BasketAggregateMeasuresGeneration.java
package org.drip.sample.bond;
/*
* Credit Product Imports
*/
import java.util.List;
import org.drip.analytics.date.*;
import org.drip.analytics.daycount.Convention;
import org.drip.analytics.support.*;
import org.drip.numerical.common.*;
import org.drip.param.market.CurveSurfaceQuoteContainer;
import org.drip.param.period.*;
import org.drip.param.pricer.CreditPricerParams;
import org.drip.param.valuation.*;
import org.drip.product.creator.*;
import org.drip.product.credit.*;
import org.drip.product.definition.*;
import org.drip.product.rates.*;
import org.drip.service.env.EnvManager;
import org.drip.state.creator.ScenarioDiscountCurveBuilder;
import org.drip.state.discount.MergedDiscountForwardCurve;
import org.drip.state.identifier.ForwardLabel;
/*
* -*- 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
* 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>BasketAggregateMeasuresGeneration</i> contains a demo of the bond basket Measure generation Sample. It
* shows the following:
*
* <br><br>
* <ul>
* <li>
* Build the IR Curve from the Rates' instruments.
* </li>
* <li>
* Build the Component Credit Curve from the CDS instruments.
* </li>
* <li>
* Create the basket market parameters and add the named discount curve and the credit curves to it.
* </li>
* <li>
* Create the bond basket from the component bonds and their weights.
* </li>
* <li>
* Construct the Valuation and the Pricing Parameters.
* </li>
* <li>
* Generate the bond basket measures from the valuation, the pricer, and the market parameters.
* </li>
* </ul>
* <br><br>
*
* <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/bond/README.md">Bullet, EOS Bond Metrics + Curve</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class BasketAggregateMeasuresGeneration {
private static final FixFloatComponent IRS (
final JulianDate dtEffective,
final String strCurrency,
final String strMaturityTenor,
final double dblCoupon)
throws Exception
{
UnitCouponAccrualSetting ucasFixed = new UnitCouponAccrualSetting (
2,
"Act/360",
false,
"Act/360",
false,
strCurrency,
true,
CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC
);
ComposableFloatingUnitSetting cfusFloating = new ComposableFloatingUnitSetting (
"3M",
CompositePeriodBuilder.EDGE_DATE_SEQUENCE_REGULAR,
null,
ForwardLabel.Create (
strCurrency,
"3M"
),
CompositePeriodBuilder.REFERENCE_PERIOD_IN_ADVANCE,
0.
);
ComposableFixedUnitSetting cfusFixed = new ComposableFixedUnitSetting (
"6M",
CompositePeriodBuilder.EDGE_DATE_SEQUENCE_REGULAR,
null,
dblCoupon,
0.,
strCurrency
);
CompositePeriodSetting cpsFloating = new CompositePeriodSetting (
4,
"3M",
strCurrency,
null,
-1.,
null,
null,
null,
null
);
CompositePeriodSetting cpsFixed = new CompositePeriodSetting (
2,
"6M",
strCurrency,
null,
1.,
null,
null,
null,
null
);
CashSettleParams csp = new CashSettleParams (
0,
strCurrency,
0
);
List<Integer> lsFixedStreamEdgeDate = CompositePeriodBuilder.RegularEdgeDates (
dtEffective,
"6M",
strMaturityTenor,
null
);
List<Integer> lsFloatingStreamEdgeDate = CompositePeriodBuilder.RegularEdgeDates (
dtEffective,
"3M",
strMaturityTenor,
null
);
Stream floatingStream = new Stream (
CompositePeriodBuilder.FloatingCompositeUnit (
lsFloatingStreamEdgeDate,
cpsFloating,
