OTCInstrumentBuilder.FixFloatStandard (
  203.             dtSpot,
  204.             strCurrency,
  205.             "ALL",
  206.             astrFixFloatMaturityTenor,
  207.             "MAIN",
  208.             0.
  209.         );

  211.         ValuationParams valParams = new ValuationParams (
  212.             dtSpot,
  213.             dtSpot,
  214.             strCurrency
  215.         );

  217.         CurveSurfaceQuoteContainer csqc = MarketParamsBuilder.Create (
  218.             dcFunding,
  219.             null,
  220.             null,
  221.             null,
  222.             null,
  223.             null,
  224.             null
  225.         );

  227.         System.out.println();

  229.         System.out.println ("\t|-------------------------------------||");

  231.         System.out.println ("\t|        DEPOSIT INPUT vs. CALC       ||");

  233.         System.out.println ("\t|-------------------------------------||");

  235.         for (int i = 0; i < aDepositComp.length; ++i)
  236.             System.out.println ("\t| [" + aDepositComp[i].maturityDate() + "] =" +
  237.                 FormatUtil.FormatDouble (aDepositComp[i].measureValue (
  238.                     valParams,
  239.                     null,
  240.                     csqc,
  241.                     null,
  242.                     "ForwardRate"
  243.                 ), 1, 6, 1.) + " |" +
  244.                 FormatUtil.FormatDouble (adblDepositQuote[i], 1, 6, 1.) + " ||"
  245.             );

  247.         System.out.println ("\t|-------------------------------------||");

  249.         System.out.println();

  251.         System.out.println ("\t|-------------------------------------||");

  253.         System.out.println ("\t|        FUTURES INPUT vs. CALC       ||");

  255.         System.out.println ("\t|-------------------------------------||");

  257.         for (int i = 0; i < aFuturesComp.length; ++i)
  258.             System.out.println ("\t| [" + aFuturesComp[i].maturityDate() + "] =" +
  259.                 FormatUtil.FormatDouble (aFuturesComp[i].measureValue (
  260.                     valParams,
  261.                     null,
  262.                     csqc,
  263.                     null,
  264.                     "ForwardRate"
  265.                 ), 1, 6, 1.) + " |" +
  266.                 FormatUtil.FormatDouble (adblFuturesQuote[i], 1, 6, 1.) + " ||"
  267.             );

  269.         System.out.println ("\t|-------------------------------------||");

  271.         System.out.println();

  273.         System.out.println ("\t|------------------------------------------------|| ");

  275.         System.out.println ("\t|          FIX-FLOAT INPUTS vs CALIB             ||");

  277.         System.out.println ("\t|------------------------------------------------|| ");

  279.         for (int i = 0; i < aFixFloatComp.length; ++i)
  280.             System.out.println ("\t| [" + aFixFloatComp[i].maturityDate() + "] =" +
  281.                 FormatUtil.FormatDouble (aFixFloatComp[i].measureValue (
  282.                     valParams,
  283.                     null,
  284.                     csqc,
  285.                     null,
  286.                     "CalibSwapRate"
  287.                 ), 1, 6, 1.) + " |" +
  288.                 FormatUtil.FormatDouble (adblFixFloatQuote[i], 1, 6, 1.) + " |" +
  289.                 FormatUtil.FormatDouble (aFixFloatComp[i].measureValue (
  290.                     valParams,
  291.                     null,
  292.                     csqc,
  293.                     null,
  294.                     "FairPremium"
  295.                 ), 1, 6, 1.) + " ||"
  296.             );

  298.         System.out.println ("\t|------------------------------------------------||");

  300.         System.out.println();

  302.         return dcFunding;
  303.     }

  305.     private static final Map<String, GovvieCurve> GovvieCurve (
  306.         final JulianDate dtSpot,
  307.         final String strCode,
  308.         final double[] adblCoupon,
  309.         final double[] adblYield)
  310.         throws Exception
  311.     {
  312.         JulianDate[] adtEffective = new JulianDate[] {
  313.             dtSpot,
  314.             dtSpot,
  315.             dtSpot,
  316.             dtSpot,
  317.             dtSpot,
  318.             dtSpot,
  319.             dtSpot,
  320.             dtSpot
  321.         };

