FixedCouponKeyRateDuration.java
package org.drip.sample.bondapi;
import java.util.*;
import org.drip.analytics.date.*;
import org.drip.numerical.common.FormatUtil;
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>FixedCouponKeyRateDuration</i> demonstrates the Invocation and Examination of the Key Rate Duration
* Computation for the Specified Treasury Futures.
*
* <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 FixedCouponKeyRateDuration {
private static void ComputeKeyRateDuration (
final java.lang.String strIssuerName,
final JulianDate dtBondEffective,
final JulianDate dtBondMaturity,
final double dblBondCoupon,
final int iBondCouponFrequency,
final java.lang.String strBondCouponDayCount,
final java.lang.String strBondCouponCurrency,
final int iSpotDate,
final java.lang.String strGovvieCode,
final int[] aiGovvieCurveTreasuryEffectiveDate,
final int[] aiGovvieCurveTreasuryMaturityDate,
final double[] adblGovvieCurveTreasuryCoupon,
final double[] adblGovvieCurveTreasuryYield,
final java.lang.String strGovvieCurveTreasuryMeasure,
final double dblBondMarketCleanPrice,
final boolean bHeader,
final boolean bTrailer)
throws Exception
{
Map<String, Double> mapKeyRateDuration = FixedBondAPI.KeyRateDuration (
strIssuerName,
dtBondEffective.julian(),
dtBondMaturity.julian(),
dblBondCoupon,
iBondCouponFrequency,
strBondCouponDayCount,
strBondCouponCurrency,
iSpotDate,
strGovvieCode,
aiGovvieCurveTreasuryEffectiveDate,
aiGovvieCurveTreasuryMaturityDate,
adblGovvieCurveTreasuryCoupon,
adblGovvieCurveTreasuryYield,
strGovvieCurveTreasuryMeasure,
dblBondMarketCleanPrice
);
if (bHeader) {
System.out.println ("\n\t|------------------------------------------------------------------------------------------------------------------------------------------------------||");
System.out.print ("\t| ISSUE |");
Set<String> setstrKey = mapKeyRateDuration.keySet();
for (String strKey : setstrKey)
System.out.print (" " + strKey + " |");
System.out.println ("|");
System.out.println ("\t|------------------------------------------------------------------------------------------------------------------------------------------------------||");
}
System.out.print ("\t| " + strIssuerName + FormatUtil.FormatDouble (dblBondCoupon, 1, 4, 100.) + " " + dtBondMaturity + " |");
for (Map.Entry<String, Double> me : mapKeyRateDuration.entrySet())
System.out.print (" " + FormatUtil.FormatDouble (-1. * me.getValue(), 1, 5, 1.) + " |");
System.out.println ("|");
if (bTrailer)
System.out.println ("\t|------------------------------------------------------------------------------------------------------------------------------------------------------||");
}
public static final void main (
final String[] args)
throws Exception
{
EnvManager.InitEnv (
"",
true
);
int iSpotDate = DateUtil.CreateFromYMD (
2015,
DateUtil.NOVEMBER,
18
).julian();
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 strIssuerName = "AEG";
int iBondCouponFrequency = 2;
String strBondCouponDayCount = "30/360";
String strBondCouponCurrency = "USD";
String strGovvieCode = "UST";
ComputeKeyRateDuration (
strIssuerName,
DateUtil.CreateFromYMD (2007, 12, 20),
DateUtil.CreateFromYMD (2018, 1, 15),
