PrepayableConstantPaymentBond.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>PrepayableConstantPaymentBond</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 PrepayableConstantPaymentBond {
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 dblCPR = 0.01;
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.Prepay (
"FPMA 11.89 2019",
dtEffective,
strCurrency,
iNumPayment,
strDayCount,
iPayFrequency,
dblCouponRate,
0.,
dblCPR,
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 (1., 1, 4, 1.) + " | " +
FormatUtil.FormatDouble (dblYieldDF, 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.Prepay (
"SERVICEABLE FPMA 11.89 2019",
dtEffective,
strCurrency,
iNumPayment,
strDayCount,
iPayFrequency,
dblCouponRate,
dblServiceFeeRate,
dblCPR,
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();
}
}