  323.         JulianDate[] adtMaturity = new JulianDate[] {
  324.             dtSpot.addTenor ("1Y"),
  325.             dtSpot.addTenor ("2Y"),
  326.             dtSpot.addTenor ("3Y"),
  327.             dtSpot.addTenor ("5Y"),
  328.             dtSpot.addTenor ("7Y"),
  329.             dtSpot.addTenor ("10Y"),
  330.             dtSpot.addTenor ("20Y"),
  331.             dtSpot.addTenor ("30Y")
  332.         };

  334.         Map<String, GovvieCurve> mapGovvieCurve = LatentMarketStateBuilder.BumpedGovvieCurve (
  335.             strCode,
  336.             dtSpot,
  337.             adtEffective,
  338.             adtMaturity,
  339.             adblCoupon,
  340.             adblYield,
  341.             "Yield",
  342.             LatentMarketStateBuilder.SHAPE_PRESERVING,
  343.             0.0001,
  344.             false
  345.         );

  347.         BondComponent[] aComp = TreasuryBuilder.FromCode (
  348.             strCode,
  349.             adtEffective,
  350.             adtMaturity,
  351.             adblCoupon
  352.         );

  354.         ValuationParams valParams = ValuationParams.Spot (dtSpot.julian());

  356.         CurveSurfaceQuoteContainer csqc = new CurveSurfaceQuoteContainer();

  358.         csqc.setGovvieState (mapGovvieCurve.get ("BASE"));

  360.         System.out.println();

  362.         System.out.println ("\t|-------------------------------------------||");

  364.         System.out.println ("\t|       TREASURY INPUT vs CALIB YIELD       ||");

  366.         System.out.println ("\t|-------------------------------------------||");

  368.         for (int i = 0; i < aComp.length; ++i)
  369.             System.out.println ("\t| " + aComp[i].name() + " | " +
  370.                 FormatUtil.FormatDouble (adblYield[i], 1, 3, 100.) + "% | " +
  371.                 FormatUtil.FormatDouble (aComp[i].yieldFromPrice (
  372.                     valParams,
  373.                     null,
  374.                     null,
  375.                     aComp[i].maturityDate().julian(),
  376.                     1.,
  377.                     aComp[i].priceFromYield (
  378.                         valParams,
  379.                         null,
  380.                         null,
  381.                         mapGovvieCurve.get ("BASE").yield (aComp[i].maturityDate().julian())
  382.                     )
  383.                 ), 1, 3, 100.) + "% ||"
  384.             );

  386.         System.out.println ("\t|-------------------------------------------||");

  388.         return mapGovvieCurve;
  389.     }

  391.     private static final void AccumulateBondMarketQuote (
  392.         final CurveSurfaceQuoteContainer csqc,
  393.         final String[] astrOnTheRunCode,
  394.         final double[] adblYield)
  395.         throws Exception
  396.     {
  397.         for (int i = 0; i < astrOnTheRunCode.length; ++i) {
  398.             ProductMultiMeasure pmmq = new ProductMultiMeasure();

  400.             pmmq.addQuote (
  401.                 "Yield",
  402.                 new MultiSided (
  403.                     "mid",
  404.                     adblYield[i]
  405.                 ),
  406.                 true
  407.             );

  409.             csqc.setProductQuote (
  410.                 astrOnTheRunCode[i],
  411.                 pmmq
  412.             );
  413.         }
  414.     }

  416.     private static final Bond Corporate (
  417.         final String strName,
  418.         final JulianDate dtEffective,
  419.         final JulianDate dtMaturity,
  420.         final double dblCoupon,
  421.         final int iFreq,
  422.         final String strDayCount)
  423.         throws Exception
  424.     {
  425.         return BondBuilder.CreateSimpleFixed (
  426.             strName + FormatUtil.FormatDouble (dblCoupon, 1, 4, 100.) + " " + dtMaturity,
  427.             "USD",
  428.             "",
  429.             dblCoupon,
  430.             iFreq,
  431.             strDayCount,
  432.             dtEffective,
  433.             dtMaturity,
  434.             null,
  435.             null
  436.         );
  437.     }

  439.     private static final double[] RVMeasures (
  440.         final Bond[] aBond,
  441.         final JulianDate dtValue,
  442.         final CurveSurfaceQuoteContainer csqc,
  443.         final double[] adblCleanPrice)
  444.         throws Exception
  445.     {
  446.         JulianDate dtSettle = dtValue.addBusDays (
  447.             0,
  448.             aBond[0].currency()
  449.         );

