FixedCouponKeyRateDuration.java

  1. package org.drip.sample.bondapi;

  3. import java.util.*;

  5. import org.drip.analytics.date.*;
  6. import org.drip.numerical.common.FormatUtil;
  7. import org.drip.service.env.EnvManager;
  8. import org.drip.service.product.FixedBondAPI;

  10. /*
  11.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  12.  */

  14. /*!
  15.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  16.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  17.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  18.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  19.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  20.  * 
  21.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  22.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  23.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  24.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  25.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  26.  *      and computational support.
  27.  *  
  28.  *      https://lakshmidrip.github.io/DROP/
  29.  *  
  30.  *  DROP is composed of three modules:
  31.  *  
  32.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  33.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  34.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  35.  * 
  36.  *  DROP Product Core implements libraries for the following:
  37.  *  - Fixed Income Analytics
  38.  *  - Loan Analytics
  39.  *  - Transaction Cost Analytics
  40.  * 
  41.  *  DROP Portfolio Core implements libraries for the following:
  42.  *  - Asset Allocation Analytics
  43.  *  - Asset Liability Management Analytics
  44.  *  - Capital Estimation Analytics
  45.  *  - Exposure Analytics
  46.  *  - Margin Analytics
  47.  *  - XVA Analytics
  48.  * 
  49.  *  DROP Computational Core implements libraries for the following:
  50.  *  - Algorithm Support
  51.  *  - Computation Support
  52.  *  - Function Analysis
  53.  *  - Model Validation
  54.  *  - Numerical Analysis
  55.  *  - Numerical Optimizer
  56.  *  - Spline Builder
  57.  *  - Statistical Learning
  58.  * 
  59.  *  Documentation for DROP is Spread Over:
  60.  * 
  61.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  62.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  63.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  64.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  65.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  66.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  67.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  68.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  69.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  70.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  71.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  72.  * 
  73.  *  Licensed under the Apache License, Version 2.0 (the "License");
  74.  *      you may not use this file except in compliance with the License.
  75.  *   
  76.  *  You may obtain a copy of the License at
  77.  *      http://www.apache.org/licenses/LICENSE-2.0
  78.  *  
  79.  *  Unless required by applicable law or agreed to in writing, software
  80.  *      distributed under the License is distributed on an "AS IS" BASIS,
  81.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  82.  *  
  83.  *  See the License for the specific language governing permissions and
  84.  *      limitations under the License.
  85.  */

  87. /**
  88.  * <i>FixedCouponKeyRateDuration</i> demonstrates the Invocation and Examination of the Key Rate Duration
  89.  * Computation for the Specified Treasury Futures.
  90.  *  
  91.  * <br><br>
  92.  *  <ul>
  93.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  94.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  95.  *      <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>
  96.  *      <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>
  97.  *  </ul>
  98.  * <br><br>
  99.  *
  100.  * @author Lakshmi Krishnamurthy
  101.  */

  103. public class FixedCouponKeyRateDuration {

  105.     private static void ComputeKeyRateDuration (
  106.         final java.lang.String strIssuerName,
  107.         final JulianDate dtBondEffective,
  108.         final JulianDate dtBondMaturity,
  109.         final double dblBondCoupon,
  110.         final int iBondCouponFrequency,
  111.         final java.lang.String strBondCouponDayCount,
  112.         final java.lang.String strBondCouponCurrency,
  113.         final int iSpotDate,
  114.         final java.lang.String strGovvieCode,
  115.         final int[] aiGovvieCurveTreasuryEffectiveDate,
  116.         final int[] aiGovvieCurveTreasuryMaturityDate,
  117.         final double[] adblGovvieCurveTreasuryCoupon,
  118.         final double[] adblGovvieCurveTreasuryYield,
  119.         final java.lang.String strGovvieCurveTreasuryMeasure,
  120.         final double dblBondMarketCleanPrice,
  121.         final boolean bHeader,
  122.         final boolean bTrailer)
  123.         throws Exception
  124.     {
  125.         Map<String, Double> mapKeyRateDuration = FixedBondAPI.KeyRateDuration (
  126.             strIssuerName,
  127.             dtBondEffective.julian(),
  128.             dtBondMaturity.julian(),
  129.             dblBondCoupon,
  130.             iBondCouponFrequency,
  131.             strBondCouponDayCount,
  132.             strBondCouponCurrency,
  133.             iSpotDate,
  134.             strGovvieCode,
  135.             aiGovvieCurveTreasuryEffectiveDate,
  136.             aiGovvieCurveTreasuryMaturityDate,
  137.             adblGovvieCurveTreasuryCoupon,
  138.             adblGovvieCurveTreasuryYield,
  139.             strGovvieCurveTreasuryMeasure,
  140.             dblBondMarketCleanPrice
  141.         );

  143.         if (bHeader) {
  144.             System.out.println ("\n\t|------------------------------------------------------------------------------------------------------------------------------------------------------||");

