BulletAgency.java

  1. package org.drip.sample.bondfixed;

  3. import java.util.Map;

  5. import org.drip.analytics.date.*;
  6. import org.drip.analytics.output.BondRVMeasures;
  7. import org.drip.analytics.support.Helper;
  8. import org.drip.numerical.common.FormatUtil;
  9. import org.drip.param.creator.MarketParamsBuilder;
  10. import org.drip.param.market.CurveSurfaceQuoteContainer;
  11. import org.drip.param.quote.*;
  12. import org.drip.param.valuation.*;
  13. import org.drip.product.creator.BondBuilder;
  14. import org.drip.product.credit.BondComponent;
  15. import org.drip.product.definition.*;
  16. import org.drip.service.env.EnvManager;
  17. import org.drip.service.template.*;
  18. import org.drip.state.discount.MergedDiscountForwardCurve;
  19. import org.drip.state.govvie.GovvieCurve;

  21. /*
  22.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  23.  */

  25. /*!
  26.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  27.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  28.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  29.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  30.  * 
  31.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  32.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  33.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  34.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  35.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  36.  *      and computational support.
  37.  *  
  38.  *      https://lakshmidrip.github.io/DROP/
  39.  *  
  40.  *  DROP is composed of three modules:
  41.  *  
  42.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  43.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  44.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  45.  * 
  46.  *  DROP Product Core implements libraries for the following:
  47.  *  - Fixed Income Analytics
  48.  *  - Loan Analytics
  49.  *  - Transaction Cost Analytics
  50.  * 
  51.  *  DROP Portfolio Core implements libraries for the following:
  52.  *  - Asset Allocation Analytics
  53.  *  - Asset Liability Management Analytics
  54.  *  - Capital Estimation Analytics
  55.  *  - Exposure Analytics
  56.  *  - Margin Analytics
  57.  *  - XVA Analytics
  58.  * 
  59.  *  DROP Computational Core implements libraries for the following:
  60.  *  - Algorithm Support
  61.  *  - Computation Support
  62.  *  - Function Analysis
  63.  *  - Model Validation
  64.  *  - Numerical Analysis
  65.  *  - Numerical Optimizer
  66.  *  - Spline Builder
  67.  *  - Statistical Learning
  68.  * 
  69.  *  Documentation for DROP is Spread Over:
  70.  * 
  71.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  72.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  73.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  74.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  75.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  76.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  77.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  78.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  79.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  80.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  81.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  82.  * 
  83.  *  Licensed under the Apache License, Version 2.0 (the "License");
  84.  *      you may not use this file except in compliance with the License.
  85.  *   
  86.  *  You may obtain a copy of the License at
  87.  *      http://www.apache.org/licenses/LICENSE-2.0
  88.  *  
  89.  *  Unless required by applicable law or agreed to in writing, software
  90.  *      distributed under the License is distributed on an "AS IS" BASIS,
  91.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  92.  *  
  93.  *  See the License for the specific language governing permissions and
  94.  *      limitations under the License.
  95.  */

  97. /**
  98.  * <i>BulletAgency</i> demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure
  99.  * Generation Functionality.
  100.  *  
  101.  * <br><br>
  102.  *  <ul>
  103.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  104.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  105.  *      <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>
  106.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/bondfixed/README.md">Fixed Coupon Agency/Corporate Bonds</a></li>
  107.  *  </ul>
  108.  * <br><br>
  109.  * 
  110.  * @author Lakshmi Krishnamurthy
  111.  */

  113. public class BulletAgency {

  115.     private static final MergedDiscountForwardCurve FundingCurve (
  116.         final JulianDate dtSpot,
  117.         final String strCurrency)
  118.         throws Exception
  119.     {
  120.         String[] astrDepositMaturityTenor = new String[] {
  121.             "2D"
  122.         };

  124.         double[] adblDepositQuote = new double[] {
  125.             0.0103456 // 2D
  126.         };

  128.         double[] adblFuturesQuote = new double[] {
  129.             0.01070,
  130.             0.01235,
  131.             0.01360
  132.         };

  134.         String[] astrFixFloatMaturityTenor = new String[] {
  135.             "01Y",
  136.             "02Y",
  137.             "03Y",
  138.             "04Y",
  139.             "05Y",
  140.             "06Y",
  141.             "07Y",
  142.             "08Y",
  143.             "09Y",
  144.             "10Y",
  145.             "11Y",
  146.             "12Y",
  147.             "15Y",
  148.             "20Y",
  149.             "25Y",
  150.             "30Y",
  151.             "40Y",
  152.             "50Y"
  153.         };

