BulletCorporate1.java
package org.drip.sample.bondfixed;
import java.util.Map;
import org.drip.analytics.date.*;
import org.drip.analytics.output.BondRVMeasures;
import org.drip.analytics.support.Helper;
import org.drip.numerical.common.FormatUtil;
import org.drip.param.creator.MarketParamsBuilder;
import org.drip.param.market.CurveSurfaceQuoteContainer;
import org.drip.param.quote.*;
import org.drip.param.valuation.*;
import org.drip.product.creator.BondBuilder;
import org.drip.product.credit.BondComponent;
import org.drip.product.definition.*;
import org.drip.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>BulletCorporate1</i> demonstrates Non-EOS Fixed Coupon Corporate Bond Pricing and Relative Value
* Measure Generation Functionality.
*
* <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/bondfixed/README.md">Fixed Coupon Agency/Corporate Bonds</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class BulletCorporate1 {
private static final MergedDiscountForwardCurve FundingCurve (
final JulianDate dtSpot,
final String strCurrency)
throws Exception
{
String[] astrDepositMaturityTenor = new String[] {
"2D"
};
double[] adblDepositQuote = new double[] {
0.0103456 // 2D
};
double[] adblFuturesQuote = new double[] {
0.01070,
0.01235,
0.01360
};
String[] astrFixFloatMaturityTenor = new String[] {
"01Y",
"02Y",
"03Y",
"04Y",
"05Y",
"06Y",
"07Y",
"08Y",
"09Y",
"10Y",
"11Y",
"12Y",
"15Y",
"20Y",
"25Y",
"30Y",
"40Y",
"50Y"
};
double[] adblFixFloatQuote = new double[] {
0.012484, // 1Y
0.014987, // 2Y
0.017036, // 3Y
0.018624, // 4Y
0.019868, // 5Y
0.020921, // 6Y
0.021788, // 7Y
0.022530, // 8Y
0.023145, // 9Y
0.023685, // 10Y
0.024153, // 11Y
0.024562, // 12Y
0.025389, // 15Y
0.026118, // 20Y
0.026368, // 25Y
0.026432, // 30Y
0.026339, // 40Y
0.026122 // 50Y
};
MergedDiscountForwardCurve dcFunding = LatentMarketStateBuilder.SmoothFundingCurve (
dtSpot,
strCurrency,
astrDepositMaturityTenor,
adblDepositQuote,
"ForwardRate",
adblFuturesQuote,
"ForwardRate",
astrFixFloatMaturityTenor,
adblFixFloatQuote,
"SwapRate"
);
Component[] aDepositComp = OTCInstrumentBuilder.FundingDeposit (
dtSpot,
strCurrency,
astrDepositMaturityTenor
);
Component[] aFuturesComp = ExchangeInstrumentBuilder.ForwardRateFuturesPack (
dtSpot,
adblFuturesQuote.length,
strCurrency
);
Component[] aFixFloatComp = OTCInstrumentBuilder.FixFloatStandard (
dtSpot,
strCurrency,
"ALL",
astrFixFloatMaturityTenor,
"MAIN",
0.
