CorporateIssueMetrics.java
package org.drip.sample.bond;
import java.util.Map;
import org.drip.analytics.date.*;
import org.drip.analytics.output.BondRVMeasures;
import org.drip.analytics.support.Helper;
import org.drip.numerical.common.FormatUtil;
import org.drip.param.creator.MarketParamsBuilder;
import org.drip.param.market.CurveSurfaceQuoteContainer;
import org.drip.param.quote.*;
import org.drip.param.valuation.*;
import org.drip.product.creator.BondBuilder;
import org.drip.product.credit.BondComponent;
import org.drip.product.definition.*;
import org.drip.service.env.EnvManager;
import org.drip.service.template.*;
import org.drip.state.discount.MergedDiscountForwardCurve;
import org.drip.state.govvie.GovvieCurve;
/*
* -*- 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>CorporateIssueMetrics</i> demonstrates the Corporate Bond Pricing and Relative Value Measure Generation
* 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/bond/README.md">Bullet, EOS Bond Metrics + Curve</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class CorporateIssueMetrics {
private static final MergedDiscountForwardCurve FundingCurve (
final JulianDate dtSpot,
final String strCurrency)
throws Exception
{
String[] astrDepositMaturityTenor = new String[] {
"2D",
"1W",
"1M",
"2M",
"3M"
};
double[] adblDepositQuote = new double[] {
0.00195, // 2D
0.00176, // 1W
0.00301, // 1M
0.00401, // 2M
0.00492 // 3M
};
double[] adblFuturesQuote = new double[] {
0.00609,
0.00687
};
String[] astrFixFloatMaturityTenor = new String[] {
"01Y",
"02Y",
"03Y",
"04Y",
"05Y",
"06Y",
"07Y",
"08Y",
"09Y",
"10Y",
"11Y",
"12Y",
"15Y",
"20Y",
"25Y",
"30Y",
"40Y",
"50Y"
};
double[] adblFixFloatQuote = new double[] {
0.00762, // 1Y
0.01055, // 2Y
0.01300, // 3Y
0.01495, // 4Y
0.01651, // 5Y
0.01787, // 6Y
0.01904, // 7Y
0.02005, // 8Y
0.02090, // 9Y
0.02166, // 10Y
0.02231, // 11Y
0.02289, // 12Y
0.02414, // 15Y
0.02570, // 20Y
0.02594, // 25Y
0.02627, // 30Y
0.02648, // 40Y
0.02632 // 50Y
};
MergedDiscountForwardCurve dcFunding = LatentMarketStateBuilder.SmoothFundingCurve (
dtSpot,
strCurrency,
astrDepositMaturityTenor,
adblDepositQuote,
"ForwardRate",
adblFuturesQuote,
"ForwardRate",
astrFixFloatMaturityTenor,
adblFixFloatQuote,
"SwapRate"
);
Component[] aDepositComp = OTCInstrumentBuilder.FundingDeposit (
dtSpot,
strCurrency,
astrDepositMaturityTenor
);
Component[] aFuturesComp = ExchangeInstrumentBuilder.ForwardRateFuturesPack (
dtSpot,
adblFuturesQuote.length,
strCurrency
);
Component[] aFixFloatComp = OTCInstrumentBuilder.FixFloatStandard (
dtSpot,
strCurrency,
"ALL",
astrFixFloatMaturityTenor,
"MAIN",
0.