  155.         double[] adblFixFloatQuote = new double[] {
  156.             0.012484, //  1Y
  157.             0.014987, //  2Y
  158.             0.017036, //  3Y
  159.             0.018624, //  4Y
  160.             0.019868, //  5Y
  161.             0.020921, //  6Y
  162.             0.021788, //  7Y
  163.             0.022530, //  8Y
  164.             0.023145, //  9Y
  165.             0.023685, // 10Y
  166.             0.024153, // 11Y
  167.             0.024562, // 12Y
  168.             0.025389, // 15Y
  169.             0.026118, // 20Y
  170.             0.026368, // 25Y
  171.             0.026432, // 30Y
  172.             0.026339, // 40Y
  173.             0.026122  // 50Y
  174.         };

  176.         MergedDiscountForwardCurve dcFunding = LatentMarketStateBuilder.SmoothFundingCurve (
  177.             dtSpot,
  178.             strCurrency,
  179.             astrDepositMaturityTenor,
  180.             adblDepositQuote,
  181.             "ForwardRate",
  182.             adblFuturesQuote,
  183.             "ForwardRate",
  184.             astrFixFloatMaturityTenor,
  185.             adblFixFloatQuote,
  186.             "SwapRate"
  187.         );

  189.         Component[] aDepositComp = OTCInstrumentBuilder.FundingDeposit (
  190.             dtSpot,
  191.             strCurrency,
  192.             astrDepositMaturityTenor
  193.         );

  195.         Component[] aFuturesComp = ExchangeInstrumentBuilder.ForwardRateFuturesPack (
  196.             dtSpot,
  197.             adblFuturesQuote.length,
  198.             strCurrency
  199.         );

  201.         Component[] aFixFloatComp = OTCInstrumentBuilder.FixFloatStandard (
  202.             dtSpot,
  203.             strCurrency,
  204.             "ALL",
  205.             astrFixFloatMaturityTenor,
  206.             "MAIN",
  207.             0.
  208.         );

  210.         ValuationParams valParams = new ValuationParams (
  211.             dtSpot,
  212.             dtSpot,
  213.             strCurrency
  214.         );

  216.         CurveSurfaceQuoteContainer csqc = MarketParamsBuilder.Create (
  217.             dcFunding,
  218.             null,
  219.             null,
  220.             null,
  221.             null,
  222.             null,
  223.             null
  224.         );

  226.         System.out.println();

  228.         System.out.println ("\t|-------------------------------------||");

  230.         System.out.println ("\t|        DEPOSIT INPUT vs. CALC       ||");

  232.         System.out.println ("\t|-------------------------------------||");

  234.         for (int i = 0; i < aDepositComp.length; ++i)
  235.             System.out.println ("\t| [" + aDepositComp[i].maturityDate() + "] =" +
  236.                 FormatUtil.FormatDouble (aDepositComp[i].measureValue (
  237.                     valParams,
  238.                     null,
  239.                     csqc,
  240.                     null,
  241.                     "ForwardRate"
  242.                 ), 1, 6, 1.) + " |" +
  243.                 FormatUtil.FormatDouble (adblDepositQuote[i], 1, 6, 1.) + " ||"
  244.             );

  246.         System.out.println ("\t|-------------------------------------||");

  248.         System.out.println();

  250.         System.out.println ("\t|-------------------------------------||");

  252.         System.out.println ("\t|        FUTURES INPUT vs. CALC       ||");

  254.         System.out.println ("\t|-------------------------------------||");

  256.         for (int i = 0; i < aFuturesComp.length; ++i)
  257.             System.out.println ("\t| [" + aFuturesComp[i].maturityDate() + "] =" +
  258.                 FormatUtil.FormatDouble (aFuturesComp[i].measureValue (
  259.                     valParams,
  260.                     null,
  261.                     csqc,
  262.                     null,
  263.                     "ForwardRate"
  264.                 ), 1, 6, 1.) + " |" +
  265.                 FormatUtil.FormatDouble (adblFuturesQuote[i], 1, 6, 1.) + " ||"
  266.             );

  268.         System.out.println ("\t|-------------------------------------||");

  270.         System.out.println();

  272.         System.out.println ("\t|------------------------------------------------|| ");

  274.         System.out.println ("\t|          FIX-FLOAT INPUTS vs CALIB             ||");

  276.         System.out.println ("\t|------------------------------------------------|| ");

  278.         for (int i = 0; i < aFixFloatComp.length; ++i)
  279.             System.out.println ("\t| [" + aFixFloatComp[i].maturityDate() + "] =" +
  280.                 FormatUtil.FormatDouble (aFixFloatComp[i].measureValue (
  281.                     valParams,
  282.                     null,
  283.                     csqc,
  284.                     null,
  285.                     "CalibSwapRate"
  286.                 ), 1, 6, 1.) + " |" +
  287.                 FormatUtil.FormatDouble (adblFixFloatQuote[i], 1, 6, 1.) + " |" +
  288.                 FormatUtil.FormatDouble (aFixFloatComp[i].measureValue (
  289.                     valParams,
  290.                     null,
  291.                     csqc,
  292.                     null,
  293.                     "FairPremium"
  294.                 ), 1, 6, 1.) + " ||"
  295.             );