  146.             System.out.print ("\t|          ISSUE         |");

  148.             Set<String> setstrKey = mapKeyRateDuration.keySet();

  150.             for (String strKey : setstrKey)
  151.                 System.out.print (" " + strKey + " |");

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

  155.             System.out.println ("\t|------------------------------------------------------------------------------------------------------------------------------------------------------||");
  156.         }

  158.         System.out.print ("\t|  " + strIssuerName + FormatUtil.FormatDouble (dblBondCoupon, 1, 4, 100.) + " " + dtBondMaturity + " |");

  160.         for (Map.Entry<String, Double> me : mapKeyRateDuration.entrySet())
  161.             System.out.print ("     " + FormatUtil.FormatDouble (-1. * me.getValue(), 1, 5, 1.) + "    |");

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

  165.         if (bTrailer)
  166.             System.out.println ("\t|------------------------------------------------------------------------------------------------------------------------------------------------------||");
  167.     }

  169.     public static final void main (
  170.         final String[] args)
  171.         throws Exception
  172.     {
  173.         EnvManager.InitEnv (
  174.             "",
  175.             true
  176.         );

  178.         int iSpotDate = DateUtil.CreateFromYMD (
  179.             2015,
  180.             DateUtil.NOVEMBER,
  181.             18
  182.         ).julian();

  184.         int[] aiGovvieCurveTreasuryEffectiveDate = new int[] {
  185.             iSpotDate,
  186.             iSpotDate,
  187.             iSpotDate,
  188.             iSpotDate,
  189.             iSpotDate,
  190.             iSpotDate,
  191.             iSpotDate
  192.         };

  194.         int[] aiGovvieCurveTreasuryMaturityDate = new int[] {
  195.             new JulianDate (iSpotDate).addTenor ("1Y").julian(),
  196.             new JulianDate (iSpotDate).addTenor ("2Y").julian(),
  197.             new JulianDate (iSpotDate).addTenor ("3Y").julian(),
  198.             new JulianDate (iSpotDate).addTenor ("5Y").julian(),
  199.             new JulianDate (iSpotDate).addTenor ("7Y").julian(),
  200.             new JulianDate (iSpotDate).addTenor ("10Y").julian(),
  201.             new JulianDate (iSpotDate).addTenor ("30Y").julian()
  202.         };

  204.         double[] adblGovvieCurveTreasuryCoupon = new double[] {
  205.             0.0100,
  206.             0.0100,
  207.             0.0125,
  208.             0.0150,
  209.             0.0200,
  210.             0.0225,
  211.             0.0300
  212.         };

  214.         double[] adblGovvieCurveTreasuryYield = new double[] {
  215.             0.00692,
  216.             0.00945,
  217.             0.01257,
  218.             0.01678,
  219.             0.02025,
  220.             0.02235,
  221.             0.02972
  222.         };

  224.         String strGovvieCurveTreasuryMeasure = "Yield";

  226.         String strIssuerName = "AEG";
  227.         int iBondCouponFrequency = 2;
  228.         String strBondCouponDayCount = "30/360";
  229.         String strBondCouponCurrency = "USD";
  230.         String strGovvieCode = "UST";

  232.         ComputeKeyRateDuration (
  233.             strIssuerName,
  234.             DateUtil.CreateFromYMD (2007, 12, 20),
  235.             DateUtil.CreateFromYMD (2018,  1, 15),
  236.             0.06000,
  237.             iBondCouponFrequency,
  238.             strBondCouponDayCount,
  239.             strBondCouponCurrency,
  240.             iSpotDate,
  241.             strGovvieCode,
  242.             aiGovvieCurveTreasuryEffectiveDate,
  243.             aiGovvieCurveTreasuryMaturityDate,
  244.             adblGovvieCurveTreasuryCoupon,
  245.             adblGovvieCurveTreasuryYield,
  246.             strGovvieCurveTreasuryMeasure,
  247.             1.08529,
  248.             true,
  249.             false
  250.         );

  252.         ComputeKeyRateDuration (
  253.             strIssuerName,
  254.             DateUtil.CreateFromYMD (1996,  7, 25),
  255.             DateUtil.CreateFromYMD (2025,  7, 15),
  256.             0.07750,
  257.             iBondCouponFrequency,
  258.             strBondCouponDayCount,
  259.             strBondCouponCurrency,
  260.             iSpotDate,
  261.             strGovvieCode,
  262.             aiGovvieCurveTreasuryEffectiveDate,
  263.             aiGovvieCurveTreasuryMaturityDate,
  264.             adblGovvieCurveTreasuryCoupon,
  265.             adblGovvieCurveTreasuryYield,
  266.             strGovvieCurveTreasuryMeasure,
  267.             1.27021,
  268.             false,
  269.             false
  270.         );

