CoreCashFlowMeasures.java
package org.drip.sample.bond;
/*
* Credit Product imports
*/
import org.drip.analytics.cashflow.*;
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.*;
import org.drip.param.definition.*;
import org.drip.param.market.CurveSurfaceQuoteContainer;
import org.drip.param.pricer.CreditPricerParams;
import org.drip.param.quote.*;
import org.drip.param.valuation.*;
import org.drip.product.params.*;
import org.drip.product.rates.*;
import org.drip.product.definition.*;
import org.drip.product.govvie.TreasuryComponent;
import org.drip.param.creator.*;
import org.drip.product.creator.*;
import org.drip.service.env.EnvManager;
import org.drip.service.template.TreasuryBuilder;
import org.drip.state.creator.*;
import org.drip.state.credit.CreditCurve;
import org.drip.state.discount.MergedDiscountForwardCurve;
import org.drip.state.govvie.GovvieCurve;
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
* Copyright (C) 2012 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>CoreCashFlowMeasures</i> contains a demo of the Bond Core Measures and the Cash Flow Sample. It
* generates the Core and the RV measures for essentially the same bond (with identical cash flows)
* constructed in three different ways:
*
* <br><br>
* <ul>
* <li>
* As a fixed rate bond.
* </li>
* <li>
* As a floater.
* </li>
* <li>
* As a bond constructed from a set of custom coupon and principal flows.
* </li>
* </ul>
* <br><br>
*
* It shows these measures reconcile where they should.
*
* <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 CoreCashFlowMeasures {
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;
}
private static final void AccumulateBondMarketQuote (
final CurveSurfaceQuoteContainer csqc,
final String[] astrOnTheRunCode,
final double[] adblYield)
throws Exception
{
for (int i = 0; i < astrOnTheRunCode.length; ++i) {
ProductMultiMeasure pmmq = new ProductMultiMeasure();
pmmq.addQuote (
"Yield",
new MultiSided (
"mid",
adblYield[i]
),
true
);
csqc.setProductQuote (
astrOnTheRunCode[i],
pmmq
);
}
}
/*
* 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 discount curve
*
* USE WITH CARE: This sample ignores errors and does not handle exceptions.
*/
private static final MergedDiscountForwardCurve MakeDiscountCurve (
final JulianDate dtCurve)
throws Exception
{
String[] astrCashTenor = new String[] {};
double[] adblCashRate = new double[] {};
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};
return BuildRatesCurveFromInstruments (
dtCurve,
astrCashTenor,
adblCashRate,
astrIRSTenor,
adblIRSRate,
0.,
"USD"
);
}
/*
* 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.CreateFromYMD (
2018,
9,
11
).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.CreateFromYMD (
2018,
9,
11
).addDays (2);
for (int i = 0; i < 5; ++i)
aiDate[i] = dtEOSStart.addYears (i + 2).julian();
return Array2D.FromArray (
aiDate,
adblFactor
);
}
/*
* Sample creates a custom named bond from the bond type and parameters
*
* USE WITH CARE: This sample ignores errors and does not handle exceptions.
