CorporateIssueMetrics.java

  1. package org.drip.sample.bond;

  3. import java.util.Map;

  5. import org.drip.analytics.date.*;
  6. import org.drip.analytics.output.BondRVMeasures;
  7. import org.drip.analytics.support.Helper;
  8. import org.drip.numerical.common.FormatUtil;
  9. import org.drip.param.creator.MarketParamsBuilder;
  10. import org.drip.param.market.CurveSurfaceQuoteContainer;
  11. import org.drip.param.quote.*;
  12. import org.drip.param.valuation.*;
  13. import org.drip.product.creator.BondBuilder;
  14. import org.drip.product.credit.BondComponent;
  15. import org.drip.product.definition.*;
  16. import org.drip.service.env.EnvManager;
  17. import org.drip.service.template.*;
  18. import org.drip.state.discount.MergedDiscountForwardCurve;
  19. import org.drip.state.govvie.GovvieCurve;

  21. /*
  22.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  23.  */

  25. /*!
  26.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  27.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  28.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  29.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  30.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  31.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  32.  * 
  33.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  34.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  35.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  36.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  37.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  38.  *      and computational support.
  39.  *  
  40.  *      https://lakshmidrip.github.io/DROP/
  41.  *  
  42.  *  DROP is composed of three modules:
  43.  *  
  44.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  45.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  46.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  47.  * 
  48.  *  DROP Product Core implements libraries for the following:
  49.  *  - Fixed Income Analytics
  50.  *  - Loan Analytics
  51.  *  - Transaction Cost Analytics
  52.  * 
  53.  *  DROP Portfolio Core implements libraries for the following:
  54.  *  - Asset Allocation Analytics
  55.  *  - Asset Liability Management Analytics
  56.  *  - Capital Estimation Analytics
  57.  *  - Exposure Analytics
  58.  *  - Margin Analytics
  59.  *  - XVA Analytics
  60.  * 
  61.  *  DROP Computational Core implements libraries for the following:
  62.  *  - Algorithm Support
  63.  *  - Computation Support
  64.  *  - Function Analysis
  65.  *  - Model Validation
  66.  *  - Numerical Analysis
  67.  *  - Numerical Optimizer
  68.  *  - Spline Builder
  69.  *  - Statistical Learning
  70.  * 
  71.  *  Documentation for DROP is Spread Over:
  72.  * 
  73.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  74.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  75.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  76.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  77.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  78.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  79.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  80.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  81.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  82.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  83.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  84.  * 
  85.  *  Licensed under the Apache License, Version 2.0 (the "License");
  86.  *      you may not use this file except in compliance with the License.
  87.  *   
  88.  *  You may obtain a copy of the License at
  89.  *      http://www.apache.org/licenses/LICENSE-2.0
  90.  *  
  91.  *  Unless required by applicable law or agreed to in writing, software
  92.  *      distributed under the License is distributed on an "AS IS" BASIS,
  93.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  94.  *  
  95.  *  See the License for the specific language governing permissions and
  96.  *      limitations under the License.
  97.  */

  99. /**
  100.  * <i>CorporateIssueMetrics</i> demonstrates the Corporate Bond Pricing and Relative Value Measure Generation
  101.  * Functionality.
  102.  *  
  103.  * <br><br>
  104.  *  <ul>
  105.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  106.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  107.  *      <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>
  108.  *      <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>
  109.  *  </ul>
  110.  * <br><br>
  111.  * 
  112.  * @author Lakshmi Krishnamurthy
  113.  */

  115. public class CorporateIssueMetrics {

  117.     private static final MergedDiscountForwardCurve FundingCurve (
  118.         final JulianDate dtSpot,
  119.         final String strCurrency)
  120.         throws Exception
  121.     {
  122.         String[] astrDepositMaturityTenor = new String[] {
  123.             "2D",
  124.             "1W",
  125.             "1M",
  126.             "2M",
  127.             "3M"
  128.         };

  130.         double[] adblDepositQuote = new double[] {
  131.             0.00195, // 2D
  132.             0.00176, // 1W
  133.             0.00301, // 1M
  134.             0.00401, // 2M
  135.             0.00492  // 3M
  136.         };