);
ValuationParams valParams = new ValuationParams (
dtSpot,
dtSpot,
strCurrency
);
CurveSurfaceQuoteContainer csqc = MarketParamsBuilder.Create (
dcFunding,
null,
null,
null,
null,
null,
null
);
System.out.println ("\n\n\t|------------------------------------||");
System.out.println ("\t| DEPOSIT INPUT vs. CALC ||");
System.out.println ("\t|------------------------------------||");
for (int i = 0; i < aDepositComp.length; ++i)
System.out.println ("\t| [" + aDepositComp[i].maturityDate() + "] =" +
FormatUtil.FormatDouble (aDepositComp[i].measureValue (
valParams,
null,
csqc,
null,
"ForwardRate"
), 1, 6, 1.) + " |" +
FormatUtil.FormatDouble (adblDepositQuote[i], 1, 6, 1.) + " ||"
);
System.out.println ("\t|------------------------------------||");
System.out.println ("\n\t|------------------------------------||");
System.out.println ("\t| FUTURES INPUT vs. CALC ||");
System.out.println ("\t|------------------------------------||");
for (int i = 0; i < aFuturesComp.length; ++i)
System.out.println ("\t| [" + aFuturesComp[i].maturityDate() + "] =" +
FormatUtil.FormatDouble (aFuturesComp[i].measureValue (
valParams,
null,
csqc,
null,
"ForwardRate"
), 1, 6, 1.) + " |" +
FormatUtil.FormatDouble (adblFuturesQuote[i], 1, 6, 1.) + " ||"
);
System.out.println ("\t|------------------------------------||");
System.out.println ("\n\t|-----------------------------------------------|| ");
System.out.println ("\t| FIX-FLOAT INPUTS vs CALIB ||");
System.out.println ("\t|-----------------------------------------------|| ");
for (int i = 0; i < aFixFloatComp.length; ++i)
System.out.println ("\t| [" + aFixFloatComp[i].maturityDate() + "] =" +
FormatUtil.FormatDouble (aFixFloatComp[i].measureValue (
valParams,
null,
csqc,
null,
"CalibSwapRate"
), 1, 6, 1.) + " |" +
FormatUtil.FormatDouble (adblFixFloatQuote[i], 1, 6, 1.) + " |" +
FormatUtil.FormatDouble (aFixFloatComp[i].measureValue (
valParams,
null,
csqc,
null,
"FairPremium"
), 1, 6, 1.) + " ||"
);
System.out.println ("\t|-----------------------------------------------|| \n");
return dcFunding;
}
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
);
}
}
private static final Map<String, GovvieCurve> GovvieCurve (
final JulianDate dtSpot,
final String strCode,
final double[] adblCoupon,
final double[] adblYield)
throws Exception
{
JulianDate[] adtEffective = new JulianDate[] {
dtSpot,
dtSpot,
dtSpot,
dtSpot,
dtSpot,
dtSpot,
dtSpot
};
JulianDate[] adtMaturity = new JulianDate[] {
dtSpot.addTenor ("1Y"),
dtSpot.addTenor ("2Y"),
dtSpot.addTenor ("3Y"),
dtSpot.addTenor ("5Y"),
dtSpot.addTenor ("7Y"),
dtSpot.addTenor ("10Y"),
dtSpot.addTenor ("30Y")
};
Map<String, GovvieCurve> mapGovvieCurve = LatentMarketStateBuilder.BumpedGovvieCurve (
strCode,
dtSpot,
adtEffective,
adtMaturity,
adblCoupon,
adblYield,
"Yield",
LatentMarketStateBuilder.SHAPE_PRESERVING,
0.0001,
false
);
BondComponent[] aComp = TreasuryBuilder.FromCode (
strCode,
adtEffective,
adtMaturity,
adblCoupon
);
ValuationParams valParams = ValuationParams.Spot (dtSpot.julian());
CurveSurfaceQuoteContainer csqc = new CurveSurfaceQuoteContainer();
csqc.setGovvieState (mapGovvieCurve.get ("BASE"));
System.out.println ("\n\t|------------------------------------------||");
System.out.println ("\t| TREASURY INPUT vs CALIB YIELD ||");
System.out.println ("\t|------------------------------------------||");
for (int i = 0; i < aComp.length; ++i)
System.out.println ("\t| " + aComp[i].name() + " | " +
FormatUtil.FormatDouble (adblYield[i], 1, 3, 100.) + "% | " +
FormatUtil.FormatDouble (aComp[i].yieldFromPrice (
valParams,
null,
null,
aComp[i].maturityDate().julian(),
1.,
aComp[i].priceFromYield (
valParams,
null,
null,
mapGovvieCurve.get ("BASE").yield (aComp[i].maturityDate().julian())
)
), 1, 3, 100.) + "% ||"
);
System.out.println ("\t|------------------------------------------||");
return mapGovvieCurve;
}
private static final Bond USDCorporate (
final JulianDate dtEffective,
final JulianDate dtMaturity,