);
ValuationParams valParams = new ValuationParams (
dtSpot,
dtSpot,
strCurrency
);
CurveSurfaceQuoteContainer csqc = MarketParamsBuilder.Create (
dcFunding,
null,
null,
null,
null,
null,
null
);
System.out.println();
System.out.println ("\t|-------------------------------------||");
System.out.println ("\t| DEPOSIT INPUT vs. CALC ||");
System.out.println ("\t|-------------------------------------||");
for (int i = 0; i < aDepositComp.length; ++i)
System.out.println ("\t| [" + aDepositComp[i].maturityDate() + "] =" +
FormatUtil.FormatDouble (aDepositComp[i].measureValue (
valParams,
null,
csqc,
null,
"ForwardRate"
), 1, 6, 1.) + " |" +
FormatUtil.FormatDouble (adblDepositQuote[i], 1, 6, 1.) + " ||"
);
System.out.println ("\t|-------------------------------------||");
System.out.println();
System.out.println ("\t|-------------------------------------||");
System.out.println ("\t| FUTURES INPUT vs. CALC ||");
System.out.println ("\t|-------------------------------------||");
for (int i = 0; i < aFuturesComp.length; ++i)
System.out.println ("\t| [" + aFuturesComp[i].maturityDate() + "] =" +
FormatUtil.FormatDouble (aFuturesComp[i].measureValue (
valParams,
null,
csqc,
null,
"ForwardRate"
), 1, 6, 1.) + " |" +
FormatUtil.FormatDouble (adblFuturesQuote[i], 1, 6, 1.) + " ||"
);
System.out.println ("\t|-------------------------------------||");
System.out.println();
System.out.println ("\t|------------------------------------------------|| ");
System.out.println ("\t| FIX-FLOAT INPUTS vs CALIB ||");
System.out.println ("\t|------------------------------------------------|| ");
for (int i = 0; i < aFixFloatComp.length; ++i)
System.out.println ("\t| [" + aFixFloatComp[i].maturityDate() + "] =" +
FormatUtil.FormatDouble (aFixFloatComp[i].measureValue (
valParams,
null,
csqc,
null,
"CalibSwapRate"
), 1, 6, 1.) + " |" +
FormatUtil.FormatDouble (adblFixFloatQuote[i], 1, 6, 1.) + " |" +
FormatUtil.FormatDouble (aFixFloatComp[i].measureValue (
valParams,
null,
csqc,
null,
"FairPremium"
), 1, 6, 1.) + " ||"
);
System.out.println ("\t|------------------------------------------------||");
System.out.println();
return dcFunding;
}
private static final Map<String, 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")
};
Map<String, GovvieCurve> mapGovvieCurve = LatentMarketStateBuilder.BumpedGovvieCurve (
strCode,
dtSpot,
adtEffective,
adtMaturity,
adblCoupon,
adblYield,
"Yield",
LatentMarketStateBuilder.SHAPE_PRESERVING,
0.0001,
false
);
BondComponent[] aComp = TreasuryBuilder.FromCode (
strCode,
adtEffective,
adtMaturity,
adblCoupon
);
ValuationParams valParams = ValuationParams.Spot (dtSpot.julian());
CurveSurfaceQuoteContainer csqc = new CurveSurfaceQuoteContainer();
csqc.setGovvieState (mapGovvieCurve.get ("BASE"));
System.out.println();
System.out.println ("\t|-------------------------------------------||");
System.out.println ("\t| TREASURY INPUT vs CALIB YIELD ||");
System.out.println ("\t|-------------------------------------------||");
for (int i = 0; i < aComp.length; ++i)
System.out.println ("\t| " + aComp[i].name() + " | " +
FormatUtil.FormatDouble (adblYield[i], 1, 3, 100.) + "% | " +
FormatUtil.FormatDouble (aComp[i].yieldFromPrice (
valParams,
null,
null,
aComp[i].maturityDate().julian(),
1.,
aComp[i].priceFromYield (
valParams,
null,
null,
mapGovvieCurve.get ("BASE").yield (aComp[i].maturityDate().julian())
)
), 1, 3, 100.) + "% ||"
);
System.out.println ("\t|-------------------------------------------||");
return mapGovvieCurve;
}
private static final void AccumulateBondMarketQuote (
final CurveSurfaceQuoteContainer csqc,
final String[] astrOnTheRunCode,
final double[] adblYield)
throws Exception
{
for (int i = 0; i < astrOnTheRunCode.length; ++i) {
ProductMultiMeasure pmmq = new ProductMultiMeasure();
pmmq.addQuote (
"Yield",