cfusFloating
)
);
Stream fixedStream = new Stream (
CompositePeriodBuilder.FixedCompositeUnit (
lsFixedStreamEdgeDate,
cpsFixed,
ucasFixed,
cfusFixed
)
);
FixFloatComponent irs = new FixFloatComponent (
fixedStream,
floatingStream,
csp
);
irs.setPrimaryCode ("IRS." + strMaturityTenor + "." + strCurrency);
return irs;
}
/*
* Sample demonstrating creation of a rates curve from instruments
*
* 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] = "Rate";
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] = IRS (
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 Bond CreateTSYBond (
final String strName,
final double dblCoupon,
final JulianDate dt,
final String strTenor)
throws Exception
{
return BondBuilder.CreateSimpleFixed ( // Simple Fixed Rate Bond
strName, // Name
"USD", // Fictitious Treasury Curve Name
"", // Credit Curve - Empty for now
dblCoupon, // Bond Coupon
2, // Frequency
"Act/Act", // Day Count
dt, // Effective
dt.addTenor (strTenor), // Maturity
null, // Principal Schedule
null
);
}
/*
* 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 Bond[] CreateOnTheRunTSYBondSet (
final JulianDate dt,
final String[] astrTenor,
final double[] adblCoupon)
throws Exception
{
Bond aTSYBond[] = new Bond[astrTenor.length];
for (int i = 0; i < astrTenor.length; ++i)
aTSYBond[i] = CreateTSYBond (
"TSY" + astrTenor[i] + "ON",
adblCoupon[i],
dt,
astrTenor[i]
);
return aTSYBond;
}
/*
* 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 MergedDiscountForwardCurve BuildOnTheRunTSYDiscountCurve (
final JulianDate dt,
final Bond[] aTSYBond,
final double[] adblTSYYield)
throws Exception
{
String astrCalibMeasure[] = new String[aTSYBond.length];
for (int i = 0; i < aTSYBond.length; ++i)
astrCalibMeasure[i] = "Yield";
return ScenarioDiscountCurveBuilder.NonlinearBuild (
dt,
"USD", // Fake curve name to indicate it is a USD TSY curve, not the usual USD curve
aTSYBond,
adblTSYYield,
astrCalibMeasure,
null
);
}
/*
* Sample demonstrating creation of the principal factor schedule from date and factor array
*
* USE WITH CARE: This sample ignores errors and does not handle exceptions.
*/
private static final Array2D MakeFSPrincipal()
throws Exception
{
double[] aiDate = new double[5];
double[] adblFactor = new double[] {1., 1.0, 1.0, 1.0, 1.0};
// double[] adblFactor = new double[] {1., 0.9, 0.8, 0.7, 0.6};
JulianDate dtEOSStart = DateUtil.Today().addDays (2);
for (int i = 0; i < 5; ++i)
aiDate[i] = dtEOSStart.addYears (i + 2).julian();
return Array2D.FromArray (
aiDate,
adblFactor
);
}
/*
* Sample demonstrating creation of the coupon factor schedule from date and factor array
*
* USE WITH CARE: This sample ignores errors and does not handle exceptions.
*/
private static final Array2D MakeFSCoupon()
throws Exception
{
double[] aiDate = new double[5];
double[] adblFactor = new double[] {1., 1.0, 1.0, 1.0, 1.0};
// double[] adblFactor = new double[] {1., 0.9, 0.8, 0.7, 0.6};
JulianDate dtEOSStart = DateUtil.Today().addDays (2);
for (int i = 0; i < 5; ++i)
aiDate[i] = dtEOSStart.addYears (i + 2).julian();
return Array2D.FromArray (
aiDate,
adblFactor
);
}
/*
* Sample demonstrating the creation/usage of the bond basket API
*
* USE WITH CARE: This sample ignores errors and does not handle exceptions.
