Agartala.java
package org.drip.sample.bondmetrics;
import org.drip.analytics.cashflow.*;
import org.drip.analytics.date.*;
import org.drip.analytics.daycount.Convention;
import org.drip.analytics.daycount.DateAdjustParams;
import org.drip.numerical.common.FormatUtil;
import org.drip.param.creator.MarketParamsBuilder;
import org.drip.param.market.CurveSurfaceQuoteContainer;
import org.drip.param.valuation.ValuationParams;
import org.drip.product.creator.BondBuilder;
import org.drip.product.credit.BondComponent;
import org.drip.service.env.EnvManager;
import org.drip.service.template.LatentMarketStateBuilder;
import org.drip.state.discount.MergedDiscountForwardCurve;
import org.drip.state.identifier.FloaterLabel;
/*
* -*- 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>Agartala</i> demonstrates the Analytics Calculation/Reconciliation for the Bond Agartala.
*
* <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/bondmetrics/README.md">Bond Relative Value Replication Demonstration</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class Agartala {
public static final void main (
final String[] astArgs)
throws Exception
{
EnvManager.InitEnv (
"",
true
);
JulianDate dtSpot = DateUtil.CreateFromYMD (
2017,
DateUtil.SEPTEMBER,
1
);
String[] astrDepositTenor = new String[] {
"2D"
};
double[] adblDepositQuote = new double[] {
0.013161 // 2D
};
double[] adblFuturesQuote = new double[] {
0.013225, // 98.6775
0.01425, // 98.575
0.01475, // 98.525
0.01525, // 98.475
0.01575, // 98.425
0.01650 // 98.350
};
String[] astrFixFloatTenor = new String[] {
"02Y",
"03Y",
"04Y",
"05Y",
"06Y",
"07Y",
"08Y",
"09Y",
"10Y",
"11Y",
"12Y",
"15Y",
"20Y",
"25Y",
"30Y",
"40Y",
"50Y"
};
double[] adblFixFloatQuote = new double[] {
0.015540, // 2Y
0.016423, // 3Y
0.017209, // 4Y
0.017980, // 5Y
0.018743, // 6Y
0.019455, // 7Y
0.020080, // 8Y
0.020651, // 9Y
0.021195, // 10Y
0.021651, // 11Y
0.022065, // 12Y
0.022952, // 15Y
0.023825, // 20Y
0.024175, // 25Y
0.024347, // 30Y
0.024225, // 40Y
0.023968 // 50Y
};
double dblSpread = 0.0060;
String strCurrency = "USD";
double dblCleanPrice = 1.00717;
double dblResetRate = 0.0191722 - dblSpread;
JulianDate dtEffective = DateUtil.CreateFromYMD (
2016,
6,
12
);
JulianDate dtMaturity = DateUtil.CreateFromYMD (
2019,
5,
24
);
BondComponent bond = BondBuilder.CreateSimpleFloaterFP (
"Agartala",
strCurrency,
strCurrency + "-3M",
"",
dblSpread,
4,
"Act/360",
dtEffective,
dtMaturity,
DateUtil.CreateFromYMD (
2016,
8,
24
).julian(),
DateUtil.CreateFromYMD (
2019,
2,
24
).julian(),
new DateAdjustParams (
Convention.DATE_ROLL_FOLLOWING,
0,
strCurrency
),
null,
null,
null,
null,
null,
null,
null,
null,
null
);
CompositeFloatingPeriod cfp = (CompositeFloatingPeriod) bond.stream().containingPeriod (dtSpot.julian());
int iResetDate = ((org.drip.analytics.cashflow.ComposableUnitFloatingPeriod) (cfp.periods().get
(0))).referenceIndexPeriod().fixingDate();
MergedDiscountForwardCurve mdfc = LatentMarketStateBuilder.SmoothFundingCurve (
dtSpot,
strCurrency,
astrDepositTenor,
adblDepositQuote,
"ForwardRate",
adblFuturesQuote,
"ForwardRate",
astrFixFloatTenor,
adblFixFloatQuote,
"SwapRate"
);
CurveSurfaceQuoteContainer csqc = MarketParamsBuilder.Create (
mdfc,
null,
null,
null,
null,
null,
null
);
FloaterLabel fl = bond.floaterSetting().fri();
csqc.setFixing (iResetDate, fl, dblResetRate);
