Belgaum.java

  1. package org.drip.sample.bondmetrics;

  3. import org.drip.analytics.cashflow.*;
  4. import org.drip.analytics.date.*;
  5. import org.drip.numerical.common.FormatUtil;
  6. import org.drip.param.creator.MarketParamsBuilder;
  7. import org.drip.param.market.CurveSurfaceQuoteContainer;
  8. import org.drip.param.valuation.ValuationParams;
  9. import org.drip.product.creator.BondBuilder;
  10. import org.drip.product.credit.BondComponent;
  11. import org.drip.service.env.EnvManager;
  12. import org.drip.service.template.LatentMarketStateBuilder;
  13. import org.drip.state.discount.MergedDiscountForwardCurve;
  14. import org.drip.state.identifier.FloaterLabel;

  16. /*
  17.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  18.  */

  20. /*!
  21.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  22.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  23.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  24.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  25.  * 
  26.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  27.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  28.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  29.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  30.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  31.  *      and computational support.
  32.  *  
  33.  *      https://lakshmidrip.github.io/DROP/
  34.  *  
  35.  *  DROP is composed of three modules:
  36.  *  
  37.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  38.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  39.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  40.  * 
  41.  *  DROP Product Core implements libraries for the following:
  42.  *  - Fixed Income Analytics
  43.  *  - Loan Analytics
  44.  *  - Transaction Cost Analytics
  45.  * 
  46.  *  DROP Portfolio Core implements libraries for the following:
  47.  *  - Asset Allocation Analytics
  48.  *  - Asset Liability Management Analytics
  49.  *  - Capital Estimation Analytics
  50.  *  - Exposure Analytics
  51.  *  - Margin Analytics
  52.  *  - XVA Analytics
  53.  * 
  54.  *  DROP Computational Core implements libraries for the following:
  55.  *  - Algorithm Support
  56.  *  - Computation Support
  57.  *  - Function Analysis
  58.  *  - Model Validation
  59.  *  - Numerical Analysis
  60.  *  - Numerical Optimizer
  61.  *  - Spline Builder
  62.  *  - Statistical Learning
  63.  * 
  64.  *  Documentation for DROP is Spread Over:
  65.  * 
  66.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  67.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  68.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  69.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  70.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  71.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  72.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  73.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  74.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  75.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  76.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  77.  * 
  78.  *  Licensed under the Apache License, Version 2.0 (the "License");
  79.  *      you may not use this file except in compliance with the License.
  80.  *   
  81.  *  You may obtain a copy of the License at
  82.  *      http://www.apache.org/licenses/LICENSE-2.0
  83.  *  
  84.  *  Unless required by applicable law or agreed to in writing, software
  85.  *      distributed under the License is distributed on an "AS IS" BASIS,
  86.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  87.  *  
  88.  *  See the License for the specific language governing permissions and
  89.  *      limitations under the License.
  90.  */

  92. /**
  93.  * <i>Belgaum</i> demonstrates the Analytics Calculation/Reconciliation for the Bond Belgaum.
  94.  *  
  95.  * <br><br>
  96.  *  <ul>
  97.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  98.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  99.  *      <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>
  100.  *      <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>
  101.  *  </ul>
  102.  * <br><br>
  103.  * 
  104.  * @author Lakshmi Krishnamurthy
  105.  */

  107. public class Belgaum {

  109.     public static final void main (
  110.         final String[] astArgs)
  111.         throws Exception
  112.     {
  113.         EnvManager.InitEnv (
  114.             "",
  115.             true
  116.         );

  118.         JulianDate dtSpot = DateUtil.CreateFromYMD (
  119.             2017,
  120.             DateUtil.SEPTEMBER,
  121.             1
  122.         );

  124.         String[] astrDepositTenor = new String[] {
  125.             "2D"
  126.         };

  128.         double[] adblDepositQuote = new double[] {
  129.             0.013161 // 2D
  130.         };

  132.         double[] adblFuturesQuote = new double[] {
  133.             0.013225,   // 98.6775
  134.             0.01425,    // 98.575
  135.             0.01475,    // 98.525
  136.             0.01525,    // 98.475
  137.             0.01575,    // 98.425
  138.             0.01650     // 98.350
  139.         };