final double dblCoupon)
throws Exception
{
return BondBuilder.CreateSimpleFixed (
"JPM " + FormatUtil.FormatDouble (dblCoupon, 1, 4, 100.) + " " + dtMaturity,
"USD",
"",
dblCoupon,
2,
"30/360",
dtEffective,
dtMaturity,
null,
null
);
}
private static final double[] RVMeasures (
final Bond[] aBond,
final JulianDate dtValue,
final CurveSurfaceQuoteContainer csqc,
final double[] adblCleanPrice)
throws Exception
{
JulianDate dtSettle = dtValue.addBusDays (
3,
aBond[0].currency()
);
ValuationParams valParams = new ValuationParams (
dtValue,
dtSettle,
aBond[0].currency()
);
System.out.println ("\n\t|-------------------------------||");
System.out.println ("\t| Trade Date : " + dtValue + " ||");
System.out.println ("\t| Cash Settle Date : " + dtSettle + " ||");
System.out.println ("\t|-------------------------------||\n");
String strCurveMetrics = "";
String strSecularMetrics = "";
double[] adblOAS = new double[aBond.length];
for (int i = 0; i < aBond.length; ++i) {
WorkoutInfo wi = aBond[i].exerciseYieldFromPrice (
valParams,
csqc,
null,
adblCleanPrice[i]
);
BondRVMeasures rvm = aBond[i].standardMeasures (
valParams,
null,
csqc,
null,
wi,
adblCleanPrice[i]
);
strSecularMetrics += "\t| " +
aBond[i].name() + " | " +
aBond[i].effectiveDate() + " | " +
aBond[i].maturityDate() + " | " +
aBond[i].firstCouponDate() + " |" +
FormatUtil.FormatDouble (adblCleanPrice[i], 3, 3, 100.) + " |" +
FormatUtil.FormatDouble (wi.yield(), 1, 2, 100.) + "% | " +
FormatUtil.FormatDouble (rvm.macaulayDuration(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (rvm.modifiedDuration(), 2, 2, 10000.) + " | " +
FormatUtil.FormatDouble (rvm.yield01(), 2, 2, 10000.) + " |" +
FormatUtil.FormatDouble (rvm.yield01(), 4, 0, 1000000.) + " |" +
FormatUtil.FormatDouble (rvm.convexity(), 1, 2, 1000000.) + " | " +
FormatUtil.FormatDouble (rvm.bondBasis(), 3, 0, 10000.) + " ||" + "\n";
adblOAS[i] = rvm.oas();
double dblCleanPriceOASUp = aBond[i].priceFromOAS (
valParams,
csqc,
null,
adblOAS[i] + 0.0001
);
double dblCleanPriceOASDown = aBond[i].priceFromOAS (
valParams,
csqc,
null,
adblOAS[i] - 0.0001
);
strCurveMetrics += "\t| " +
aBond[i].name() + " |" +
FormatUtil.FormatDouble (adblCleanPrice[i], 3, 3, 100.) + " |" +
FormatUtil.FormatDouble (wi.yield(), 1, 2, 100.) + "% | " +
FormatUtil.FormatDouble (rvm.zSpread(), 3, 0, 10000.) + " |" +
FormatUtil.FormatDouble (adblOAS[i], 3, 0, 10000.) + " | " +
FormatUtil.FormatDouble (0.5 * (dblCleanPriceOASDown - dblCleanPriceOASUp) / adblCleanPrice[i], 2, 2, 10000.) + " | " +
FormatUtil.FormatDouble ((dblCleanPriceOASDown + dblCleanPriceOASUp - 2. * adblCleanPrice[i]) / adblCleanPrice[i], 2, 2, 1000000.) + " |" +
FormatUtil.FormatDouble (rvm.asw(), 3, 0, 10000.) + " | " +
FormatUtil.FormatDouble (rvm.gSpread(), 3, 0, 10000.) + " | " +
FormatUtil.FormatDouble (rvm.iSpread(), 3, 0, 10000.) + " | " +
FormatUtil.FormatDouble (rvm.tsySpread(), 3, 0, 10000.) + " | " +
Helper.BaseTsyBmk (
dtValue.julian(),
aBond[i].maturityDate().julian()
) + " ||" + "\n";
}
System.out.println ("\t|---------------------------------------------------------------------------------------------------------------------------------------------||");
System.out.println ("\t| BOND | EFFECTIVE | MATURITY | FIRST COUPON | PRICE | YIELD | MAC DUR | MOD DUR | YIELD 01 | DV01 | CONV | BOND BASIS ||");
System.out.println ("\t|---------------------------------------------------------------------------------------------------------------------------------------------||");
System.out.print (strSecularMetrics);
System.out.println ("\t|---------------------------------------------------------------------------------------------------------------------------------------------||\n");
System.out.println ("\t|------------------------------------------------------------------------------------------------------------------------------------||");
System.out.println ("\t| BOND | PRICE | YIELD | Z SPREAD | OAS | OAS DUR | OAS CONV | ASW | G SPREAD | I SPREAD | TSY SPREAD | TSY BMK ||");
