Reconciler_Float.java
package org.drip.sample.bondmetrics;
import java.util.*;
import org.drip.analytics.cashflow.*;
import org.drip.analytics.date.*;
import org.drip.numerical.common.FormatUtil;
import org.drip.param.creator.MarketParamsBuilder;
import org.drip.param.market.CurveSurfaceQuoteContainer;
import org.drip.param.valuation.*;
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.credit.CreditCurve;
import org.drip.state.discount.MergedDiscountForwardCurve;
import org.drip.state.govvie.GovvieCurve;
/*
* -*- 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>Reconciler_Float</i> demonstrates the Analytics Calculation/Reconciliation for the Floater Bond KWA6SA.
*
* <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 Reconciler_Float {
private static final MergedDiscountForwardCurve FundingCurve (
final JulianDate dtSpot,
final String strCurrency,
final double dblBump)
throws Exception
{
String[] astrDepositMaturityTenor = new String[] {
"2D"
};
double[] adblDepositQuote = new double[] {
0.0130411 + dblBump // 2D
};
double[] adblFuturesQuote = new double[] {
0.01345 + dblBump, // 98.655
0.01470 + dblBump, // 98.530
0.01575 + dblBump, // 98.425
0.01660 + dblBump, // 98.340
0.01745 + dblBump, // 98.255
0.01845 + dblBump // 98.155
};
String[] astrFixFloatMaturityTenor = new String[] {
"02Y",
"03Y",
"04Y",
"05Y",
"06Y",
"07Y",
"08Y",
"09Y",
"10Y",
"11Y",
"12Y",
"15Y",
"20Y",
"25Y",
"30Y",
"40Y",
"50Y"
};
double[] adblFixFloatQuote = new double[] {
0.016410 + dblBump, // 2Y
0.017863 + dblBump, // 3Y
0.019030 + dblBump, // 4Y
0.020035 + dblBump, // 5Y
0.020902 + dblBump, // 6Y
0.021660 + dblBump, // 7Y
0.022307 + dblBump, // 8Y
0.022879 + dblBump, // 9Y
0.023363 + dblBump, // 10Y
0.023820 + dblBump, // 11Y
0.024172 + dblBump, // 12Y
0.024934 + dblBump, // 15Y
0.025581 + dblBump, // 20Y
0.025906 + dblBump, // 25Y
0.025973 + dblBump, // 30Y
0.025838 + dblBump, // 40Y
0.025560 + dblBump // 50Y
};
return LatentMarketStateBuilder.SmoothFundingCurve (
dtSpot,
strCurrency,
astrDepositMaturityTenor,
adblDepositQuote,
"ForwardRate",
adblFuturesQuote,
"ForwardRate",
astrFixFloatMaturityTenor,
adblFixFloatQuote,
"SwapRate"
);
}
private static final Map<String, MergedDiscountForwardCurve> TenorBumpedFundingCurve (
final JulianDate dtSpot,
final String strCurrency,
final double dblBump)
throws Exception
{
String[] astrDepositMaturityTenor = 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[] astrFixFloatMaturityTenor = new String[] {
"02Y",
"03Y",
"04Y",
"05Y",
"06Y",
"07Y",
"08Y",
"09Y",
"10Y",
"11Y",
"12Y",
"15Y",
"20Y",
"25Y",
"30Y",
"40Y",
"50Y"
};
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
};
return LatentMarketStateBuilder.BumpedFundingCurve (
dtSpot,
strCurrency,
astrDepositMaturityTenor,
adblDepositQuote,
"ForwardRate",
adblFuturesQuote,
"ForwardRate",
astrFixFloatMaturityTenor,
adblFixFloatQuote,
"SwapRate",
LatentMarketStateBuilder.SMOOTH,
dblBump,
false
);
}
private static final GovvieCurve GovvieCurve (
final JulianDate dtSpot,
final String strCode,
final double[] adblGovvieYield)
throws Exception
{
return LatentMarketStateBuilder.GovvieCurve (
strCode,
dtSpot,
new JulianDate[] {
dtSpot,
dtSpot,
dtSpot,
dtSpot,
dtSpot,
dtSpot,
dtSpot,
dtSpot
},
new JulianDate[] {
dtSpot.addTenor ("1Y"),
dtSpot.addTenor ("2Y"),
dtSpot.addTenor ("3Y"),
dtSpot.addTenor ("5Y"),
dtSpot.addTenor ("7Y"),
dtSpot.addTenor ("10Y"),
dtSpot.addTenor ("20Y"),
dtSpot.addTenor ("30Y")
},
adblGovvieYield,
adblGovvieYield,