*/
private static final Bond CreateCustomBond (
final String strName,
final String strCreditCurve,
final int iBondType)
throws Exception
{
BondProduct bond = null;
boolean bEOSOn = false;
boolean bEOSAmerican = false;
if (BondBuilder.BOND_TYPE_SIMPLE_FLOATER == iBondType)
bond = BondBuilder.CreateSimpleFloater ( // Simple Floating Rate Bond
strName, // Name
"USD", // Currency
"USD-6M", // Rate Index
strCreditCurve, // Credit Curve
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
);
else if (BondBuilder.BOND_TYPE_SIMPLE_FIXED == iBondType)
bond = BondBuilder.CreateSimpleFixed ( // Simple Fixed Rate Bond
strName, // Name
"USD", // Currency
strCreditCurve, // Credit Curve
0.05, // Bond Coupon
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
);
else if (BondBuilder.BOND_TYPE_SIMPLE_FROM_CF == iBondType) { // Bond from custom coupon and principal flows
final int NUM_CF_ENTRIES = 30;
double[] adblCouponAmount = new double[NUM_CF_ENTRIES];
double[] adblPrincipalAmount = new double[NUM_CF_ENTRIES];
JulianDate[] adt = new JulianDate[NUM_CF_ENTRIES];
JulianDate dtEffective = DateUtil.CreateFromYMD (
2008,
9,
20
);
for (int i = 0; i < NUM_CF_ENTRIES; ++i) {
adt[i] = dtEffective.addMonths (6 * (i + 1));
adblCouponAmount[i] = 0.05;
adblPrincipalAmount[i] = 1.0;
}
bond = BondBuilder.CreateBondFromCF (
strName, // Name
dtEffective, // Effective
"USD", // Currency
strCreditCurve, // Credit Curve
"30/360", // Day Count
1., // Initial Notional
0.05, // Coupon Rate
2, // Frequency
adt, // Array of dates
adblCouponAmount, // Array of coupon amount
adblPrincipalAmount, // Array of principal amount
false // Principal is an outstanding notional
);
}
/*
* Bonds with options embedded
*/
if (bEOSOn) {
int[] aiDate = new int[5];
double[] adblPutFactor = new double[5];
double[] adblCallFactor = new double[5];
EmbeddedOptionSchedule eosPut = null;
EmbeddedOptionSchedule eosCall = null;
JulianDate dtEOSStart = DateUtil.CreateFromYMD (
2018,
9,
11
).addDays (2);
for (int i = 0; i < 5; ++i) {
adblPutFactor[i] = 0.9;
adblCallFactor[i] = 1.0;
aiDate[i] = dtEOSStart.addYears (i + 2).julian();
}
if (bEOSAmerican) { // Creation of the American call and put schedule
eosCall = EmbeddedOptionSchedule.FromAmerican (
DateUtil.CreateFromYMD (
2018,
9,
11
).julian() + 1,
aiDate,
adblCallFactor,
false,
30,
false,
Double.NaN,
"",
Double.NaN
);
eosPut = EmbeddedOptionSchedule.FromAmerican (
DateUtil.CreateFromYMD (
2018,
9,
11
).julian(),
aiDate,
adblPutFactor,
true,
30,
false,
Double.NaN,
"",
Double.NaN
);
} else { // Creation of the European call and put schedule
eosCall = new EmbeddedOptionSchedule (
aiDate,
adblCallFactor,
false,
30,
false,
Double.NaN,
"",
Double.NaN
);
eosPut = new EmbeddedOptionSchedule (
aiDate,
adblPutFactor,
true,
30,
false,
Double.NaN,
"",
Double.NaN
);
}
bond.setEmbeddedCallSchedule (eosCall);
bond.setEmbeddedPutSchedule (eosPut);
}
return (Bond) bond;
}
/*
* Sample demonstrating the creation/usage of the custom bond API
*
* USE WITH CARE: This sample ignores errors and does not handle exceptions.
