BulletCorporate1.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>BulletCorporate1</i> demonstrates Non-EOS Fixed Coupon Corporate Bond Pricing and Relative Value
  99.  * Measure 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 BulletCorporate1 {

  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 Corporate (
  416.         final String strName,
  417.         final JulianDate dtEffective,
  418.         final JulianDate dtMaturity,
  419.         final double dblCoupon,
  420.         final int iFreq,
  421.         final String strDayCount)
  422.         throws Exception
  423.     {
  424.         return BondBuilder.CreateSimpleFixed (
  425.             strName + FormatUtil.FormatDouble (dblCoupon, 1, 4, 100.) + " " + dtMaturity,
  426.             "USD",
  427.             "",
  428.             dblCoupon,
  429.             iFreq,
  430.             strDayCount,
  431.             dtEffective,
  432.             dtMaturity,
  433.             null,
  434.             null
  435.         );
  436.     }

  438.     private static final double[] RVMeasures (
  439.         final Bond[] aBond,
  440.         final JulianDate dtValue,
  441.         final CurveSurfaceQuoteContainer csqc,
  442.         final double[] adblCleanPrice)
  443.         throws Exception
  444.     {
  445.         JulianDate dtSettle = dtValue.addBusDays (
  446.             3,
  447.             aBond[0].currency()
  448.         );

  450.         ValuationParams valParams = new ValuationParams (
  451.             dtValue,
  452.             dtSettle,
  453.             aBond[0].currency()
  454.         );

  456.         System.out.println();

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

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

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

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

  466.         System.out.println();

  468.         String strCurveMetrics = "";
  469.         String strSecularMetrics = "";
  470.         double[] adblOAS = new double[aBond.length];

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

  475.             WorkoutInfo wi = aBond[i].exerciseYieldFromPrice (
  476.                 valParams,
  477.                 csqc,
  478.                 null,
  479.                 adblCleanPrice[i]
  480.             );

  482.             BondRVMeasures rvm = aBond[i].standardMeasures (
  483.                 valParams,
  484.                 null,
  485.                 csqc,
  486.                 null,
  487.                 wi,
  488.                 adblCleanPrice[i]
  489.             );

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

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

  507.             double dblCleanPriceOASUp = aBond[i].priceFromOAS (
  508.                 valParams,
  509.                 csqc,
  510.                 null,
  511.                 adblOAS[i] + 0.0001
  512.             );

  514.             double dblCleanPriceOASDown = aBond[i].priceFromOAS (
  515.                 valParams,
  516.                 csqc,
  517.                 null,
  518.                 adblOAS[i] - 0.0001
  519.             );

  521.             strCurveMetrics += "\t| " +
  522.                 aBond[i].name() + " |" +
  523.                 FormatUtil.FormatDouble (adblCleanPrice[i], 3, 3, 100.) + " |" +
  524.                 FormatUtil.FormatDouble (wi.yield(), 1, 2, 100.) + "% |   " +
  525.                 FormatUtil.FormatDouble (rvm.zSpread(), 3, 0, 10000.) + "   |" +
  526.                 FormatUtil.FormatDouble (adblOAS[i], 3, 0, 10000.) + " | " +
  527.                 FormatUtil.FormatDouble (0.5 * (dblCleanPriceOASDown - dblCleanPriceOASUp) / adblCleanPrice[i], 2, 2, 10000.) + "  |  " +
  528.                 FormatUtil.FormatDouble ((dblCleanPriceOASDown + dblCleanPriceOASUp - 2. * adblCleanPrice[i]) / adblCleanPrice[i], 2, 2, 1000000.) + "   |" +
  529.                 FormatUtil.FormatDouble (rvm.asw(), 3, 0, 10000.) + " |  " +
  530.                 FormatUtil.FormatDouble (rvm.gSpread(), 3, 0, 10000.) + "    |   " +
  531.                 FormatUtil.FormatDouble (rvm.iSpread(), 3, 0, 10000.) + "   |    " +
  532.                 FormatUtil.FormatDouble (rvm.tsySpread(), 3, 0, 10000.) + "    |  " +
  533.                 Helper.BaseTsyBmk (
  534.                     dtValue.julian(),
  535.                     aBond[i].maturityDate().julian()
  536.                 ) + "  ||" + "\n";
  537.         }

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

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

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

  545.         System.out.print (strSecularMetrics);

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

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

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

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

  555.         System.out.print (strCurveMetrics);

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

  559.         return adblOAS;
  560.     }

  562.     public static final void main (
  563.         final String[] astrArgs)
  564.         throws Exception
  565.     {
  566.         EnvManager.InitEnv (
  567.             "",
  568.             true
  569.         );