  297.         System.out.println ("\t|------------------------------------------------||");

  299.         System.out.println();

  301.         return dcFunding;
  302.     }

  304.     private static final Map<String, GovvieCurve> GovvieCurve (
  305.         final JulianDate dtSpot,
  306.         final String strCode,
  307.         final double[] adblCoupon,
  308.         final double[] adblYield)
  309.         throws Exception
  310.     {
  311.         JulianDate[] adtEffective = new JulianDate[] {
  312.             dtSpot,
  313.             dtSpot,
  314.             dtSpot,
  315.             dtSpot,
  316.             dtSpot,
  317.             dtSpot,
  318.             dtSpot,
  319.             dtSpot
  320.         };

  322.         JulianDate[] adtMaturity = new JulianDate[] {
  323.             dtSpot.addTenor ("1Y"),
  324.             dtSpot.addTenor ("2Y"),
  325.             dtSpot.addTenor ("3Y"),
  326.             dtSpot.addTenor ("5Y"),
  327.             dtSpot.addTenor ("7Y"),
  328.             dtSpot.addTenor ("10Y"),
  329.             dtSpot.addTenor ("20Y"),
  330.             dtSpot.addTenor ("30Y")
  331.         };

  333.         Map<String, GovvieCurve> mapGovvieCurve = LatentMarketStateBuilder.BumpedGovvieCurve (
  334.             strCode,
  335.             dtSpot,
  336.             adtEffective,
  337.             adtMaturity,
  338.             adblCoupon,
  339.             adblYield,
  340.             "Yield",
  341.             LatentMarketStateBuilder.SHAPE_PRESERVING,
  342.             0.0001,
  343.             false
  344.         );

  346.         BondComponent[] aComp = TreasuryBuilder.FromCode (
  347.             strCode,
  348.             adtEffective,
  349.             adtMaturity,
  350.             adblCoupon
  351.         );

  353.         ValuationParams valParams = ValuationParams.Spot (dtSpot.julian());

  355.         CurveSurfaceQuoteContainer csqc = new CurveSurfaceQuoteContainer();

  357.         csqc.setGovvieState (mapGovvieCurve.get ("BASE"));

  359.         System.out.println();

  361.         System.out.println ("\t|-------------------------------------------||");

  363.         System.out.println ("\t|       TREASURY INPUT vs CALIB YIELD       ||");

  365.         System.out.println ("\t|-------------------------------------------||");

  367.         for (int i = 0; i < aComp.length; ++i)
  368.             System.out.println ("\t| " + aComp[i].name() + " | " +
  369.                 FormatUtil.FormatDouble (adblYield[i], 1, 3, 100.) + "% | " +
  370.                 FormatUtil.FormatDouble (aComp[i].yieldFromPrice (
  371.                     valParams,
  372.                     null,
  373.                     null,
  374.                     aComp[i].maturityDate().julian(),
  375.                     1.,
  376.                     aComp[i].priceFromYield (
  377.                         valParams,
  378.                         null,
  379.                         null,
  380.                         mapGovvieCurve.get ("BASE").yield (aComp[i].maturityDate().julian())
  381.                     )
  382.                 ), 1, 3, 100.) + "% ||"
  383.             );

  385.         System.out.println ("\t|-------------------------------------------||");

  387.         return mapGovvieCurve;
  388.     }

  390.     private static final void AccumulateBondMarketQuote (
  391.         final CurveSurfaceQuoteContainer csqc,
  392.         final String[] astrOnTheRunCode,
  393.         final double[] adblYield)
  394.         throws Exception
  395.     {
  396.         for (int i = 0; i < astrOnTheRunCode.length; ++i) {
  397.             ProductMultiMeasure pmmq = new ProductMultiMeasure();

  399.             pmmq.addQuote (
  400.                 "Yield",
  401.                 new MultiSided (
  402.                     "mid",
  403.                     adblYield[i]
  404.                 ),
  405.                 true
  406.             );

  408.             csqc.setProductQuote (
  409.                 astrOnTheRunCode[i],
  410.                 pmmq
  411.             );
  412.         }
  413.     }

  415.     private static final Bond Agency (
  416.         final JulianDate dtEffective,
  417.         final JulianDate dtMaturity,
  418.         final double dblCoupon)
  419.         throws Exception
  420.     {
  421.         return BondBuilder.CreateSimpleFixed (
  422.             "AGENCY " + FormatUtil.FormatDouble (dblCoupon, 1, 4, 100.) + " " + dtMaturity,
  423.             "USD",
  424.             "",
  425.             dblCoupon,
  426.             2,
  427.             "30/360",
  428.             dtEffective,
  429.             dtMaturity,
  430.             null,
  431.             null
  432.         );
  433.     }

