Tirunelveli.java

  1. package org.drip.sample.bondmetrics;

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

  10. /*
  11.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  12.  */

  14. /*!
  15.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  16.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  17.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  18.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  19.  * 
  20.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  21.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  22.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  23.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  24.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  25.  *      and computational support.
  26.  *  
  27.  *      https://lakshmidrip.github.io/DROP/
  28.  *  
  29.  *  DROP is composed of three modules:
  30.  *  
  31.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  32.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  33.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  34.  * 
  35.  *  DROP Product Core implements libraries for the following:
  36.  *  - Fixed Income Analytics
  37.  *  - Loan Analytics
  38.  *  - Transaction Cost Analytics
  39.  * 
  40.  *  DROP Portfolio Core implements libraries for the following:
  41.  *  - Asset Allocation Analytics
  42.  *  - Asset Liability Management Analytics
  43.  *  - Capital Estimation Analytics
  44.  *  - Exposure Analytics
  45.  *  - Margin Analytics
  46.  *  - XVA Analytics
  47.  * 
  48.  *  DROP Computational Core implements libraries for the following:
  49.  *  - Algorithm Support
  50.  *  - Computation Support
  51.  *  - Function Analysis
  52.  *  - Model Validation
  53.  *  - Numerical Analysis
  54.  *  - Numerical Optimizer
  55.  *  - Spline Builder
  56.  *  - Statistical Learning
  57.  * 
  58.  *  Documentation for DROP is Spread Over:
  59.  * 
  60.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  61.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  62.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  63.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  64.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  65.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  66.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  67.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  68.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  69.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  70.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  71.  * 
  72.  *  Licensed under the Apache License, Version 2.0 (the "License");
  73.  *      you may not use this file except in compliance with the License.
  74.  *   
  75.  *  You may obtain a copy of the License at
  76.  *      http://www.apache.org/licenses/LICENSE-2.0
  77.  *  
  78.  *  Unless required by applicable law or agreed to in writing, software
  79.  *      distributed under the License is distributed on an "AS IS" BASIS,
  80.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  81.  *  
  82.  *  See the License for the specific language governing permissions and
  83.  *      limitations under the License.
  84.  */

  86. /**
  87.  * <i>Tirunelveli</i> generates the Full Suite of Replication Metrics for Bond Tirunelveli.
  88.  *  
  89.  * <br><br>
  90.  *  <ul>
  91.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  92.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  93.  *      <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>
  94.  *      <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>
  95.  *  </ul>
  96.  * <br><br>
  97.  * 
  98.  * @author Lakshmi Krishnamurthy
  99.  */

  101. public class Tirunelveli {

  103.     public static final void main (
  104.         final String[] astArgs)
  105.         throws Exception
  106.     {
  107.         EnvManager.InitEnv (
  108.             "",
  109.             true
  110.         );

  112.         JulianDate dtSpot = DateUtil.CreateFromYMD (
  113.             2017,
  114.             DateUtil.SEPTEMBER,
  115.             1
  116.         );

  118.         String[] astrDepositTenor = new String[] {
  119.             "2D"
  120.         };

  122.         double[] adblDepositQuote = new double[] {
  123.             0.0130411 // 2D
  124.         };

  126.         double[] adblFuturesQuote = new double[] {
  127.             0.01345,    // 98.655
  128.             0.01470,    // 98.530
  129.             0.01575,    // 98.425
  130.             0.01660,    // 98.340
  131.             0.01745,    // 98.255
  132.             0.01845     // 98.155
  133.         };

  135.         String[] astrFixFloatTenor = new String[] {
  136.             "02Y",
  137.             "03Y",
  138.             "04Y",
  139.             "05Y",
  140.             "06Y",
  141.             "07Y",
  142.             "08Y",
  143.             "09Y",
  144.             "10Y",
  145.             "11Y",
  146.             "12Y",
  147.             "15Y",
  148.             "20Y",
  149.             "25Y",
  150.             "30Y",
  151.             "40Y",
  152.             "50Y"
  153.         };

  155.         String[] astrGovvieTenor = new String[] {
  156.             "1Y",
  157.             "2Y",
  158.             "3Y",
  159.             "5Y",
  160.             "7Y",
  161.             "10Y",
  162.             "20Y",
  163.             "30Y"
  164.         };

