BulletLIBORCorporate.java

  1. package org.drip.sample.bondfloat;

  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>BulletLIBORCorporate</i> demonstrates Non-EOS Floating 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/bondfloat/README.md">Floating Coupon Bullet Corporate Bond</a></li>
  107.  *  </ul>
  108.  * <br><br>
  109.  * 
  110.  * @author Lakshmi Krishnamurthy
  111.  */

  113. public class BulletLIBORCorporate
  114. {

  116.     private static final MergedDiscountForwardCurve FundingCurve (
  117.         final JulianDate dtSpot,
  118.         final String strCurrency)
  119.         throws Exception
  120.     {
  121.         String[] astrDepositMaturityTenor = new String[] {
  122.             "2D"
  123.         };

  125.         double[] adblDepositQuote = new double[] {
  126.             0.0103456 // 2D
  127.         };

  129.         double[] adblFuturesQuote = new double[] {
  130.             0.01070,
  131.             0.01235,
  132.             0.01360
  133.         };

  135.         String[] astrFixFloatMaturityTenor = new String[] {
  136.             "01Y",
  137.             "02Y",
  138.             "03Y",
  139.             "04Y",
  140.             "05Y",
  141.             "06Y",
  142.             "07Y",
  143.             "08Y",
  144.             "09Y",
  145.             "10Y",
  146.             "11Y",
  147.             "12Y",
  148.             "15Y",
  149.             "20Y",
  150.             "25Y",
  151.             "30Y",
  152.             "40Y",
  153.             "50Y"
  154.         };

  156.         double[] adblFixFloatQuote = new double[] {
  157.             0.012484, //  1Y
  158.             0.014987, //  2Y
  159.             0.017036, //  3Y
  160.             0.018624, //  4Y
  161.             0.019868, //  5Y
  162.             0.020921, //  6Y
  163.             0.021788, //  7Y
  164.             0.022530, //  8Y
  165.             0.023145, //  9Y
  166.             0.023685, // 10Y
  167.             0.024153, // 11Y
  168.             0.024562, // 12Y
  169.             0.025389, // 15Y
  170.             0.026118, // 20Y
  171.             0.026368, // 25Y
  172.             0.026432, // 30Y
  173.             0.026339, // 40Y
  174.             0.026122  // 50Y
  175.         };

  177.         MergedDiscountForwardCurve dcFunding = LatentMarketStateBuilder.SmoothFundingCurve (
  178.             dtSpot,
  179.             strCurrency,
  180.             astrDepositMaturityTenor,
  181.             adblDepositQuote,
  182.             "ForwardRate",
  183.             adblFuturesQuote,
  184.             "ForwardRate",
  185.             astrFixFloatMaturityTenor,
  186.             adblFixFloatQuote,
  187.             "SwapRate"
  188.         );

  190.         Component[] aDepositComp = OTCInstrumentBuilder.FundingDeposit (
  191.             dtSpot,
  192.             strCurrency,
  193.             astrDepositMaturityTenor
  194.         );

  196.         Component[] aFuturesComp = ExchangeInstrumentBuilder.ForwardRateFuturesPack (
  197.             dtSpot,
  198.             adblFuturesQuote.length,
  199.             strCurrency
  200.         );

  202.         Component[] aFixFloatComp = OTCInstrumentBuilder.FixFloatStandard (
  203.             dtSpot,
  204.             strCurrency,
  205.             "ALL",
  206.             astrFixFloatMaturityTenor,
  207.             "MAIN",
  208.             0.
  209.         );

  211.         ValuationParams valParams = new ValuationParams (
  212.             dtSpot,
  213.             dtSpot,
  214.             strCurrency
  215.         );

  217.         CurveSurfaceQuoteContainer csqc = MarketParamsBuilder.Create (
  218.             dcFunding,
  219.             null,
  220.             null,
  221.             null,
  222.             null,
  223.             null,
  224.             null
  225.         );

  227.         System.out.println();

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

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

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

  235.         for (int i = 0; i < aDepositComp.length; ++i)
  236.             System.out.println ("\t| [" + aDepositComp[i].maturityDate() + "] =" +
  237.                 FormatUtil.FormatDouble (aDepositComp[i].measureValue (
  238.                     valParams,
  239.                     null,
  240.                     csqc,
  241.                     null,
  242.                     "ForwardRate"
  243.                 ), 1, 6, 1.) + " |" +
  244.                 FormatUtil.FormatDouble (adblDepositQuote[i], 1, 6, 1.) + " ||"
  245.             );