  435.     private static final double[] RVMeasures (
  436.         final Bond[] aBond,
  437.         final JulianDate dtValue,
  438.         final CurveSurfaceQuoteContainer csqc,
  439.         final double[] adblCleanPrice)
  440.         throws Exception
  441.     {
  442.         JulianDate dtSettle = dtValue.addBusDays (
  443.             3,
  444.             aBond[0].currency()
  445.         );

  447.         ValuationParams valParams = new ValuationParams (
  448.             dtValue,
  449.             dtSettle,
  450.             aBond[0].currency()
  451.         );

  453.         System.out.println();

  455.         System.out.println ("\t|--------------------------------||");

  457.         System.out.println ("\t| Trade Date       : " + dtValue + " ||");

  459.         System.out.println ("\t| Cash Settle Date : " + dtSettle + " ||");

  461.         System.out.println ("\t|--------------------------------||");

  463.         System.out.println();

  465.         String strCurveMetrics = "";
  466.         String strSecularMetrics = "";
  467.         double[] adblOAS = new double[aBond.length];

  469.         for (int i = 0; i < aBond.length; ++i) {
  470.             System.out.println ("Doing " + aBond[i].name());

  472.             WorkoutInfo wi = aBond[i].exerciseYieldFromPrice (
  473.                 valParams,
  474.                 csqc,
  475.                 null,
  476.                 adblCleanPrice[i]
  477.             );

  479.             BondRVMeasures rvm = aBond[i].standardMeasures (
  480.                 valParams,
  481.                 null,
  482.                 csqc,
  483.                 null,
  484.                 wi,
  485.                 adblCleanPrice[i]
  486.             );

  488.             strSecularMetrics += "\t| " +
  489.                 aBond[i].name() + " | " +
  490.                 aBond[i].effectiveDate() + " | " +
  491.                 aBond[i].maturityDate() + " |  " +
  492.                 aBond[i].firstCouponDate() + "  |" +
  493.                 FormatUtil.FormatDouble (adblCleanPrice[i], 3, 3, 100.) + " |" +
  494.                 FormatUtil.FormatDouble (wi.yield(), 1, 2, 100.) + "% | " +
  495.                 FormatUtil.FormatDouble (rvm.macaulayDuration(), 2, 2, 1.) + "  | " +
  496.                 FormatUtil.FormatDouble (rvm.modifiedDuration(), 2, 2, 10000.) + "  |  " +
  497.                 FormatUtil.FormatDouble (rvm.yield01(), 2, 2, 10000.) + "  |" +
  498.                 FormatUtil.FormatDouble (rvm.yield01(), 4, 0, 1000000.) + " |" +
  499.                 FormatUtil.FormatDouble (rvm.convexity(), 1, 2, 1000000.) + " |   " +
  500.                 FormatUtil.FormatDouble (rvm.bondBasis(), 3, 0, 10000.) + "     ||" + "\n";

  502.             adblOAS[i] = rvm.oas();

  504.             double dblCleanPriceOASUp = aBond[i].priceFromOAS (
  505.                 valParams,
  506.                 csqc,
  507.                 null,
  508.                 adblOAS[i] + 0.0001
  509.             );

  511.             double dblCleanPriceOASDown = aBond[i].priceFromOAS (
  512.                 valParams,
  513.                 csqc,
  514.                 null,
  515.                 adblOAS[i] - 0.0001
  516.             );

  518.             strCurveMetrics += "\t| " +
  519.                 aBond[i].name() + " |" +
  520.                 FormatUtil.FormatDouble (adblCleanPrice[i], 3, 3, 100.) + " |" +
  521.                 FormatUtil.FormatDouble (wi.yield(), 1, 2, 100.) + "% |   " +
  522.                 FormatUtil.FormatDouble (rvm.zSpread(), 3, 0, 10000.) + "   |" +
  523.                 FormatUtil.FormatDouble (adblOAS[i], 3, 0, 10000.) + " | " +
  524.                 FormatUtil.FormatDouble (0.5 * (dblCleanPriceOASDown - dblCleanPriceOASUp) / adblCleanPrice[i], 2, 2, 10000.) + "  |  " +
  525.                 FormatUtil.FormatDouble ((dblCleanPriceOASDown + dblCleanPriceOASUp - 2. * adblCleanPrice[i]) / adblCleanPrice[i], 2, 2, 1000000.) + "   |" +
  526.                 FormatUtil.FormatDouble (rvm.asw(), 3, 0, 10000.) + " |  " +
  527.                 FormatUtil.FormatDouble (rvm.gSpread(), 3, 0, 10000.) + "    |   " +
  528.                 FormatUtil.FormatDouble (rvm.iSpread(), 3, 0, 10000.) + "   |    " +
  529.                 FormatUtil.FormatDouble (rvm.tsySpread(), 3, 0, 10000.) + "    |  " +
  530.                 Helper.BaseTsyBmk (
  531.                     dtValue.julian(),
  532.                     aBond[i].maturityDate().julian()
  533.                 ) + "  ||" + "\n";
  534.         }

