Changde.java
- package org.drip.sample.bondeos;
- import org.drip.analytics.date.*;
- import org.drip.numerical.common.FormatUtil;
- import org.drip.param.creator.MarketParamsBuilder;
- import org.drip.param.market.CurveSurfaceQuoteContainer;
- 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.product.params.EmbeddedOptionSchedule;
- 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
- *
- * 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>Changde</i> demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation
- * for Changde.
- *
- * <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/bondeos/README.md">EOS Bond Bullet/Exercise Measures</a></li>
- * </ul>
- * <br><br>
- *
- * @author Lakshmi Krishnamurthy
- */
- public class Changde {
- private static final MergedDiscountForwardCurve FundingCurve (
- final JulianDate dtSpot,
- final String strCurrency,
- final double dblBump)
- throws Exception
- {
- String[] astrDepositMaturityTenor = new String[] {
- "2D"
- };
- double[] adblDepositQuote = new double[] {
- 0.0111956 + dblBump // 2D
- };
- double[] adblFuturesQuote = new double[] {
- 0.011375 + dblBump, // 98.8625
- 0.013350 + dblBump, // 98.6650
- 0.014800 + dblBump, // 98.5200
- 0.016450 + dblBump, // 98.3550
- 0.017850 + dblBump, // 98.2150
- 0.019300 + dblBump // 98.0700
- };
- String[] astrFixFloatMaturityTenor = new String[] {
- "02Y",
- "03Y",
- "04Y",
- "05Y",
- "06Y",
- "07Y",
- "08Y",
- "09Y",
- "10Y",
- "11Y",
- "12Y",
- "15Y",
- "20Y",
- "25Y",
- "30Y",
- "40Y",
- "50Y"
- };
- double[] adblFixFloatQuote = new double[] {
- 0.017029 + dblBump, // 2Y
- 0.019354 + dblBump, // 3Y
- 0.021044 + dblBump, // 4Y
- 0.022291 + dblBump, // 5Y
- 0.023240 + dblBump, // 6Y
- 0.024025 + dblBump, // 7Y
- 0.024683 + dblBump, // 8Y
- 0.025243 + dblBump, // 9Y
- 0.025720 + dblBump, // 10Y
- 0.026130 + dblBump, // 11Y
- 0.026495 + dblBump, // 12Y
- 0.027230 + dblBump, // 15Y
- 0.027855 + dblBump, // 20Y
- 0.028025 + dblBump, // 25Y
- 0.028028 + dblBump, // 30Y
- 0.027902 + dblBump, // 40Y
- 0.027655 + dblBump // 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();
- System.out.println ("\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();
- System.out.println ("\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();
- System.out.println ("\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|------------------------------------------------||");
- System.out.println();
- return dcFunding;
- }
- private static final 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,
- 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 ("20Y"),
- dtSpot.addTenor ("30Y")
- };
- GovvieCurve gc = LatentMarketStateBuilder.GovvieCurve (
- strCode,
- dtSpot,
- adtEffective,
- adtMaturity,
- adblCoupon,
- adblYield,
- "Yield",
- LatentMarketStateBuilder.SHAPE_PRESERVING
- );
- BondComponent[] aComp = TreasuryBuilder.FromCode (
- strCode,
- adtEffective,
- adtMaturity,
- adblCoupon
- );
- ValuationParams valParams = ValuationParams.Spot (dtSpot.julian());
- CurveSurfaceQuoteContainer csqc = new CurveSurfaceQuoteContainer();
- csqc.setGovvieState (gc);
- System.out.println();
- System.out.println ("\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,
- gc.yield (aComp[i].maturityDate().julian())
- )
- ), 1, 3, 100.) + "% ||"
- );
- System.out.println ("\t|-------------------------------------------||");
- return gc;
- }
- private static final void RVMeasures (
- final BondComponent bond,
- final JulianDate dtValue,
- final CurveSurfaceQuoteContainer csqc,
- final double dblCleanPrice)
- throws Exception
- {
- JulianDate dtSettle = dtValue.addBusDays (
- 3,
- bond.currency()
- );
- ValuationParams valParams = new ValuationParams (
- dtValue,
- dtSettle,
- bond.currency()
- );
- System.out.println();
- System.out.println ("\t|--------------------------------||");
- System.out.println ("\t| Trade Date : " + dtValue + " ||");
- System.out.println ("\t| Cash Settle Date : " + dtSettle + " ||");
- System.out.println ("\t|--------------------------------||");
- System.out.println();
- double dblYTM = Double.NaN;
- double dblYTW = Double.NaN;
- double dblOASTW = Double.NaN;
- double dblWALTM = Double.NaN;
- double dblWALTW = Double.NaN;
- double dblZSpreadTW = Double.NaN;
- double dblModifiedDurationTW = Double.NaN;
- WorkoutInfo wi = bond.exerciseYieldFromPrice (
- valParams,
- csqc,
- null,
- dblCleanPrice
- );
- try {
- dblYTW = wi.yield();
- dblYTM = bond.yieldFromPrice (
- valParams,
- csqc,
- null,
- bond.maturityDate().julian(),
- 1.,
- dblCleanPrice
- );
- dblWALTW = bond.weightedAverageLife (
- valParams,
- csqc,
- wi.date(),
- wi.factor()
- );
- dblWALTM = bond.weightedAverageLife (
- valParams,
- csqc,
- bond.maturityDate().julian(),
- 1.