*/
private static final void CustomBondAPISample()
throws Exception
{
Bond[] aBond = new Bond[3];
String strCreditCurve = "CC";
/*
* Creates a simple fixed coupon bond and adds it to the FI cache as a named object
*/
aBond[0] = CreateCustomBond (
"CustomFixed",
strCreditCurve,
BondBuilder.BOND_TYPE_SIMPLE_FIXED
);
/*
* Creates a simple floater and adds it to the FI cache as a named object
*/
aBond[1] = CreateCustomBond (
"CustomFRN",
strCreditCurve,
BondBuilder.BOND_TYPE_SIMPLE_FLOATER
);
/*
* Creates a custom bond from arbitrary cash flows and adds it to the FI cache as a named object
*/
aBond[2] = CreateCustomBond (
"CustomBondFromCF",
strCreditCurve,
BondBuilder.BOND_TYPE_SIMPLE_FROM_CF
);
/*
* Base Discount Curve
*/
MergedDiscountForwardCurve dc = MakeDiscountCurve (
DateUtil.CreateFromYMD (
2018,
9,
11
)
);
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
};
TreasuryComponent[] aTSYBond = OTRTreasurySet (
DateUtil.CreateFromYMD (
2018,
9,
11
),
astrTSYTenor,
adblTSYCoupon
);
/*
* Create the on-the-run treasury discount curve
*/
GovvieCurve gc = BuildOnTheRunGovvieCurve (
DateUtil.CreateFromYMD (
2018,
9,
11
),
aTSYBond,
adblTSYYield
);
/*
* Credit Curve
*/
CreditCurve cc = ScenarioCreditCurveBuilder.FlatHazard (
DateUtil.CreateFromYMD (
2018,
9,
11
).julian(),
strCreditCurve,
"USD",
0.01,
0.4
);
for (int i = 0; i < aBond.length; ++i) {
System.out.println ("\nBOND #" + i + "; " + aBond[i].name());
System.out.println ("--------------------------");
System.out.println ("--------------------------");
System.out.println ("\n\tAcc Start Acc End Pay Date Cpn DCF Pay01 Surv01");
System.out.println ("\t--------- --------- --------- --------- --------- --------");
/*
* Generates and displays the coupon period details for the bonds
*/
for (CompositePeriod p : aBond[i].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 +
FormatUtil.FormatDouble (cc.survival (p.payDate()), 1, 4, 1.)
);
/*
* Create the bond's component market parameters from the market inputs
*/
CurveSurfaceQuoteContainer mktParams = MarketParamsBuilder.Create (
dc, // Discount curve
gc, // TSY Discount Curve (Includes Optional EDSF if available, or BILLS etc)
cc, // Credit Curve
null, // TSY quotes
null, // BOND ID
null, // Bond market quote
Helper.CreateFixingsObject (
aBond[i],
DateUtil.CreateFromYMD (
2018,
9,
11
),
0.04 // Fixings
)
);
AccumulateBondMarketQuote (
mktParams,
new String[] {
"01YON",
"02YON",
"03YON",
"05YON",
"07YON",
"10YON",
"30YON"
},
adblTSYYield
);
/*
* Construct Valuation Parameters
*/
ValuationParams valParams = ValuationParams.Spot (
DateUtil.CreateFromYMD (
2018,
9,
11
),
0,
"",
Convention.DATE_ROLL_ACTUAL
);
ProductQuote cquote = QuoteBuilder.CreateProductQuote();
Quote q = QuoteBuilder.CreateQuote (
"mid",
0.05,
Double.NaN
);
cquote.addQuote (
"Yield",
q,
true
);
mktParams.setProductQuote (
aBond[i].name(),
cquote
);
System.out.println ("\n\tPrice From Yield: " +
FormatUtil.FormatDouble (
aBond[i].priceFromYield (
valParams,
mktParams,
null,
0.03
), 1, 3, 100.));
double dblPrice = aBond[i].priceFromYield (
valParams,
mktParams,
null,
0.03
);
WorkoutInfo wi = aBond[i].exerciseYieldFromPrice (
valParams,
mktParams,
null,
dblPrice
);
System.out.println ("\tWorkout Date: " + DateUtil.YYYYMMDD (wi.date()));
System.out.println ("\tWorkout Factor: " + wi.factor());
System.out.println ("\tWorkout Yield: " + FormatUtil.FormatDouble (wi.yield(), 1, 2, 100.));
System.out.println (
"\tWorkout Yield From Price: " +
FormatUtil.FormatDouble (
aBond[i].yieldFromPrice (
valParams,
mktParams,
null,
wi.date(),
wi.factor(),
1.