  536.         System.out.println ("\t|----------------------------------------------------------------------------------------------------------------------------------------------------||");

  538.         System.out.println ("\t|             BOND           |  EFFECTIVE  |   MATURITY  |  FIRST COUPON |  PRICE  | YIELD | MAC DUR | MOD DUR | YIELD 01 | DV01 | CONV | BOND BASIS ||");

  540.         System.out.println ("\t|----------------------------------------------------------------------------------------------------------------------------------------------------||");

  542.         System.out.print (strSecularMetrics);

  544.         System.out.println ("\t|----------------------------------------------------------------------------------------------------------------------------------------------------||\n");

  546.         System.out.println ("\t|----------------------------------------------------------------------------------------------------------------------------------------||");

  548.         System.out.println ("\t|             BOND           |  PRICE  | YIELD | Z SPREAD | OAS | OAS DUR |  OAS CONV | ASW | G SPREAD | I SPREAD | TSY SPREAD | TSY BMK ||");

  550.         System.out.println ("\t|----------------------------------------------------------------------------------------------------------------------------------------||");

  552.         System.out.print (strCurveMetrics);

  554.         System.out.println ("\t|----------------------------------------------------------------------------------------------------------------------------------------||");

  556.         return adblOAS;
  557.     }

  559.     public static final void main (
  560.         final String[] astrArgs)
  561.         throws Exception
  562.     {
  563.         EnvManager.InitEnv (
  564.             "",
  565.             true
  566.         );

  568.         JulianDate dtSpot = DateUtil.CreateFromYMD (
  569.             2017,
  570.             DateUtil.FEBRUARY,
  571.             2
  572.         );

  574.         String strCurrency = "USD";
  575.         String strTreasuryCode = "UST";

  577.         MergedDiscountForwardCurve dcFunding = FundingCurve (
  578.             dtSpot,
  579.             strCurrency
  580.         );

  582.         double[] adblTreasuryCoupon = new double[] {
  583.             0.0100,
  584.             0.0100,
  585.             0.0125,
  586.             0.0150,
  587.             0.0200,
  588.             0.0225,
  589.             0.0250,
  590.             0.0300
  591.         };

  593.         double[] adblTreasuryYield = new double[] {
  594.             0.0083, //  1Y
  595.             0.0122, //  2Y
  596.             0.0149, //  3Y
  597.             0.0193, //  5Y
  598.             0.0227, //  7Y
  599.             0.0248, // 10Y
  600.             0.0280, // 20Y
  601.             0.0308  // 30Y
  602.         };

  604.         Map<String, GovvieCurve> mapGovvieCurve = GovvieCurve (
  605.             dtSpot,
  606.             strTreasuryCode,
  607.             adblTreasuryCoupon,
  608.             adblTreasuryYield
  609.         );

  611.         CurveSurfaceQuoteContainer csqc = MarketParamsBuilder.Create (
  612.             dcFunding,
  613.             null,
  614.             null,
  615.             null,
  616.             null,
  617.             null,
  618.             null
  619.         );

  621.         csqc.setGovvieState (mapGovvieCurve.get ("BASE"));

  623.         AccumulateBondMarketQuote (
  624.             csqc,
  625.             new String[] {
  626.                 "01YON",
  627.                 "02YON",
  628.                 "03YON",
  629.                 "05YON",
  630.                 "07YON",
  631.                 "10YON",
  632.                 "20YON",
  633.                 "30YON"
  634.             },
  635.             adblTreasuryYield
  636.         );