- );
- dblZSpreadTW = bond.zSpreadFromYield (
- valParams,
- csqc,
- null,
- wi.date(),
- wi.factor(),
- wi.yield()
- );
- dblOASTW = bond.oasFromYield (
- valParams,
- csqc,
- null,
- wi.date(),
- wi.factor(),
- wi.yield()
- );
- dblModifiedDurationTW = bond.modifiedDurationFromPrice (
- valParams,
- csqc,
- null,
- wi.date(),
- wi.factor(),
- dblCleanPrice
- );
- } catch (Exception e) {
- // e.printStackTrace();
- }
- System.out.println ("\t Bond Name => " + bond.name());
- System.out.println ("\t Effective Date => " + bond.effectiveDate());
- System.out.println ("\t Maturity Date => " + bond.maturityDate());
- System.out.println ("\t Exercise Date => " + new JulianDate (wi.date()));
- System.out.println ("\t Price => " + FormatUtil.FormatDouble (dblCleanPrice, 1, 5, 100.));
- System.out.println ("\t Bond Accrued => " + FormatUtil.FormatDouble (bond.accrued (dtSettle.julian(), csqc), 1, 4, 100.));
- System.out.println ("\t Bond YTW => " + FormatUtil.FormatDouble (dblYTW, 1, 3, 100.) + "%");
- System.out.println ("\t Bond YTM => " + FormatUtil.FormatDouble (dblYTM, 1, 3, 100.) + "%");
- System.out.println ("\t Bond WAL TW => " + FormatUtil.FormatDouble (dblWALTW, 1, 3, 1.));
- System.out.println ("\t Bond WAL TM => " + FormatUtil.FormatDouble (dblWALTM, 1, 3, 1.));
- System.out.println ("\t Bond Modified Duration TW => " + FormatUtil.FormatDouble (dblModifiedDurationTW, 1, 4, 10000.));
- System.out.println ("\t Bond Z Spread TW => " + FormatUtil.FormatDouble (dblZSpreadTW, 1, 1, 10000.));
- System.out.println ("\t Bond OAS TW => " + FormatUtil.FormatDouble (dblOASTW, 1, 1, 10000.));
- }
- public static final void main (
- final String[] astrArgs)
- throws Exception
- {
- EnvManager.InitEnv (
- "",
- true
- );
- JulianDate dtSpot = DateUtil.CreateFromYMD (
- 2017,
- DateUtil.MARCH,
- 10
- );
- String strCurrency = "USD";
- String strTreasuryCode = "UST";
- double[] adblTreasuryCoupon = new double[] {
- 0.0100,
- 0.0100,
- 0.0125,
- 0.0150,
- 0.0200,
- 0.0225,
- 0.0250,
- 0.0300
- };
- double[] adblTreasuryYield = new double[] {
- 0.0083, // 1Y
- 0.0122, // 2Y
- 0.0149, // 3Y
- 0.0193, // 5Y
- 0.0227, // 7Y
- 0.0248, // 10Y
- 0.0280, // 20Y
- 0.0308 // 30Y
- };
- JulianDate dtEffective = DateUtil.CreateFromYMD (2014, 9, 12);
- JulianDate dtMaturity = DateUtil.CreateFromYMD (2024, 10, 15);
- double dblCoupon = 0.04350;
- double dblCleanPrice = 1.0138900;
- int iFreq = 2;
- String strCUSIP = "Changde";
- String strDayCount = "30/360";
- int[] aiExerciseDate = new int[] {
- DateUtil.CreateFromYMD (2024, 7, 15).julian(),
- };
- double[] adblExercisePrice = new double[] {
- 1.,
- };
- BondComponent bond = BondBuilder.CreateSimpleFixed (
- strCUSIP,
- strCurrency,
- "",
- dblCoupon,
- iFreq,
- strDayCount,
- dtEffective,
- dtMaturity,
- null,
- null
- );
- EmbeddedOptionSchedule eos = new EmbeddedOptionSchedule (
- aiExerciseDate,
- adblExercisePrice,
- false,
- 30,
- false,
- Double.NaN,
- "",
- Double.NaN
- );
- bond.setEmbeddedCallSchedule (eos);
- RVMeasures (
- bond,
- dtSpot,
- MarketParamsBuilder.Create (
- FundingCurve (
- dtSpot,
- strCurrency,
- 0.
- ),
- GovvieCurve (
- dtSpot,
- strTreasuryCode,
- adblTreasuryCoupon,
- adblTreasuryYield
- ),
- null,
- null,
- null,
- null,
- null
- ),
- dblCleanPrice
- );
- EnvManager.TerminateEnv();
- }
- }