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

  249.         System.out.println();

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

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

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

  257.         for (int i = 0; i < aFuturesComp.length; ++i)
  258.             System.out.println ("\t| [" + aFuturesComp[i].maturityDate() + "] =" +
  259.                 FormatUtil.FormatDouble (aFuturesComp[i].measureValue (
  260.                     valParams,
  261.                     null,
  262.                     csqc,
  263.                     null,
  264.                     "ForwardRate"
  265.                 ), 1, 6, 1.) + " |" +
  266.                 FormatUtil.FormatDouble (adblFuturesQuote[i], 1, 6, 1.) + " ||"
  267.             );

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

  271.         System.out.println();

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

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

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

  279.         for (int i = 0; i < aFixFloatComp.length; ++i)
  280.             System.out.println ("\t| [" + aFixFloatComp[i].maturityDate() + "] =" +
  281.                 FormatUtil.FormatDouble (aFixFloatComp[i].measureValue (
  282.                     valParams,
  283.                     null,
  284.                     csqc,
  285.                     null,
  286.                     "CalibSwapRate"
  287.                 ), 1, 6, 1.) + " |" +
  288.                 FormatUtil.FormatDouble (adblFixFloatQuote[i], 1, 6, 1.) + " |" +
  289.                 FormatUtil.FormatDouble (aFixFloatComp[i].measureValue (
  290.                     valParams,
  291.                     null,
  292.                     csqc,
  293.                     null,
  294.                     "FairPremium"
  295.                 ), 1, 6, 1.) + " ||"
  296.             );

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

  300.         System.out.println();

  302.         return dcFunding;
  303.     }

  305.     private static final Map<String, GovvieCurve> GovvieCurve (
  306.         final JulianDate dtSpot,
  307.         final String strCode,
  308.         final double[] adblCoupon,
  309.         final double[] adblYield)
  310.         throws Exception
  311.     {
  312.         JulianDate[] adtEffective = new JulianDate[] {
  313.             dtSpot,
  314.             dtSpot,
  315.             dtSpot,
  316.             dtSpot,
  317.             dtSpot,
  318.             dtSpot,
  319.             dtSpot,
  320.             dtSpot
  321.         };

  323.         JulianDate[] adtMaturity = new JulianDate[] {
  324.             dtSpot.addTenor ("1Y"),
  325.             dtSpot.addTenor ("2Y"),
  326.             dtSpot.addTenor ("3Y"),
  327.             dtSpot.addTenor ("5Y"),
  328.             dtSpot.addTenor ("7Y"),
  329.             dtSpot.addTenor ("10Y"),
  330.             dtSpot.addTenor ("20Y"),
  331.             dtSpot.addTenor ("30Y")
  332.         };

  334.         Map<String, GovvieCurve> mapGovvieCurve = LatentMarketStateBuilder.BumpedGovvieCurve (
  335.             strCode,
  336.             dtSpot,
  337.             adtEffective,
  338.             adtMaturity,
  339.             adblCoupon,
  340.             adblYield,
  341.             "Yield",
  342.             LatentMarketStateBuilder.SHAPE_PRESERVING,
  343.             0.0001,
  344.             false
  345.         );

  347.         BondComponent[] aComp = TreasuryBuilder.FromCode (
  348.             strCode,
  349.             adtEffective,
  350.             adtMaturity,
  351.             adblCoupon
  352.         );

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

  356.         CurveSurfaceQuoteContainer csqc = new CurveSurfaceQuoteContainer();

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

  360.         System.out.println();

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

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

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

  368.         for (int i = 0; i < aComp.length; ++i)
  369.             System.out.println ("\t| " + aComp[i].name() + " | " +
  370.                 FormatUtil.FormatDouble (adblYield[i], 1, 3, 100.) + "% | " +
  371.                 FormatUtil.FormatDouble (aComp[i].yieldFromPrice (
  372.                     valParams,
  373.                     null,
  374.                     null,
  375.                     aComp[i].maturityDate().julian(),
  376.                     1.,
  377.                     aComp[i].priceFromYield (
  378.                         valParams,
  379.                         null,
  380.                         null,
  381.                         mapGovvieCurve.get ("BASE").yield (aComp[i].maturityDate().julian())
  382.                     )
  383.                 ), 1, 3, 100.) + "% ||"
  384.             );

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

  388.         return mapGovvieCurve;
  389.     }

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

  400.             pmmq.addQuote (
  401.                 "Yield",
  402.                 new MultiSided (
  403.                     "mid",
  404.                     adblYield[i]
  405.                 ),
  406.                 true
  407.             );