"Yield",
LatentMarketStateBuilder.SHAPE_PRESERVING
);
}
private static final Map<String, GovvieCurve> TenorBumpedGovvieCurve (
final JulianDate dtSpot,
final String strCode,
final double dblBump,
final double[] adblGovvieYield)
throws Exception
{
return LatentMarketStateBuilder.BumpedGovvieCurve (
strCode,
dtSpot,
new JulianDate[] {
dtSpot,
dtSpot,
dtSpot,
dtSpot,
dtSpot,
dtSpot,
dtSpot,
dtSpot
},
new JulianDate[] {
dtSpot.addTenor ("1Y"),
dtSpot.addTenor ("2Y"),
dtSpot.addTenor ("3Y"),
dtSpot.addTenor ("5Y"),
dtSpot.addTenor ("7Y"),
dtSpot.addTenor ("10Y"),
dtSpot.addTenor ("20Y"),
dtSpot.addTenor ("30Y")
},
adblGovvieYield,
adblGovvieYield,
"Yield",
LatentMarketStateBuilder.SHAPE_PRESERVING,
dblBump,
false
);
}
private static final CreditCurve CreditCurve (
final JulianDate dtSpot,
final String strCreditCurve,
final MergedDiscountForwardCurve mdfc,
final String[] astrCreditTenor,
final double dblBump)
throws Exception
{
return LatentMarketStateBuilder.CreditCurve (
dtSpot,
strCreditCurve,
astrCreditTenor,
new double[] {
60., // 6M
68., // 1Y
88., // 2Y
102., // 3Y
121., // 4Y
138., // 5Y
168., // 7Y
188. // 10Y
},
new double[] {
60. + dblBump, // 6M
68. + dblBump, // 1Y
88. + dblBump, // 2Y
102. + dblBump, // 3Y
121. + dblBump, // 4Y
138. + dblBump, // 5Y
168. + dblBump, // 7Y
188. + dblBump // 10Y
},
"FairPremium",
mdfc
);
}
private static final Map<String, CreditCurve> TenorBumpedCreditCurve (
final JulianDate dtSpot,
final String strCreditCurve,
final MergedDiscountForwardCurve mdfc,
final double dblBump)
throws Exception
{
return LatentMarketStateBuilder.BumpedCreditCurve (
dtSpot,
strCreditCurve,
new String[] {
"06M",
"01Y",
"02Y",
"03Y",
"04Y",
"05Y",
"07Y",
"10Y"
},
new double[] {
60., // 6M
68., // 1Y
88., // 2Y
102., // 3Y
121., // 4Y
138., // 5Y
168., // 7Y
188. // 10Y
},
new double[] {
60., // 6M
68., // 1Y
88., // 2Y
102., // 3Y
121., // 4Y
138., // 5Y
168., // 7Y
188. // 10Y
},
"FairPremium",
mdfc,
dblBump,
false
);
}
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);
}
private static final int NextCallDate (
final BondComponent bond,
final int iSpotDate)
throws java.lang.Exception
{
EmbeddedOptionSchedule eosCall = bond.callSchedule();
return null == eosCall ? bond.maturityDate().julian() : eosCall.nextDate (iSpotDate);
}
private static final double NextCallFactor (
final BondComponent bond,
final int iSpotDate)
throws java.lang.Exception
{
EmbeddedOptionSchedule eosCall = bond.callSchedule();
return null == eosCall ? 1. : eosCall.nextFactor (iSpotDate);
}
public static final void main (
final String[] astrArgs)
throws Exception
{
EnvManager.InitEnv (
"",
true
);
JulianDate dtSpot = DateUtil.CreateFromYMD (
2017,
DateUtil.JULY,
10
);
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 = 12;
String strName = "KWA6SA";
double dblCleanPrice = 1.;
double dblIssuePrice = 1.;
String strCurrency = "USD";
double dblSpreadBump = 20.;
double dblIssueAmount = 2.60e7;
String strTreasuryCode = "UST";
double dblFullFirstCoupon = 0.0425;
String strCouponDayCount = "30/360";
double dblSpreadDurationMultiplier = 5.;
JulianDate dtEffective = DateUtil.CreateFromYMD (
2015,
9,
18
);
JulianDate dtMaturity = DateUtil.CreateFromYMD (
2025,
10,
1
);
int iSpotDate = dtSpot.julian();
JulianDate dtSettle = dtSpot.addBusDays (
iSettleLag,
strCurrency
);
ValuationParams valParams = new ValuationParams (
dtSpot,
dtSettle,
strCurrency
);
MergedDiscountForwardCurve mdfcBase = FundingCurve (
dtSpot,
strCurrency,
0.