  141.         String[] astrFixFloatTenor = new String[] {
  142.             "02Y",
  143.             "03Y",
  144.             "04Y",
  145.             "05Y",
  146.             "06Y",
  147.             "07Y",
  148.             "08Y",
  149.             "09Y",
  150.             "10Y",
  151.             "11Y",
  152.             "12Y",
  153.             "15Y",
  154.             "20Y",
  155.             "25Y",
  156.             "30Y",
  157.             "40Y",
  158.             "50Y"
  159.         };

  161.         double[] adblFixFloatQuote = new double[] {
  162.             0.015540, //  2Y
  163.             0.016423, //  3Y
  164.             0.017209, //  4Y
  165.             0.017980, //  5Y
  166.             0.018743, //  6Y
  167.             0.019455, //  7Y
  168.             0.020080, //  8Y
  169.             0.020651, //  9Y
  170.             0.021195, // 10Y
  171.             0.021651, // 11Y
  172.             0.022065, // 12Y
  173.             0.022952, // 15Y
  174.             0.023825, // 20Y
  175.             0.024175, // 25Y
  176.             0.024347, // 30Y
  177.             0.024225, // 40Y
  178.             0.023968  // 50Y
  179.         };

  181.         double dblSpread = 0.0066;
  182.         String strCurrency = "USD";
  183.         double dblCleanPrice = 1.00717;
  184.         double dblResetRate = 0.0190167 - dblSpread;

  186.         JulianDate dtEffective = DateUtil.CreateFromYMD (
  187.             2016,
  188.             6,
  189.             14
  190.         );

  192.         JulianDate dtMaturity = DateUtil.CreateFromYMD (
  193.             2019,
  194.             6,
  195.             14
  196.         );

  198.         BondComponent bond = BondBuilder.CreateSimpleFloater (
  199.             "Belgaum",
  200.             "USD",
  201.             "USD-3M",
  202.             "",
  203.             0.0066,
  204.             4,
  205.             "30/360",
  206.             dtEffective,
  207.             dtMaturity,
  208.             null,
  209.             null
  210.         );

  212.         CompositeFloatingPeriod cfp = (CompositeFloatingPeriod) bond.stream().containingPeriod (dtSpot.julian());

  214.         int iResetDate = ((org.drip.analytics.cashflow.ComposableUnitFloatingPeriod) (cfp.periods().get
  215.             (0))).referenceIndexPeriod().fixingDate();

  217.         MergedDiscountForwardCurve mdfc = LatentMarketStateBuilder.SmoothFundingCurve (
  218.             dtSpot,
  219.             strCurrency,
  220.             astrDepositTenor,
  221.             adblDepositQuote,
  222.             "ForwardRate",
  223.             adblFuturesQuote,
  224.             "ForwardRate",
  225.             astrFixFloatTenor,
  226.             adblFixFloatQuote,
  227.             "SwapRate"
  228.         );

  230.         CurveSurfaceQuoteContainer csqc = MarketParamsBuilder.Create (
  231.             mdfc,
  232.             null,
  233.             null,
  234.             null,
  235.             null,
  236.             null,
  237.             null
  238.         );

  240.         FloaterLabel fl = bond.floaterSetting().fri();

  242.         csqc.setFixing (iResetDate, fl, dblResetRate);

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

  246.         double dblYield = bond.yieldFromPrice (
  247.             ValuationParams.Spot (dtSpot.julian()),
  248.             csqc,
  249.             null,
  250.             dblCleanPrice
  251.         );

  253.         System.out.println ("Price In  : " + dblCleanPrice);

  255.         System.out.println ("Yield Out : " + dblYield);

  257.         System.out.println ("Price Out : " +
  258.             bond.priceFromYield (
  259.                 ValuationParams.Spot (dtSpot.julian()),
  260.                 csqc,
  261.                 null,
  262.                 dblYield
  263.             )
  264.         );