  571.         JulianDate dtSpot = DateUtil.CreateFromYMD (
  572.             2017,
  573.             DateUtil.FEBRUARY,
  574.             2
  575.         );

  577.         String strCurrency = "USD";
  578.         String strTreasuryCode = "UST";

  580.         MergedDiscountForwardCurve dcFunding = FundingCurve (
  581.             dtSpot,
  582.             strCurrency
  583.         );

  585.         double[] adblTreasuryCoupon = new double[] {
  586.             0.0100,
  587.             0.0100,
  588.             0.0125,
  589.             0.0150,
  590.             0.0200,
  591.             0.0225,
  592.             0.0250,
  593.             0.0300
  594.         };

  596.         double[] adblTreasuryYield = new double[] {
  597.             0.0083, //  1Y
  598.             0.0122, //  2Y
  599.             0.0149, //  3Y
  600.             0.0193, //  5Y
  601.             0.0227, //  7Y
  602.             0.0248, // 10Y
  603.             0.0280, // 20Y
  604.             0.0308  // 30Y
  605.         };

  607.         Map<String, GovvieCurve> mapGovvieCurve = GovvieCurve (
  608.             dtSpot,
  609.             strTreasuryCode,
  610.             adblTreasuryCoupon,
  611.             adblTreasuryYield
  612.         );

  614.         CurveSurfaceQuoteContainer csqc = MarketParamsBuilder.Create (
  615.             dcFunding,
  616.             null,
  617.             null,
  618.             null,
  619.             null,
  620.             null,
  621.             null
  622.         );

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

  626.         AccumulateBondMarketQuote (
  627.             csqc,
  628.             new String[] {
  629.                 "01YON",
  630.                 "02YON",
  631.                 "03YON",
  632.                 "05YON",
  633.                 "07YON",
  634.                 "10YON",
  635.                 "20YON",
  636.                 "30YON"
  637.             },
  638.             adblTreasuryYield
  639.         );

