BulletCorporate5.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>BulletCorporate5</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 BulletCorporate5 {
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, 2, 25), DateUtil.CreateFromYMD (2017, 2, 25), 0.00900, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2013, 1, 14), DateUtil.CreateFromYMD (2017, 6, 5), 0.02250, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (1997, 7, 14), DateUtil.CreateFromYMD (2017, 7, 15), 0.07450, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2012, 3, 5), DateUtil.CreateFromYMD (2017, 9, 5), 0.05125, 2, "ISMA-30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2013, 7, 15), DateUtil.CreateFromYMD (2018, 4, 15), 0.03625, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2011, 11, 21), DateUtil.CreateFromYMD (2018, 11, 1), 0.06250, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2008, 11, 14), DateUtil.CreateFromYMD (2018, 11, 15), 0.07750, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2011, 11, 9), DateUtil.CreateFromYMD (2018, 11, 15), 0.09000, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2009, 1, 30), DateUtil.CreateFromYMD (2019, 2, 1), 0.07125, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2009, 5, 15), DateUtil.CreateFromYMD (2019, 6, 1), 0.08125, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2009, 6, 17), DateUtil.CreateFromYMD (2019, 6, 15), 0.09875, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2009, 6, 30), DateUtil.CreateFromYMD (2019, 6, 15), 0.09500, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2009, 8, 13), DateUtil.CreateFromYMD (2019, 8, 13), 0.07625, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2009, 9, 14), DateUtil.CreateFromYMD (2019, 9, 15), 0.07375, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2014, 9, 15), DateUtil.CreateFromYMD (2019, 10, 30), 0.06250, 4, "30/360 NON-EOM"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2009, 5, 14), DateUtil.CreateFromYMD (2020, 2, 15), 0.06850, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2010, 3, 4), DateUtil.CreateFromYMD (2020, 3, 4), 0.06700, 2, "ISMA-30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2010, 3, 19), DateUtil.CreateFromYMD (2020, 3, 19), 0.06775, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2010, 3, 23), DateUtil.CreateFromYMD (2020, 6, 1), 0.05875, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2009, 9, 15), DateUtil.CreateFromYMD (2020, 9, 15), 0.05625, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2009, 9, 16), DateUtil.CreateFromYMD (2020, 9, 15), 0.05375, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2010, 6, 28), DateUtil.CreateFromYMD (2021, 4, 15), 0.06875, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2011, 4, 6), DateUtil.CreateFromYMD (2021, 5, 1), 0.05800, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2014, 4, 16), DateUtil.CreateFromYMD (2021, 10, 17), 0.04890, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2011, 11, 7), DateUtil.CreateFromYMD (2021, 11, 15), 0.04875, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2012, 3, 12), DateUtil.CreateFromYMD (2022, 3, 15), 0.04700, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2012, 10, 5), DateUtil.CreateFromYMD (2022, 10, 15), 0.04700, 2, "ISMA-30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2002, 4, 30), DateUtil.CreateFromYMD (2023, 1, 2), 0.06718, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2013, 11, 19), DateUtil.CreateFromYMD (2023, 11, 20), 0.03700, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2013, 11, 29), DateUtil.CreateFromYMD (2023, 12, 1), 0.04625, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2014, 3, 12), DateUtil.CreateFromYMD (2024, 3, 14), 0.04250, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (1994, 5, 11), DateUtil.CreateFromYMD (2024, 5, 1), 0.08625, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2014, 8, 29), DateUtil.CreateFromYMD (2024, 9, 3), 0.05750, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2015, 9, 15), DateUtil.CreateFromYMD (2025, 9, 15), 0.04750, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2016, 1, 27), DateUtil.CreateFromYMD (2026, 1, 27), 0.04650, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2014, 8, 11), DateUtil.CreateFromYMD (2026, 9, 