new MultiSided (
"mid",
adblYield[i]
),
true
);
csqc.setProductQuote (
astrOnTheRunCode[i],
pmmq
);
}
}
private static final Bond Corporate (
final String strName,
final JulianDate dtEffective,
final JulianDate dtMaturity,
final double dblCoupon,
final int iFreq,
final String strDayCount)
throws Exception
{
return BondBuilder.CreateSimpleFixed (
strName + FormatUtil.FormatDouble (dblCoupon, 1, 4, 100.) + " " + dtMaturity,
"USD",
"",
dblCoupon,
iFreq,
strDayCount,
dtEffective,
dtMaturity,
null,
null
);
}
private static final double[] RVMeasures (
final Bond[] aBond,
final JulianDate dtValue,
final CurveSurfaceQuoteContainer csqc,
final double[] adblCleanPrice)
throws Exception
{
JulianDate dtSettle = dtValue.addBusDays (
3,
aBond[0].currency()
);
ValuationParams valParams = new ValuationParams (
dtValue,
dtSettle,
aBond[0].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();
String strCurveMetrics = "";
String strSecularMetrics = "";
double[] adblOAS = new double[aBond.length];
for (int i = 0; i < aBond.length; ++i) {
System.out.println ("Doing " + aBond[i].name());
WorkoutInfo wi = aBond[i].exerciseYieldFromPrice (
valParams,
csqc,
null,
adblCleanPrice[i]
);
BondRVMeasures rvm = aBond[i].standardMeasures (
valParams,
null,
csqc,
null,
wi,
adblCleanPrice[i]
);
strSecularMetrics += "\t| " +
aBond[i].name() + " | " +
aBond[i].effectiveDate() + " | " +
aBond[i].maturityDate() + " | " +
aBond[i].firstCouponDate() + " |" +
FormatUtil.FormatDouble (adblCleanPrice[i], 3, 3, 100.) + " |" +
FormatUtil.FormatDouble (wi.yield(), 1, 2, 100.) + "% | " +
FormatUtil.FormatDouble (rvm.macaulayDuration(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (rvm.modifiedDuration(), 2, 2, 10000.) + " | " +
FormatUtil.FormatDouble (rvm.yield01(), 2, 2, 10000.) + " |" +
FormatUtil.FormatDouble (rvm.yield01(), 4, 0, 1000000.) + " |" +
FormatUtil.FormatDouble (rvm.convexity(), 1, 2, 1000000.) + " | " +
FormatUtil.FormatDouble (rvm.bondBasis(), 3, 0, 10000.) + " ||" + "\n";
adblOAS[i] = rvm.oas();
double dblCleanPriceOASUp = aBond[i].priceFromOAS (
valParams,
csqc,
null,
adblOAS[i] + 0.0001
);
double dblCleanPriceOASDown = aBond[i].priceFromOAS (
valParams,
csqc,
null,
adblOAS[i] - 0.0001
);
strCurveMetrics += "\t| " +
aBond[i].name() + " |" +
FormatUtil.FormatDouble (adblCleanPrice[i], 3, 3, 100.) + " |" +
FormatUtil.FormatDouble (wi.yield(), 1, 2, 100.) + "% | " +
FormatUtil.FormatDouble (rvm.zSpread(), 3, 0, 10000.) + " |" +
FormatUtil.FormatDouble (adblOAS[i], 3, 0, 10000.) + " | " +
FormatUtil.FormatDouble (0.5 * (dblCleanPriceOASDown - dblCleanPriceOASUp) / adblCleanPrice[i], 2, 2, 10000.) + " | " +
FormatUtil.FormatDouble ((dblCleanPriceOASDown + dblCleanPriceOASUp - 2. * adblCleanPrice[i]) / adblCleanPrice[i], 2, 2, 1000000.) + " |" +
FormatUtil.FormatDouble (rvm.asw(), 3, 0, 10000.) + " | " +
FormatUtil.FormatDouble (rvm.gSpread(), 3, 0, 10000.) + " | " +
FormatUtil.FormatDouble (rvm.iSpread(), 3, 0, 10000.) + " | " +
FormatUtil.FormatDouble (rvm.tsySpread(), 3, 0, 10000.) + " | " +
Helper.BaseTsyBmk (
dtValue.julian(),
aBond[i].maturityDate().julian()
) + " ||" + "\n";
}
System.out.println ("\t|----------------------------------------------------------------------------------------------------------------------------------------------------||");
System.out.println ("\t| BOND | EFFECTIVE | MATURITY | FIRST COUPON | PRICE | YIELD | MAC DUR | MOD DUR | YIELD 01 | DV01 | CONV | BOND BASIS ||");
System.out.println ("\t|----------------------------------------------------------------------------------------------------------------------------------------------------||");
System.out.print (strSecularMetrics);
System.out.println ("\t|----------------------------------------------------------------------------------------------------------------------------------------------------||\n");