  166.         double[] adblFixFloatQuote = new double[] {
  167.             0.016410, //  2Y
  168.             0.017863, //  3Y
  169.             0.019030, //  4Y
  170.             0.020035, //  5Y
  171.             0.020902, //  6Y
  172.             0.021660, //  7Y
  173.             0.022307, //  8Y
  174.             0.022879, //  9Y
  175.             0.023363, // 10Y
  176.             0.023820, // 11Y
  177.             0.024172, // 12Y
  178.             0.024934, // 15Y
  179.             0.025581, // 20Y
  180.             0.025906, // 25Y
  181.             0.025973, // 30Y
  182.             0.025838, // 40Y
  183.             0.025560  // 50Y
  184.         };

  186.         double[] adblGovvieYield = new double[] {
  187.             0.01219, //  1Y
  188.             0.01391, //  2Y
  189.             0.01590, //  3Y
  190.             0.01937, //  5Y
  191.             0.02200, //  7Y
  192.             0.02378, // 10Y
  193.             0.02677, // 20Y
  194.             0.02927  // 30Y
  195.         };

  197.         String[] astrCreditTenor = new String[] {
  198.             "06M",
  199.             "01Y",
  200.             "02Y",
  201.             "03Y",
  202.             "04Y",
  203.             "05Y",
  204.             "07Y",
  205.             "10Y"
  206.         };

  208.         double[] adblCreditQuote = new double[] {
  209.              60.,   //  6M
  210.              68.,   //  1Y
  211.              88.,   //  2Y
  212.             102.,   //  3Y
  213.             121.,   //  4Y
  214.             138.,   //  5Y
  215.             168.,   //  7Y
  216.             188.    // 10Y
  217.         };

  219.         double dblFX = 1.;
  220.         int iSettleLag = 3;
  221.         int iCouponFreq = 2;
  222.         String strName = "Tirunelveli";
  223.         double dblCleanPrice = 1.09683;
  224.         double dblIssuePrice = 1.;
  225.         String strCurrency = "USD";
  226.         double dblSpreadBump = 20.;
  227.         double dblCouponRate = 0.0691;
  228.         double dblIssueAmount = 7.50e8;
  229.         String strTreasuryCode = "UST";
  230.         String strCouponDayCount = "30/360";
  231.         double dblSpreadDurationMultiplier = 5.;

  233.         JulianDate dtEffective = DateUtil.CreateFromYMD (
  234.             2009,
  235.             9,
  236.             24
  237.         );

  239.         JulianDate dtMaturity = DateUtil.CreateFromYMD (
  240.             2039,
  241.             7,
  242.             1
  243.         );

  245.         BondComponent bond = BondBuilder.CreateSimpleFixed (
  246.             strName,
  247.             strCurrency,
  248.             strName,
  249.             dblCouponRate,
  250.             iCouponFreq,
  251.             strCouponDayCount,
  252.             dtEffective,
  253.             dtMaturity,
  254.             null,
  255.             null
  256.         );

  258.         double dblYield = bond.yieldFromPrice (
  259.             ValuationParams.Spot (dtSpot.julian()),
  260.             null,
  261.             null,
  262.             dblCleanPrice
  263.         );

  265.         System.out.println ("Price In  : " + dblCleanPrice);

  267.         System.out.println ("Yield Out : " + dblYield);

  269.         System.out.println ("Price Out : " +
  270.             bond.priceFromYield (
  271.                 ValuationParams.Spot (dtSpot.julian()),
  272.                 null,
  273.                 null,
  274.                 dblYield
  275.             )
  276.         );

  278.         /* SetEOS (
  279.             bond,
  280.             null,
  281.             null
  282.         ); */

  284.         BondReplicator abr = BondReplicator.CorporateSenior (
  285.             dblCleanPrice,
  286.             dblIssuePrice,
  287.             dblIssueAmount,
  288.             dtSpot,
  289.             astrDepositTenor,
  290.             adblDepositQuote,
  291.             adblFuturesQuote,
  292.             astrFixFloatTenor,
  293.             adblFixFloatQuote,
  294.             dblSpreadBump,
  295.             dblSpreadDurationMultiplier,
  296.             strTreasuryCode,
  297.             astrGovvieTenor,
  298.             adblGovvieYield,
  299.             astrCreditTenor,
  300.             adblCreditQuote,
  301.             dblFX,
  302.             Double.NaN,
  303.             iSettleLag,
  304.             bond
  305.         );

  307.         BondReplicationRun abrr = abr.generateRun();

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

  311.         EnvManager.TerminateEnv();
  312.     }
  313. }
Created with JaCoCo 0.7.9.201702052155