);
double dblUSD3MLIBOR = mdfcBase.libor (
dtSpot,
(12 / iCouponFreq) + "M"
);
double dblResetRate = dblUSD3MLIBOR;
String strRateIndex = strCurrency + "-" + (12 / iCouponFreq) + "M";
BondComponent bond = BondBuilder.CreateSimpleFloater (
strName,
strCurrency,
strRateIndex,
strName,
dblFullFirstCoupon - dblUSD3MLIBOR,
iCouponFreq,
"30/360",
dtEffective,
dtMaturity,
null,
null
);
CompositeFloatingPeriod cfp = (CompositeFloatingPeriod) bond.stream().containingPeriod (iSpotDate);
int iResetDate = ((ComposableUnitFloatingPeriod) (cfp.periods().get (0))).referenceIndexPeriod().fixingDate();
SetEOS (
bond,
new EmbeddedOptionSchedule (
new int[] {
DateUtil.CreateFromYMD (2019, 02, 14).julian(),
},
new double[] {
1.0000,
},
false,
15,
false,
Double.NaN,
"",
Double.NaN
),
null
);
GovvieCurve gc = GovvieCurve (
dtSpot,
strTreasuryCode,
adblGovvieYield
);
CurveSurfaceQuoteContainer csqcBase = MarketParamsBuilder.Create (
mdfcBase,
gc,
null,
null,
null,
null,
null
);
csqcBase.setFixing (
iResetDate,
bond.floaterSetting().fri(),
dblResetRate
);
CurveSurfaceQuoteContainer csqcCreditBase = MarketParamsBuilder.Create (
mdfcBase,
gc,
CreditCurve (
dtSpot,
strName,
mdfcBase,
astrCreditTenor,
0.
),
null,
null,
null,
null
);
csqcCreditBase.setFixing (
iResetDate,
bond.floaterSetting().fri(),
dblResetRate
);
CurveSurfaceQuoteContainer csqcBumped01Up = MarketParamsBuilder.Create (
FundingCurve (
dtSpot,
strCurrency,
0.0001
),
gc,
null,
null,
null,
null,
null
);
csqcBumped01Up.setFixing (
iResetDate,
bond.floaterSetting().fri(),
dblResetRate + 0.0001
);
CurveSurfaceQuoteContainer csqcCreditBumped01Up = MarketParamsBuilder.Create (
mdfcBase,
gc,
CreditCurve (
dtSpot,
strName,
mdfcBase,
astrCreditTenor,
1.
),
null,
null,
null,
null
);
csqcCreditBumped01Up.setFixing (
iResetDate,
bond.floaterSetting().fri(),
dblResetRate
);
double dblAccrued = bond.accrued (
dtSettle.julian(),
csqcBase
);
WorkoutInfo wi = bond.exerciseYieldFromPrice (
valParams,
csqcBase,
null,
dblCleanPrice
);
double dblBondBasisToMaturity = bond.bondBasisFromPrice (
valParams,
csqcBase,
null,
dblCleanPrice
);
double dblModifiedDurationToMaturity = (
dblCleanPrice - bond.priceFromBondBasis (
valParams,
csqcBumped01Up,
null,
dblBondBasisToMaturity
)
) / dblCleanPrice;
double dblYieldToMaturity = bond.yieldFromPrice (
valParams,
csqcBase,
null,
dblCleanPrice
);
double dblBondEquivalentYieldToMaturity = bond.yieldFromPrice (
valParams,
csqcBase,
ValuationCustomizationParams.BondEquivalent (strCurrency),
dblCleanPrice
);
double dblFlatForwardRateYieldToMaturity = bond.yieldFromPrice (
valParams,
csqcBase,
new ValuationCustomizationParams (
strCouponDayCount,
iCouponFreq,
false,
null,
strCurrency,
false,
true
),
dblCleanPrice
);
double dblYieldToExercise = bond.yieldFromPrice (
valParams,
csqcBase,
null,
wi.date(),
wi.factor(),
dblCleanPrice
);
double dblYieldToNextCall = bond.yieldFromPrice (
valParams,
csqcBase,
null,
NextCallDate (
bond,
iSpotDate
),
NextCallFactor (
bond,
iSpotDate
),
dblCleanPrice
);
double dblNominalYield = bond.yieldFromPrice (
valParams,
csqcBase,
null,
dblIssuePrice
);
double dblOASToMaturity = bond.oasFromPrice (
valParams,
csqcBase,
null,
dblCleanPrice
);
double dblOASToExercise = bond.oasFromPrice (
valParams,
csqcBase,
null,
wi.date(),
wi.factor(),
dblCleanPrice
);
double dblZSpreadToMaturity = bond.discountMarginFromPrice (
valParams,
csqcBase,
null,
dblCleanPrice
);
double dblZSpreadToExercise = bond.discountMarginFromPrice (
valParams,
csqcBase,
null,
wi.date(),
wi.factor(),
dblCleanPrice
);
double dblParZSpreadToExercise = bond.discountMarginFromPrice (
valParams,
csqcBase,
null,
wi.date(),
wi.factor(),
1.
