Darbhanga.java

  1. package org.drip.sample.bondmetrics;

  3. import org.drip.analytics.date.*;
  4. import org.drip.product.creator.BondBuilder;
  5. import org.drip.product.credit.BondComponent;
  6. import org.drip.service.env.EnvManager;
  7. import org.drip.service.scenario.*;

  9. /*
  10.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  11.  */

  13. /*!
  14.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  15.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  16.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  17.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  18.  * 
  19.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  20.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  21.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  22.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  23.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  24.  *      and computational support.
  25.  *  
  26.  *      https://lakshmidrip.github.io/DROP/
  27.  *  
  28.  *  DROP is composed of three modules:
  29.  *  
  30.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  31.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  32.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  33.  * 
  34.  *  DROP Product Core implements libraries for the following:
  35.  *  - Fixed Income Analytics
  36.  *  - Loan Analytics
  37.  *  - Transaction Cost Analytics
  38.  * 
  39.  *  DROP Portfolio Core implements libraries for the following:
  40.  *  - Asset Allocation Analytics
  41.  *  - Asset Liability Management Analytics
  42.  *  - Capital Estimation Analytics
  43.  *  - Exposure Analytics
  44.  *  - Margin Analytics
  45.  *  - XVA Analytics
  46.  * 
  47.  *  DROP Computational Core implements libraries for the following:
  48.  *  - Algorithm Support
  49.  *  - Computation Support
  50.  *  - Function Analysis
  51.  *  - Model Validation
  52.  *  - Numerical Analysis
  53.  *  - Numerical Optimizer
  54.  *  - Spline Builder
  55.  *  - Statistical Learning
  56.  * 
  57.  *  Documentation for DROP is Spread Over:
  58.  * 
  59.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  60.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  61.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  62.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  63.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  64.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  65.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  66.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  67.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  68.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  69.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  70.  * 
  71.  *  Licensed under the Apache License, Version 2.0 (the "License");
  72.  *      you may not use this file except in compliance with the License.
  73.  *   
  74.  *  You may obtain a copy of the License at
  75.  *      http://www.apache.org/licenses/LICENSE-2.0
  76.  *  
  77.  *  Unless required by applicable law or agreed to in writing, software
  78.  *      distributed under the License is distributed on an "AS IS" BASIS,
  79.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  80.  *  
  81.  *  See the License for the specific language governing permissions and
  82.  *      limitations under the License.
  83.  */

  85. /**
  86.  * <i>Darbhanga</i> generates the Full Suite of Replication Metrics for Bond Darbhanga.
  87.  *  
  88.  * <br><br>
  89.  *  <ul>
  90.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  91.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  92.  *      <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>
  93.  *      <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>
  94.  *  </ul>
  95.  * <br><br>
  96.  * 
  97.  * @author Lakshmi Krishnamurthy
  98.  */

  100. public class Darbhanga {

  102.     public static final void main (
  103.         final String[] astArgs)
  104.         throws Exception
  105.     {
  106.         EnvManager.InitEnv (
  107.             "",
  108.             true
  109.         );

  111.         JulianDate dtSpot = DateUtil.CreateFromYMD (
  112.             2018,
  113.             DateUtil.JANUARY,
  114.             5
  115.         );

  117.         String[] astrDepositTenor = new String[] {
  118.             "2D"
  119.         };

  121.         double[] adblDepositQuote = new double[] {
  122.             0.0170393 // 2D
  123.         };

  125.         double[] adblFuturesQuote = new double[] {
  126.             0.01810,    // 98.190
  127.             0.01995,    // 98.005
  128.             0.02115,    // 97.885
  129.             0.02220,    // 97.780
  130.             0.02285,    // 97.715
  131.             0.02340     // 97.660
  132.         };

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

  154.         double[] adblFixFloatQuote = new double[] {
  155.             0.021489, //  2Y
  156.             0.022452, //  3Y
  157.             0.022964, //  4Y
  158.             0.023324, //  5Y
  159.             0.023628, //  6Y
  160.             0.029315, //  7Y
  161.             0.024195, //  8Y
  162.             0.024448, //  9Y
  163.             0.024701, // 10Y
  164.             0.024946, // 11Y
  165.             0.025155, // 12Y
  166.             0.025600, // 15Y
  167.             0.026034, // 20Y
  168.             0.026150, // 25Y
  169.             0.026107, // 30Y
  170.             0.025936, // 40Y
  171.             0.025636  // 50Y
  172.         };