  641.         Bond[] aCorporateBond = new Bond[] {
  642.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2014,  3, 10), DateUtil.CreateFromYMD (2017,  3, 10), 0.01350, 2, "30/360"),
  643.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2012,  5, 11), DateUtil.CreateFromYMD (2017,  5, 11), 0.03750, 2, "30/360"),
  644.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2014,  6, 11), DateUtil.CreateFromYMD (2017,  6,  9), 0.01350, 2, "30/360"),
  645.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2012, 10,  1), DateUtil.CreateFromYMD (2017, 10,  2), 0.02125, 2, "30/360"),
  646.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2015, 11, 13), DateUtil.CreateFromYMD (2018,  7, 16), 0.03875, 2, "30/360"),
  647.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2008, 12, 11), DateUtil.CreateFromYMD (2019,  1, 15), 0.08250, 2, "30/360"),
  648.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2009,  2,  3), DateUtil.CreateFromYMD (2019,  2, 15), 0.08125, 2, "30/360"),
  649.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2007,  5,  4), DateUtil.CreateFromYMD (2019,  3, 15), 0.05490, 2, "30/360"),
  650.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2009,  3, 17), DateUtil.CreateFromYMD (2019,  3, 15), 0.09375, 2, "30/360"),
  651.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2009,  2,  6), DateUtil.CreateFromYMD (2019,  8, 16), 0.09250, 2, "30/360"),
  652.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2009, 10,  9), DateUtil.CreateFromYMD (2019, 10, 15), 0.07375, 2, "30/360"),
  653.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2010,  1, 15), DateUtil.CreateFromYMD (2020,  1, 31), 0.07875, 2, "30/360"),
  654.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2009, 12, 11), DateUtil.CreateFromYMD (2020,  2, 15), 0.06250, 2, "30/360"),
  655.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2010,  4, 26), DateUtil.CreateFromYMD (2020,  4, 30), 0.06375, 2, "30/360 NON-EOM"),
  656.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2010,  5, 10), DateUtil.CreateFromYMD (2020,  5, 15), 0.08500, 2, "30/360"),
  657.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2010,  9, 17), DateUtil.CreateFromYMD (2020,  9, 15), 0.05875, 2, "30/360"),
  658.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2010,  9, 29), DateUtil.CreateFromYMD (2020,  9, 29), 0.06375, 2, "30/360"),
  659.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2010, 11, 15), DateUtil.CreateFromYMD (2020, 11, 15), 0.05500, 2, "ISMA-30/360"),
  660.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2016,  3, 17), DateUtil.CreateFromYMD (2021,  3,  1), 0.05000, 2, "30/360"),
  661.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2014,  5, 23), DateUtil.CreateFromYMD (2021, 11,  1), 0.05375, 2, "30/360"),
  662.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2011, 11, 15), DateUtil.CreateFromYMD (2021, 11, 15), 0.04450, 2, "ISMA-30/360"),
  663.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2012,  4, 15), DateUtil.CreateFromYMD (2022,  4, 15), 0.05125, 2, "30/360"),
  664.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2007,  4, 10), DateUtil.CreateFromYMD (2022,  4, 19), 0.05983, 2, "30/360"),
  665.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2008,  4, 14), DateUtil.CreateFromYMD (2022, 10,  8), 0.06821, 2, "30/360"),
  666.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2007, 12, 13), DateUtil.CreateFromYMD (2023,  1, 15), 0.06251, 2, "30/360"),
  667.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2013,  8, 23), DateUtil.CreateFromYMD (2023,  3, 15), 0.04375, 2, "30/360"),
  668.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2013,  5, 22), DateUtil.CreateFromYMD (2023,  6,  1), 0.03750, 2, "30/360"),
  669.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2013,  8, 15), DateUtil.CreateFromYMD (2023,  8, 15), 0.06125, 2, "30/360"),
  670.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2013, 10,  2), DateUtil.CreateFromYMD (2023, 10,  2), 0.05000, 2, "30/360"),
  671.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2015, 11,  9), DateUtil.CreateFromYMD (2023, 11, 15), 0.06125, 2, "30/360"),
  672.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2013, 12, 11), DateUtil.CreateFromYMD (2024,  1, 15), 0.04150, 2, "30/360"),
  673.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2014,  2, 11), DateUtil.CreateFromYMD (2024,  2, 15), 0.04350, 2, "30/360"),
  674.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2014,  3,  3), DateUtil.CreateFromYMD (2024,  3,  3), 0.04000, 2, "30/360"),
  675.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2014,  3, 14), DateUtil.CreateFromYMD (2024,  4,  1), 0.04600, 2, "30/360"),
  676.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2014,  3,  9), DateUtil.CreateFromYMD (2024,  4,  1), 0.04400, 2, "30/360"),
  677.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2014,  4,  8), DateUtil.CreateFromYMD (2024,  4,  8), 0.03800, 2, "ISMA-30/360"),
  678.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2014,  6, 20), DateUtil.CreateFromYMD (2024,  7,  1), 0.05000, 2, "30/360"),
  679.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2015,  1, 26), DateUtil.CreateFromYMD (2025,  2,  1), 0.04000, 2, "30/360"),
  680.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2015,  2, 24), DateUtil.CreateFromYMD (2025,  2, 15), 0.04350, 2, "30/360"),
  681.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2014, 12,  4), DateUtil.CreateFromYMD (2025,  2, 15), 0.04450, 2, "30/360"),
  682.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2015, 11, 24), DateUtil.CreateFromYMD (2025, 11, 24), 0.04750, 2, "30/360"),
  683.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2012, 12, 16), DateUtil.CreateFromYMD (2025, 12, 16), 0.04500, 2, "30/360"),
  684.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2012, 11,  9), DateUtil.CreateFromYMD (2027, 11,  9), 0.04375, 2, "30/360"),
  685.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2001,  3,  2), DateUtil.CreateFromYMD (2031,  3,  3), 0.07125, 2, "30/360"),
  686.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2015, 10,  1), DateUtil.CreateFromYMD (2035,  7, 29), 0.04950, 2, "ISMA-30/360"),
  687.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2015,  5,  9), DateUtil.CreateFromYMD (2035, 11,  1), 0.06250, 2, "30/360"),
  688.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2006, 11,  9), DateUtil.CreateFromYMD (2036, 10,  1), 0.05558, 2, "30/360"),
  689.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2013,  8,  1), DateUtil.CreateFromYMD (2043,  8, 15), 0.06503, 12, "30/360"),
  690.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2003, 10,  1), DateUtil.CreateFromYMD (2043, 10,  1), 0.05937, 2, "30/360"),
  691.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2005,  2, 24), DateUtil.CreateFromYMD (2047, 12, 15), 0.05270, 2, "30/360"),
  692.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2005,  3,  1), DateUtil.CreateFromYMD (2049,  5, 15), 0.05690, 2, "30/360"),
  693.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2005,  4, 26), DateUtil.CreateFromYMD (2050,  6, 15), 0.05524, 2, "ISMA-30/360"),
  694.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2014,  6,  2), DateUtil.CreateFromYMD (2050,  6, 15), 0.05912, 2, "30/360"),
  695.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2006,  7,  1), DateUtil.CreateFromYMD (2051,  1,  1), 0.05521, 2, "30/360"),
  696.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2006, 11,  1), DateUtil.CreateFromYMD (2051, 10,  1), 0.05658, 2, "30/360"),
  697.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2007, 12,  4), DateUtil.CreateFromYMD (2053,  6, 15), 0.06171, 2, "30/360"),
  698.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2007, 12,  4), DateUtil.CreateFromYMD (2053,  6, 15), 0.08421, 2, "30/360"),
  699.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2013,  8,  1), DateUtil.CreateFromYMD (2053,  8, 15), 0.06803, 2, "30/360"),
  700.             Corporate ("CORPORA", DateUtil.CreateFromYMD (2008, 11,  4), DateUtil.CreateFromYMD (2053,  9, 15), 0.07500, 2, "30/360"),
  701.         };