  409.             csqc.setProductQuote (
  410.                 astrOnTheRunCode[i],
  411.                 pmmq
  412.             );
  413.         }
  414.     }

  416.     private static final Bond Corporate (
  417.         final String strRateIndex,
  418.         final JulianDate dtEffective,
  419.         final JulianDate dtMaturity,
  420.         final double dblSpread)
  421.         throws Exception
  422.     {
  423.         return BondBuilder.CreateSimpleFloater (
  424.             strRateIndex + " +" + FormatUtil.FormatDouble (dblSpread, 3, 0, 10000.) + " bp " + dtMaturity,
  425.             "USD",
  426.             strRateIndex,
  427.             "",
  428.             dblSpread,
  429.             2,
  430.             "30/360",
  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 (adblOAS[i], 3, 0, 10000.) + " | " +
  526.                 FormatUtil.FormatDouble (0.5 * (dblCleanPriceOASDown - dblCleanPriceOASUp) / adblCleanPrice[i], 2, 2, 10000.) + "  |  " +
  527.                 FormatUtil.FormatDouble ((dblCleanPriceOASDown + dblCleanPriceOASUp - 2. * adblCleanPrice[i]) / adblCleanPrice[i], 2, 2, 1000000.) + "   |" +
  528.                 FormatUtil.FormatDouble (rvm.asw(), 3, 0, 10000.) + " |  " +
  529.                 FormatUtil.FormatDouble (rvm.gSpread(), 3, 0, 10000.) + "    |   " +
  530.                 FormatUtil.FormatDouble (rvm.iSpread(), 3, 0, 10000.) + "   |    " +
  531.                 FormatUtil.FormatDouble (rvm.tsySpread(), 3, 0, 10000.) + "    |  " +
  532.                 Helper.BaseTsyBmk (
  533.                     dtValue.julian(),
  534.                     aBond[i].maturityDate().julian()
  535.                 ) + "  ||" + "\n";
  536.         }

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

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

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

  544.         System.out.print (strSecularMetrics);

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

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

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

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

  554.         System.out.print (strCurveMetrics);

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

  558.         return adblOAS;
  559.     }

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

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

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

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

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

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

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

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

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

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

  640.         double dblUSD3MLIBOR = dcFunding.libor (
  641.             dtSpot,
  642.             "3M"
  643.         );