  174.         String[] astrGovvieTenor = new String[] {
  175.             "1M",
  176.             "3M",
  177.             "6M",
  178.             "1Y",
  179.             "2Y",
  180.             "3Y",
  181.             "5Y",
  182.             "7Y",
  183.             "10Y",
  184.             "15Y",
  185.             "20Y",
  186.             "30Y"
  187.         };

  189.         double[] adblGovvieYield = new double[] {
  190.             0.01270, //  1M
  191.             0.01390, //  3M
  192.             0.01580, //  6M
  193.             0.01800, //  1Y
  194.             0.01960, //  2Y
  195.             0.02060, //  3Y
  196.             0.02290, //  5Y
  197.             0.02400, //  7Y
  198.             0.02470, // 10Y
  199.             0.02535, // 15Y
  200.             0.02640, // 20Y
  201.             0.02810  // 30Y
  202.         };

  204.         String[] astrCreditTenor = new String[] {
  205.             "06M",
  206.             "01Y",
  207.             "02Y",
  208.             "03Y",
  209.             "04Y",
  210.             "05Y",
  211.             "07Y",
  212.             "10Y"
  213.         };

  215.         double[] adblCreditQuote = new double[] {
  216.              60.,   //  6M
  217.              68.,   //  1Y
  218.              88.,   //  2Y
  219.             102.,   //  3Y
  220.             121.,   //  4Y
  221.             138.,   //  5Y
  222.             168.,   //  7Y
  223.             188.    // 10Y
  224.         };

  226.         double dblFX = 1.;
  227.         int iSettleLag = 3;
  228.         int iCouponFreq = 4;
  229.         String strName = "Darbhanga";
  230.         double dblCleanPrice = 1.01546;
  231.         double dblIssuePrice = 1.;
  232.         String strCurrency = "USD";
  233.         double dblSpreadBump = 20.;
  234.         double dblIssueAmount = 2.60e7;
  235.         double dblFloatSpread = 0.01255;
  236.         String strTreasuryCode = "UST";
  237.         double dblFullFirstCoupon = 0.0280378;
  238.         String strCouponDayCount = "30/360";
  239.         double dblSpreadDurationMultiplier = 5.;

  241.         JulianDate dtEffective = DateUtil.CreateFromYMD (
  242.             2015,
  243.             3,
  244.             12
  245.         );

  247.         JulianDate dtMaturity = DateUtil.CreateFromYMD (
  248.             2020,
  249.             3,
  250.             12
  251.         );

  253.         double dblResetRate = dblFullFirstCoupon - dblFloatSpread;
  254.         String strRateIndex = strCurrency + "-" + (12 / iCouponFreq) + "M";

  256.         BondComponent bond = BondBuilder.CreateSimpleFloater (
  257.             strName,
  258.             strCurrency,
  259.             strRateIndex,
  260.             strName,
  261.             dblFloatSpread,
  262.             iCouponFreq,
  263.             strCouponDayCount,
  264.             dtEffective,
  265.             dtMaturity,
  266.             null,
  267.             null
  268.         );

  270.         BondReplicator abr = BondReplicator.CorporateSenior (
  271.             dblCleanPrice,
  272.             dblIssuePrice,
  273.             dblIssueAmount,
  274.             dtSpot,
  275.             astrDepositTenor,
  276.             adblDepositQuote,
  277.             adblFuturesQuote,
  278.             astrFixFloatTenor,
  279.             adblFixFloatQuote,
  280.             dblSpreadBump,
  281.             dblSpreadDurationMultiplier,
  282.             strTreasuryCode,
  283.             astrGovvieTenor,
  284.             adblGovvieYield,
  285.             astrCreditTenor,
  286.             adblCreditQuote,
  287.             dblFX,
  288.             dblResetRate,
  289.             iSettleLag,
  290.             bond
  291.         );

  293.         BondReplicationRun abrr = abr.generateRun();

  295.         System.out.println (abrr.display());

  297.         EnvManager.TerminateEnv();
  298.     }
  299. }
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