System.out.println ("\t|----------------------------------------------------------------------------------------------------------------------------------------||");
System.out.println ("\t| BOND | PRICE | YIELD | Z SPREAD | OAS | OAS DUR | OAS CONV | ASW | G SPREAD | I SPREAD | TSY SPREAD | TSY BMK ||");
System.out.println ("\t|----------------------------------------------------------------------------------------------------------------------------------------||");
System.out.print (strCurveMetrics);
System.out.println ("\t|----------------------------------------------------------------------------------------------------------------------------------------||");
return adblOAS;
}
public static final void main (
final String[] astrArgs)
throws Exception
{
EnvManager.InitEnv (
"",
true
);
JulianDate dtSpot = DateUtil.CreateFromYMD (
2017,
DateUtil.FEBRUARY,
2
);
String strCurrency = "USD";
String strTreasuryCode = "UST";
MergedDiscountForwardCurve dcFunding = FundingCurve (
dtSpot,
strCurrency
);
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
};
Map<String, GovvieCurve> mapGovvieCurve = GovvieCurve (
dtSpot,
strTreasuryCode,
adblTreasuryCoupon,
adblTreasuryYield
);
CurveSurfaceQuoteContainer csqc = MarketParamsBuilder.Create (
dcFunding,
null,
null,
null,
null,
null,
null
);
csqc.setGovvieState (mapGovvieCurve.get ("BASE"));
AccumulateBondMarketQuote (
csqc,
new String[] {
"01YON",
"02YON",
"03YON",
"05YON",
"07YON",
"10YON",
"20YON",
"30YON"
},
adblTreasuryYield
);
Bond[] aCorporateBond = new Bond[] {
Corporate ("CORPORA", DateUtil.CreateFromYMD (2014, 3, 10), DateUtil.CreateFromYMD (2017, 3, 10), 0.01350, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2012, 5, 11), DateUtil.CreateFromYMD (2017, 5, 11), 0.03750, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2014, 6, 11), DateUtil.CreateFromYMD (2017, 6, 9), 0.01350, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2012, 10, 1), DateUtil.CreateFromYMD (2017, 10, 2), 0.02125, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2015, 11, 13), DateUtil.CreateFromYMD (2018, 7, 16), 0.03875, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2008, 12, 11), DateUtil.CreateFromYMD (2019, 1, 15), 0.08250, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2009, 2, 3), DateUtil.CreateFromYMD (2019, 2, 15), 0.08125, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2007, 5, 4), DateUtil.CreateFromYMD (2019, 3, 15), 0.05490, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2009, 3, 17), DateUtil.CreateFromYMD (2019, 3, 15), 0.09375, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2009, 2, 6), DateUtil.CreateFromYMD (2019, 8, 16), 0.09250, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2009, 10, 9), DateUtil.CreateFromYMD (2019, 10, 15), 0.07375, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2010, 1, 15), DateUtil.CreateFromYMD (2020, 1, 31), 0.07875, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2009, 12, 11), DateUtil.CreateFromYMD (2020, 2, 15), 0.06250, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2010, 4, 26), DateUtil.CreateFromYMD (2020, 4, 30), 0.06375, 2, "30/360 NON-EOM"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2010, 5, 10), DateUtil.CreateFromYMD (2020, 5, 15), 0.08500, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2010, 9, 17), DateUtil.CreateFromYMD (2020, 9, 15), 0.05875, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2010, 9, 29), DateUtil.CreateFromYMD (2020, 9, 29), 0.06375, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2010, 11, 15), DateUtil.CreateFromYMD (2020, 11, 15), 0.05500, 2, "ISMA-30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2016, 3, 17), DateUtil.CreateFromYMD (2021, 3, 1), 0.05000, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2014, 