YAS.java

package org.drip.sample.bloomberg;

/*
 * Credit Product imports
 */

import org.drip.analytics.cashflow.CompositePeriod;
import org.drip.analytics.date.*;
import org.drip.analytics.daycount.Convention;
import org.drip.analytics.support.*;
import org.drip.market.otc.*;
import org.drip.numerical.common.FormatUtil;
import org.drip.param.definition.*;
import org.drip.param.valuation.*;
import org.drip.product.definition.*;
import org.drip.product.govvie.TreasuryComponent;
import org.drip.product.params.EmbeddedOptionSchedule;

/*
 * Credit Analytics API imports
 */

import org.drip.product.rates.*;
import org.drip.param.creator.*;
import org.drip.param.market.*;
import org.drip.param.quote.*;
import org.drip.product.creator.*;
import org.drip.product.credit.BondComponent;
import org.drip.service.env.EnvManager;
import org.drip.service.template.TreasuryBuilder;
import org.drip.state.creator.*;
import org.drip.state.discount.MergedDiscountForwardCurve;
import org.drip.state.govvie.GovvieCurve;
import org.drip.state.identifier.ForwardLabel;

/*!
 * 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
 * Copyright (C) 2014 Lakshmi Krishnamurthy
 * Copyright (C) 2013 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>YAS</i> contains the sample demonstrating the replication of Bloomberg's YAS functionality.
 *  
 * <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/bloomberg/README.md">Bloomberg CDSO CDSW SWPM YAS</a></li>
 *  </ul>
 * <br><br>
 * 
 * @author Lakshmi Krishnamurthy
 */

public class YAS {
    private static final String FIELD_SEPARATOR = "    ";

    private static final FixFloatComponent OTCIRS (
        final JulianDate dtSpot,
        final String strCurrency,
        final String strMaturityTenor,
        final double dblCoupon)
    {
        FixedFloatSwapConvention ffConv = IBORFixedFloatContainer.ConventionFromJurisdiction (
            strCurrency,
            "ALL",
            strMaturityTenor,
            "MAIN"
        );

        return ffConv.createFixFloatComponent (
            dtSpot,
            strMaturityTenor,
            dblCoupon,
            0.,
            1.
        );
    }

    /*
     * Sample demonstrating building of rates curve from cash/future/swaps
     * 
     *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
     */

    private static MergedDiscountForwardCurve BuildRatesCurveFromInstruments (
        final JulianDate dtStart,
        final String[] astrCashTenor,
        final double[] adblCashRate,
        final String[] astrIRSTenor,
        final double[] adblIRSRate,
        final double dblBump,
        final String strCurrency)
        throws Exception
    {
        int iNumDCInstruments = astrCashTenor.length + adblIRSRate.length;
        int aiDate[] = new int[iNumDCInstruments];
        double adblRate[] = new double[iNumDCInstruments];
        String astrCalibMeasure[] = new String[iNumDCInstruments];
        double adblCompCalibValue[] = new double[iNumDCInstruments];
        CalibratableComponent aCompCalib[] = new CalibratableComponent[iNumDCInstruments];

        // Cash Calibration

        JulianDate dtCashEffective = dtStart.addBusDays (
            1,
            strCurrency
        );

        for (int i = 0; i < astrCashTenor.length; ++i) {
            astrCalibMeasure[i] = "Rate";
            adblRate[i] = java.lang.Double.NaN;
            adblCompCalibValue[i] = adblCashRate[i] + dblBump;

            aCompCalib[i] = SingleStreamComponentBuilder.Deposit (
                dtCashEffective,
                new JulianDate (aiDate[i] = dtCashEffective.addTenor (astrCashTenor[i]).julian()),
                ForwardLabel.Create (
                    strCurrency,
                    astrCashTenor[i]
                )
            );
        }

