Durgapur.java
package org.drip.sample.bondmetrics;
import org.drip.analytics.date.*;
import org.drip.product.creator.BondBuilder;
import org.drip.product.credit.BondComponent;
import org.drip.service.env.EnvManager;
import org.drip.service.scenario.*;
/*
* -*- 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>Durgapur</i> demonstrates the Analytics Calculation/Reconciliation for the Bond Durgapur.
*
* <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 Durgapur {
public static final void main (
final String[] astArgs)
throws Exception
{
EnvManager.InitEnv (
"",
true
);
JulianDate dtSpot = DateUtil.CreateFromYMD (
2017,
DateUtil.SEPTEMBER,
6
);
String[] astrDepositTenor = new String[] {
"2D"
};
double[] adblDepositQuote = new double[] {
0.0130411 // 2D
};
double[] adblFuturesQuote = new double[] {
0.01345, // 98.655
0.01470, // 98.530
0.01575, // 98.425
0.01660, // 98.340
0.01745, // 98.255
0.01845 // 98.155
};
String[] astrFixFloatTenor = new String[] {
"02Y",
"03Y",
"04Y",
"05Y",
"06Y",
"07Y",
"08Y",
"09Y",
"10Y",
"11Y",
"12Y",
"15Y",
"20Y",
"25Y",
"30Y",
"40Y",
"50Y"
};
String[] astrGovvieTenor = new String[] {
"1Y",
"2Y",
"3Y",
"5Y",
"7Y",
"10Y",
"20Y",
"30Y"
};
double[] adblFixFloatQuote = new double[] {
0.016410, // 2Y
0.017863, // 3Y
0.019030, // 4Y
0.020035, // 5Y
0.020902, // 6Y
0.021660, // 7Y
0.022307, // 8Y
0.022879, // 9Y
0.023363, // 10Y
0.023820, // 11Y
0.024172, // 12Y
0.024934, // 15Y
0.025581, // 20Y
0.025906, // 25Y
0.025973, // 30Y
0.025838, // 40Y
0.025560 // 50Y
};
double[] adblGovvieYield = new double[] {
0.01219, // 1Y
0.01391, // 2Y
0.01590, // 3Y
0.01937, // 5Y
0.02200, // 7Y
0.02378, // 10Y
0.02677, // 20Y
0.02927 // 30Y
};
String[] astrCreditTenor = new String[] {
"06M",
"01Y",
"02Y",
"03Y",
"04Y",
"05Y",
"07Y",
"10Y"
};
double[] adblCreditQuote = new double[] {
60., // 6M
68., // 1Y
88., // 2Y
102., // 3Y
121., // 4Y
138., // 5Y
168., // 7Y
188. // 10Y
};
double dblFX = 1.;
int iSettleLag = 3;
int iCouponFreq = 2;
String strName = "Durgapur";
double dblCleanPrice = 1.10297;
double dblIssuePrice = 1.;
String strCurrency = "USD";
double dblSpreadBump = 20.;
double dblCouponRate = 0.05;
double dblIssueAmount = 1.0;
String strTreasuryCode = "UST";
String strCouponDayCount = "30/360";
double dblSpreadDurationMultiplier = 5.;
JulianDate dtEffective = DateUtil.CreateFromYMD (
2014,
6,
20
);
JulianDate dtMaturity = DateUtil.CreateFromYMD (
2024,
7,
10
);
BondComponent bond = BondBuilder.CreateSimpleFixed (
strName,
strCurrency,
strName,
dblCouponRate,
iCouponFreq,
strCouponDayCount,
dtEffective,
dtMaturity,
null,
null
);
BondReplicator abr = BondReplicator.CorporateSenior (
dblCleanPrice,
dblIssuePrice,
dblIssueAmount,
dtSpot,
astrDepositTenor,
adblDepositQuote,
adblFuturesQuote,
astrFixFloatTenor,
adblFixFloatQuote,
dblSpreadBump,
dblSpreadDurationMultiplier,
strTreasuryCode,
astrGovvieTenor,
adblGovvieYield,
astrCreditTenor,
adblCreditQuote,
dblFX,
Double.NaN,
iSettleLag,
bond
);
BondReplicationRun abrr = abr.generateRun();
System.out.println (abrr.display());
EnvManager.TerminateEnv();
}
}