  451.         ValuationParams valParams = new ValuationParams (
  452.             dtValue,
  453.             dtSettle,
  454.             aBond[0].currency()
  455.         );

  457.         System.out.println();

  459.         System.out.println ("\t|--------------------------------||");

  461.         System.out.println ("\t| Trade Date       : " + dtValue + " ||");

  463.         System.out.println ("\t| Cash Settle Date : " + dtSettle + " ||");

  465.         System.out.println ("\t|--------------------------------||");

  467.         System.out.println();

  469.         String strCurveMetrics = "";
  470.         String strSecularMetrics = "";
  471.         double[] adblOAS = new double[aBond.length];

  473.         for (int i = 0; i < aBond.length; ++i) {
  474.             double dblCleanPriceOASUp = Double.NaN;
  475.             double dblCleanPriceOASDown = Double.NaN;

  477.             System.out.println ("Doing " + aBond[i].name());

  479.             WorkoutInfo wi = aBond[i].exerciseYieldFromPrice (
  480.                 valParams,
  481.                 csqc,
  482.                 null,
  483.                 adblCleanPrice[i]
  484.             );

  486.             BondRVMeasures rvm = aBond[i].standardMeasures (
  487.                 valParams,
  488.                 null,
  489.                 csqc,
  490.                 null,
  491.                 wi,
  492.                 adblCleanPrice[i]
  493.             );

  495.             strSecularMetrics += "\t| " +
  496.                 aBond[i].name() + " | " +
  497.                 aBond[i].effectiveDate() + " | " +
  498.                 aBond[i].maturityDate() + " |  " +
  499.                 aBond[i].firstCouponDate() + "  |" +
  500.                 FormatUtil.FormatDouble (adblCleanPrice[i], 3, 3, 100.) + " |" +
  501.                 FormatUtil.FormatDouble (aBond[i].accrued (dtSettle.julian(), csqc), 1, 5, 100.) + " |" +
  502.                 FormatUtil.FormatDouble (wi.yield(), 1, 2, 100.) + "% | " +
  503.                 FormatUtil.FormatDouble (rvm.macaulayDuration(), 2, 2, 1.) + "  | " +
  504.                 FormatUtil.FormatDouble (rvm.modifiedDuration(), 2, 2, 10000.) + "  |  " +
  505.                 FormatUtil.FormatDouble (rvm.yield01(), 2, 2, 10000.) + "  |" +
  506.                 FormatUtil.FormatDouble (rvm.yield01(), 4, 0, 1000000.) + " |" +
  507.                 FormatUtil.FormatDouble (rvm.convexity(), 1, 2, 1000000.) + " |" +
  508.                 FormatUtil.FormatDouble (aBond[i].weightedAverageLife (valParams, csqc), 2, 2, 1.) + " |   " +
  509.                 FormatUtil.FormatDouble (rvm.bondBasis(), 3, 0, 10000.) + "     ||" + "\n";

  511.             adblOAS[i] = rvm.oas();

  513.             try {
  514.                 dblCleanPriceOASUp = aBond[i].priceFromOAS (
  515.                     valParams,
  516.                     csqc,
  517.                     null,
  518.                     adblOAS[i] + 0.0001
  519.                 );

  521.                 dblCleanPriceOASDown = aBond[i].priceFromOAS (
  522.                     valParams,
  523.                     csqc,
  524.                     null,
  525.                     adblOAS[i] - 0.0001
  526.                 );
  527.             } catch (Exception e) {
  528.                 // e.printStackTrace();
  529.             }

  531.             strCurveMetrics += "\t| " +
  532.                 aBond[i].name() + " |" +
  533.                 FormatUtil.FormatDouble (adblCleanPrice[i], 3, 3, 100.) + " |" +
  534.                 FormatUtil.FormatDouble (wi.yield(), 1, 2, 100.) + "% |   " +
  535.                 FormatUtil.FormatDouble (rvm.zSpread(), 3, 0, 10000.) + "   |" +
  536.                 FormatUtil.FormatDouble (adblOAS[i], 3, 0, 10000.) + " | " +
  537.                 FormatUtil.FormatDouble (0.5 * (dblCleanPriceOASDown - dblCleanPriceOASUp) / adblCleanPrice[i], 2, 2, 10000.) + "  |  " +
  538.                 FormatUtil.FormatDouble ((dblCleanPriceOASDown + dblCleanPriceOASUp - 2. * adblCleanPrice[i]) / adblCleanPrice[i], 2, 2, 1000000.) + "   |" +
  539.                 FormatUtil.FormatDouble (rvm.asw(), 3, 0, 10000.) + " |  " +
  540.                 FormatUtil.FormatDouble (rvm.gSpread(), 3, 0, 10000.) + "    |   " +
  541.                 FormatUtil.FormatDouble (rvm.iSpread(), 3, 0, 10000.) + "   |    " +
  542.                 FormatUtil.FormatDouble (rvm.tsySpread(), 3, 0, 10000.) + "    |  " +
  543.                 Helper.BaseTsyBmk (
  544.                     dtValue.julian(),
  545.                     aBond[i].maturityDate().julian()
  546.                 ) + "  ||" + "\n";
  547.         }

