Muzaffarpur.java

package org.drip.sample.bondmetrics;

import org.drip.analytics.cashflow.*;
import org.drip.analytics.date.*;
import org.drip.numerical.common.FormatUtil;
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.scenario.*;
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>Muzaffarpur</i> demonstrates the Analytics Calculation/Reconciliation for the Bond Muzaffarpur.
 *  
 * <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 Muzaffarpur {

    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,
            21
        );

        String[] astrDepositTenor = new String[] {
            "2D"
        };

        double[] adblDepositQuote = new double[] {
            0.012 // 2D
        };

        double[] adblFuturesQuote = new double[] {
            0.01495,
            0.0159,
            0.01675,
            0.01745,
            0.0183,
            0.01875
        };

        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[] {
            "1M",
            "3M",
            "6M",
            "1Y",
            "2Y",
            "3Y",
            "5Y",
            "7Y",
            "10Y",
            "15Y",
            "20Y",
            "30Y"
        };

        double[] adblFixFloatQuote = new double[] {
            0.017013,
            0.018047,
            0.018867,
            0.019587,
            0.02024,
            0.020881,
            0.021436,
            0.021904,
            0.022332,
            0.022728,
            0.023076,
            0.023804,
            0.024512,
            0.024828,
            0.024873,
            0.024775,
            0.024462
        };

        double[] adblGovvieYield = new double[] {
            0.0099,
            0.0104,
            0.0119,
            0.0131,
            0.0145,
            0.0159,
            0.0189,
            0.0211,
            0.0227,
            0.02397,
            0.0257,
            0.028
        };

        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;
        double dblSpread = 0.01;
        String strCurrency = "USD";
        double dblCleanPrice = 0.91734;
        double dblIssuePrice = 1.0;
        double dblSpreadBump = 20.;
        String strTreasuryCode = "UST";
        double dblIssueAmount = 7.50e8;
        double dblSpreadDurationMultiplier = 5.;
        double dblResetRate = 0.0232 - dblSpread;

        JulianDate dtEffective = DateUtil.CreateFromYMD (
            2007,
            4,
            30
        );

        JulianDate dtMaturity = DateUtil.CreateFromYMD (
            2047,
            6,
            15
        );

        BondComponent bond = BondBuilder.CreateSimpleFloater (
            "Muzaffarpur",
            "USD",
            "USD-3M",
            "Muzaffarpur",
            dblSpread,
            4,
            "Act/360",
            dtEffective,
            dtMaturity,
            null,
            null
        );

        SetEOS (
            bond,
            EmbeddedOptionSchedule.FromAmerican (
                dtSpot.julian(),
                new int[] {
                    DateUtil.CreateFromYMD (2012, 06, 15).julian(),
                    DateUtil.CreateFromYMD (2047, 06, 15).julian(),
                },
                new double[] {
                    1.00000,
                    1.00000,
                },
                false,
                30,
                30,
                false,
                Double.NaN,
                "",
                Double.NaN
            ),
            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"
        );

        BondReplicator abr = BondReplicator.CorporateSenior (
            dblCleanPrice,
            dblIssuePrice,
            dblIssueAmount,
            dtSpot,
            astrDepositTenor,
            adblDepositQuote,
            adblFuturesQuote,
            astrFixFloatTenor,
            adblFixFloatQuote,
            dblSpreadBump,
            dblSpreadDurationMultiplier,
            strTreasuryCode,
            astrGovvieTenor,
            adblGovvieYield,
            astrCreditTenor,
            adblCreditQuote,
            dblFX,
            dblResetRate,
            iSettleLag,
            bond
        );

        BondReplicationRun abrr = abr.generateRun();

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

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

        System.out.println();

        CurveSurfaceQuoteContainer csqc = abr.creditBaseCSQC();

        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 ("\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 Credit Label                                                                                      ||");

        System.out.println ("\t||           - Period Funding 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 (
                iPayDate,
                valParams,
                csqc
            ).rate();

            double dblCouponDCF = p.couponDCF();

            System.out.println ("\t|| " +
                DateUtil.YYYYMMDD (iStartDate) + " => " +
                DateUtil.YYYYMMDD (iEndDate) + " | ? | " +
                p.fundingLabel().fullyQualifiedName() + " | " +
                p.floaterLabel().fullyQualifiedName() + " | " +
                FormatUtil.FormatDouble (dblCouponRate, 1, 2, 100.) + "% | " +
                FormatUtil.FormatDouble (dblCouponDCF, 1, 4, 1.) + " | " +
                FormatUtil.FormatDouble (dblCouponRate * dblCouponDCF * p.notional (iEndDate) * p.couponFactor (iEndDate), 1, 4, 1.) + " | " +
                FormatUtil.FormatDouble (p.notional (iStartDate) - p.notional (iEndDate), 1, 4, 1.) + " | " +
                FormatUtil.FormatDouble (p.df (csqc), 1, 4, 1.) + " | " +
                FormatUtil.FormatDouble (p.survival (csqc), 1, 4, 1.) + " | " +
                FormatUtil.FormatDouble (p.recovery (csqc), 2, 0, 100.) + "% ||"
            );
        }

        System.out.println ("\t|| " +
            DateUtil.YYYYMMDD (dtEffective.julian()) + " => " +
            DateUtil.YYYYMMDD (dtMaturity.julian()) + " | ? | " +
            bond.fundingLabel().fullyQualifiedName() + " | " +
            bond.forwardLabel().get (bond.name()).fullyQualifiedName() + " | " +
            FormatUtil.FormatDouble (0., 1, 2, 100.) + "% | " +
            FormatUtil.FormatDouble (0., 1, 4, 1.) + " | " +
            FormatUtil.FormatDouble (0., 1, 4, 1.) + " | " +
            FormatUtil.FormatDouble (bond.notional (dtMaturity.julian()), 1, 4, 1.) + " | " +
            FormatUtil.FormatDouble (mdfc.df (dtMaturity), 1, 4, 1.) + " | " +
            FormatUtil.FormatDouble (1., 1, 4, 1.) + " | " +
            FormatUtil.FormatDouble (1., 2, 0, 100.) + "% ||"
        );

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

        System.out.println();

        EnvManager.TerminateEnv();
    }
}