);
double dblParOASToExercise = bond.oasFromPrice (
valParams,
csqcBase,
null,
wi.date(),
wi.factor(),
1.
);
double dblMacaulayDurationToMaturity = bond.macaulayDurationFromPrice (
valParams,
csqcBase,
null,
dblCleanPrice
);
double dblBondBasisToExercise = bond.bondBasisFromPrice (
valParams,
csqcBase,
null,
wi.date(),
wi.factor(),
dblCleanPrice
);
double dblModifiedDurationToWorst = (
dblCleanPrice - bond.priceFromBondBasis (
valParams,
csqcBumped01Up,
null,
wi.date(),
wi.factor(),
dblBondBasisToExercise
)
) / dblCleanPrice;
double dblDV01 = 0.5 * (
bond.priceFromYield (
valParams,
csqcBase,
null,
wi.date(),
wi.factor(),
dblYieldToExercise - 0.0001 * dblSpreadBump
) -
bond.priceFromYield (
valParams,
csqcBase,
null,
wi.date(),
wi.factor(),
dblYieldToExercise + 0.0001 * dblSpreadBump
)
) / dblSpreadBump;
double dblEffectiveDuration = dblDV01 / dblCleanPrice;
double dblCreditBasisToExercise = bond.creditBasisFromPrice (
valParams,
csqcCreditBase,
null,
wi.date(),
wi.factor(),
dblCleanPrice
);
double dblParCreditBasisToExercise = bond.creditBasisFromPrice (
valParams,
csqcCreditBase,
null,
wi.date(),
wi.factor(),
1.
);
double dblEffectiveDurationAdj = 0.5 * (
bond.priceFromCreditBasis (
valParams,
csqcCreditBase,
null,
wi.date(),
wi.factor(),
dblCreditBasisToExercise - dblSpreadBump
) -
bond.priceFromCreditBasis (
valParams,
csqcCreditBase,
null,
wi.date(),
wi.factor(),
dblCreditBasisToExercise + dblSpreadBump
)
) / dblCleanPrice / dblSpreadBump;
double dblSpreadDuration = dblSpreadDurationMultiplier * (dblCleanPrice -
bond.priceFromDiscountMargin (
valParams,
csqcBase,
null,
wi.date(),
wi.factor(),
dblZSpreadToExercise + 0.0001 * dblSpreadBump
)
) / dblCleanPrice;
double dblCV01 = dblCleanPrice - bond.priceFromCreditBasis (
valParams,
csqcCreditBumped01Up,
null,
wi.date(),
wi.factor(),
dblCreditBasisToExercise
);
Map<String, Double> mapLIBORKRD = new HashMap<String, Double>();
Map<String, Double> mapLIBORKPRD = new HashMap<String, Double>();
Map<String, MergedDiscountForwardCurve> mapFundingCurve = TenorBumpedFundingCurve (
dtSpot,
strCurrency,
0.0001
);
for (Map.Entry<String, MergedDiscountForwardCurve> meFunding : mapFundingCurve.entrySet()) {
CurveSurfaceQuoteContainer csqcFunding = MarketParamsBuilder.Create (
meFunding.getValue(),
gc,
null,
null,
null,
null,
null
);
csqcFunding.setFixing (
iResetDate,
bond.floaterSetting().fri(),
dblResetRate + 0.0001
);
mapLIBORKRD.put (
meFunding.getKey(),
(dblCleanPrice - bond.priceFromDiscountMargin (
valParams,
csqcFunding,
null,
wi.date(),
wi.factor(),
dblZSpreadToExercise
)) / dblCleanPrice
);
mapLIBORKPRD.put (
meFunding.getKey(),
1. - bond.priceFromDiscountMargin (
valParams,
csqcFunding,
null,
wi.date(),
wi.factor(),
dblParZSpreadToExercise
)
);
}
Map<String, Double> mapGovvieKRD = new HashMap<String, Double>();
Map<String, Double> mapGovvieKPRD = new HashMap<String, Double>();
Map<String, GovvieCurve> mapGovvieCurve = TenorBumpedGovvieCurve (
dtSpot,
strTreasuryCode,
0.0001,
adblGovvieYield
);
for (Map.Entry<String, GovvieCurve> meGovvie : mapGovvieCurve.entrySet()) {
CurveSurfaceQuoteContainer csqcGovvie = MarketParamsBuilder.Create (
mdfcBase,
meGovvie.getValue(),
null,
null,
null,
null,
null
);
csqcGovvie.setFixing (
iResetDate,
bond.floaterSetting().fri(),
dblResetRate
);
mapGovvieKRD.put (
meGovvie.getKey(),
(dblCleanPrice - bond.priceFromOAS (
valParams,
csqcGovvie,
null,
wi.date(),
wi.factor(),
dblOASToExercise
)) / dblCleanPrice
);
mapGovvieKPRD.put (
meGovvie.getKey(),
1. - bond.priceFromOAS (
valParams,
csqcGovvie,
null,
wi.date(),
wi.factor(),
dblParOASToExercise
)
);
}
Map<String, Double> mapCreditKRD = new HashMap<String, Double>();
Map<String, Double> mapCreditKPRD = new HashMap<String, Double>();
Map<String, CreditCurve> mapCreditCurve = TenorBumpedCreditCurve (
dtSpot,
strName,
mdfcBase,
1.
