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();
    }
}