  138.         double[] adblFuturesQuote = new double[] {
  139.             0.00609,
  140.             0.00687
  141.         };

  143.         String[] astrFixFloatMaturityTenor = new String[] {
  144.             "01Y",
  145.             "02Y",
  146.             "03Y",
  147.             "04Y",
  148.             "05Y",
  149.             "06Y",
  150.             "07Y",
  151.             "08Y",
  152.             "09Y",
  153.             "10Y",
  154.             "11Y",
  155.             "12Y",
  156.             "15Y",
  157.             "20Y",
  158.             "25Y",
  159.             "30Y",
  160.             "40Y",
  161.             "50Y"
  162.         };

  164.         double[] adblFixFloatQuote = new double[] {
  165.             0.00762, //  1Y
  166.             0.01055, //  2Y
  167.             0.01300, //  3Y
  168.             0.01495, //  4Y
  169.             0.01651, //  5Y
  170.             0.01787, //  6Y
  171.             0.01904, //  7Y
  172.             0.02005, //  8Y
  173.             0.02090, //  9Y
  174.             0.02166, // 10Y
  175.             0.02231, // 11Y
  176.             0.02289, // 12Y
  177.             0.02414, // 15Y
  178.             0.02570, // 20Y
  179.             0.02594, // 25Y
  180.             0.02627, // 30Y
  181.             0.02648, // 40Y
  182.             0.02632  // 50Y
  183.         };

  185.         MergedDiscountForwardCurve dcFunding = LatentMarketStateBuilder.SmoothFundingCurve (
  186.             dtSpot,
  187.             strCurrency,
  188.             astrDepositMaturityTenor,
  189.             adblDepositQuote,
  190.             "ForwardRate",
  191.             adblFuturesQuote,
  192.             "ForwardRate",
  193.             astrFixFloatMaturityTenor,
  194.             adblFixFloatQuote,
  195.             "SwapRate"
  196.         );

  198.         Component[] aDepositComp = OTCInstrumentBuilder.FundingDeposit (
  199.             dtSpot,
  200.             strCurrency,
  201.             astrDepositMaturityTenor
  202.         );

  204.         Component[] aFuturesComp = ExchangeInstrumentBuilder.ForwardRateFuturesPack (
  205.             dtSpot,
  206.             adblFuturesQuote.length,
  207.             strCurrency
  208.         );

  210.         Component[] aFixFloatComp = OTCInstrumentBuilder.FixFloatStandard (
  211.             dtSpot,
  212.             strCurrency,
  213.             "ALL",
  214.             astrFixFloatMaturityTenor,
  215.             "MAIN",
  216.             0.
  217.         );

  219.         ValuationParams valParams = new ValuationParams (
  220.             dtSpot,
  221.             dtSpot,
  222.             strCurrency
  223.         );

  225.         CurveSurfaceQuoteContainer csqc = MarketParamsBuilder.Create (
  226.             dcFunding,
  227.             null,
  228.             null,
  229.             null,
  230.             null,
  231.             null,
  232.             null
  233.         );

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

  237.         System.out.println ("\t|       DEPOSIT INPUT vs. CALC       ||");

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

  241.         for (int i = 0; i < aDepositComp.length; ++i)
  242.             System.out.println ("\t| [" + aDepositComp[i].maturityDate() + "] =" +
  243.                 FormatUtil.FormatDouble (aDepositComp[i].measureValue (
  244.                     valParams,
  245.                     null,
  246.                     csqc,
  247.                     null,
  248.                     "ForwardRate"
  249.                 ), 1, 6, 1.) + " |" +
  250.                 FormatUtil.FormatDouble (adblDepositQuote[i], 1, 6, 1.) + " ||"
  251.             );

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

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

  257.         System.out.println ("\t|       FUTURES INPUT vs. CALC       ||");

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

  261.         for (int i = 0; i < aFuturesComp.length; ++i)
  262.             System.out.println ("\t| [" + aFuturesComp[i].maturityDate() + "] =" +
  263.                 FormatUtil.FormatDouble (aFuturesComp[i].measureValue (
  264.                     valParams,
  265.                     null,
  266.                     csqc,
  267.                     null,
  268.                     "ForwardRate"
  269.                 ), 1, 6, 1.) + " |" +
  270.                 FormatUtil.FormatDouble (adblFuturesQuote[i], 1, 6, 1.) + " ||"
  271.             );