);
for (Map.Entry<String, CreditCurve> meCredit : mapCreditCurve.entrySet()) {
CurveSurfaceQuoteContainer csqcCredit = MarketParamsBuilder.Create (
mdfcBase,
gc,
meCredit.getValue(),
null,
null,
null,
null
);
csqcCredit.setFixing (
iResetDate,
bond.floaterSetting().fri(),
dblResetRate
);
mapCreditKRD.put (
meCredit.getKey(),
(dblCleanPrice - bond.priceFromCreditBasis (
valParams,
csqcCredit,
null,
wi.date(),
wi.factor(),
dblCreditBasisToExercise
)) / dblCleanPrice
);
mapCreditKPRD.put (
meCredit.getKey(),
1. - bond.priceFromCreditBasis (
valParams,
csqcCredit,
null,
wi.date(),
wi.factor(),
dblParCreditBasisToExercise
)
);
}
double dblConvexityToExercise = bond.convexityFromPrice (
valParams,
csqcBase,
null,
wi.date(),
wi.factor(),
dblCleanPrice
);
double dblDiscountMarginToExercise = dblYieldToExercise - mdfcBase.libor (
dtSpot,
"1M"
);
double dblESpreadToExercise = bond.discountMarginFromPrice (
valParams,
MarketParamsBuilder.Create (
LatentMarketStateBuilder.SmoothFundingCurve (
dtSpot,
strCurrency,
astrDepositTenor,
adblDepositQuote,
"ForwardRate",
adblFuturesQuote,
"ForwardRate",
null,
null,
"SwapRate"
),
gc,
null,
null,
null,
null,
null
),
null,
wi.date(),
wi.factor(),
dblCleanPrice
);
double dblISpreadToExercise = bond.iSpreadFromPrice (
valParams,
csqcBase,
null,
wi.date(),
wi.factor(),
dblCleanPrice
);
double dblJSpreadToExercise = bond.jSpreadFromPrice (
valParams,
csqcBase,
null,
wi.date(),
wi.factor(),
dblCleanPrice
);
double dblWALToExercise = bond.weightedAverageLife (
valParams,
csqcBase,
wi.date(),
wi.factor()
);
double dblWALPrincipalOnlyToExercise = bond.weightedAverageLifePrincipalOnly (
valParams,
csqcBase,
wi.date(),
wi.factor()
);
double dblWALLossOnlyToExercise = bond.weightedAverageLifeLossOnly (
valParams,
csqcCreditBase,
wi.date(),
wi.factor()
);
double dblWALCouponOnlyToExercise = bond.weightedAverageLifeCouponOnly (
valParams,
csqcBase,
wi.date(),
wi.factor()
);
BondReplicator ar = BondReplicator.CorporateSenior (
dblCleanPrice,
dblIssuePrice,
dblIssueAmount,
dtSpot,
astrDepositTenor,
adblDepositQuote,
adblFuturesQuote,
astrFixFloatTenor,
adblFixFloatQuote,
dblSpreadBump,
dblSpreadDurationMultiplier,
strTreasuryCode,
astrGovvieTenor,
adblGovvieYield,
astrCreditTenor,
adblCreditQuote,
dblFX,
dblUSD3MLIBOR,
iSettleLag,
bond
);
BondReplicationRun arr = ar.generateRun();
Map<String, NamedField> mapNF = arr.namedField();
Map<String, NamedFieldMap> mapNFM = arr.namedFieldMap();
NamedFieldMap nfmLIBORKRD = mapNFM.get ("LIBOR KRD");
NamedFieldMap nfmLIBORKPRD = mapNFM.get ("LIBOR KPRD");
NamedFieldMap nfmGovvieKRD = mapNFM.get ("Govvie KRD");
NamedFieldMap nfmGovvieKPRD = mapNFM.get ("Govvie KPRD");
NamedFieldMap nfmCreditKRD = mapNFM.get ("Credit KRD");
NamedFieldMap nfmCreditKPRD = mapNFM.get ("Credit KPRD");
System.out.println();
System.out.println ("\t||------------------------------------------------||");
System.out.println (
"\t|| ID => " +
strName + "-" + strCurrency
);
System.out.println (
"\t|| Price => " +
FormatUtil.FormatDouble (dblCleanPrice, 3, 3, 100.) + " | " +
FormatUtil.FormatDouble (mapNF.get ("Price").value(), 3, 3, 100.)