  272.         ComputeKeyRateDuration (
  273.             strIssuerName,
  274.             DateUtil.CreateFromYMD (1996, 10, 29),
  275.             DateUtil.CreateFromYMD (2026, 10, 15),
  276.             0.07625,
  277.             iBondCouponFrequency,
  278.             strBondCouponDayCount,
  279.             strBondCouponCurrency,
  280.             iSpotDate,
  281.             strGovvieCode,
  282.             aiGovvieCurveTreasuryEffectiveDate,
  283.             aiGovvieCurveTreasuryMaturityDate,
  284.             adblGovvieCurveTreasuryCoupon,
  285.             adblGovvieCurveTreasuryYield,
  286.             strGovvieCurveTreasuryMeasure,
  287.             1.27274,
  288.             false,
  289.             false
  290.         );

  292.         ComputeKeyRateDuration (
  293.             strIssuerName,
  294.             DateUtil.CreateFromYMD (2014, 12,  9),
  295.             DateUtil.CreateFromYMD (2026, 12, 15),
  296.             0.04125,
  297.             iBondCouponFrequency,
  298.             strBondCouponDayCount,
  299.             strBondCouponCurrency,
  300.             iSpotDate,
  301.             strGovvieCode,
  302.             aiGovvieCurveTreasuryEffectiveDate,
  303.             aiGovvieCurveTreasuryMaturityDate,
  304.             adblGovvieCurveTreasuryCoupon,
  305.             adblGovvieCurveTreasuryYield,
  306.             strGovvieCurveTreasuryMeasure,
  307.             1.01235,
  308.             false,
  309.             false
  310.         );

  312.         ComputeKeyRateDuration (
  313.             strIssuerName,
  314.             DateUtil.CreateFromYMD (1997,  4, 29),
  315.             DateUtil.CreateFromYMD (2027,  4, 29),
  316.             0.08000,
  317.             iBondCouponFrequency,
  318.             strBondCouponDayCount,
  319.             strBondCouponCurrency,
  320.             iSpotDate,
  321.             strGovvieCode,
  322.             aiGovvieCurveTreasuryEffectiveDate,
  323.             aiGovvieCurveTreasuryMaturityDate,
  324.             adblGovvieCurveTreasuryCoupon,
  325.             adblGovvieCurveTreasuryYield,
  326.             strGovvieCurveTreasuryMeasure,
  327.             1.31527,
  328.             false,
  329.             false
  330.         );

  332.         ComputeKeyRateDuration (
  333.             strIssuerName,
  334.             DateUtil.CreateFromYMD (2014,  9, 25),
  335.             DateUtil.CreateFromYMD (2027, 10,  1),
  336.             0.04250,
  337.             iBondCouponFrequency,
  338.             strBondCouponDayCount,
  339.             strBondCouponCurrency,
  340.             iSpotDate,
  341.             strGovvieCode,
  342.             aiGovvieCurveTreasuryEffectiveDate,
  343.             aiGovvieCurveTreasuryMaturityDate,
  344.             adblGovvieCurveTreasuryCoupon,
  345.             adblGovvieCurveTreasuryYield,
  346.             strGovvieCurveTreasuryMeasure,
  347.             1.02263,
  348.             false,
  349.             false
  350.         );

  352.         ComputeKeyRateDuration (
  353.             strIssuerName,
  354.             DateUtil.CreateFromYMD (2008,  5, 22),
  355.             DateUtil.CreateFromYMD (2038,  5, 15),
  356.             0.06400,
  357.             iBondCouponFrequency,
  358.             strBondCouponDayCount,
  359.             strBondCouponCurrency,
  360.             iSpotDate,
  361.             strGovvieCode,
  362.             aiGovvieCurveTreasuryEffectiveDate,
  363.             aiGovvieCurveTreasuryMaturityDate,
  364.             adblGovvieCurveTreasuryCoupon,
  365.             adblGovvieCurveTreasuryYield,
  366.             strGovvieCurveTreasuryMeasure,
  367.             1.27570,
  368.             false,
  369.             false
  370.         );

  372.         ComputeKeyRateDuration (
  373.             strIssuerName,
  374.             DateUtil.CreateFromYMD (2011,  7, 21),
  375.             DateUtil.CreateFromYMD (2041,  7, 15),
  376.             0.05600,
  377.             iBondCouponFrequency,
  378.             strBondCouponDayCount,
  379.             strBondCouponCurrency,
  380.             iSpotDate,
  381.             strGovvieCode,
  382.             aiGovvieCurveTreasuryEffectiveDate,
  383.             aiGovvieCurveTreasuryMaturityDate,
  384.             adblGovvieCurveTreasuryCoupon,
  385.             adblGovvieCurveTreasuryYield,
  386.             strGovvieCurveTreasuryMeasure,
  387.             1.17460,
  388.             false,
  389.             true
  390.         );

  392.         EnvManager.TerminateEnv();
  393.     }
  394. }
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