5, 23), DateUtil.CreateFromYMD (2021, 11, 1), 0.05375, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2011, 11, 15), DateUtil.CreateFromYMD (2021, 11, 15), 0.04450, 2, "ISMA-30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2012, 4, 15), DateUtil.CreateFromYMD (2022, 4, 15), 0.05125, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2007, 4, 10), DateUtil.CreateFromYMD (2022, 4, 19), 0.05983, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2008, 4, 14), DateUtil.CreateFromYMD (2022, 10, 8), 0.06821, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2007, 12, 13), DateUtil.CreateFromYMD (2023, 1, 15), 0.06251, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2013, 8, 23), DateUtil.CreateFromYMD (2023, 3, 15), 0.04375, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2013, 5, 22), DateUtil.CreateFromYMD (2023, 6, 1), 0.03750, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2013, 8, 15), DateUtil.CreateFromYMD (2023, 8, 15), 0.06125, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2013, 10, 2), DateUtil.CreateFromYMD (2023, 10, 2), 0.05000, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2015, 11, 9), DateUtil.CreateFromYMD (2023, 11, 15), 0.06125, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2013, 12, 11), DateUtil.CreateFromYMD (2024, 1, 15), 0.04150, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2014, 2, 11), DateUtil.CreateFromYMD (2024, 2, 15), 0.04350, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2014, 3, 3), DateUtil.CreateFromYMD (2024, 3, 3), 0.04000, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2014, 3, 14), DateUtil.CreateFromYMD (2024, 4, 1), 0.04600, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2014, 3, 9), DateUtil.CreateFromYMD (2024, 4, 1), 0.04400, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2014, 4, 8), DateUtil.CreateFromYMD (2024, 4, 8), 0.03800, 2, "ISMA-30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2014, 6, 20), DateUtil.CreateFromYMD (2024, 7, 1), 0.05000, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2015, 1, 26), DateUtil.CreateFromYMD (2025, 2, 1), 0.04000, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2015, 2, 24), DateUtil.CreateFromYMD (2025, 2, 15), 0.04350, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2014, 12, 4), DateUtil.CreateFromYMD (2025, 2, 15), 0.04450, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2015, 11, 24), DateUtil.CreateFromYMD (2025, 11, 24), 0.04750, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2012, 12, 16), DateUtil.CreateFromYMD (2025, 12, 16), 0.04500, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2012, 11, 9), DateUtil.CreateFromYMD (2027, 11, 9), 0.04375, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2001, 3, 2), DateUtil.CreateFromYMD (2031, 3, 3), 0.07125, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2015, 10, 1), DateUtil.CreateFromYMD (2035, 7, 29), 0.04950, 2, "ISMA-30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2015, 5, 9), DateUtil.CreateFromYMD (2035, 11, 1), 0.06250, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2006, 11, 9), DateUtil.CreateFromYMD (2036, 10, 1), 0.05558, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2013, 8, 1), DateUtil.CreateFromYMD (2043, 8, 15), 0.06503, 12, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2003, 10, 1), DateUtil.CreateFromYMD (2043, 10, 1), 0.05937, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2005, 2, 24), DateUtil.CreateFromYMD (2047, 12, 15), 0.05270, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2005, 3, 1), DateUtil.CreateFromYMD (2049, 5, 15), 0.05690, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2005, 4, 26), DateUtil.CreateFromYMD (2050, 6, 15), 0.05524, 2, "ISMA-30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2014, 6, 2), DateUtil.CreateFromYMD (2050, 6, 15), 0.05912, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2006, 7, 1), DateUtil.CreateFromYMD (2051, 1, 1), 0.05521, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2006, 11, 1), DateUtil.CreateFromYMD (2051, 10, 1), 0.05658, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2007, 12, 4), DateUtil.CreateFromYMD (2053, 6, 15), 0.06171, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2007, 12, 4), DateUtil.CreateFromYMD (2053, 6, 15), 0.08421, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2013, 8, 1), DateUtil.CreateFromYMD (2053, 8, 15), 0.06803, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2008, 11, 4), DateUtil.CreateFromYMD (2053, 9, 15), 0.07500, 2, "30/360"),
};
double[] adblCleanPrice = new double[] {
1.0004420, // (2017, 3, 10)
1.0070520, // (2017, 5, 11)
1.0030200, // (2017, 6, 9)
1.0027010, // (2017, 10, 2)
1.0210990, // (2018, 7, 16)
1.1229040, // (2018, 12, 11)
1.1101630, // (2019, 2, 15)
1.0622680, // (2019, 3, 15)
1.1503290, // (2019, 3, 15)
1.1771910, // (2019, 8, 16)
1.1299690, // (2019, 10, 15)
1.1391860, // (2020, 1, 31)
1.1063470, // (2020, 2, 15)
1.1061200, // (2020, 4, 30)
1.1154030, // (2020, 5, 15)
1.0756280, // (2020, 9, 15)
1.1310700, // (2020, 9, 29)
1.0886500, // (2020, 11, 15)
1.0783280, // (2021, 3, 1)
1.0248690, // (2021, 11, 1)
1.0366210, // (2021, 11, 15)
1.1100210, // (2022, 4, 15)
1.1030640, // (2022, 4, 19)
1.1515940, // (2022, 10, 8)
1.1458440, // (2023, 1, 15)
1.0075000, // (2023, 3, 15)
1.0077190, // (2023, 6, 1)
1.0452330, // (2023, 8, 15)
1.0545460, // (2023, 10, 2)
1.0748650, // (2023, 11, 15)
1.0500690, // (2024, 1, 15)
0.9578745, // (2024, 2, 15)
1.0283760, // (2024, 3, 3)
1.0263960, // (2024, 4, 1)
0.9989979, // (2024, 4, 1)
0.9891589, // (2024, 4, 8)
1.0542700, // (2024, 7, 1)
0.9759940, // (2025, 2, 1)
0.9980053, // (2025, 2, 15)
0.9772800, // (2025, 2, 15)
1.0065140, // (2025, 11, 24)
1.0318190, // (2025, 12, 16)
1.0575060, // (2027, 11, 9)
1.3593050, // (2031, 3, 3)
1.0600360, // (2035, 7, 29)
1.0899400, // (2035, 11, 1)
1.1337930, // (2036, 10, 1)
1.1776690, // (2043, 8, 1)
1.1227270, // (2043, 10, 1)
1.0392280, // (2047, 12, 15)
1.1496480, // (2049, 5, 15)
1.0961770, // (2050, 6, 15)
1.2025960, // (2050, 6, 15)
0.9276792, // (2051, 1, 1)
1.0181790, // (2051, 10, 1)
0.9694037, // (2053, 6, 15)
1.0446570, // (2053, 6, 15)
1.3776140, // (2053, 8, 15)
1.3822020, // (2053, 9, 15)
};
double[] adblOAS = RVMeasures (
aCorporateBond,
dtSpot,
csqc,
adblCleanPrice
);
ValuationParams valParams = new ValuationParams (
dtSpot,
dtSpot.addBusDays (
3,
dcFunding.currency()
),
dcFunding.currency()
);
System.out.println();
System.out.println ("\t|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||");
System.out.print ("\t| BOND ");
for (Map.Entry<String, GovvieCurve> meGovvieCurve : mapGovvieCurve.entrySet()) {
if ("BASE".equalsIgnoreCase (meGovvieCurve.getKey()) || "BUMP".equalsIgnoreCase (meGovvieCurve.getKey()))
continue;
System.out.print (" | " + meGovvieCurve.getKey());
}
System.out.println (" ||");
System.out.println ("\t|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||");
for (int i = 0; i < adblOAS.length; ++i) {
System.out.print ("\t| " + aCorporateBond[i].name());
for (Map.Entry<String, GovvieCurve> meGovvieCurve : mapGovvieCurve.entrySet()) {
if ("BASE".equalsIgnoreCase (meGovvieCurve.getKey()) || "BUMP".equalsIgnoreCase (meGovvieCurve.getKey()))
continue;
csqc.setGovvieState (meGovvieCurve.getValue());
System.out.print (" | " +
FormatUtil.FormatDouble (
(adblCleanPrice[i] - aCorporateBond[i].priceFromOAS (
valParams,
csqc,
null,
adblOAS[i]
)) / adblCleanPrice[i],
2, 2, 10000.) + " "
);
}
System.out.println (" ||");
}
System.out.println ("\t|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||");
EnvManager.TerminateEnv();
}
}