System.out.println ("\t|------------------------------------------------------------------------------------------------------------------------------------||");
System.out.print (strCurveMetrics);
System.out.println ("\t|------------------------------------------------------------------------------------------------------------------------------------||");
return adblOAS;
}
public static final void main (
final String[] astrArgs)
throws Exception
{
EnvManager.InitEnv (
"",
true
);
JulianDate dtSpot = DateUtil.CreateFromYMD (
2015,
DateUtil.DECEMBER,
8
);
String strCurrency = "USD";
String strTreasuryCode = "UST";
MergedDiscountForwardCurve dcFunding = FundingCurve (
dtSpot,
strCurrency
);
double[] adblTreasuryCoupon = new double[] {
0.0100,
0.0100,
0.0125,
0.0150,
0.0200,
0.0225,
0.0300
};
double[] adblTreasuryYield = new double[] {
0.00692,
0.00945,
0.01257,
0.01678,
0.02025,
0.02235,
0.02972
};
Map<String, GovvieCurve> mapGovvieCurve = GovvieCurve (
dtSpot,
strTreasuryCode,
adblTreasuryCoupon,
adblTreasuryYield
);
CurveSurfaceQuoteContainer csqc = MarketParamsBuilder.Create (
dcFunding,
null,
null,
null,
null,
null,
null
);
csqc.setGovvieState (mapGovvieCurve.get ("BASE"));
AccumulateBondMarketQuote (
csqc,
new String[] {
"01YON",
"02YON",
"03YON",
"05YON",
"07YON",
"10YON",
"30YON"
},
adblTreasuryYield
);
Bond[] aCorporateBond = new Bond[] {
USDCorporate (DateUtil.CreateFromYMD (2007, 12, 20), DateUtil.CreateFromYMD (2018, 1, 15), 0.06000),
USDCorporate (DateUtil.CreateFromYMD (1996, 7, 25), DateUtil.CreateFromYMD (2025, 7, 15), 0.07750),
USDCorporate (DateUtil.CreateFromYMD (1996, 10, 29), DateUtil.CreateFromYMD (2026, 10, 15), 0.07625),
USDCorporate (DateUtil.CreateFromYMD (2014, 12, 9), DateUtil.CreateFromYMD (2026, 12, 15), 0.04125),
USDCorporate (DateUtil.CreateFromYMD (1997, 4, 29), DateUtil.CreateFromYMD (2027, 4, 29), 0.08000),
USDCorporate (DateUtil.CreateFromYMD (2014, 9, 25), DateUtil.CreateFromYMD (2027, 10, 1), 0.04250),
USDCorporate (DateUtil.CreateFromYMD (2008, 5, 22), DateUtil.CreateFromYMD (2038, 5, 15), 0.06400),
USDCorporate (DateUtil.CreateFromYMD (2011, 7, 21), DateUtil.CreateFromYMD (2041, 7, 15), 0.05600)
};
double[] adblCleanPrice = new double[] {
1.08529,
1.27021,
1.27274,
1.01235,
1.31537,
1.02263,
1.27570,
1.17460
};
double[] adblOAS = RVMeasures (
aCorporateBond,
dtSpot,
csqc,
adblCleanPrice
);
ValuationParams valParams = new ValuationParams (
dtSpot,
dtSpot.addBusDays (
3,
dcFunding.currency()
),
dcFunding.currency()
);
System.out.println ("\n\t|------------------------------------------------------------------------------------------------------------------------------------------------------||");
System.out.print ("\t| BOND ");
for (Map.Entry<String, GovvieCurve> meGovvieCurve : mapGovvieCurve.entrySet()) {
if ("BASE".equalsIgnoreCase (meGovvieCurve.getKey()) || "BUMP".equalsIgnoreCase (meGovvieCurve.getKey()))
continue;
System.out.print (" | " + meGovvieCurve.getKey());
}
System.out.println (" ||");
System.out.println ("\t|------------------------------------------------------------------------------------------------------------------------------------------------------||");
for (int i = 0; i < adblOAS.length; ++i) {
System.out.print ("\t| " + aCorporateBond[i].name());
for (Map.Entry<String, GovvieCurve> meGovvieCurve : mapGovvieCurve.entrySet()) {
if ("BASE".equalsIgnoreCase (meGovvieCurve.getKey()) || "BUMP".equalsIgnoreCase (meGovvieCurve.getKey()))
continue;
csqc.setGovvieState (meGovvieCurve.getValue());
System.out.print (" | " +
FormatUtil.FormatDouble (
(adblCleanPrice[i] - aCorporateBond[i].priceFromOAS (
valParams,
csqc,
null,
adblOAS[i]
)) / adblCleanPrice[i],
2, 2, 10000.) + " "
);
}
System.out.println (" ||");
}
System.out.println ("\t|------------------------------------------------------------------------------------------------------------------------------------------------------||");
EnvManager.TerminateEnv();
}
}