        // IRS Calibration

        JulianDate dtIRSEffective = dtStart.addBusDays (2, strCurrency);

        for (int i = 0; i < astrIRSTenor.length; ++i) {
            astrCalibMeasure[i + astrCashTenor.length] = "SwapRate";
            adblRate[i + astrCashTenor.length] = java.lang.Double.NaN;
            adblCompCalibValue[i + astrCashTenor.length] = adblIRSRate[i] + dblBump;

            aiDate[i + astrCashTenor.length] = dtIRSEffective.addTenor (astrIRSTenor[i]).julian();

            aCompCalib[i + astrCashTenor.length] = OTCIRS (
                dtIRSEffective,
                strCurrency,
                astrIRSTenor[i],
                0.
            );
        }

        /*
         * Build the IR curve from the components, their calibration measures, and their calibration quotes.
         */

        return ScenarioDiscountCurveBuilder.NonlinearBuild (
            dtStart,
            strCurrency,
            aCompCalib,
            adblCompCalibValue,
            astrCalibMeasure,
            null
        );
    }

    /*
     * Sample demonstrating creation of simple fixed coupon treasury bond
     * 
     *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
     */

    private static final TreasuryComponent Treasury (
        final String strName,
        final double dblCoupon,
        final JulianDate dt,
        final String strTenor)
        throws Exception
    {
        return TreasuryBuilder.FromCode (
            "UST",
            dt,
            dt.addTenor (strTenor),
            dblCoupon
        );
    }

    /*
     * Sample demonstrating creation of a set of the on-the-run treasury bonds
     * 
     *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
     */

    private static final TreasuryComponent[] OTRTreasurySet (
        final JulianDate dt,
        final String[] astrTenor,
        final double[] adblCoupon)
        throws Exception
    {
        TreasuryComponent aTreasury[] = new TreasuryComponent[astrTenor.length];

        for (int i = 0; i < astrTenor.length; ++i)
            aTreasury[i] = Treasury (
                "TSY" + astrTenor[i] + "ON",
                adblCoupon[i],
                dt,
                astrTenor[i]
            );

        return aTreasury;
    }

    /*
     * Sample demonstrating building of the treasury discount curve based off the on-the run instruments and their yields
     * 
     *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
     */

    private static final GovvieCurve BuildOnTheRunGovvieCurve (
        final JulianDate dt,
        final TreasuryComponent[] aTreasury,
        final double[] adblYield)
        throws Exception
    {
        return ScenarioGovvieCurveBuilder.CubicPolyShapePreserver (
            "UST",
            "UST",
            aTreasury[0].currency(),
            dt.julian(),
            aTreasury,
            adblYield,
            "Yield"
        );
    }

    /*
     * Sample demonstrating creation of treasury quotes map
     * 
     *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
     */

    private static final CaseInsensitiveTreeMap<ProductQuote> MakeTSYQuotes (
        final String[] astrTSYTenor,
        final double[] adblTSYYield)
        throws Exception
    {
        CaseInsensitiveTreeMap<ProductQuote> mTSYQuotes = new CaseInsensitiveTreeMap<ProductQuote>();

        for (int i = 0; i < astrTSYTenor.length; ++i) {
            ProductMultiMeasure cmmq = new ProductMultiMeasure();

            cmmq.addQuote (
                "Yield",
                new MultiSided (
                    "mid",
                    adblTSYYield[i],
                    Double.NaN
                ),
                true
            );

            mTSYQuotes.put (
                astrTSYTenor[i] + "ON",
                cmmq
            );
        }

        return mTSYQuotes;
    }

    /*
     * Sample demonstrating generation of all the YAS measures
     * 
     *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
     */

    private static final void BondPricerSample()
        throws Exception
    {
        JulianDate dtCurve = DateUtil.Today();

        JulianDate dtSettle = dtCurve.addBusDays (
            3,
            "USD"
        );