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

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

  277.         System.out.println ("\t|         FIX-FLOAT INPUTS vs CALIB             ||");

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

  281.         for (int i = 0; i < aFixFloatComp.length; ++i)
  282.             System.out.println ("\t| [" + aFixFloatComp[i].maturityDate() + "] =" +
  283.                 FormatUtil.FormatDouble (aFixFloatComp[i].measureValue (
  284.                     valParams,
  285.                     null,
  286.                     csqc,
  287.                     null,
  288.                     "CalibSwapRate"
  289.                 ), 1, 6, 1.) + " |" +
  290.                 FormatUtil.FormatDouble (adblFixFloatQuote[i], 1, 6, 1.) + " |" +
  291.                 FormatUtil.FormatDouble (aFixFloatComp[i].measureValue (
  292.                     valParams,
  293.                     null,
  294.                     csqc,
  295.                     null,
  296.                     "FairPremium"
  297.                 ), 1, 6, 1.) + " ||"
  298.             );

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

  302.         return dcFunding;
  303.     }

  305.     private static final void AccumulateBondMarketQuote (
  306.         final CurveSurfaceQuoteContainer csqc,
  307.         final String[] astrOnTheRunCode,
  308.         final double[] adblYield)
  309.         throws Exception
  310.     {
  311.         for (int i = 0; i < astrOnTheRunCode.length; ++i) {
  312.             ProductMultiMeasure pmmq = new ProductMultiMeasure();

  314.             pmmq.addQuote (
  315.                 "Yield",
  316.                 new MultiSided (
  317.                     "mid",
  318.                     adblYield[i]
  319.                 ),
  320.                 true
  321.             );

  323.             csqc.setProductQuote (
  324.                 astrOnTheRunCode[i],
  325.                 pmmq
  326.             );
  327.         }
  328.     }

  330.     private static final Map<String, GovvieCurve> GovvieCurve (
  331.         final JulianDate dtSpot,
  332.         final String strCode,
  333.         final double[] adblCoupon,
  334.         final double[] adblYield)
  335.         throws Exception
  336.     {
  337.         JulianDate[] adtEffective = new JulianDate[] {
  338.             dtSpot,
  339.             dtSpot,
  340.             dtSpot,
  341.             dtSpot,
  342.             dtSpot,
  343.             dtSpot,
  344.             dtSpot
  345.         };

  347.         JulianDate[] adtMaturity = new JulianDate[] {
  348.             dtSpot.addTenor ("1Y"),
  349.             dtSpot.addTenor ("2Y"),
  350.             dtSpot.addTenor ("3Y"),
  351.             dtSpot.addTenor ("5Y"),
  352.             dtSpot.addTenor ("7Y"),
  353.             dtSpot.addTenor ("10Y"),
  354.             dtSpot.addTenor ("30Y")
  355.         };

  357.         Map<String, GovvieCurve> mapGovvieCurve = LatentMarketStateBuilder.BumpedGovvieCurve (
  358.             strCode,
  359.             dtSpot,
  360.             adtEffective,
  361.             adtMaturity,
  362.             adblCoupon,
  363.             adblYield,
  364.             "Yield",
  365.             LatentMarketStateBuilder.SHAPE_PRESERVING,
  366.             0.0001,
  367.             false
  368.         );

  370.         BondComponent[] aComp = TreasuryBuilder.FromCode (
  371.             strCode,
  372.             adtEffective,
  373.             adtMaturity,
  374.             adblCoupon
  375.         );

  377.         ValuationParams valParams = ValuationParams.Spot (dtSpot.julian());

  379.         CurveSurfaceQuoteContainer csqc = new CurveSurfaceQuoteContainer();

  381.         csqc.setGovvieState (mapGovvieCurve.get ("BASE"));

