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();
    }
}