  266.         System.out.println();

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

  270.         System.out.println ("\t||                                            PERIOD LABELS AND CURVE FACTORS                                           ||");

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

  274.         System.out.println ("\t||   L -> R:                                                                                                            ||");

  276.         System.out.println ("\t||           - Period Start Date                                                                                        ||");

  278.         System.out.println ("\t||           - Period End Date                                                                                          ||");

  280.         System.out.println ("\t||           - Period Credit Label                                                                                      ||");

  282.         System.out.println ("\t||           - Period Funding Label                                                                                     ||");

  284.         System.out.println ("\t||           - Period Coupon Rate (%)                                                                                   ||");

  286.         System.out.println ("\t||           - Period Coupon Year Fraction                                                                              ||");

  288.         System.out.println ("\t||           - Period Coupon Amount                                                                                     ||");

  290.         System.out.println ("\t||           - Period Principal Amount                                                                                  ||");

  292.         System.out.println ("\t||           - Period Discount Factor                                                                                   ||");

  294.         System.out.println ("\t||           - Period Survival Probability                                                                              ||");

  296.         System.out.println ("\t||           - Period Recovery                                                                                          ||");

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

  300.         for (CompositePeriod p : bond.couponPeriods()) {
  301.             int iEndDate = p.endDate();

  303.             int iPayDate = p.payDate();

  305.             int iStartDate = p.startDate();

  307.             double dblCouponRate = bond.couponMetrics (
  308.                 iPayDate,
  309.                 valParams,
  310.                 csqc
  311.             ).rate();

  313.             double dblCouponDCF = p.couponDCF();

  315.             System.out.println ("\t|| " +
  316.                 DateUtil.YYYYMMDD (iStartDate) + " => " +
  317.                 DateUtil.YYYYMMDD (iEndDate) + " | ? | " +
  318.                 p.fundingLabel().fullyQualifiedName() + " | " +
  319.                 p.floaterLabel().fullyQualifiedName() + " | " +
  320.                 FormatUtil.FormatDouble (dblCouponRate, 1, 2, 100.) + "% | " +
  321.                 FormatUtil.FormatDouble (dblCouponDCF, 1, 4, 1.) + " | " +
  322.                 FormatUtil.FormatDouble (dblCouponRate * dblCouponDCF * p.notional (iEndDate) * p.couponFactor (iEndDate), 1, 4, 1.) + " | " +
  323.                 FormatUtil.FormatDouble (p.notional (iStartDate) - p.notional (iEndDate), 1, 4, 1.) + " | " +
  324.                 FormatUtil.FormatDouble (p.df (csqc), 1, 4, 1.) + " | " +
  325.                 FormatUtil.FormatDouble (p.survival (csqc), 1, 4, 1.) + " | " +
  326.                 FormatUtil.FormatDouble (p.recovery (csqc), 2, 0, 100.) + "% ||"
  327.             );
  328.         }

  330.         System.out.println ("\t|| " +
  331.             DateUtil.YYYYMMDD (dtEffective.julian()) + " => " +
  332.             DateUtil.YYYYMMDD (dtMaturity.julian()) + " | ? | " +
  333.             bond.fundingLabel().fullyQualifiedName() + " | " +
  334.             bond.forwardLabel().get (bond.name()).fullyQualifiedName() + " | " +
  335.             FormatUtil.FormatDouble (0., 1, 2, 100.) + "% | " +
  336.             FormatUtil.FormatDouble (0., 1, 4, 1.) + " | " +
  337.             FormatUtil.FormatDouble (0., 1, 4, 1.) + " | " +
  338.             FormatUtil.FormatDouble (bond.notional (dtMaturity.julian()), 1, 4, 1.) + " | " +
  339.             FormatUtil.FormatDouble (mdfc.df (dtMaturity), 1, 4, 1.) + " | " +
  340.             FormatUtil.FormatDouble (1., 1, 4, 1.) + " | " +
  341.             FormatUtil.FormatDouble (1., 2, 0, 100.) + "% ||"
  342.         );

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

  346.         EnvManager.TerminateEnv();
  347.     }
  348. }
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