0.06000,
iBondCouponFrequency,
strBondCouponDayCount,
strBondCouponCurrency,
iSpotDate,
strGovvieCode,
aiGovvieCurveTreasuryEffectiveDate,
aiGovvieCurveTreasuryMaturityDate,
adblGovvieCurveTreasuryCoupon,
adblGovvieCurveTreasuryYield,
strGovvieCurveTreasuryMeasure,
1.08529,
true,
false
);
ComputeKeyRateDuration (
strIssuerName,
DateUtil.CreateFromYMD (1996, 7, 25),
DateUtil.CreateFromYMD (2025, 7, 15),
0.07750,
iBondCouponFrequency,
strBondCouponDayCount,
strBondCouponCurrency,
iSpotDate,
strGovvieCode,
aiGovvieCurveTreasuryEffectiveDate,
aiGovvieCurveTreasuryMaturityDate,
adblGovvieCurveTreasuryCoupon,
adblGovvieCurveTreasuryYield,
strGovvieCurveTreasuryMeasure,
1.27021,
false,
false
);
ComputeKeyRateDuration (
strIssuerName,
DateUtil.CreateFromYMD (1996, 10, 29),
DateUtil.CreateFromYMD (2026, 10, 15),
0.07625,
iBondCouponFrequency,
strBondCouponDayCount,
strBondCouponCurrency,
iSpotDate,
strGovvieCode,
aiGovvieCurveTreasuryEffectiveDate,
aiGovvieCurveTreasuryMaturityDate,
adblGovvieCurveTreasuryCoupon,
adblGovvieCurveTreasuryYield,
strGovvieCurveTreasuryMeasure,
1.27274,
false,
false
);
ComputeKeyRateDuration (
strIssuerName,
DateUtil.CreateFromYMD (2014, 12, 9),
DateUtil.CreateFromYMD (2026, 12, 15),
0.04125,
iBondCouponFrequency,
strBondCouponDayCount,
strBondCouponCurrency,
iSpotDate,
strGovvieCode,
aiGovvieCurveTreasuryEffectiveDate,
aiGovvieCurveTreasuryMaturityDate,
adblGovvieCurveTreasuryCoupon,
adblGovvieCurveTreasuryYield,
strGovvieCurveTreasuryMeasure,
1.01235,
false,
false
);
ComputeKeyRateDuration (
strIssuerName,
DateUtil.CreateFromYMD (1997, 4, 29),
DateUtil.CreateFromYMD (2027, 4, 29),
0.08000,
iBondCouponFrequency,
strBondCouponDayCount,
strBondCouponCurrency,
iSpotDate,
strGovvieCode,
aiGovvieCurveTreasuryEffectiveDate,
aiGovvieCurveTreasuryMaturityDate,
adblGovvieCurveTreasuryCoupon,
adblGovvieCurveTreasuryYield,
strGovvieCurveTreasuryMeasure,
1.31527,
false,
false
);
ComputeKeyRateDuration (
strIssuerName,
DateUtil.CreateFromYMD (2014, 9, 25),
DateUtil.CreateFromYMD (2027, 10, 1),
0.04250,
iBondCouponFrequency,
strBondCouponDayCount,
strBondCouponCurrency,
iSpotDate,
strGovvieCode,
aiGovvieCurveTreasuryEffectiveDate,
aiGovvieCurveTreasuryMaturityDate,
adblGovvieCurveTreasuryCoupon,
adblGovvieCurveTreasuryYield,
strGovvieCurveTreasuryMeasure,
1.02263,
false,
false
);
ComputeKeyRateDuration (
strIssuerName,
DateUtil.CreateFromYMD (2008, 5, 22),
DateUtil.CreateFromYMD (2038, 5, 15),
0.06400,
iBondCouponFrequency,
strBondCouponDayCount,
strBondCouponCurrency,
iSpotDate,
strGovvieCode,
aiGovvieCurveTreasuryEffectiveDate,
aiGovvieCurveTreasuryMaturityDate,
adblGovvieCurveTreasuryCoupon,
adblGovvieCurveTreasuryYield,
strGovvieCurveTreasuryMeasure,
1.27570,
false,
false
);
ComputeKeyRateDuration (
strIssuerName,
DateUtil.CreateFromYMD (2011, 7, 21),
DateUtil.CreateFromYMD (2041, 7, 15),
0.05600,
iBondCouponFrequency,
strBondCouponDayCount,
strBondCouponCurrency,
iSpotDate,
strGovvieCode,
aiGovvieCurveTreasuryEffectiveDate,
aiGovvieCurveTreasuryMaturityDate,
adblGovvieCurveTreasuryCoupon,
adblGovvieCurveTreasuryYield,
strGovvieCurveTreasuryMeasure,
1.17460,
false,
true
);
EnvManager.TerminateEnv();
}
}