ConstantPaymentBond.java

package org.drip.sample.assetbacked;

import org.drip.analytics.cashflow.CompositePeriod;
import org.drip.analytics.date.*;
import org.drip.analytics.daycount.Convention;
import org.drip.analytics.support.Helper;
import org.drip.numerical.common.FormatUtil;
import org.drip.param.market.CurveSurfaceQuoteContainer;
import org.drip.param.valuation.ValuationParams;
import org.drip.product.creator.ConstantPaymentBondBuilder;
import org.drip.product.definition.Bond;
import org.drip.service.env.EnvManager;

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

/*!
 * Copyright (C) 2020 Lakshmi Krishnamurthy
 * Copyright (C) 2019 Lakshmi Krishnamurthy
 * Copyright (C) 2018 Lakshmi Krishnamurthy
 * Copyright (C) 2017 Lakshmi Krishnamurthy
 * Copyright (C) 2016 Lakshmi Krishnamurthy
 * Copyright (C) 2015 Lakshmi Krishnamurthy
 * 
 *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
 *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
 *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
 *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
 *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
 *      and computational support.
 *  
 *      https://lakshmidrip.github.io/DROP/
 *  
 *  DROP is composed of three modules:
 *  
 *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
 *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
 *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
 * 
 *  DROP Product Core implements libraries for the following:
 *  - Fixed Income Analytics
 *  - Loan Analytics
 *  - Transaction Cost Analytics
 * 
 *  DROP Portfolio Core implements libraries for the following:
 *  - Asset Allocation Analytics
 *  - Asset Liability Management Analytics
 *  - Capital Estimation Analytics
 *  - Exposure Analytics
 *  - Margin Analytics
 *  - XVA Analytics
 * 
 *  DROP Computational Core implements libraries for the following:
 *  - Algorithm Support
 *  - Computation Support
 *  - Function Analysis
 *  - Model Validation
 *  - Numerical Analysis
 *  - Numerical Optimizer
 *  - Spline Builder
 *  - Statistical Learning
 * 
 *  Documentation for DROP is Spread Over:
 * 
 *  - Main                     => https://lakshmidrip.github.io/DROP/
 *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
 *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
 *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
 *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
 *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
 *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
 *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
 *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
 *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
 *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
 * 
 *  Licensed under the Apache License, Version 2.0 (the "License");
 *      you may not use this file except in compliance with the License.
 *   
 *  You may obtain a copy of the License at
 *      http://www.apache.org/licenses/LICENSE-2.0
 *  
 *  Unless required by applicable law or agreed to in writing, software
 *      distributed under the License is distributed on an "AS IS" BASIS,
 *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 *  
 *  See the License for the specific language governing permissions and
 *      limitations under the License.
 */

/**
 * <i>ConstantPaymentBond</i> demonstrates the Construction and Valuation of a Custom Constant Payment
 * Mortgage Bond.
 *  
 * <br><br>
 *  <ul>
 *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
 *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
 *      <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>
 *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/assetbacked/README.md">ABS Custom Cash Flow Bonds</a></li>
 *  </ul>
 * <br><br>
 *
 * @author Lakshmi Krishnamurthy
 */

public class ConstantPaymentBond {

    private static final void BondMetrics (
        final Bond bond,
        final double dblInitialNotional,
        final JulianDate dtSettle,
        final CurveSurfaceQuoteContainer mktParams,
        final double dblCleanPrice)
        throws Exception
    {
        double dblAccrued = bond.accrued (
            dtSettle.julian(),
            null
        );

        ValuationParams valParams = ValuationParams.Spot (dtSettle.julian());

        double dblYield = bond.yieldFromPrice (
            valParams,
            mktParams,
            null,
            dblCleanPrice
        );

        double dblModifiedDuration = bond.modifiedDurationFromPrice (
            valParams,
            mktParams,
            null,
            dblCleanPrice
        );

        double dblRisk = bond.yield01FromPrice (
            valParams,
            mktParams,
            null,
            dblCleanPrice
        );

        double dblConvexity = bond.convexityFromPrice (
            valParams,
            mktParams,
            null,
            dblCleanPrice
        );