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

  385.         System.out.println ("\t|      TREASURY INPUT vs CALIB YIELD       ||");

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

  389.         for (int i = 0; i < aComp.length; ++i)
  390.             System.out.println ("\t| " + aComp[i].name() + " | " +
  391.                 FormatUtil.FormatDouble (adblYield[i], 1, 3, 100.) + "% | " +
  392.                 FormatUtil.FormatDouble (aComp[i].yieldFromPrice (
  393.                     valParams,
  394.                     null,
  395.                     null,
  396.                     aComp[i].maturityDate().julian(),
  397.                     1.,
  398.                     aComp[i].priceFromYield (
  399.                         valParams,
  400.                         null,
  401.                         null,
  402.                         mapGovvieCurve.get ("BASE").yield (aComp[i].maturityDate().julian())
  403.                     )
  404.                 ), 1, 3, 100.) + "% ||"
  405.             );

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

  409.         return mapGovvieCurve;
  410.     }

  412.     private static final Bond USDCorporate (
  413.         final JulianDate dtEffective,
  414.         final JulianDate dtMaturity,
  415.         final double dblCoupon)
  416.         throws Exception
  417.     {
  418.         return BondBuilder.CreateSimpleFixed (
  419.             "JPM " + FormatUtil.FormatDouble (dblCoupon, 1, 4, 100.) + " " + dtMaturity,
  420.             "USD",
  421.             "",
  422.             dblCoupon,
  423.             2,
  424.             "30/360",
  425.             dtEffective,
  426.             dtMaturity,
  427.             null,
  428.             null
  429.         );
  430.     }

  432.     private static final double[] RVMeasures (
  433.         final Bond[] aBond,
  434.         final JulianDate dtValue,
  435.         final CurveSurfaceQuoteContainer csqc,
  436.         final double[] adblCleanPrice)
  437.         throws Exception
  438.     {
  439.         JulianDate dtSettle = dtValue.addBusDays (
  440.             3,
  441.             aBond[0].currency()
  442.         );

  444.         ValuationParams valParams = new ValuationParams (
  445.             dtValue,
  446.             dtSettle,
  447.             aBond[0].currency()
  448.         );

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

  452.         System.out.println ("\t| Trade Date       : " + dtValue + " ||");

  454.         System.out.println ("\t| Cash Settle Date : " + dtSettle + " ||");

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

  458.         String strCurveMetrics = "";
  459.         String strSecularMetrics = "";
  460.         double[] adblOAS = new double[aBond.length];

  462.         for (int i = 0; i < aBond.length; ++i) {
  463.             WorkoutInfo wi = aBond[i].exerciseYieldFromPrice (
  464.                 valParams,
  465.                 csqc,
  466.                 null,
  467.                 adblCleanPrice[i]
  468.             );

  470.             BondRVMeasures rvm = aBond[i].standardMeasures (
  471.                 valParams,
  472.                 null,
  473.                 csqc,
  474.                 null,
  475.                 wi,
  476.                 adblCleanPrice[i]
  477.             );

  479.             strSecularMetrics += "\t| " +
  480.                 aBond[i].name() + " | " +
  481.                 aBond[i].effectiveDate() + " | " +
  482.                 aBond[i].maturityDate() + " |  " +
  483.                 aBond[i].firstCouponDate() + "  |" +
  484.                 FormatUtil.FormatDouble (adblCleanPrice[i], 3, 3, 100.) + " |" +
  485.                 FormatUtil.FormatDouble (wi.yield(), 1, 2, 100.) + "% | " +
  486.                 FormatUtil.FormatDouble (rvm.macaulayDuration(), 2, 2, 1.) + "  | " +
  487.                 FormatUtil.FormatDouble (rvm.modifiedDuration(), 2, 2, 10000.) + "  |  " +
  488.                 FormatUtil.FormatDouble (rvm.yield01(), 2, 2, 10000.) + "  |" +
  489.                 FormatUtil.FormatDouble (rvm.yield01(), 4, 0, 1000000.) + " |" +
  490.                 FormatUtil.FormatDouble (rvm.convexity(), 1, 2, 1000000.) + " |   " +
  491.                 FormatUtil.FormatDouble (rvm.bondBasis(), 3, 0, 10000.) + "     ||" + "\n";

  493.             adblOAS[i] = rvm.oas();

  495.             double dblCleanPriceOASUp = aBond[i].priceFromOAS (
  496.                 valParams,
  497.                 csqc,
  498.                 null,
  499.                 adblOAS[i] + 0.0001
  500.             );