  638.         Bond[] aAgencyBond = new Bond[] {
  639.             Agency (DateUtil.CreateFromYMD (2016,  8, 30), DateUtil.CreateFromYMD (2028,  8, 28), 0.01000),
  640.             Agency (DateUtil.CreateFromYMD (2012, 10, 30), DateUtil.CreateFromYMD (2020,  4, 30), 0.01500),
  641.             Agency (DateUtil.CreateFromYMD (2016,  1, 12), DateUtil.CreateFromYMD (2026,  1, 12), 0.03020),
  642.             Agency (DateUtil.CreateFromYMD (2016,  7, 12), DateUtil.CreateFromYMD (2027,  7, 12), 0.02500),
  643.             Agency (DateUtil.CreateFromYMD (2013,  4, 10), DateUtil.CreateFromYMD (2028,  4, 10), 0.04000),
  644.             Agency (DateUtil.CreateFromYMD (2013, 10,  4), DateUtil.CreateFromYMD (2028,  9,  1), 0.04000),
  645.             Agency (DateUtil.CreateFromYMD (2013, 12,  8), DateUtil.CreateFromYMD (2028, 12,  8), 0.04000),
  646.             Agency (DateUtil.CreateFromYMD (2014,  4, 11), DateUtil.CreateFromYMD (2029,  4, 11), 0.04000),
  647.             Agency (DateUtil.CreateFromYMD (2014,  6,  4), DateUtil.CreateFromYMD (2029,  6,  8), 0.03375),
  648.             Agency (DateUtil.CreateFromYMD (2015,  5, 28), DateUtil.CreateFromYMD (2029,  8,  1), 0.03350),
  649.             Agency (DateUtil.CreateFromYMD (2013,  4, 24), DateUtil.CreateFromYMD (2029, 10, 24), 0.04000),
  650.             Agency (DateUtil.CreateFromYMD (2016,  2,  8), DateUtil.CreateFromYMD (2030,  2,  8), 0.03280),
  651.             Agency (DateUtil.CreateFromYMD (2016,  9, 29), DateUtil.CreateFromYMD (2030,  3, 29), 0.02990),
  652.             Agency (DateUtil.CreateFromYMD (2015,  8,  1), DateUtil.CreateFromYMD (2030,  8,  1), 0.03500),
  653.             Agency (DateUtil.CreateFromYMD (2012, 10, 24), DateUtil.CreateFromYMD (2030, 10, 24), 0.03050),
  654.             Agency (DateUtil.CreateFromYMD (2015, 11, 27), DateUtil.CreateFromYMD (2030, 11, 27), 0.03300),
  655.             Agency (DateUtil.CreateFromYMD (2015, 12, 23), DateUtil.CreateFromYMD (2030, 12, 23), 0.03530),
  656.             Agency (DateUtil.CreateFromYMD (2016,  1, 14), DateUtil.CreateFromYMD (2031,  1, 14), 0.03340),
  657.             Agency (DateUtil.CreateFromYMD (2016,  1, 27), DateUtil.CreateFromYMD (2031,  1, 27), 0.03390),
  658.             Agency (DateUtil.CreateFromYMD (2016,  2, 11), DateUtil.CreateFromYMD (2031,  2, 11), 0.03040),
  659.             Agency (DateUtil.CreateFromYMD (2016,  3, 10), DateUtil.CreateFromYMD (2031,  3, 10), 0.03100),
  660.             Agency (DateUtil.CreateFromYMD (2016,  7, 11), DateUtil.CreateFromYMD (2031,  7, 11), 0.02750),
  661.             Agency (DateUtil.CreateFromYMD (2015,  5,  8), DateUtil.CreateFromYMD (2031,  8,  1), 0.03550),
  662.             Agency (DateUtil.CreateFromYMD (2016,  8,  8), DateUtil.CreateFromYMD (2031,  8,  8), 0.02700),
  663.             Agency (DateUtil.CreateFromYMD (2015,  6, 28), DateUtil.CreateFromYMD (2032,  6, 28), 0.02900),
  664.             Agency (DateUtil.CreateFromYMD (2015,  7, 20), DateUtil.CreateFromYMD (2032,  7, 20), 0.03500),
  665.             Agency (DateUtil.CreateFromYMD (2016,  2,  1), DateUtil.CreateFromYMD (2033,  2,  1), 0.03330),
  666.             Agency (DateUtil.CreateFromYMD (2016,  4, 21), DateUtil.CreateFromYMD (2033,  4, 21), 0.03000),
  667.             Agency (DateUtil.CreateFromYMD (2013, 10, 11), DateUtil.CreateFromYMD (2033, 10, 11), 0.04125),
  668.             Agency (DateUtil.CreateFromYMD (2014,  7, 24), DateUtil.CreateFromYMD (2034,  7, 24), 0.03990),
  669.             Agency (DateUtil.CreateFromYMD (2014,  9,  5), DateUtil.CreateFromYMD (2034,  9,  5), 0.03940),
  670.             Agency (DateUtil.CreateFromYMD (2016,  2,  2), DateUtil.CreateFromYMD (2035,  2,  2), 0.03300),
  671.             Agency (DateUtil.CreateFromYMD (2015,  6,  1), DateUtil.CreateFromYMD (2035,  6,  1), 0.03400),
  672.             Agency (DateUtil.CreateFromYMD (2015, 10, 22), DateUtil.CreateFromYMD (2035, 10, 22), 0.03625),
  673.             Agency (DateUtil.CreateFromYMD (2015, 11, 12), DateUtil.CreateFromYMD (2035, 11, 13), 0.03315),
  674.             Agency (DateUtil.CreateFromYMD (2015, 12, 28), DateUtil.CreateFromYMD (2035, 12, 28), 0.03670),
  675.             Agency (DateUtil.CreateFromYMD (2016,  2,  1), DateUtil.CreateFromYMD (2036,  2,  1), 0.03560),
  676.             Agency (DateUtil.CreateFromYMD (2016,  2,  6), DateUtil.CreateFromYMD (2036,  2,  6), 0.03130),
  677.             Agency (DateUtil.CreateFromYMD (2016,  2,  8), DateUtil.CreateFromYMD (2036,  2,  8), 0.03500),
  678.             Agency (DateUtil.CreateFromYMD (2016,  2, 22), DateUtil.CreateFromYMD (2036,  2, 22), 0.03440),
  679.             Agency (DateUtil.CreateFromYMD (2016,  4, 18), DateUtil.CreateFromYMD (2036,  4, 18), 0.03140),
  680.             Agency (DateUtil.CreateFromYMD (2016,  4, 29), DateUtil.CreateFromYMD (2036,  4, 29), 0.03000),
  681.             Agency (DateUtil.CreateFromYMD (2016,  5, 16), DateUtil.CreateFromYMD (2036,  5, 16), 0.03000),
  682.             Agency (DateUtil.CreateFromYMD (2016,  6,  9), DateUtil.CreateFromYMD (2036,  5, 20), 0.03040),
  683.             Agency (DateUtil.CreateFromYMD (2016,  5, 23), DateUtil.CreateFromYMD (2036,  5, 23), 0.03030),
  684.             Agency (DateUtil.CreateFromYMD (2006,  6, 16), DateUtil.CreateFromYMD (2036,  6, 16), 0.03000),
  685.             Agency (DateUtil.CreateFromYMD (2006,  7, 17), DateUtil.CreateFromYMD (2036,  7, 15), 0.05500),
  686.             Agency (DateUtil.CreateFromYMD (2016,  8, 22), DateUtil.CreateFromYMD (2036,  8, 22), 0.02700),
  687.             Agency (DateUtil.CreateFromYMD (2016,  9,  8), DateUtil.CreateFromYMD (2036,  9,  8), 0.02750),
  688.             Agency (DateUtil.CreateFromYMD (2016,  9,  8), DateUtil.CreateFromYMD (2036,  9,  8), 0.02700),
  689.             Agency (DateUtil.CreateFromYMD (2007,  7, 18), DateUtil.CreateFromYMD (2037,  7, 15), 0.05625),
  690.             Agency (DateUtil.CreateFromYMD (2015,  7,  6), DateUtil.CreateFromYMD (2037,  8,  6), 0.03950),
  691.             Agency (DateUtil.CreateFromYMD (2016, 11,  2), DateUtil.CreateFromYMD (2037, 11,  2), 0.02780),
  692.             Agency (DateUtil.CreateFromYMD (1998,  8,  6), DateUtil.CreateFromYMD (2038,  8,  6), 0.06210),
  693.             Agency (DateUtil.CreateFromYMD (2016,  7, 26), DateUtil.CreateFromYMD (2038,  8, 26), 0.02710),
  694.             Agency (DateUtil.CreateFromYMD (2016,  2,  2), DateUtil.CreateFromYMD (2039,  2,  2), 0.03500),
  695.             Agency (DateUtil.CreateFromYMD (2009,  9, 22), DateUtil.CreateFromYMD (2039,  9, 15), 0.05250),
  696.             Agency (DateUtil.CreateFromYMD (2016,  2,  2), DateUtil.CreateFromYMD (2041,  2,  2), 0.03650),
  697.             Agency (DateUtil.CreateFromYMD (2015,  4,  6), DateUtil.CreateFromYMD (2045,  4,  6), 0.03430),
  698.             Agency (DateUtil.CreateFromYMD (2006,  4,  3), DateUtil.CreateFromYMD (2056,  4,  1), 0.05375),
  699.             Agency (DateUtil.CreateFromYMD (2015,  9, 24), DateUtil.CreateFromYMD (2065,  9, 24), 0.04250),
  700.         };