  645.         Bond[] aAgencyBond = new Bond[] {
  646.             Corporate ("USD-3M", DateUtil.CreateFromYMD (2014,  3, 24), DateUtil.CreateFromYMD (2017,  3, 24), 0.0178706 - dblUSD3MLIBOR),
  647.             Corporate ("USD-3M", DateUtil.CreateFromYMD (2015,  8,  3), DateUtil.CreateFromYMD (2017,  8,  3), 0.0150904 - dblUSD3MLIBOR),
  648.             Corporate ("USD-3M", DateUtil.CreateFromYMD (2016,  6,  9), DateUtil.CreateFromYMD (2017, 12,  8), 0.0160083 - dblUSD3MLIBOR),
  649.             Corporate ("USD-3M", DateUtil.CreateFromYMD (2013,  4, 30), DateUtil.CreateFromYMD (2018,  4, 30), 0.0208733 - dblUSD3MLIBOR),
  650.             Corporate ("USD-3M", DateUtil.CreateFromYMD (2016, 10, 19), DateUtil.CreateFromYMD (2018, 10, 19), 0.0169483 - dblUSD3MLIBOR),
  651.             Corporate ("USD-3M", DateUtil.CreateFromYMD (2015, 12, 14), DateUtil.CreateFromYMD (2018, 12, 14), 0.0179872 - dblUSD3MLIBOR),
  652.             Corporate ("USD-3M", DateUtil.CreateFromYMD (2016,  1, 14), DateUtil.CreateFromYMD (2019,  1, 14), 0.0180317 - dblUSD3MLIBOR),
  653.             Corporate ("USD-3M", DateUtil.CreateFromYMD (2016,  1, 15), DateUtil.CreateFromYMD (2019,  1, 15), 0.0220317 - dblUSD3MLIBOR),
  654.             Corporate ("USD-3M", DateUtil.CreateFromYMD (2016,  1, 22), DateUtil.CreateFromYMD (2019,  1, 22), 0.0204122 - dblUSD3MLIBOR),
  655.             Corporate ("USD-3M", DateUtil.CreateFromYMD (2016,  1, 27), DateUtil.CreateFromYMD (2019,  2,  1), 0.0226094 - dblUSD3MLIBOR),
  656.             Corporate ("USD-3M", DateUtil.CreateFromYMD (2016,  2, 23), DateUtil.CreateFromYMD (2019,  2, 22), 0.0173983 - dblUSD3MLIBOR),
  657.             Corporate ("USD-3M", DateUtil.CreateFromYMD (2016,  3,  4), DateUtil.CreateFromYMD (2019,  3, 14), 0.0243872 - dblUSD3MLIBOR),
  658.             Corporate ("USD-3M", DateUtil.CreateFromYMD (2016,  3, 15), DateUtil.CreateFromYMD (2019,  3, 15), 0.0165344 - dblUSD3MLIBOR),
  659.             Corporate ("USD-3M", DateUtil.CreateFromYMD (2016,  5, 13), DateUtil.CreateFromYMD (2019,  5, 13), 0.0161206 - dblUSD3MLIBOR),
  660.             Corporate ("USD-3M", DateUtil.CreateFromYMD (2016,  6,  2), DateUtil.CreateFromYMD (2019,  5, 24), 0.0153011 - dblUSD3MLIBOR),
  661.             Corporate ("USD-3M", DateUtil.CreateFromYMD (2016,  6, 14), DateUtil.CreateFromYMD (2019,  6, 14), 0.0161872 - dblUSD3MLIBOR),
  662.             Corporate ("USD-3M", DateUtil.CreateFromYMD (2016,  9,  8), DateUtil.CreateFromYMD (2019,  9,  6), 0.0152639 - dblUSD3MLIBOR),
  663.             Corporate ("USD-3M", DateUtil.CreateFromYMD (2016,  9, 30), DateUtil.CreateFromYMD (2019,  9, 30), 0.0161817 - dblUSD3MLIBOR),
  664.             Corporate ("USD-3M", DateUtil.CreateFromYMD (2016, 10, 18), DateUtil.CreateFromYMD (2019, 10, 18), 0.0193372 - dblUSD3MLIBOR),
  665.         };

  667.         double[] adblCleanPrice = new double[] {
  668.             1.0006750,  // (2017,  3, 24)
  669.             1.0027220,  // (2017,  8,  3)
  670.             1.0050000,  // (2017, 12,  8)
  671.             1.0091000,  // (2018,  4, 30)
  672.             1.0016000,  // (2018, 10, 19)
  673.             1.0053430,  // (2018, 12, 14)
  674.             1.0051600,  // (2019,  1, 14)
  675.             1.0075900,  // (2019,  1, 15)
  676.             1.0085700,  // (2019,  1, 22)
  677.             1.0174100,  // (2019,  2,  1)
  678.             1.0144650,  // (2019,  2, 22)
  679.             1.0152950,  // (2019,  3, 14)
  680.             1.0106700,  // (2019,  3, 15)
  681.             1.0045400,  // (2019,  5, 13)
  682.             1.0025140,  // (2019,  5, 24)
  683.             1.0027120,  // (2019,  6, 14)
  684.             1.0012000,  // (2019,  9,  6)
  685.             1.0022590,  // (2019,  9, 30)
  686.             1.0003480,  // (2019, 10, 18)
  687.         };

  689.         double[] adblOAS = RVMeasures (
  690.             aAgencyBond,
  691.             dtSpot,
  692.             csqc,
  693.             adblCleanPrice
  694.         );

  696.         ValuationParams valParams = new ValuationParams (
  697.             dtSpot,
  698.             dtSpot.addBusDays (
  699.                 3,
  700.                 dcFunding.currency()
  701.             ),
  702.             dcFunding.currency()
  703.         );

  705.         System.out.println();

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

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

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

  715.             System.out.print (" | " + meGovvieCurve.getKey());
  716.         }

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

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

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

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

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

  731.                 System.out.print (" |      " +
  732.                     FormatUtil.FormatDouble (
  733.                         (adblCleanPrice[i] - aAgencyBond[i].priceFromOAS (
  734.                             valParams,
  735.                             csqc,
  736.                             null,
  737.                             adblOAS[i]
  738.                         )) / adblCleanPrice[i],
  739.                     2, 2, 10000.) + "     "
  740.                 );
  741.             }

  743.             System.out.println (" ||");
  744.         }

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

  748.         EnvManager.TerminateEnv();
  749.     }
  750. }
Created with JaCoCo 0.7.9.201702052155