Raipur.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.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>Raipur</i> demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
* Raipur.
*
* <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 Raipur {
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
};
return LatentMarketStateBuilder.SmoothFundingCurve (
dtSpot,
strCurrency,
astrDepositMaturityTenor,
adblDepositQuote,
"ForwardRate",
adblFuturesQuote,
"ForwardRate",
astrFixFloatMaturityTenor,
adblFixFloatQuote,
"SwapRate"
);
}
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")
};
return LatentMarketStateBuilder.GovvieCurve (
strCode,
dtSpot,
adtEffective,
adtMaturity,
adblCoupon,
adblYield,
"Yield",
LatentMarketStateBuilder.SHAPE_PRESERVING
);
}
private static final void RVMeasures (
final BondComponent bond,
final JulianDate dtValue,
final CurveSurfaceQuoteContainer csqc,
final double dblCleanPrice)
throws Exception
{
JulianDate dtSettle = dtValue.addBusDays (
0,
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 dblOASTM = Double.NaN;
double dblOASTW = Double.NaN;
double dblWALTM = Double.NaN;
double dblWALTW = Double.NaN;
double dblZSpreadTM = Double.NaN;
double dblZSpreadTW = Double.NaN;
double dblOASDurationTW = Double.NaN;
double dblModifiedDurationTM = 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.
);
dblZSpreadTM = bond.zSpreadFromYield (
valParams,
csqc,
null,
bond.maturityDate().julian(),
1.,
dblYTM
);
dblZSpreadTW = bond.zSpreadFromYield (
valParams,
csqc,
null,
wi.date(),
wi.factor(),
wi.yield()
);
dblOASTM = bond.oasFromYield (
valParams,
csqc,
null,
wi.date(),
wi.factor(),
dblYTM
);
dblOASTW = bond.oasFromYield (
valParams,
csqc,
null,
wi.date(),
wi.factor(),
wi.yield()
);
dblOASDurationTW = (
dblCleanPrice - bond.priceFromOAS (
valParams,
csqc,
null,
wi.date(),
wi.factor(),
dblOASTW + 0.0001
)
) / dblCleanPrice;
dblModifiedDurationTM = bond.modifiedDurationFromPrice (
valParams,
csqc,
null,
bond.maturityDate().julian(),
1.,
dblCleanPrice
);
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 (dtValue.julian(), csqc), 1, 4, 100.));
System.out.println ("\t Bond YTM => " + FormatUtil.FormatDouble (dblYTM, 1, 2, 100.) + "%");
System.out.println ("\t Bond YTW => " + FormatUtil.FormatDouble (dblYTW, 1, 2, 100.) + "%");
System.out.println ("\t Bond WAL TM => " + FormatUtil.FormatDouble (dblWALTM, 2, 1, 1.));
System.out.println ("\t Bond WAL TW => " + FormatUtil.FormatDouble (dblWALTW, 2, 1, 1.));
System.out.println ("\t Bond Modified Duration TM => " + FormatUtil.FormatDouble (dblModifiedDurationTM, 2, 4, 10000.));
System.out.println ("\t Bond Modified Duration TW => " + FormatUtil.FormatDouble (dblModifiedDurationTW, 2, 4, 10000.));
System.out.println ("\t Bond OAS Duration => " + FormatUtil.FormatDouble (dblOASDurationTW, 2, 4, 10000.));
System.out.println ("\t Bond Z Spread TM => " + FormatUtil.FormatDouble (dblZSpreadTM, 3, 0, 10000.));
System.out.println ("\t Bond Z Spread TW => " + FormatUtil.FormatDouble (dblZSpreadTW, 3, 0, 10000.));
System.out.println ("\t Bond OAS TM => " + FormatUtil.FormatDouble (dblOASTM, 3, 0, 10000.));
System.out.println ("\t Bond OAS TW => " + FormatUtil.FormatDouble (dblOASTW, 3, 0, 10000.));
}
public static final void main (
final String[] astrArgs)
throws Exception
{
EnvManager.InitEnv (
"",
true
);
JulianDate dtSpot = DateUtil.CreateFromYMD (
2017,
DateUtil.MARCH,
24
);
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, 7, 24);
JulianDate dtMaturity = DateUtil.CreateFromYMD (2034, 7, 24);
double dblCoupon = 0.0399;
double dblCleanPrice = 1.00719;
int iFreq = 2;
String strCUSIP = "Raipur";
String strDayCount = "30/360";
int[] aiExerciseDate = new int[] {
DateUtil.CreateFromYMD (2017, 7, 24).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();
}
}