Bhagalpur.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.product.params.EmbeddedOptionSchedule;
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>Bhagalpur</i> demonstrates the Analytics Calculation/Reconciliation for the Bond Bhagalpur.
 *  
 * <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 Bhagalpur {

    private static final void SetEOS (
        final BondComponent bond,
        final EmbeddedOptionSchedule eosCall,
        final EmbeddedOptionSchedule eosPut)
        throws java.lang.Exception
    {
        if (null != eosPut) bond.setEmbeddedPutSchedule (eosPut);

        if (null != eosCall) bond.setEmbeddedCallSchedule (eosCall);
    }

    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 = 0.0030;
        String strCurrency = "USD";
        double dblCleanPrice = 1.0;
        double dblResetRate = 0.0431611 - dblSpread;

        JulianDate dtEffective = DateUtil.CreateFromYMD (
            2014,
            5,
            20
        );

        JulianDate dtMaturity = DateUtil.CreateFromYMD (
            2019,
            6,
            1
        );

        BondComponent bond = BondBuilder.CreateSimpleFloaterFP (
            "Bhagalpur",
            strCurrency,
            strCurrency + "-3M",
            "",
            dblSpread,
            4,
            "Act/360",
            dtEffective,
            dtMaturity,
            DateUtil.CreateFromYMD (
                2014,
                9,
                1
            ).julian(),
            DateUtil.CreateFromYMD (
                2019,
                3,
                1
            ).julian(),
            new DateAdjustParams (
                Convention.DATE_ROLL_FOLLOWING,
                0,
                strCurrency
            ),
            null,
            null,
            null,
            null,
            null,
            null,
            null,
            null,
            null
        );

        EmbeddedOptionSchedule eosCall = EmbeddedOptionSchedule.FromAmerican (
            dtSpot.julian(),
            new int[] {
                DateUtil.CreateFromYMD (2015, 6, 1).julian(),
                DateUtil.CreateFromYMD (2016, 6, 1).julian(),
                DateUtil.CreateFromYMD (2019, 3, 1).julian(),
            },
            new double[] {
                1.01,
                1.00,
                1.00,
            },
            false,
            15,
            15,
            false,
            Double.NaN,
            "",
            Double.NaN
        );

        SetEOS (
            bond,
            eosCall,
            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||--------------------------------------------------------------------------------------------------------------------||");

        System.out.println();

        int[] aiCallDate = eosCall.dates();

        double[] adblCallFactor = eosCall.factors();

        for (int i = 0; i < aiCallDate.length; ++i) {
            System.out.println ("\t||" +
                new JulianDate (aiCallDate[i]) + " -> " +
                adblCallFactor[i]
            );
        }

        JulianDate dtForward = DateUtil.CreateFromYMD (2018, 7, 1);

        double[] adblExerciseFactor = eosCall.exerciseFactors (dtForward.julian());

        System.out.println ("\tForward Exercise Date => " +
            dtForward + " | " +
            adblExerciseFactor[0]
        );

        EnvManager.TerminateEnv();
    }
}