  703.         double[] adblCleanPrice = new double[] {
  704.             1.0004420,  // (2017,  3, 10)
  705.             1.0070520,  // (2017,  5, 11)
  706.             1.0030200,  // (2017,  6,  9)
  707.             1.0027010,  // (2017, 10,  2)
  708.             1.0210990,  // (2018,  7, 16)
  709.             1.1229040,  // (2018, 12, 11)
  710.             1.1101630,  // (2019,  2, 15)
  711.             1.0622680,  // (2019,  3, 15)
  712.             1.1503290,  // (2019,  3, 15)
  713.             1.1771910,  // (2019,  8, 16)
  714.             1.1299690,  // (2019, 10, 15)
  715.             1.1391860,  // (2020,  1, 31)
  716.             1.1063470,  // (2020,  2, 15)
  717.             1.1061200,  // (2020,  4, 30)
  718.             1.1154030,  // (2020,  5, 15)
  719.             1.0756280,  // (2020,  9, 15)
  720.             1.1310700,  // (2020,  9, 29)
  721.             1.0886500,  // (2020, 11, 15)
  722.             1.0783280,  // (2021,  3,  1)
  723.             1.0248690,  // (2021, 11,  1)
  724.             1.0366210,  // (2021, 11, 15)
  725.             1.1100210,  // (2022,  4, 15)
  726.             1.1030640,  // (2022,  4, 19)
  727.             1.1515940,  // (2022, 10,  8)
  728.             1.1458440,  // (2023,  1, 15)
  729.             1.0075000,  // (2023,  3, 15)
  730.             1.0077190,  // (2023,  6,  1)
  731.             1.0452330,  // (2023,  8, 15)
  732.             1.0545460,  // (2023, 10,  2)
  733.             1.0748650,  // (2023, 11, 15)
  734.             1.0500690,  // (2024,  1, 15)
  735.             0.9578745,  // (2024,  2, 15)
  736.             1.0283760,  // (2024,  3,  3)
  737.             1.0263960,  // (2024,  4,  1)
  738.             0.9989979,  // (2024,  4,  1)
  739.             0.9891589,  // (2024,  4,  8)
  740.             1.0542700,  // (2024,  7,  1)
  741.             0.9759940,  // (2025,  2,  1)
  742.             0.9980053,  // (2025,  2, 15)
  743.             0.9772800,  // (2025,  2, 15)
  744.             1.0065140,  // (2025, 11, 24)
  745.             1.0318190,  // (2025, 12, 16)
  746.             1.0575060,  // (2027, 11,  9)
  747.             1.3593050,  // (2031,  3,  3)
  748.             1.0600360,  // (2035,  7, 29)
  749.             1.0899400,  // (2035, 11,  1)
  750.             1.1337930,  // (2036, 10,  1)
  751.             1.1776690,  // (2043,  8,  1)
  752.             1.1227270,  // (2043, 10,  1)
  753.             1.0392280,  // (2047, 12, 15)
  754.             1.1496480,  // (2049,  5, 15)
  755.             1.0961770,  // (2050,  6, 15)
  756.             1.2025960,  // (2050,  6, 15)
  757.             0.9276792,  // (2051,  1,  1)
  758.             1.0181790,  // (2051, 10,  1)
  759.             0.9694037,  // (2053,  6, 15)
  760.             1.0446570,  // (2053,  6, 15)
  761.             1.3776140,  // (2053,  8, 15)
  762.             1.3822020,  // (2053,  9, 15)
  763.         };

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

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

  781.         System.out.println();

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

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

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

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

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

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

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

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

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

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

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

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

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