);
System.out.println (
"\t|| Market Value => " +
FormatUtil.FormatDouble (dblCleanPrice * dblIssueAmount, 7, 2, 1.) + " | " +
FormatUtil.FormatDouble (mapNF.get ("Market Value").value(), 7, 2, 1.)
);
System.out.println (
"\t|| Accrued => " +
FormatUtil.FormatDouble (dblAccrued, 1, 4, 1.) + " | " +
FormatUtil.FormatDouble (mapNF.get ("Accrued").value(), 1, 4, 1.)
);
System.out.println (
"\t|| Accrued => " +
FormatUtil.FormatDouble (dblAccrued * dblIssueAmount, 5, 2, 1.) + " | " +
FormatUtil.FormatDouble (mapNF.get ("Accrued$").value(), 5, 2, 1.)
);
System.out.println (
"\t|| Accrued Interest Factor => " +
FormatUtil.FormatDouble (dblAccrued * dblFX, 1, 4, 1.) + " | " +
FormatUtil.FormatDouble (mapNF.get ("Accrued Interest Factor").value(), 1, 4, 1.)
);
System.out.println (
"\t|| Yield To Maturity => " +
FormatUtil.FormatDouble (dblYieldToMaturity, 1, 2, 100.) + "% | " +
FormatUtil.FormatDouble (mapNF.get ("Yield To Maturity").value(), 1, 2, 100.) + "%"
);
System.out.println (
"\t|| Yield To Maturity CBE => " +
FormatUtil.FormatDouble (dblBondEquivalentYieldToMaturity, 1, 2, 100.) + "% | " +
FormatUtil.FormatDouble (mapNF.get ("Yield To Maturity CBE").value(), 1, 2, 100.) + "%"
);
System.out.println (
"\t|| YTM fwdCpn => " +
FormatUtil.FormatDouble (dblFlatForwardRateYieldToMaturity, 1, 2, 100.) + "% | " +
FormatUtil.FormatDouble (mapNF.get ("YTM fwdCpn").value(), 1, 2, 100.) + "%"
);
System.out.println (
"\t|| Yield To Worst => " +
FormatUtil.FormatDouble (dblYieldToExercise, 1, 2, 100.) + "% | " +
FormatUtil.FormatDouble (mapNF.get ("Yield To Worst").value(), 1, 2, 100.) + "%"
);
System.out.println (
"\t|| YIELD TO CALL => " +
FormatUtil.FormatDouble (dblYieldToNextCall, 1, 2, 100.) + "% | " +
FormatUtil.FormatDouble (mapNF.get ("YIELD TO CALL").value(), 1, 2, 100.) + "%"
);
System.out.println (
"\t|| Nominal Yield => " +
FormatUtil.FormatDouble (dblNominalYield, 1, 2, 100.) + "% | " +
FormatUtil.FormatDouble (mapNF.get ("Nominal Yield").value(), 1, 2, 100.) + "%"
);
System.out.println (
"\t|| Z_Spread => " +
FormatUtil.FormatDouble (dblOASToMaturity, 3, 1, 10000.) + " | " +
FormatUtil.FormatDouble (mapNF.get ("Z_Spread").value(), 3, 1, 10000.)
);
System.out.println (
"\t|| Z_Vol_OAS => " +
FormatUtil.FormatDouble (dblZSpreadToMaturity, 3, 1, 10000.) + " | " +
FormatUtil.FormatDouble (mapNF.get ("Z_Vol_OAS").value(), 3, 1, 10000.)
);
System.out.println (
"\t|| OAS => " +
FormatUtil.FormatDouble (dblZSpreadToExercise, 3, 1, 10000.) + " | " +
FormatUtil.FormatDouble (mapNF.get ("OAS").value(), 3, 1, 10000.)