        double dblNotional = 1000000.;
        String[] astrCashTenor = new String[] {"3M"};
        double[] adblCashRate = new double[] {0.00276};
        String[] astrIRSTenor = new String[] {   "1Y",    "2Y",    "3Y",    "4Y",    "5Y",    "6Y",    "7Y",
               "8Y",    "9Y",   "10Y",   "11Y",   "12Y",   "15Y",   "20Y",   "25Y",   "30Y",   "40Y",   "50Y"};
        double[] adblIRSRate = new double[]  {0.00367, 0.00533, 0.00843, 0.01238, 0.01609, 0.01926, 0.02191,
            0.02406, 0.02588, 0.02741, 0.02870, 0.02982, 0.03208, 0.03372, 0.03445, 0.03484, 0.03501, 0.03484};
        String[] astrTSYTenor = new String[] {
            "1Y", "2Y", "3Y", "5Y", "7Y", "10Y", "30Y"
        };
        final double[] adblTSYCoupon = new double[] {
            0.0000, 0.00375, 0.00500, 0.0100, 0.01375, 0.01375, 0.02875
        };
        double[] adblTSYYield = new double[] {
            0.00160, 0.00397, 0.00696, 0.01421, 0.01955, 0.02529, 0.03568
        };

        MergedDiscountForwardCurve dc = BuildRatesCurveFromInstruments (
            dtCurve,
            astrCashTenor,
            adblCashRate,
            astrIRSTenor,
            adblIRSRate,
            0.,
            "USD"
        );

        TreasuryComponent[] aTSYBond = OTRTreasurySet (
            dtCurve,
            astrTSYTenor,
            adblTSYCoupon
        );

        /*
         * Create the on-the-run treasury discount curve
         */

        GovvieCurve gc = BuildOnTheRunGovvieCurve (
            dtCurve,
            aTSYBond,
            adblTSYYield
        );

        BondComponent bond = BondBuilder.CreateSimpleFixed (    // Simple Fixed Rate Bond
            "TEST",         // Name
            "USD",          // Currency
            "",             // Empty Credit Curve
            0.054,          // Bond Coupon
            2,              // Frequency
            "30/360",       // Day Count
            DateUtil.CreateFromYMD (
                2011,
                4,
                21
            ), // Effective
            DateUtil.CreateFromYMD (
                2021,
                4,
                15
            ),  // Maturity
            null,       // Principal Schedule
            null
        );

        int[] aiDate = new int[] {
            DateUtil.CreateFromYMD (2016, 3, 1).julian(),
            DateUtil.CreateFromYMD (2017, 3, 1).julian(),
            DateUtil.CreateFromYMD (2018, 3, 1).julian(),
            DateUtil.CreateFromYMD (2019, 3, 1).julian(),
            DateUtil.CreateFromYMD (2020, 3, 1).julian()
        };

        double[] adblFactor = new double[] {
            1.045, 1.03, 1.015, 1., 1.
        };

        EmbeddedOptionSchedule eos = new EmbeddedOptionSchedule (
            aiDate,
            adblFactor,
            false,
            30,
            false,
            Double.NaN,
            "",
            Double.NaN
        );

        bond.setEmbeddedCallSchedule (eos);

        CurveSurfaceQuoteContainer mktParams = MarketParamsBuilder.Create (
            dc,
            gc,
            null,
            null,
            null, 
            MakeTSYQuotes (
                astrTSYTenor,
                adblTSYYield
            ),
            null
        );

        System.out.println ("\n---- Valuation Details ----");

        System.out.println ("Trade Date   : " + dtCurve);

        System.out.println ("Cash Settle  : " + dtSettle);

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

        ValuationParams valParams = ValuationParams.Spot (
            dtSettle,
            0,
            "",
            Convention.DATE_ROLL_ACTUAL
        );

        double dblPrice = 0.97828;

        double dblAccrued = bond.accrued (
            valParams.valueDate(),
            mktParams
        );

        WorkoutInfo wi = bond.exerciseYieldFromPrice (valParams, mktParams, null, dblPrice);

        double dblTSYSpread = bond.tsySpreadFromPrice (valParams, mktParams, null, wi.date(), wi.factor(), dblPrice);

        double dblGSpread = bond.gSpreadFromPrice (valParams, mktParams, null, wi.date(), wi.factor(), dblPrice);

        double dblISpread = bond.iSpreadFromPrice (valParams, mktParams, null, wi.date(), wi.factor(), dblPrice);

        double dblZSpread = bond.zSpreadFromPrice (valParams, mktParams, null, wi.date(), wi.factor(), dblPrice);

        double dblASW = bond.aswFromPrice (valParams, mktParams, null, wi.date(), wi.factor(), dblPrice);