  702.         double[] adblCleanPrice = new double[] {
  703.             0.9931592,  // (2018,  8, 28)
  704.             0.9934814,  // (2020,  4, 30)
  705.             0.9904951,  // (2026,  1, 12)
  706.             0.9479743,  // (2027,  7, 12)
  707.             1.0966930,  // (2028,  4, 10)
  708.             1.0935950,  // (2028,  9,  1)
  709.             1.0967200,  // (2028, 12,  8)
  710.             1.0065050,  // (2029,  4, 11)
  711.             1.0304410,  // (2029,  6,  8)
  712.             1.0110210,  // (2029,  8,  1)
  713.             1.0958790,  // (2029, 10, 24)
  714.             0.9880349,  // (2030,  2,  8)
  715.             0.9667400,  // (2030,  3, 29)
  716.             1.0189310,  // (2030,  8,  1)
  717.             0.9860338,  // (2030, 10, 24)
  718.             0.9759851,  // (2030, 11, 27)
  719.             0.9871626,  // (2030, 12, 23)
  720.             0.9770129,  // (2031,  1, 14)
  721.             0.9942566,  // (2031,  1, 27)
  722.             0.9536498,  // (2031,  2, 11)
  723.             0.9730267,  // (2031,  3, 10)
  724.             0.9399774,  // (2031,  7, 11)
  725.             1.0172150,  // (2031,  8,  1)
  726.             0.9329716,  // (2031,  8,  8)
  727.             0.9317174,  // (2032,  6, 28)
  728.             1.0240540,  // (2032,  7, 20)
  729.             0.9658405,  // (2033,  2,  1)
  730.             0.9424355,  // (2033,  4, 21)
  731.             1.0197810,  // (2033, 10, 11)
  732.             0.9988397,  // (2034,  7, 24)
  733.             0.9970544,  // (2034,  9,  5)
  734.             0.9770791,  // (2035,  2,  2)
  735.             1.0207810,  // (2035,  6,  1)
  736.             0.9765588,  // (2035, 10, 22)
  737.             0.9995269,  // (2035, 11, 13)
  738.             0.9889580,  // (2035, 12, 28)
  739.             0.9820512,  // (2036,  2,  1)
  740.             0.9267384,  // (2036,  2,  6)
  741.             0.9785613,  // (2036,  2,  8)
  742.             0.9731897,  // (2036,  2, 22)
  743.             0.9285945,  // (2036,  4, 18)
  744.             0.9132757,  // (2036,  4, 29)
  745.             0.9125336,  // (2036,  5, 16)
  746.             0.9385671,  // (2036,  5, 20)
  747.             0.9347221,  // (2036,  5, 23)
  748.             0.9343378,  // (2036,  6, 16)
  749.             1.3270050,  // (2036,  7, 15)
  750.             0.8896572,  // (2036,  8, 22)
  751.             0.8947115,  // (2036,  9,  8)
  752.             0.8985469,  // (2036,  9,  8)
  753.             1.3428920,  // (2037,  7, 15)
  754.             1.0576060,  // (2037,  8,  6)
  755.             0.8892567,  // (2037, 11,  2)
  756.             1.4447600,  // (2038,  8,  6)
  757.             0.8611548,  // (2038,  8, 26)
  758.             0.9764945,  // (2039,  2,  2)
  759.             1.2595240,  // (2039,  9, 15)
  760.             0.9811483,  // (2041,  2,  2)
  761.             0.9423921,  // (2045,  4,  6)
  762.             1.2715880,  // (2056,  4,  1)
  763.             1.0513800,  // (2065,  9, 15)
  764.         };