);
System.out.println (
"\t|| TSY OAS => " +
FormatUtil.FormatDouble (dblOASToExercise, 3, 1, 10000.) + " | " +
FormatUtil.FormatDouble (mapNF.get ("TSY OAS").value(), 3, 1, 10000.)
);
System.out.println (
"\t|| MOD DUR => " +
FormatUtil.FormatDouble (dblModifiedDurationToMaturity, 1, 3, 10000.) + " | " +
FormatUtil.FormatDouble (mapNF.get ("MOD DUR").value(), 1, 3, 10000.)
);
System.out.println (
"\t|| MACAULAY DURATION => " +
FormatUtil.FormatDouble (dblMacaulayDurationToMaturity, 1, 3, 1.) + " | " +
FormatUtil.FormatDouble (mapNF.get ("MACAULAY DURATION").value(), 1, 3, 1.)
);
System.out.println (
"\t|| MOD DUR TO WORST => " +
FormatUtil.FormatDouble (dblModifiedDurationToWorst, 1, 3, 10000.) + " | " +
FormatUtil.FormatDouble (mapNF.get ("MOD DUR TO WORST").value(), 1, 3, 10000.)
);
System.out.println (
"\t|| EFFECTIVE DURATION => " +
FormatUtil.FormatDouble (dblEffectiveDuration, 1, 3, 10000.) + " | " +
FormatUtil.FormatDouble (mapNF.get ("EFFECTIVE DURATION").value(), 1, 3, 10000.)
);
System.out.println (
"\t|| EFFECTIVE DURATION ADJ => " +
FormatUtil.FormatDouble (dblEffectiveDurationAdj, 1, 3, 10000.) + " | " +
FormatUtil.FormatDouble (mapNF.get ("EFFECTIVE DURATION ADJ").value(), 1, 3, 10000.)
);
System.out.println (
"\t|| OAD MULT => " +
FormatUtil.FormatDouble (dblEffectiveDurationAdj / dblEffectiveDuration, 1, 3, 1.) + " | " +
FormatUtil.FormatDouble (mapNF.get ("OAD MULT").value(), 1, 3, 1.)
);
System.out.println (
"\t|| Spread Dur => " +
FormatUtil.FormatDouble (dblSpreadDuration, 1, 3, 100.) + " | " +
FormatUtil.FormatDouble (mapNF.get ("Spread Dur").value(), 1, 3, 100.)
);
System.out.println (
"\t|| Spread Dur => " +
FormatUtil.FormatDouble (dblSpreadDuration * dblIssueAmount, 1, 3, 1.) + " | " +
FormatUtil.FormatDouble (mapNF.get ("Spread Dur $").value(), 1, 3, 1.)
);
System.out.println (
"\t|| DV01 => " +
FormatUtil.FormatDouble (dblDV01, 1, 3, 10000.) + " | " +
FormatUtil.FormatDouble (mapNF.get ("DV01").value(), 1, 3, 10000.)
);
System.out.println (
"\t|| CV01 => " +
FormatUtil.FormatDouble (dblCV01, 1, 3, 10000.) + " | " +
FormatUtil.FormatDouble (mapNF.get ("CV01").value(), 1, 3, 10000.)
);
System.out.println (
"\t|| Convexity => " +
FormatUtil.FormatDouble (dblConvexityToExercise, 1, 3, 1000000.) + " | " +
FormatUtil.FormatDouble (mapNF.get ("Convexity").value(), 1, 3, 1000000.)
);
System.out.println (
"\t|| Modified Convexity => " +
FormatUtil.FormatDouble (dblConvexityToExercise, 1, 3, 1000000.) + " | " +
FormatUtil.FormatDouble (mapNF.get ("Modified Convexity").value(), 1, 3, 1000000.)
);
System.out.println (
"\t|| DISCOUNT MARGIN => " +
FormatUtil.FormatDouble (dblDiscountMarginToExercise, 3, 1, 10000.) + " | " +
FormatUtil.FormatDouble (mapNF.get ("DISCOUNT MARGIN").value(), 3, 1, 10000.)
);
System.out.println (
"\t|| E-Spread => " +
FormatUtil.FormatDouble (dblESpreadToExercise, 3, 1, 10000.) + " | " +
FormatUtil.FormatDouble (mapNF.get ("E-Spread").value(), 3, 1, 10000.)
);
System.out.println (
"\t|| I-Spread => " +
FormatUtil.FormatDouble (dblISpreadToExercise, 3, 1, 10000.) + " | " +
FormatUtil.FormatDouble (mapNF.get ("I-Spread").value(), 3, 1, 10000.)
);
System.out.println (
"\t|| J-Spread => " +
FormatUtil.FormatDouble (dblJSpreadToExercise, 3, 1, 10000.) + " | " +
FormatUtil.FormatDouble (mapNF.get ("J-Spread").value(), 3, 1, 10000.)