*/
private static final void BasketBondAPISample()
throws Exception
{
JulianDate dtCurve = DateUtil.CreateFromYMD (
2013,
6,
27
);
JulianDate dtSettle = DateUtil.CreateFromYMD (
2013,
7,
1
);
/*
* Build the IR Curve from the Rates' instruments
*/
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};
MergedDiscountForwardCurve dc = BuildRatesCurveFromInstruments (dtCurve, astrCashTenor, adblCashRate, astrIRSTenor, adblIRSRate, 0., "USD");
/*
* Construct the set of Treasury instruments (in the case on-the-run set)
*/
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
};
Bond[] aTSYBond = CreateOnTheRunTSYBondSet (
dtCurve,
astrTSYTenor,
adblTSYCoupon
);
/*
* Build the Treasury Curve from the Treasury instruments and their yields
*/
double[] adblTSYYield = new double[] {
0.00160, 0.00397, 0.00696, 0.01421, 0.01955, 0.02529, 0.03568
};
MergedDiscountForwardCurve dcTSY = BuildOnTheRunTSYDiscountCurve (
dtCurve,
aTSYBond,
adblTSYYield
);
/*
* Construct the set of bonds and load them onto the basket
*/
BondComponent bond1 = BondBuilder.CreateSimpleFixed (
"TEST1", // Name
"USD", // Currency
"", // Credit Curve - Empty for now
0.09, // Bond Coupon
2, // Frequency
"30/360", // Day Count
DateUtil.CreateFromYMD (
2011,
2,
23
), // Effective
DateUtil.CreateFromYMD (
2021,
3,
1
), // Maturity
null, // Principal Schedule
null
);
BondComponent bond2 = BondBuilder.CreateSimpleFixed ( // Simple Fixed Rate Bond
"TEST2", // Name
"USD", // Currency
"", // Credit Curve - Empty for now
0.09, // Bond Coupon
2, // Frequency
"30/360", // Day Count
DateUtil.CreateFromYMD (
2011,
2,
23
), // Effective
DateUtil.CreateFromYMD (
2021,
3,
1
), // Maturity
null, // Principal Schedule
null
);
BondComponent bond3 = BondBuilder.CreateSimpleFixed ( // Simple Fixed Rate Bond
"TEST3", // Name
"USD", // Currency
"", // Credit Curve - Empty for now
0.09, // Bond Coupon
2, // Frequency
"30/360", // Day Count
DateUtil.CreateFromYMD (
2011,
2,
23
), // Effective
DateUtil.CreateFromYMD (
2021,
3,
1
), // Maturity
null, // Principal Schedule
null
);
BondComponent bond4 = BondBuilder.CreateSimpleFloater ( // Simple Floating Rate Bond
"FLOATER1", // Name
"USD", // Currency
"USD-6M", // Rate Index
"", // Credit Curve - Empty for now
0.01, // Floating Spread
2, // Coupon Frequency
"30/360", // Day Count
DateUtil.CreateFromYMD (
2008,
9,
21
), // Effective
DateUtil.CreateFromYMD (
2023,
9,
20
), // Maturity
MakeFSPrincipal(), // Principal Schedule
MakeFSCoupon() // Coupon Schedule
);
BasketProduct bb = new BondBasket (
"TurtlePower",
new Bond[] {
bond1, bond2, bond3, bond4
},
new double[] {
0.1, 0.2, 0.3, 0.4
}
);
/*
* Create the basket market parameters and add the named discount curve and the treasury curves to it.
*/
CurveSurfaceQuoteContainer mktParams = new CurveSurfaceQuoteContainer();
mktParams.setFundingState (dc);
mktParams.setFundingState (dcTSY);
/*
* Construct the Valuation and the Pricing Parameters
*/
ValuationParams valParams = ValuationParams.Spot (
dtSettle,
0,
"USD",
Convention.DATE_ROLL_ACTUAL
);
CreditPricerParams pricerParams = new CreditPricerParams (
7,
null,
false,
CreditPricerParams.PERIOD_DISCRETIZATION_FULL_COUPON
);
/*
* Generate the bond basket measures from the valuation, the pricer, and the market parameters
*/
CaseInsensitiveTreeMap<Double> mapResult = bb.value (
valParams,
pricerParams,
mktParams,
null
);
System.out.println ("Clean Price: " + FormatUtil.FormatDouble (mapResult.get ("CleanPrice"), 0, 2, 100.));
System.out.println ("Fair Clean Price: " + FormatUtil.FormatDouble (mapResult.get ("FairCleanPrice"), 0, 2, 100.));
System.out.println ("Fair Yield: " + FormatUtil.FormatDouble (mapResult.get ("FairYield"), 0, 2, 100.));
System.out.println ("Fair GSpread: " + FormatUtil.FormatDouble (mapResult.get ("FairGSpread"), 0, 0, 10000.));
System.out.println ("Fair ZSpread: " + FormatUtil.FormatDouble (mapResult.get ("FairZSpread"), 0, 0, 10000.));
System.out.println ("Fair ISpread: " + FormatUtil.FormatDouble (mapResult.get ("FairISpread"), 0, 0, 10000.));
System.out.println ("Fair Duration: " + FormatUtil.FormatDouble (mapResult.get ("FairDuration"), 0, 2, 10000.));
System.out.println ("Accrued: " + FormatUtil.FormatDouble (mapResult.get ("Accrued"), 1, 2, 100.));
}
public static final void main (
final String astrArgs[])
throws Exception
{
// String strConfig = "c:\\Lakshmi\\BondAnal\\Config.xml";
EnvManager.InitEnv (
"",
true
);
BasketBondAPISample();
EnvManager.TerminateEnv();
}
}