FixedCoupon.java
package org.drip.sample.bondapi;
import java.util.Map;
import org.drip.analytics.date.*;
import org.drip.service.env.EnvManager;
import org.drip.service.product.FixedBondAPI;
/*
* -*- 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
*
* 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>FixedCoupon</i> demonstrates the Invocation and Examination of the Metrics for the Fixed Coupon Bond.
*
* <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/bondapi/README.md">Fixed Coupon KRD + RV Measures</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class FixedCoupon {
public static final void main (
final String[] astrArgs)
throws Exception
{
EnvManager.InitEnv (
"",
true
);
int iSpotDate = DateUtil.CreateFromYMD (
2015,
DateUtil.NOVEMBER,
18
).julian();
String[] astrFundingCurveDepositTenor = new String[] {
"2D",
"1W",
"1M",
"2M",
"3M"
};
double[] adblFundingCurveDepositQuote = new double[] {
0.00195, // 2D
0.00176, // 1W
0.00301, // 1M
0.00401, // 2M
0.00492 // 3M
};
String strFundingCurveDepositMeasure = "ForwardRate";
double[] adblFundingCurveFuturesQuote = new double[] {
0.00609,
0.00687
};
String strFundingCurveFuturesMeasure = "ForwardRate";
String[] astrFundingCurveFixFloatTenor = new String[] {
"01Y",
"02Y",
"03Y",
"04Y",
"05Y",
"06Y",
"07Y",
"08Y",
"09Y",
"10Y",
"11Y",
"12Y",
"15Y",
"20Y",
"25Y",
"30Y",
"40Y",
"50Y"
};
double[] adblFundingCurveFixFloatQuote = 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
};
String strFundingFixFloatMeasure = "SwapRate";
int[] aiGovvieCurveTreasuryEffectiveDate = new int[] {
iSpotDate,
iSpotDate,
iSpotDate,
iSpotDate,
iSpotDate,
iSpotDate,
iSpotDate
};
int[] aiGovvieCurveTreasuryMaturityDate = new int[] {
new JulianDate (iSpotDate).addTenor ("1Y").julian(),
new JulianDate (iSpotDate).addTenor ("2Y").julian(),
new JulianDate (iSpotDate).addTenor ("3Y").julian(),
new JulianDate (iSpotDate).addTenor ("5Y").julian(),
new JulianDate (iSpotDate).addTenor ("7Y").julian(),
new JulianDate (iSpotDate).addTenor ("10Y").julian(),
new JulianDate (iSpotDate).addTenor ("30Y").julian()
};
double[] adblGovvieCurveTreasuryCoupon = new double[] {
0.0100,
0.0100,
0.0125,
0.0150,
0.0200,
0.0225,
0.0300
};
double[] adblGovvieCurveTreasuryYield = new double[] {
0.00692,
0.00945,
0.01257,
0.01678,
0.02025,
0.02235,
0.02972
};
String strGovvieCurveTreasuryMeasure = "Yield";
String[] astrCreditCurveCDSTenor = new String[] {
"06M",
"01Y",
"02Y",
"03Y",
"04Y",
"05Y",
"07Y",
"10Y"
};
double[] adblCreditCurveCDSCoupon = new double[] {
60., // 6M
68., // 1Y
88., // 2Y
102., // 3Y
121., // 4Y
138., // 5Y
168., // 7Y
188. // 10Y
};
String strIssuerName = "AEG";
double dblBondCoupon = 0.0560;
int iBondCouponFrequency = 2;
String strBondCouponDayCount = "30/360";
String strBondCouponCurrency = "USD";
String strBondMarketQuoteName = "Price";
double dblBondMarketQuote = 1.17460;
String strGovvieCode = "UST";
int iBondEffectiveDate = DateUtil.CreateFromYMD (
2011,
DateUtil.JULY,
21
).julian();
int iBondMaturityDate = DateUtil.CreateFromYMD (
2041,
DateUtil.JULY,
15
).julian();
Map<String, Double> mapBondMetrics = FixedBondAPI.ValuationMetrics (
strIssuerName,
iBondEffectiveDate,
iBondMaturityDate,
dblBondCoupon,
iBondCouponFrequency,
strBondCouponDayCount,
strBondCouponCurrency,
iSpotDate,
astrFundingCurveDepositTenor,
adblFundingCurveDepositQuote,
strFundingCurveDepositMeasure,
adblFundingCurveFuturesQuote,
strFundingCurveFuturesMeasure,
astrFundingCurveFixFloatTenor,
adblFundingCurveFixFloatQuote,
strFundingFixFloatMeasure,
strGovvieCode,
aiGovvieCurveTreasuryEffectiveDate,
aiGovvieCurveTreasuryMaturityDate,
adblGovvieCurveTreasuryCoupon,
adblGovvieCurveTreasuryYield,
strGovvieCurveTreasuryMeasure,
strIssuerName,
astrCreditCurveCDSTenor,
adblCreditCurveCDSCoupon,
adblCreditCurveCDSCoupon,
"FairPremium",
strBondMarketQuoteName,
dblBondMarketQuote
);
for (Map.Entry<String, Double> me : mapBondMetrics.entrySet())
System.out.println ("\t" + me.getKey() + " => " + me.getValue());
EnvManager.TerminateEnv();
}
}