        JulianDate dtPreviousCouponDate = bond.previousCouponDate (dtSettle);

        double dblCurrentPrincipal = bond.notional (dtPreviousCouponDate.julian()) * dblInitialNotional;

        double dblAccruedAmount = dblAccrued * dblInitialNotional;

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

        System.out.println ("\tAnalytics Metrics for " + bond.name());

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

        System.out.println ("\tPrice             : " + FormatUtil.FormatDouble (dblCleanPrice, 1, 4, 100.));

        System.out.println ("\tYield             : " + FormatUtil.FormatDouble (dblYield, 1, 2, 100.) + "%");

        System.out.println ("\tSettle            :  " + dtSettle);

        System.out.println();

        System.out.println ("\tModified Duration : " + FormatUtil.FormatDouble (dblModifiedDuration, 1, 4, 10000.));

        System.out.println ("\tRisk              : " + FormatUtil.FormatDouble (dblRisk, 1, 4, 10000.));

        System.out.println ("\tConvexity         : " + FormatUtil.FormatDouble (dblConvexity * dblInitialNotional, 1, 4, 1.));

        System.out.println ("\tDV01              : " + FormatUtil.FormatDouble (dblRisk * dblInitialNotional, 1, 2, 1.));

        System.out.println();

        System.out.println ("\tPrevious Coupon Date : " + dtPreviousCouponDate);

        System.out.println ("\tFace                 : " + FormatUtil.FormatDouble (dblInitialNotional, 1, 2, 1.));

        System.out.println ("\tNotional             : " + FormatUtil.FormatDouble (dblInitialNotional, 1, 2, 1.));

        System.out.println ("\tCurrent Principal    : " + FormatUtil.FormatDouble (dblCurrentPrincipal, 1, 2, 1.));

        System.out.println ("\tAccrued              : " + FormatUtil.FormatDouble (dblAccruedAmount, 1, 6, 1.));

        System.out.println ("\tTotal                : " + FormatUtil.FormatDouble (dblCleanPrice * dblCurrentPrincipal + dblAccruedAmount, 1, 2, 1.));

        System.out.println ("\tNPV                  : " + FormatUtil.FormatDouble (dblCleanPrice * dblCurrentPrincipal + dblAccruedAmount, 1, 2, 1.));

        System.out.println ("\tAccrual Days         : " + FormatUtil.FormatDouble (dtSettle.julian() - dtPreviousCouponDate.julian(), 1, 0, 1.));
    }

    public static void main (
        final String[] astrArgs)
        throws Exception
    {
        EnvManager.InitEnv (
            "",
            true
        );

        double dblBeginPrincipalFactor = 1.;
        double dblCouponRate = 0.1189;
        double dblServiceFeeRate = 0.00;
        double dblBondNotional = 147544.28;
        String strDayCount = "Act/365";
        String strCurrency = "USD";
        int iNumPayment = 48;
        int iPayFrequency = 12;
        double dblConstantPaymentAmount = 3941.98;

        double dblFixedPaymentAmount = ConstantPaymentBondBuilder.ConstantUniformPaymentAmount (
            dblBondNotional,
            dblCouponRate,
            iNumPayment / iPayFrequency
        );

        JulianDate dtEffective = DateUtil.CreateFromYMD (
            2015,
            DateUtil.OCTOBER,
            22
        );

        Bond bond = ConstantPaymentBondBuilder.Standard (
            "FPMA 11.89 2019",
            dtEffective,
            strCurrency,
            iNumPayment,
            strDayCount,
            iPayFrequency,
            dblCouponRate,
            0.,
            dblConstantPaymentAmount,
            dblBondNotional
        );

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

        System.out.println ("\t|                                         FIXED CASH-FLOW MORTGAGE BOND ANALYTICS                                                                            ||");

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

        System.out.println ("\t|    L -> R:                                                                                                                                                 ||");

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

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

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

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

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

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

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

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

        System.out.println ("\t|            - Coupon Rate (%)                                                                                                                               ||");

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

        System.out.println ("\t|            - Fee Rate (%)                                                                                                                                  ||");