  502.             double dblCleanPriceOASDown = aBond[i].priceFromOAS (
  503.                 valParams,
  504.                 csqc,
  505.                 null,
  506.                 adblOAS[i] - 0.0001
  507.             );

  509.             strCurveMetrics += "\t| " +
  510.                 aBond[i].name() + " |" +
  511.                 FormatUtil.FormatDouble (adblCleanPrice[i], 3, 3, 100.) + " |" +
  512.                 FormatUtil.FormatDouble (wi.yield(), 1, 2, 100.) + "% |   " +
  513.                 FormatUtil.FormatDouble (rvm.zSpread(), 3, 0, 10000.) + "   |" +
  514.                 FormatUtil.FormatDouble (adblOAS[i], 3, 0, 10000.) + " | " +
  515.                 FormatUtil.FormatDouble (0.5 * (dblCleanPriceOASDown - dblCleanPriceOASUp) / adblCleanPrice[i], 2, 2, 10000.) + "  |  " +
  516.                 FormatUtil.FormatDouble ((dblCleanPriceOASDown + dblCleanPriceOASUp - 2. * adblCleanPrice[i]) / adblCleanPrice[i], 2, 2, 1000000.) + "   |" +
  517.                 FormatUtil.FormatDouble (rvm.asw(), 3, 0, 10000.) + " |  " +
  518.                 FormatUtil.FormatDouble (rvm.gSpread(), 3, 0, 10000.) + "    |   " +
  519.                 FormatUtil.FormatDouble (rvm.iSpread(), 3, 0, 10000.) + "   |    " +
  520.                 FormatUtil.FormatDouble (rvm.tsySpread(), 3, 0, 10000.) + "    |  " +
  521.                 Helper.BaseTsyBmk (
  522.                     dtValue.julian(),
  523.                     aBond[i].maturityDate().julian()
  524.                 ) + "  ||" + "\n";
  525.         }

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

  529.         System.out.println ("\t|           BOND         | EFFECTIVE  |  MATURITY  | FIRST COUPON |  PRICE  | YIELD | MAC DUR | MOD DUR | YIELD 01 | DV01 | CONV | BOND BASIS ||");

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

  533.         System.out.print (strSecularMetrics);

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

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

  539.         System.out.println ("\t|           BOND         |  PRICE  | YIELD | Z SPREAD | OAS | OAS DUR |  OAS CONV | ASW | G SPREAD | I SPREAD | TSY SPREAD | TSY BMK ||");

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

  543.         System.out.print (strCurveMetrics);

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

  547.         return adblOAS;
  548.     }

  550.     public static final void main (
  551.         final String[] astrArgs)
  552.         throws Exception
  553.     {
  554.         EnvManager.InitEnv (
  555.             "",
  556.             true
  557.         );

  559.         JulianDate dtSpot = DateUtil.CreateFromYMD (
  560.             2015,
  561.             DateUtil.DECEMBER,
  562.             8
  563.         );

  565.         String strCurrency = "USD";
  566.         String strTreasuryCode = "UST";

  568.         MergedDiscountForwardCurve dcFunding = FundingCurve (
  569.             dtSpot,
  570.             strCurrency
  571.         );

  573.         double[] adblTreasuryCoupon = new double[] {
  574.             0.0100,
  575.             0.0100,
  576.             0.0125,
  577.             0.0150,
  578.             0.0200,
  579.             0.0225,
  580.             0.0300
  581.         };

  583.         double[] adblTreasuryYield = new double[] {
  584.             0.00692,
  585.             0.00945,
  586.             0.01257,
  587.             0.01678,
  588.             0.02025,
  589.             0.02235,
  590.             0.02972
  591.         };

  593.         Map<String, GovvieCurve> mapGovvieCurve = GovvieCurve (
  594.             dtSpot,
  595.             strTreasuryCode,
  596.             adblTreasuryCoupon,
  597.             adblTreasuryYield
  598.         );

  600.         CurveSurfaceQuoteContainer csqc = MarketParamsBuilder.Create (
  601.             dcFunding,
  602.             null,
  603.             null,
  604.             null,
  605.             null,
  606.             null,
  607.             null
  608.         );

