Gwalior.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>Gwalior</i> demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation
 * for Gwalior.
 *  
 * <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 Gwalior {

	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 (2016,  4, 18);
		JulianDate dtMaturity  = DateUtil.CreateFromYMD (2036,  4, 18);
		double dblCoupon = 0.0314;
		double dblCleanPrice = 0.9346243;
		int iFreq = 2;
		String strCUSIP = "3133EF3G0";
		String strDayCount = "30/360";
		int[] aiExerciseDate = new int[] {
			DateUtil.CreateFromYMD (2017,  4, 18).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();
	}
}