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();
- }
- }