);
System.out.println (
"\t|| WAL To Worst => " +
FormatUtil.FormatDouble (dblWALToExercise, 1, 3, 1.) + " | " +
FormatUtil.FormatDouble (mapNF.get ("WAL To Worst").value(), 1, 3, 1.)
);
System.out.println (
"\t|| WAL => " +
FormatUtil.FormatDouble (dblWALPrincipalOnlyToExercise, 1, 3, 1.) + " | " +
FormatUtil.FormatDouble (mapNF.get ("WAL").value(), 1, 3, 1.)
);
System.out.println (
"\t|| WAL2 => " +
FormatUtil.FormatDouble (dblWALLossOnlyToExercise, 1, 3, 1.) + " | " +
FormatUtil.FormatDouble (mapNF.get ("WAL2").value(), 1, 3, 1.)
);
System.out.println (
"\t|| WAL3 => " +
FormatUtil.FormatDouble (dblWALCouponOnlyToExercise, 1, 3, 1.) + " | " +
FormatUtil.FormatDouble (mapNF.get ("WAL3").value(), 1, 3, 1.)
);
System.out.println (
"\t|| WAL4 => " +
FormatUtil.FormatDouble (dblWALToExercise, 1, 3, 1.) + " | " +
FormatUtil.FormatDouble (mapNF.get ("WAL4").value(), 1, 3, 1.)
);
System.out.println ("\t||------------------------------------------------||");
for (Map.Entry<String, Double> meLIBORKRD : mapLIBORKRD.entrySet())
System.out.println (
"\t|| LIBOR KRD " + meLIBORKRD.getKey() + " => " +
FormatUtil.FormatDouble (meLIBORKRD.getValue(), 1, 3, 10000.) + " | " +
FormatUtil.FormatDouble (nfmLIBORKRD.value().get (meLIBORKRD.getKey()), 1, 3, 10000.)
);
System.out.println ("\t||------------------------------------------------||");
for (Map.Entry<String, Double> meLIBORKPRD : mapLIBORKPRD.entrySet())
System.out.println (
"\t|| LIBOR KPRD " + meLIBORKPRD.getKey() + " => " +
FormatUtil.FormatDouble (meLIBORKPRD.getValue(), 1, 3, 10000.) + " | " +
FormatUtil.FormatDouble (nfmLIBORKPRD.value().get (meLIBORKPRD.getKey()), 1, 3, 10000.)
);
System.out.println ("\t||------------------------------------------------||");
for (Map.Entry<String, Double> meGovvieKRD : mapGovvieKRD.entrySet())
System.out.println (
"\t|| Govvie KRD " + meGovvieKRD.getKey() + " => " +
FormatUtil.FormatDouble (meGovvieKRD.getValue(), 1, 3, 10000.) + " | " +
FormatUtil.FormatDouble (nfmGovvieKRD.value().get (meGovvieKRD.getKey()), 1, 3, 10000.)
);
System.out.println ("\t||------------------------------------------------||");
for (Map.Entry<String, Double> meGovvieKPRD : mapGovvieKPRD.entrySet())
System.out.println (
"\t|| Govvie KPRD " + meGovvieKPRD.getKey() + " => " +
FormatUtil.FormatDouble (meGovvieKPRD.getValue(), 1, 3, 10000.) + " | " +
FormatUtil.FormatDouble (nfmGovvieKPRD.value().get (meGovvieKPRD.getKey()), 1, 3, 10000.)
);
System.out.println ("\t||------------------------------------------------||");
for (Map.Entry<String, Double> meCreditKRD : mapCreditKRD.entrySet())
System.out.println (
"\t|| Credit KRD " + meCreditKRD.getKey() + " => " +
FormatUtil.FormatDouble (meCreditKRD.getValue(), 1, 3, 10000.) + " | " +
FormatUtil.FormatDouble (nfmCreditKRD.value().get (meCreditKRD.getKey()), 1, 3, 10000.)
);
System.out.println ("\t||------------------------------------------------||");
for (Map.Entry<String, Double> meCreditKPRD : mapCreditKPRD.entrySet())
System.out.println (
"\t|| Credit KPRD " + meCreditKPRD.getKey() + " => " +
FormatUtil.FormatDouble (meCreditKPRD.getValue(), 1, 3, 10000.) + " | " +
FormatUtil.FormatDouble (nfmCreditKPRD.value().get (meCreditKPRD.getKey()), 1, 3, 10000.)
);
System.out.println ("\t||------------------------------------------------||");
EnvManager.TerminateEnv();
}
}