  610.         csqc.setGovvieState (mapGovvieCurve.get ("BASE"));

  612.         AccumulateBondMarketQuote (
  613.             csqc,
  614.             new String[] {
  615.                 "01YON",
  616.                 "02YON",
  617.                 "03YON",
  618.                 "05YON",
  619.                 "07YON",
  620.                 "10YON",
  621.                 "30YON"
  622.             },
  623.             adblTreasuryYield
  624.         );

  626.         Bond[] aCorporateBond = new Bond[] {
  627.             USDCorporate (DateUtil.CreateFromYMD (2007, 12, 20), DateUtil.CreateFromYMD (2018,  1, 15), 0.06000),
  628.             USDCorporate (DateUtil.CreateFromYMD (1996,  7, 25), DateUtil.CreateFromYMD (2025,  7, 15), 0.07750),
  629.             USDCorporate (DateUtil.CreateFromYMD (1996, 10, 29), DateUtil.CreateFromYMD (2026, 10, 15), 0.07625),
  630.             USDCorporate (DateUtil.CreateFromYMD (2014, 12,  9), DateUtil.CreateFromYMD (2026, 12, 15), 0.04125),
  631.             USDCorporate (DateUtil.CreateFromYMD (1997,  4, 29), DateUtil.CreateFromYMD (2027,  4, 29), 0.08000),
  632.             USDCorporate (DateUtil.CreateFromYMD (2014,  9, 25), DateUtil.CreateFromYMD (2027, 10,  1), 0.04250),
  633.             USDCorporate (DateUtil.CreateFromYMD (2008,  5, 22), DateUtil.CreateFromYMD (2038,  5, 15), 0.06400),
  634.             USDCorporate (DateUtil.CreateFromYMD (2011,  7, 21), DateUtil.CreateFromYMD (2041,  7, 15), 0.05600)
  635.         };

  637.         double[] adblCleanPrice = new double[] {
  638.             1.08529,
  639.             1.27021,
  640.             1.27274,
  641.             1.01235,
  642.             1.31537,
  643.             1.02263,
  644.             1.27570,
  645.             1.17460
  646.         };

  648.         double[] adblOAS = RVMeasures (
  649.             aCorporateBond,
  650.             dtSpot,
  651.             csqc,
  652.             adblCleanPrice
  653.         );

  655.         ValuationParams valParams = new ValuationParams (
  656.             dtSpot,
  657.             dtSpot.addBusDays (
  658.                 3,
  659.                 dcFunding.currency()
  660.             ),
  661.             dcFunding.currency()
  662.         );

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

  666.         System.out.print ("\t|           BOND        ");

  668.         for (Map.Entry<String, GovvieCurve> meGovvieCurve : mapGovvieCurve.entrySet()) {
  669.             if ("BASE".equalsIgnoreCase (meGovvieCurve.getKey()) || "BUMP".equalsIgnoreCase (meGovvieCurve.getKey()))
  670.                 continue;

  672.             System.out.print (" | " + meGovvieCurve.getKey());
  673.         }

  675.         System.out.println (" ||");

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

  679.         for (int i = 0; i < adblOAS.length; ++i) {
  680.             System.out.print ("\t| " + aCorporateBond[i].name());

  682.             for (Map.Entry<String, GovvieCurve> meGovvieCurve : mapGovvieCurve.entrySet()) {
  683.                 if ("BASE".equalsIgnoreCase (meGovvieCurve.getKey()) || "BUMP".equalsIgnoreCase (meGovvieCurve.getKey()))
  684.                     continue;

  686.                 csqc.setGovvieState (meGovvieCurve.getValue());

  688.                 System.out.print (" |     " +
  689.                     FormatUtil.FormatDouble (
  690.                         (adblCleanPrice[i] - aCorporateBond[i].priceFromOAS (
  691.                             valParams,
  692.                             csqc,
  693.                             null,
  694.                             adblOAS[i]
  695.                         )) / adblCleanPrice[i],
  696.                     2, 2, 10000.) + "     "
  697.                 );
  698.             }

  700.             System.out.println (" ||");
  701.         }

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

  705.         EnvManager.TerminateEnv();
  706.     }
  707. }
Created with JaCoCo 0.7.9.201702052155