  549.         System.out.println ("\t|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||");

  551.         System.out.println ("\t|             BOND           |  EFFECTIVE  |   MATURITY  |  FIRST COUPON |  PRICE  | ACCRUED | YIELD | MAC DUR | MOD DUR | YIELD 01 | DV01 | CONV |  WAL  | BOND BASIS ||");

  553.         System.out.println ("\t|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||");

  555.         System.out.print (strSecularMetrics);

  557.         System.out.println ("\t|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||");

  559.         System.out.println ("\t|----------------------------------------------------------------------------------------------------------------------------------------||");

  561.         System.out.println ("\t|             BOND           |  PRICE  | YIELD | Z SPREAD | OAS | OAS DUR |  OAS CONV | ASW | G SPREAD | I SPREAD | TSY SPREAD | TSY BMK ||");

  563.         System.out.println ("\t|----------------------------------------------------------------------------------------------------------------------------------------||");

  565.         System.out.print (strCurveMetrics);

  567.         System.out.println ("\t|----------------------------------------------------------------------------------------------------------------------------------------||");

  569.         return adblOAS;
  570.     }

  572.     public static final void main (
  573.         final String[] astrArgs)
  574.         throws Exception
  575.     {
  576.         EnvManager.InitEnv (
  577.             "",
  578.             true
  579.         );

  581.         JulianDate dtSpot = DateUtil.CreateFromYMD (
  582.             2017,
  583.             DateUtil.MARCH,
  584.             13
  585.         );

  587.         String strCurrency = "USD";
  588.         String strTreasuryCode = "UST";

  590.         MergedDiscountForwardCurve dcFunding = FundingCurve (
  591.             dtSpot,
  592.             strCurrency
  593.         );

  595.         double[] adblTreasuryCoupon = new double[] {
  596.             0.0100,
  597.             0.0100,
  598.             0.0125,
  599.             0.0150,
  600.             0.0200,
  601.             0.0225,
  602.             0.0250,
  603.             0.0300
  604.         };

  606.         double[] adblTreasuryYield = new double[] {
  607.             0.0104, //  1Y
  608.             0.0137, //  2Y
  609.             0.0167, //  3Y
  610.             0.0213, //  5Y
  611.             0.0243, //  7Y
  612.             0.0260, // 10Y
  613.             0.0294, // 20Y
  614.             0.0319  // 30Y
  615.         };

  617.         Map<String, GovvieCurve> mapGovvieCurve = GovvieCurve (
  618.             dtSpot,
  619.             strTreasuryCode,
  620.             adblTreasuryCoupon,
  621.             adblTreasuryYield
  622.         );

  624.         CurveSurfaceQuoteContainer csqc = MarketParamsBuilder.Create (
  625.             dcFunding,
  626.             null,
  627.             null,
  628.             null,
  629.             null,
  630.             null,
  631.             null
  632.         );

  634.         csqc.setGovvieState (mapGovvieCurve.get ("BASE"));

  636.         AccumulateBondMarketQuote (
  637.             csqc,
  638.             new String[] {
  639.                 "01YON",
  640.                 "02YON",
  641.                 "03YON",
  642.                 "05YON",
  643.                 "07YON",
  644.                 "10YON",
  645.                 "20YON",
  646.                 "30YON"
  647.             },
  648.             adblTreasuryYield
  649.         );