), 1, 2, 100.));
if (!aBond[i].isFloater()) {
System.out.println (
"\tZ Spread From Price: " +
FormatUtil.FormatDouble (
aBond[i].zSpreadFromPrice (
valParams,
mktParams,
null,
wi.date(),
wi.factor(),
1.
), 1, 0, 10000.));
System.out.println (
"\tOAS From Price: " +
FormatUtil.FormatDouble (
aBond[i].oasFromPrice (
valParams,
mktParams,
null,
wi.date(),
wi.factor(),
1.
), 1, 0, 10000.));
} else;
System.out.println (
"\tDiscount Margin From Price: " +
FormatUtil.FormatDouble (
aBond[i].discountMarginFromPrice (
valParams,
mktParams,
null,
wi.date(),
wi.factor(),
1.
), 1, 0, 10000.));
System.out.println (
"\tI Spread From Price: " +
FormatUtil.FormatDouble (
aBond[i].iSpreadFromPrice (
valParams,
mktParams,
null,
wi.date(),
wi.factor(),
1.
), 1, 0, 10000.));
double dblTreasurySpread = Double.NaN;
System.out.println (
"\tTSY Spread From Price: " +
FormatUtil.FormatDouble (
dblTreasurySpread = aBond[i].tsySpreadFromPrice (
valParams,
mktParams,
null,
wi.date(),
wi.factor(),
1.
), 1, 0, 10000.));
System.out.println (
"\tASW From Price: " +
FormatUtil.FormatDouble (
aBond[i].aswFromPrice (
valParams,
mktParams,
null,
wi.date(),
wi.factor(),
1.
), 1, 0, 10000.));
System.out.println (
"\tCredit Basis From Price: " +
FormatUtil.FormatDouble (
aBond[i].creditBasisFromPrice (
valParams,
mktParams,
null,
wi.date(),
wi.factor(),
1.
), 1, 0, 10000.));
System.out.println (
"\tPrice From TSY Spread: " +
FormatUtil.FormatDouble (
aBond[i].priceFromTSYSpread (
valParams,
mktParams,
null,
wi.date(),
wi.factor(),
dblTreasurySpread
), 1, 0, 100.));
System.out.println (
"\tYield From TSY Spread: " +
FormatUtil.FormatDouble (
aBond[i].yieldFromTSYSpread (
valParams,
mktParams,
null,
wi.date(),
wi.factor(),
dblTreasurySpread
), 1, 0, 100.));
System.out.println (
"\tASW From TSY Spread: " +
FormatUtil.FormatDouble (
aBond[i].aswFromTSYSpread (
valParams,
mktParams,
null,
wi.date(),
wi.factor(),
dblTreasurySpread
), 1, 0, 10000.));
System.out.println (
"\tCredit Basis From TSY Spread: " +
FormatUtil.FormatDouble (
aBond[i].creditBasisFromTSYSpread (
valParams,
mktParams,
null,
wi.date(),
wi.factor(),
dblTreasurySpread
), 1, 0, 10000.));
/* System.out.println ("\tPECS From TSY Spread: " + FormatUtil.FormatDouble
(aBond[i].pecsFromTSYSpread (valParams, mktParams, null, 0.0188), 1, 0, 10000.)); */
System.out.println (
"\tTheoretical Price: " +
FormatUtil.FormatDouble (
aBond[i].priceFromCreditBasis (
valParams,
mktParams,
null,
wi.date(),
wi.factor(),
0.
), 1, 2, 100.));
}
}
/*
* API demonstrating how to calibrate a CDS curve from CDS and bond quotes
*
* USE WITH CARE: This sample ignores errors and does not handle exceptions.
