Puducherry.java

  1. package org.drip.sample.bondmetrics;

  3. import org.drip.analytics.date.*;
  4. import org.drip.numerical.common.Array2D;
  5. import org.drip.product.creator.BondBuilder;
  6. import org.drip.product.credit.BondComponent;
  7. import org.drip.product.params.EmbeddedOptionSchedule;
  8. import org.drip.service.env.EnvManager;
  9. import org.drip.service.scenario.*;

  11. /*
  12.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  13.  */

  15. /*!
  16.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  17.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  18.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  19.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  20.  * 
  21.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  22.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  23.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  24.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  25.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  26.  *      and computational support.
  27.  *  
  28.  *      https://lakshmidrip.github.io/DROP/
  29.  *  
  30.  *  DROP is composed of three modules:
  31.  *  
  32.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  33.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  34.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  35.  * 
  36.  *  DROP Product Core implements libraries for the following:
  37.  *  - Fixed Income Analytics
  38.  *  - Loan Analytics
  39.  *  - Transaction Cost Analytics
  40.  * 
  41.  *  DROP Portfolio Core implements libraries for the following:
  42.  *  - Asset Allocation Analytics
  43.  *  - Asset Liability Management Analytics
  44.  *  - Capital Estimation Analytics
  45.  *  - Exposure Analytics
  46.  *  - Margin Analytics
  47.  *  - XVA Analytics
  48.  * 
  49.  *  DROP Computational Core implements libraries for the following:
  50.  *  - Algorithm Support
  51.  *  - Computation Support
  52.  *  - Function Analysis
  53.  *  - Model Validation
  54.  *  - Numerical Analysis
  55.  *  - Numerical Optimizer
  56.  *  - Spline Builder
  57.  *  - Statistical Learning
  58.  * 
  59.  *  Documentation for DROP is Spread Over:
  60.  * 
  61.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  62.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  63.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  64.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  65.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  66.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  67.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  68.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  69.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  70.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  71.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  72.  * 
  73.  *  Licensed under the Apache License, Version 2.0 (the "License");
  74.  *      you may not use this file except in compliance with the License.
  75.  *   
  76.  *  You may obtain a copy of the License at
  77.  *      http://www.apache.org/licenses/LICENSE-2.0
  78.  *  
  79.  *  Unless required by applicable law or agreed to in writing, software
  80.  *      distributed under the License is distributed on an "AS IS" BASIS,
  81.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  82.  *  
  83.  *  See the License for the specific language governing permissions and
  84.  *      limitations under the License.
  85.  */

  87. /**
  88.  * <i>Puducherry</i> generates the Full Suite of Replication Metrics for Bond Puducherry.
  89.  *  
  90.  * <br><br>
  91.  *  <ul>
  92.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  93.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  94.  *      <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>
  95.  *      <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>
  96.  *  </ul>
  97.  * <br><br>
  98.  * 
  99.  * @author Lakshmi Krishnamurthy
  100.  */

  102. public class Puducherry {

  104.     private static final void SetEOS (
  105.         final BondComponent bond,
  106.         final EmbeddedOptionSchedule eosCall,
  107.         final EmbeddedOptionSchedule eosPut)
  108.         throws java.lang.Exception
  109.     {
  110.         if (null != eosPut) bond.setEmbeddedPutSchedule (eosPut);

  112.         if (null != eosCall) bond.setEmbeddedCallSchedule (eosCall);
  113.     }

  115.     public static final void main (
  116.         final String[] astArgs)
  117.         throws Exception
  118.     {
  119.         EnvManager.InitEnv (
  120.             "",
  121.             true
  122.         );

  124.         JulianDate dtSpot = DateUtil.CreateFromYMD (
  125.             2017,
  126.             DateUtil.JULY,
  127.             10
  128.         );

  130.         String[] astrDepositTenor = new String[] {
  131.             "2D"
  132.         };

  134.         double[] adblDepositQuote = new double[] {
  135.             0.0130411 // 2D
  136.         };

  138.         double[] adblFuturesQuote = new double[] {
  139.             0.01345,    // 98.655
  140.             0.01470,    // 98.530
  141.             0.01575,    // 98.425
  142.             0.01660,    // 98.340
  143.             0.01745,    // 98.255
  144.             0.01845     // 98.155
  145.         };

  147.         String[] astrFixFloatTenor = new String[] {
  148.             "02Y",
  149.             "03Y",
  150.             "04Y",
  151.             "05Y",
  152.             "06Y",
  153.             "07Y",
  154.             "08Y",
  155.             "09Y",
  156.             "10Y",
  157.             "11Y",
  158.             "12Y",
  159.             "15Y",
  160.             "20Y",
  161.             "25Y",
  162.             "30Y",
  163.             "40Y",
  164.             "50Y"
  165.         };