  651.         Bond[] aCorporateBond = new Bond[] {
  652.             Corporate ("AGENCY ", DateUtil.CreateFromYMD (2013, 12, 11), DateUtil.CreateFromYMD (2028, 12,  8), 0.04000, 2, "30/360"),
  653.             Corporate ("AGENCY ", DateUtil.CreateFromYMD (2014,  6,  4), DateUtil.CreateFromYMD (2029,  6,  8), 0.03375, 2, "30/360"),
  654.             Corporate ("AGENCY ", DateUtil.CreateFromYMD (2013, 10, 24), DateUtil.CreateFromYMD (2029, 10, 24), 0.04000, 2, "30/360"),
  655.             Corporate ("AGENCY ", DateUtil.CreateFromYMD (2012, 10, 24), DateUtil.CreateFromYMD (2030, 10, 24), 0.03050, 2, "30/360"),
  656.             Corporate ("AGENCY ", DateUtil.CreateFromYMD (2015,  7, 20), DateUtil.CreateFromYMD (2032,  7, 20), 0.03500, 2, "30/360"),
  657.             Corporate ("AGENCY ", DateUtil.CreateFromYMD (2015,  6,  1), DateUtil.CreateFromYMD (2035,  6,  1), 0.03500, 2, "30/360"),
  658.             Corporate ("AGENCY ", DateUtil.CreateFromYMD (2015, 11, 12), DateUtil.CreateFromYMD (2035, 11, 13), 0.03315, 2, "30/360"),
  659.             Corporate ("AGENCY ", DateUtil.CreateFromYMD (2015,  7,  6), DateUtil.CreateFromYMD (2037,  8,  6), 0.03950, 2, "30/360"),
  660.         };

  662.         double[] adblCleanPrice = new double[] {
  663.             1.0790190,  // (2028, 12,  8)
  664.             1.0150450,  // (2029,  6,  8)
  665.             1.0761990,  // (2029, 10, 24)
  666.             0.9602829,  // (2030, 10, 24)
  667.             1.0062450,  // (2032,  7, 20)
  668.             0.9955769,  // (2035,  6,  1)
  669.             0.9745172,  // (2035, 11, 13)
  670.             1.0340070,  // (2037,  8,  6)
  671.             0.9381400,  // (2045,  4,  6)
  672.         };

  674.         double[] adblOAS = RVMeasures (
  675.             aCorporateBond,
  676.             dtSpot,
  677.             csqc,
  678.             adblCleanPrice
  679.         );

  681.         ValuationParams valParams = new ValuationParams (
  682.             dtSpot,
  683.             dtSpot.addBusDays (
  684.                 3,
  685.                 dcFunding.currency()
  686.             ),
  687.             dcFunding.currency()
  688.         );

  690.         System.out.println();

  692.         System.out.println ("\t|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||");

  694.         System.out.print ("\t|             BOND          ");

  696.         for (Map.Entry<String, GovvieCurve> meGovvieCurve : mapGovvieCurve.entrySet()) {
  697.             if ("BASE".equalsIgnoreCase (meGovvieCurve.getKey()) || "BUMP".equalsIgnoreCase (meGovvieCurve.getKey()))
  698.                 continue;

  700.             System.out.print (" | " + meGovvieCurve.getKey());
  701.         }

  703.         System.out.println (" ||");

  705.         System.out.println ("\t|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||");

  707.         for (int i = 0; i < adblOAS.length; ++i) {
  708.             System.out.print ("\t| " + aCorporateBond[i].name());

  710.             for (Map.Entry<String, GovvieCurve> meGovvieCurve : mapGovvieCurve.entrySet()) {
  711.                 if ("BASE".equalsIgnoreCase (meGovvieCurve.getKey()) || "BUMP".equalsIgnoreCase (meGovvieCurve.getKey()))
  712.                     continue;

  714.                 csqc.setGovvieState (meGovvieCurve.getValue());

  716.                 String strDump = " |                ";

  718.                 try {
  719.                     strDump = " |      " +
  720.                         FormatUtil.FormatDouble (
  721.                             (adblCleanPrice[i] - aCorporateBond[i].priceFromOAS (
  722.                                 valParams,
  723.                                 csqc,
  724.                                 null,
  725.                                 adblOAS[i]
  726.                             )) / adblCleanPrice[i],
  727.                         2, 2, 10000.
  728.                     ) + "     ";
  729.                 } catch (Exception e) {
  730.                     // e.printStackTrace();
  731.                 }

  733.                 System.out.print (strDump);
  734.             }

  736.             System.out.println (" ||");
  737.         }

  739.         System.out.println ("\t|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||");

  741.         EnvManager.TerminateEnv();
  742.     }
  743. }
Created with JaCoCo 0.7.9.201702052155