*/
private static void BondCDSCurveCalibration()
throws Exception
{
/*
* Bond calibration instrument
*/
Bond bond = BondBuilder.CreateSimpleFixed (
"CCCalibBond",
"USD",
"CC",
0.05,
2,
"30/360",
DateUtil.CreateFromYMD (
2008,
9,
21
),
DateUtil.CreateFromYMD (
2023,
9,
20
),
null,
null
);
/*
* Discount Curve
*/
MergedDiscountForwardCurve dc = ScenarioDiscountCurveBuilder.ExponentiallyCompoundedFlatRate (
DateUtil.CreateFromYMD (
2018,
9,
11
),
"USD",
0.04
);
/*
* Credit Curve
*/
CreditCurve cc = ScenarioCreditCurveBuilder.FlatHazard (
DateUtil.CreateFromYMD (
2018,
9,
11
).julian(),
"CC",
"USD",
0.01,
0.4
);
/*
* Component Market Parameters Container
*/
CurveSurfaceQuoteContainer mktParams = MarketParamsBuilder.Create (
dc,
null,
null,
cc,
null,
null,
null,
null
);
/*
* Valuation Parameters
*/
ValuationParams valParams = ValuationParams.Spot (
DateUtil.CreateFromYMD (
2018,
9,
11
),
0,
"USD",
Convention.DATE_ROLL_ACTUAL
);
/*
* Theoretical Price
*/
double dblTheoreticalPrice = bond.priceFromCreditBasis (
valParams,
mktParams,
null,
bond.maturityDate().julian(),
1.,
0.01
);
System.out.println ("Credit Price From DC and CC: " + dblTheoreticalPrice);
/*
* CDS calibration instrument
*/
CreditDefaultSwap cds = CDSBuilder.CreateCDS (
DateUtil.CreateFromYMD (
2018,
9,
11
),
DateUtil.CreateFromYMD (
2018,
9,
11
).addTenor ("5Y"),
0.1,
"USD",
0.40,
"CC",
"USD",
true
);
/*
* Set up the calibration instruments
*/
CalibratableComponent[] aCalibInst = new CalibratableComponent[] {
cds,
bond
};
/*
* Set up the calibration measures
*/
String[] astrCalibMeasure = new String[] {
"FairPremium",
"FairPrice"
};
/*
* Set up the calibration quotes
*/
double[] adblQuotes = new double[] {
100.,
dblTheoreticalPrice
};
/*
* Setup the curve scenario calibrator/generator and build the credit curve
*/
CreditCurve ccCalib = ScenarioCreditCurveBuilder.Custom (
"CC", // Name
DateUtil.CreateFromYMD (
2018,
9,
11
), // Date
aCalibInst, // Calibration instruments
dc, // Discount Curve
adblQuotes, // Component Quotes
astrCalibMeasure, // Calibration Measures
0.40, // Recovery
false // Calibration is not flat
);
/*
* Calculate the survival probability, and recover the input quotes
*/
System.out.println (
"Surv (2021, 1, 14): " +
ccCalib.survival (
DateUtil.CreateFromYMD (
2021,
1,
14
)
)
);
/*
* Calibrated Component Market Parameters Container
*/
CurveSurfaceQuoteContainer mktParamsCalib = MarketParamsBuilder.Create (
dc,
null,
null,
ccCalib,
null,
null,
null,
null
);
/*
* Verify the CDS fair premium using the calibrated credit curve
*/
System.out.println (
cds.primaryCode() + " => " + cds.measureValue (
valParams,
CreditPricerParams.Standard(),
mktParamsCalib,
null,
"FairPremium"
)
);
/*
* Verify the Bond fair price using the calibrated credit curve
*/
System.out.println (
bond.primaryCode() + " => " + bond.priceFromCreditBasis (
valParams,
mktParamsCalib,
null,
bond.maturityDate().julian(),
1.,
0.
)
);
}
public static final void main (
final String astrArgs[])
throws Exception
{
// String strConfig = "c:\\Lakshmi\\BondAnal\\Config.xml";
EnvManager.InitEnv (
"",
true
);
CustomBondAPISample();
BondCDSCurveCalibration();
EnvManager.TerminateEnv();
}
}