  167.         String[] astrGovvieTenor = new String[] {
  168.             "1Y",
  169.             "2Y",
  170.             "3Y",
  171.             "5Y",
  172.             "7Y",
  173.             "10Y",
  174.             "20Y",
  175.             "30Y"
  176.         };

  178.         double[] adblFixFloatQuote = new double[] {
  179.             0.016410, //  2Y
  180.             0.017863, //  3Y
  181.             0.019030, //  4Y
  182.             0.020035, //  5Y
  183.             0.020902, //  6Y
  184.             0.021660, //  7Y
  185.             0.022307, //  8Y
  186.             0.022879, //  9Y
  187.             0.023363, // 10Y
  188.             0.023820, // 11Y
  189.             0.024172, // 12Y
  190.             0.024934, // 15Y
  191.             0.025581, // 20Y
  192.             0.025906, // 25Y
  193.             0.025973, // 30Y
  194.             0.025838, // 40Y
  195.             0.025560  // 50Y
  196.         };

  198.         double[] adblGovvieYield = new double[] {
  199.             0.01219, //  1Y
  200.             0.01391, //  2Y
  201.             0.01590, //  3Y
  202.             0.01937, //  5Y
  203.             0.02200, //  7Y
  204.             0.02378, // 10Y
  205.             0.02677, // 20Y
  206.             0.02927  // 30Y
  207.         };

  209.         String[] astrCreditTenor = new String[] {
  210.             "06M",
  211.             "01Y",
  212.             "02Y",
  213.             "03Y",
  214.             "04Y",
  215.             "05Y",
  216.             "07Y",
  217.             "10Y"
  218.         };

  220.         double[] adblCreditQuote = new double[] {
  221.              60.,   //  6M
  222.              68.,   //  1Y
  223.              88.,   //  2Y
  224.             102.,   //  3Y
  225.             121.,   //  4Y
  226.             138.,   //  5Y
  227.             168.,   //  7Y
  228.             188.    // 10Y
  229.         };

  231.         double dblFX = 1.;
  232.         int iSettleLag = 3;
  233.         int iCouponFreq = 2;
  234.         String strName = "Puducherry";
  235.         double dblCleanPrice = 0.4;
  236.         double dblIssuePrice = 0.4;
  237.         String strCurrency = "USD";
  238.         double dblSpreadBump = 20.;
  239.         double dblCouponRate = 0.00000;
  240.         double dblIssueAmount = 903433.6;
  241.         String strTreasuryCode = "UST";
  242.         String strCouponDayCount = "30/360";
  243.         double dblSpreadDurationMultiplier = 5.;
  244.         String strDateFactor = "1/1/2050;903433.6;1/1/2051;843446.4;1/1/2052;787414.4;1/1/2053;735008.0;7/1/2053;170403.2";

  246.         JulianDate dtEffective = DateUtil.CreateFromYMD (
  247.             2013,
  248.             12,
  249.             23
  250.         );

  252.         JulianDate dtMaturity = DateUtil.CreateFromYMD (
  253.             2053,
  254.             7,
  255.             1
  256.         );

  258.         BondComponent bond = BondBuilder.CreateSimpleFixed (
  259.             strName,
  260.             strCurrency,
  261.             strName,
  262.             dblCouponRate,
  263.             iCouponFreq,
  264.             strCouponDayCount,
  265.             dtEffective,
  266.             dtMaturity,
  267.             Array2D.FromDateFactorVertex (
  268.                 strDateFactor,
  269.                 dtMaturity.julian(),
  270.                 dblIssueAmount
  271.             ),
  272.             null
  273.         );

  275.         SetEOS (
  276.             bond,
  277.             null,
  278.             null
  279.         );

  281.         BondReplicator abr = BondReplicator.CorporateSenior (
  282.             dblCleanPrice,
  283.             dblIssuePrice,
  284.             dblIssueAmount,
  285.             dtSpot,
  286.             astrDepositTenor,
  287.             adblDepositQuote,
  288.             adblFuturesQuote,
  289.             astrFixFloatTenor,
  290.             adblFixFloatQuote,
  291.             dblSpreadBump,
  292.             dblSpreadDurationMultiplier,
  293.             strTreasuryCode,
  294.             astrGovvieTenor,
  295.             adblGovvieYield,
  296.             astrCreditTenor,
  297.             adblCreditQuote,
  298.             dblFX,
  299.             Double.NaN,
  300.             iSettleLag,
  301.             bond
  302.         );

  304.         BondReplicationRun abrr = abr.generateRun();

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

  308.         EnvManager.TerminateEnv();
  309.     }
  310. }
Created with JaCoCo 0.7.9.201702052155