        double dblOAS = bond.oasFromPrice (valParams, mktParams, null, wi.date(), wi.factor(), dblPrice);

        double dblModDur = bond.modifiedDurationFromPrice (valParams, mktParams, null, wi.date(), wi.factor(), dblPrice);

        double dblMacDur = bond.macaulayDurationFromPrice (valParams, mktParams, null, wi.date(), wi.factor(), dblPrice);

        double dblYield01 = bond.yield01FromPrice (valParams, mktParams, null, wi.date(), wi.factor(), dblPrice);

        double dblConvexity = bond.convexityFromPrice (valParams, mktParams, null, wi.date(), wi.factor(), dblPrice);

        System.out.println ("Price          : " + FormatUtil.FormatDouble (dblPrice, 1, 3, 100.));

        System.out.println ("Yield          : " + FormatUtil.FormatDouble (wi.yield(), 1, 3, 100.));

        System.out.println ("Workout Date   : " + new JulianDate (wi.date()));

        System.out.println ("Workout Factor : " + FormatUtil.FormatDouble (wi.factor(), 1, 2, 100.));

        System.out.println ("\n--SPREAD AND YIELD CALCULATIONS--\n");

        System.out.println ("TSY Spread : " + FormatUtil.FormatDouble (dblTSYSpread, 1, 0, 10000.));

        System.out.println ("G Spread   : " + FormatUtil.FormatDouble (dblGSpread, 1, 0, 10000.));

        System.out.println ("I Spread   : " + FormatUtil.FormatDouble (dblISpread, 1, 0, 10000.));

        System.out.println ("Z Spread   : " + FormatUtil.FormatDouble (dblZSpread, 1, 0, 10000.));

        System.out.println ("ASW        : " + FormatUtil.FormatDouble (dblASW, 1, 0, 10000.));

        System.out.println ("OAS        : " + FormatUtil.FormatDouble (dblOAS, 1, 0, 10000.));

        System.out.println ("\n--RISK--\n");

        System.out.println ("Modified Duration : " + FormatUtil.FormatDouble (dblModDur, 1, 2, 10000.));

        System.out.println ("Macaulay Duration : " + FormatUtil.FormatDouble (dblMacDur, 1, 2, 1.));

        System.out.println ("Risk              : " + FormatUtil.FormatDouble (dblYield01 * 10000., 1, 2, 1.));

        System.out.println ("Convexity         : " + FormatUtil.FormatDouble (dblConvexity, 1, 2, 1000000.));

        System.out.println ("DV01              : " + FormatUtil.FormatDouble (dblYield01 * dblNotional, 1, 0, 1.));

        System.out.println ("\n--INVOICE--\n");

        System.out.println ("Face      : " + FormatUtil.FormatDouble (dblNotional, 1, 0, 1.));

        System.out.println ("Principal : " + FormatUtil.FormatDouble (dblPrice * dblNotional, 1, 2, 1.));

        System.out.println ("Accrued   : " + FormatUtil.FormatDouble (dblAccrued * dblNotional, 1, 2, 1.));

        System.out.println ("Total     : " + FormatUtil.FormatDouble ((dblPrice + dblAccrued) * dblNotional, 1, 2, 1.));

        System.out.println ("\nCashflow\n--------");

        for (CompositePeriod p : bond.couponPeriods())
            System.out.println (
                DateUtil.YYYYMMDD (p.startDate()) + FIELD_SEPARATOR +
                DateUtil.YYYYMMDD (p.endDate()) + FIELD_SEPARATOR +
                DateUtil.YYYYMMDD (p.payDate()) + FIELD_SEPARATOR +
                FormatUtil.FormatDouble (p.couponDCF(), 1, 4, 1.) + FIELD_SEPARATOR +
                FormatUtil.FormatDouble (dc.df (p.payDate()), 1, 4, 1.) + FIELD_SEPARATOR
            );
    }

    public static final void main (
        final String astrArgs[])
        throws Exception
    {
        // String strConfig = "c:\\Lakshmi\\BondAnal\\Config.xml";

        EnvManager.InitEnv (
            "",
            true
        );

        BondPricerSample();

        EnvManager.TerminateEnv();
    }
}