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

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

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

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

        for (CompositePeriod p : bond.couponPeriods()) {
            double dblPeriodCouponRate = p.couponMetrics (
                dtEffective.julian(),
                null
            ).rate();

            double dblCouponDCF = p.couponDCF();

            double dblEndPrincipalFactor = bond.notional (p.endDate());

            double dblPrincipalAmount = (dblBeginPrincipalFactor - dblEndPrincipalFactor) * dblBondNotional;

            double dblCouponAmount = dblBeginPrincipalFactor * dblPeriodCouponRate * dblCouponDCF * dblBondNotional;

            double dblYieldDF = Helper.Yield2DF (
                iPayFrequency,
                dblCouponRate,
                Convention.YearFraction (
                    dtEffective.julian(),
                    p.endDate(),
                    "30/360",
                    false,
                    null,
                    strCurrency
                )
            );

            System.out.println ("\t| [" +
                DateUtil.YYYYMMDD (p.startDate()) + " -> " +
                DateUtil.YYYYMMDD (p.endDate()) + "] => " +
                DateUtil.YYYYMMDD (p.payDate()) + " | " +
                FormatUtil.FormatDouble (dblYieldDF, 1, 4, 1.) + " | " +
                FormatUtil.FormatDouble (1., 1, 4, 1.) + " | " +
                FormatUtil.FormatDouble (dblBeginPrincipalFactor, 1, 4, 1.) + " | " +
                FormatUtil.FormatDouble (dblCouponDCF * 365, 1, 0, 1.) + " | " +
                FormatUtil.FormatDouble (dblCouponDCF, 1, 10, 1.) + " | " +
                FormatUtil.FormatDouble (dblPeriodCouponRate, 2, 2, 100.) + "% | " +
                FormatUtil.FormatDouble (dblCouponAmount, 2, 2, 1.) + " | " +
                FormatUtil.FormatDouble (dblServiceFeeRate, 2, 2, 100.) + "% | " +
                FormatUtil.FormatDouble (dblCouponAmount * dblServiceFeeRate / dblPeriodCouponRate, 2, 2, 1.) + " | " +
                FormatUtil.FormatDouble (dblPrincipalAmount, 3, 2, 1.) + " | " +
                FormatUtil.FormatDouble (dblPrincipalAmount + dblCouponAmount, 3, 2, 1.) + " ||"
            );

            dblBeginPrincipalFactor = dblEndPrincipalFactor;
        }

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

        JulianDate dtSettle = DateUtil.CreateFromYMD (
            2015,
            DateUtil.DECEMBER,
            1
        );

        double dblCleanPrice = 1.00; // PAR

        CurveSurfaceQuoteContainer mktParams = new CurveSurfaceQuoteContainer();

        BondMetrics (
            bond,
            dblBondNotional,
            dtSettle,
            mktParams,
            dblCleanPrice
        );

        Bond bondFeeAdjusted = ConstantPaymentBondBuilder.Standard (
            "FPMA  9.24 2016",
            dtEffective,
            strCurrency,
            iNumPayment,
            strDayCount,
            iPayFrequency,
            dblCouponRate,
            dblServiceFeeRate,
            dblConstantPaymentAmount,
            dblBondNotional
        );

        ValuationParams valParams = ValuationParams.Spot (dtSettle.julian());

        double dblYieldFeeAdjusted = bondFeeAdjusted.yieldFromPrice (
            valParams,
            mktParams,
            null,
            dblCleanPrice
        );

        System.out.println ("\tFee Adjusted Yield   : " + FormatUtil.FormatDouble (dblYieldFeeAdjusted, 1, 2, 100.) + "%");

        System.out.println ("\n\tUniform Constant Mortgage Amount       => " + FormatUtil.FormatDouble (dblFixedPaymentAmount, 1, 2, 1.));

        System.out.println (
            "\tFee Unadjusted Price From Coupon Yield => " + FormatUtil.FormatDouble (
                bond.priceFromYield (
                    valParams,
                    mktParams,
                    null,
                    dblCouponRate
                ),
            1, 2, 100.)
        );

        System.out.println (
            "\tFee Adjusted Price From Coupon Yield   => " + FormatUtil.FormatDouble (
                bondFeeAdjusted.priceFromYield (
                    valParams,
                    mktParams,
                    null,
                    dblCouponRate
                ),
            1, 2, 100.)
        );

        EnvManager.TerminateEnv();
    }
}