  766.         double[] adblOAS = RVMeasures (
  767.             aAgencyBond,
  768.             dtSpot,
  769.             csqc,
  770.             adblCleanPrice
  771.         );

  773.         ValuationParams valParams = new ValuationParams (
  774.             dtSpot,
  775.             dtSpot.addBusDays (
  776.                 3,
  777.                 dcFunding.currency()
  778.             ),
  779.             dcFunding.currency()
  780.         );

  782.         System.out.println();

  784.         System.out.println ("\t|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||");

  786.         System.out.print ("\t|             BOND          ");

  788.         for (Map.Entry<String, GovvieCurve> meGovvieCurve : mapGovvieCurve.entrySet()) {
  789.             if ("BASE".equalsIgnoreCase (meGovvieCurve.getKey()) || "BUMP".equalsIgnoreCase (meGovvieCurve.getKey()))
  790.                 continue;

  792.             System.out.print (" | " + meGovvieCurve.getKey());
  793.         }

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

  797.         System.out.println ("\t|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||");

  799.         for (int i = 0; i < adblOAS.length; ++i) {
  800.             System.out.print ("\t| " + aAgencyBond[i].name());

  802.             for (Map.Entry<String, GovvieCurve> meGovvieCurve : mapGovvieCurve.entrySet()) {
  803.                 if ("BASE".equalsIgnoreCase (meGovvieCurve.getKey()) || "BUMP".equalsIgnoreCase (meGovvieCurve.getKey()))
  804.                     continue;

  806.                 csqc.setGovvieState (meGovvieCurve.getValue());

  808.                 System.out.print (" |      " +
  809.                     FormatUtil.FormatDouble (
  810.                         (adblCleanPrice[i] - aAgencyBond[i].priceFromOAS (
  811.                             valParams,
  812.                             csqc,
  813.                             null,
  814.                             adblOAS[i]
  815.                         )) / adblCleanPrice[i],
  816.                     2, 2, 10000.) + "     "
  817.                 );
  818.             }

  820.             System.out.println (" ||");
  821.         }

  823.         System.out.println ("\t|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||");

  825.         EnvManager.TerminateEnv();
  826.     }
  827. }
Created with JaCoCo 0.7.9.201702052155