ValuationParams valParams = ValuationParams.Spot (dtSpot.julian());
double dblYield = bond.yieldFromPrice (
ValuationParams.Spot (dtSpot.julian()),
csqc,
null,
dblCleanPrice
);
System.out.println ("Price In : " + dblCleanPrice);
System.out.println ("Yield Out : " + dblYield);
System.out.println ("Price Out : " +
bond.priceFromYield (
ValuationParams.Spot (dtSpot.julian()),
csqc,
null,
dblYield
)
);
System.out.println();
System.out.println ("\t||--------------------------------------------------------------------------------------------------------------------||");
System.out.println ("\t|| PERIOD LABELS AND CURVE FACTORS ||");
System.out.println ("\t||--------------------------------------------------------------------------------------------------------------------||");
System.out.println ("\t|| L -> R: ||");
System.out.println ("\t|| - Period Start Date ||");
System.out.println ("\t|| - Period End Date ||");
System.out.println ("\t|| - Period Pay Date ||");
System.out.println ("\t|| - Period Credit Label ||");
System.out.println ("\t|| - Period Funding Label ||");
System.out.println ("\t|| - Period Forward Label ||");
System.out.println ("\t|| - Period Coupon Rate (%) ||");
System.out.println ("\t|| - Period Coupon Year Fraction ||");
System.out.println ("\t|| - Period Coupon Amount ||");
System.out.println ("\t|| - Period Principal Amount ||");
System.out.println ("\t|| - Period Discount Factor ||");
System.out.println ("\t|| - Period Survival Probability ||");
System.out.println ("\t|| - Period Recovery ||");
System.out.println ("\t||--------------------------------------------------------------------------------------------------------------------||");
for (CompositePeriod p : bond.couponPeriods()) {
int iEndDate = p.endDate();
int iPayDate = p.payDate();
int iStartDate = p.startDate();
double dblCouponRate = bond.couponMetrics (
iEndDate,
valParams,
csqc
).rate();
double dblCouponDCF = p.couponDCF();
System.out.println ("\t|| " +
DateUtil.YYYYMMDD (iStartDate) + " => " +
DateUtil.YYYYMMDD (iEndDate) + " | " +
DateUtil.YYYYMMDD (iPayDate) + " | ? | " +
p.fundingLabel().fullyQualifiedName() + " | ? | " +
FormatUtil.FormatDouble (dblCouponRate, 1, 3, 100.) + "% | " +
FormatUtil.FormatDouble (dblCouponDCF, 1, 4, 1.) + " | " +
FormatUtil.FormatDouble (dblCouponRate * dblCouponDCF * p.notional (iEndDate) * p.couponFactor (iEndDate), 1, 6, 1.) + " | " +
FormatUtil.FormatDouble (p.notional (iStartDate) - p.notional (iEndDate), 1, 4, 1.) + " | " +
FormatUtil.FormatDouble (1., 1, 4, 1.) + " | " +
FormatUtil.FormatDouble (1., 2, 2, 100.) + "% ||"
);
}
System.out.println ("\t|| " +
DateUtil.YYYYMMDD (dtEffective.julian()) + " => " +
DateUtil.YYYYMMDD (bond.maturityDate().julian()) + " | " +
DateUtil.YYYYMMDD (bond.maturityDate().julian()) + " | ? | " +
bond.fundingLabel().fullyQualifiedName() + " | ? | " +
FormatUtil.FormatDouble (0., 1, 3, 100.) + "% | " +
FormatUtil.FormatDouble (0., 1, 4, 1.) + " | " +
FormatUtil.FormatDouble (0., 1, 6, 1.) + " | " +
FormatUtil.FormatDouble (bond.notional (bond.maturityDate().julian()), 1, 4, 1.) + " | " +
FormatUtil.FormatDouble (1., 1, 4, 1.) + " | " +
FormatUtil.FormatDouble (1., 2, 2, 100.) + "% ||"
);
System.out.println ("\t||--------------------------------------------------------------------------------------------------------------------||");
EnvManager.TerminateEnv();
}
}