3), 0.03750, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2014, 9, 16), DateUtil.CreateFromYMD (2026, 10, 1), 0.03700, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2014, 11, 25), DateUtil.CreateFromYMD (2026, 11, 25), 0.04270, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2015, 12, 14), DateUtil.CreateFromYMD (2027, 12, 15), 0.03750, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (1998, 7, 10), DateUtil.CreateFromYMD (2028, 7, 15), 0.07050, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2016, 10, 3), DateUtil.CreateFromYMD (2028, 10, 15), 0.03250, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2000, 3, 6), DateUtil.CreateFromYMD (2029, 3, 1), 0.06927, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (1999, 3, 1), DateUtil.CreateFromYMD (2029, 3, 1), 0.06625, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2005, 3, 1), DateUtil.CreateFromYMD (2030, 12, 15), 0.05380, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2000, 12, 15), DateUtil.CreateFromYMD (2030, 12, 15), 0.08600, 2, "ISMA-30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2001, 8, 15), DateUtil.CreateFromYMD (2031, 8, 15), 0.07300, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2003, 3, 4), DateUtil.CreateFromYMD (2032, 10, 15), 0.05900, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2003, 9, 25), DateUtil.CreateFromYMD (2033, 3, 15), 0.06550, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2003, 10, 1), DateUtil.CreateFromYMD (2033, 10, 1), 0.07450, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2008, 12, 11), DateUtil.CreateFromYMD (2038, 12, 15), 0.06375, 2, "ISMA-30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2009, 6, 1), DateUtil.CreateFromYMD (2039, 6, 1), 0.08875, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2009, 12, 16), DateUtil.CreateFromYMD (2039, 12, 16), 0.06850, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2010, 7, 1), DateUtil.CreateFromYMD (2040, 6, 15), 0.07625, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2008, 11, 4), DateUtil.CreateFromYMD (2046, 3, 15), 0.05780, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2005, 8, 1), DateUtil.CreateFromYMD (2050, 8, 1), 0.05300, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2006, 11, 13), DateUtil.CreateFromYMD (2051, 12, 1), 0.05595, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2007, 2, 1), DateUtil.CreateFromYMD (2052, 2, 15), 0.05815, 2, "30/360"),
Corporate ("CORPORA", DateUtil.CreateFromYMD (2012, 3, 18), DateUtil.CreateFromYMD (2057, 3, 15), 0.06750, 2, "30/360"),
};
double[] adblCleanPrice = new double[] {
0.9997787, // (2017, 2, 25)
1.0033310, // (2017, 6, 5)
1.0278170, // (2017, 7, 15)
1.0172200, // (2017, 9, 5)
1.0135930, // (2018, 4, 15)
1.0562500, // (2018, 11, 1)
1.0975070, // (2018, 11, 15)
1.0973010, // (2018, 11, 15)
1.0976260, // (2019, 2, 1)
1.1243420, // (2019, 6, 1)
1.1716120, // (2019, 6, 15)
1.1584940, // (2019, 6, 15)
1.1199700, // (2019, 8, 13)
1.1160530, // (2019, 9, 15)
0.9841736, // (2019, 10, 30)
1.1216150, // (2020, 2, 15)
1.1174650, // (2020, 3, 4)
1.1262290, // (2020, 3, 19)
1.1012410, // (2020, 6, 1)
1.0949670, // (2020, 9, 15)
1.0831400, // (2020, 9, 15)
1.1349120, // (2021, 4, 15)
1.1107220, // (2021, 5, 1)
1.0216740, // (2021, 10, 17)
1.0693220, // (2021, 11, 15)
1.0685770, // (2022, 3, 15)
1.0456960, // (2022, 10, 15)
1.1312500, // (2023, 1, 2)
1.0453750, // (2023, 11, 20)
1.0542780, // (2023, 12, 1)
1.0100730, // (2024, 3, 14)
1.2260200, // (2024, 5, 1)
0.9529315, // (2024, 9, 3)
0.9868410, // (2025, 9, 15)
1.0594940, // (2026, 1, 27)
1.0098560, // (2026, 9, 3)
1.0025000, // (2026, 10, 1)
1.0202100, // (2026, 11, 25)
1.0093360, // (2027, 12, 25)
1.1575970, // (2028, 7, 15)
0.9596740, // (2028, 10, 15)
1.3272900, // (2029, 3, 1)
1.2673600, // (2029, 3, 1)
1.0724490, // (2030, 12, 15)
1.3656760, // (2030, 12, 15)
1.1686390, // (2031, 8, 15)
1.1678330, // (2032, 10, 15)
1.2210150, // (2033, 3, 15)
1.2038020, // (2033, 10, 1)
1.2909820, // (2038, 12, 15)
1.5222220, // (2039, 6, 1)
1.3022560, // (2039, 12, 16)
1.2955540, // (2040, 6, 15)
1.1743430, // (2046, 3, 15)
0.9253630, // (2050, 8, 1)
1.0570930, // (2051, 12, 1)
0.9831220, // (2052, 2, 15)
1.3153640, // (2057, 3, 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();
}
}