LatamCorp.java

  1. package org.drip.sample.cma;

  3. import java.util.Map;

  5. import org.drip.analytics.date.*;
  6. import org.drip.analytics.output.BondRVMeasures;
  7. import org.drip.analytics.support.Helper;
  8. import org.drip.numerical.common.FormatUtil;
  9. import org.drip.param.creator.MarketParamsBuilder;
  10. import org.drip.param.market.CurveSurfaceQuoteContainer;
  11. import org.drip.param.quote.*;
  12. import org.drip.param.valuation.*;
  13. import org.drip.product.creator.BondBuilder;
  14. import org.drip.product.credit.BondComponent;
  15. import org.drip.product.definition.*;
  16. import org.drip.service.env.EnvManager;
  17. import org.drip.service.template.*;
  18. import org.drip.state.discount.MergedDiscountForwardCurve;
  19. import org.drip.state.govvie.GovvieCurve;

  21. /*
  22.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  23.  */

  25. /*!
  26.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  27.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  28.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  29.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  30.  * 
  31.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  32.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  33.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  34.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  35.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  36.  *      and computational support.
  37.  *  
  38.  *      https://lakshmidrip.github.io/DROP/
  39.  *  
  40.  *  DROP is composed of three modules:
  41.  *  
  42.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  43.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  44.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  45.  * 
  46.  *  DROP Product Core implements libraries for the following:
  47.  *  - Fixed Income Analytics
  48.  *  - Loan Analytics
  49.  *  - Transaction Cost Analytics
  50.  * 
  51.  *  DROP Portfolio Core implements libraries for the following:
  52.  *  - Asset Allocation Analytics
  53.  *  - Asset Liability Management Analytics
  54.  *  - Capital Estimation Analytics
  55.  *  - Exposure Analytics
  56.  *  - Margin Analytics
  57.  *  - XVA Analytics
  58.  * 
  59.  *  DROP Computational Core implements libraries for the following:
  60.  *  - Algorithm Support
  61.  *  - Computation Support
  62.  *  - Function Analysis
  63.  *  - Model Validation
  64.  *  - Numerical Analysis
  65.  *  - Numerical Optimizer
  66.  *  - Spline Builder
  67.  *  - Statistical Learning
  68.  * 
  69.  *  Documentation for DROP is Spread Over:
  70.  * 
  71.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  72.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  73.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  74.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  75.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  76.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  77.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  78.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  79.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  80.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  81.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  82.  * 
  83.  *  Licensed under the Apache License, Version 2.0 (the "License");
  84.  *      you may not use this file except in compliance with the License.
  85.  *   
  86.  *  You may obtain a copy of the License at
  87.  *      http://www.apache.org/licenses/LICENSE-2.0
  88.  *  
  89.  *  Unless required by applicable law or agreed to in writing, software
  90.  *      distributed under the License is distributed on an "AS IS" BASIS,
  91.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  92.  *  
  93.  *  See the License for the specific language governing permissions and
  94.  *      limitations under the License.
  95.  */

  97. /**
  98.  * <i>LatamCorp</i> demonstrates LATAM Corporate Bond Pricing and Relative Value Measure Generation
  99.  * Functionality.
  100.  *  
  101.  * <br><br>
  102.  *  <ul>
  103.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  104.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  105.  *      <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>
  106.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/cma/README.md">LATAM Corporate and Sovereign Bonds</a></li>
  107.  *  </ul>
  108.  * <br><br>
  109.  * 
  110.  * @author Lakshmi Krishnamurthy
  111.  */

  113. public class LatamCorp {

  115.     private static final MergedDiscountForwardCurve FundingCurve (
  116.         final JulianDate dtSpot,
  117.         final String strCurrency)
  118.         throws Exception
  119.     {
  120.         String[] astrDepositMaturityTenor = new String[] {
  121.             "2D"
  122.         };

  124.         double[] adblDepositQuote = new double[] {
  125.             0.0103456 // 2D
  126.         };

  128.         double[] adblFuturesQuote = new double[] {
  129.             0.01070,
  130.             0.01235,
  131.             0.01360
  132.         };

  134.         String[] astrFixFloatMaturityTenor = new String[] {
  135.             "01Y",
  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.         double[] adblFixFloatQuote = new double[] {
  156.             0.012484, //  1Y
  157.             0.014987, //  2Y
  158.             0.017036, //  3Y
  159.             0.018624, //  4Y
  160.             0.019868, //  5Y
  161.             0.020921, //  6Y
  162.             0.021788, //  7Y
  163.             0.022530, //  8Y
  164.             0.023145, //  9Y
  165.             0.023685, // 10Y
  166.             0.024153, // 11Y
  167.             0.024562, // 12Y
  168.             0.025389, // 15Y
  169.             0.026118, // 20Y
  170.             0.026368, // 25Y
  171.             0.026432, // 30Y
  172.             0.026339, // 40Y
  173.             0.026122  // 50Y
  174.         };

  176.         MergedDiscountForwardCurve dcFunding = LatentMarketStateBuilder.SmoothFundingCurve (
  177.             dtSpot,
  178.             strCurrency,
  179.             astrDepositMaturityTenor,
  180.             adblDepositQuote,
  181.             "ForwardRate",
  182.             adblFuturesQuote,
  183.             "ForwardRate",
  184.             astrFixFloatMaturityTenor,
  185.             adblFixFloatQuote,
  186.             "SwapRate"
  187.         );

  189.         Component[] aDepositComp = OTCInstrumentBuilder.FundingDeposit (
  190.             dtSpot,
  191.             strCurrency,
  192.             astrDepositMaturityTenor
  193.         );

  195.         Component[] aFuturesComp = ExchangeInstrumentBuilder.ForwardRateFuturesPack (
  196.             dtSpot,
  197.             adblFuturesQuote.length,
  198.             strCurrency
  199.         );

  201.         Component[] aFixFloatComp = OTCInstrumentBuilder.FixFloatStandard (
  202.             dtSpot,
  203.             strCurrency,
  204.             "ALL",
  205.             astrFixFloatMaturityTenor,
  206.             "MAIN",
  207.             0.
  208.         );

  210.         ValuationParams valParams = new ValuationParams (
  211.             dtSpot,
  212.             dtSpot,
  213.             strCurrency
  214.         );

  216.         CurveSurfaceQuoteContainer csqc = MarketParamsBuilder.Create (
  217.             dcFunding,
  218.             null,
  219.             null,
  220.             null,
  221.             null,
  222.             null,
  223.             null
  224.         );

  226.         System.out.println();

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

  230.         System.out.println ("\t|        DEPOSIT INPUT vs. CALC       ||");

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

  234.         for (int i = 0; i < aDepositComp.length; ++i)
  235.             System.out.println ("\t| [" + aDepositComp[i].maturityDate() + "] =" +
  236.                 FormatUtil.FormatDouble (aDepositComp[i].measureValue (
  237.                     valParams,
  238.                     null,
  239.                     csqc,
  240.                     null,
  241.                     "ForwardRate"
  242.                 ), 1, 6, 1.) + " |" +
  243.                 FormatUtil.FormatDouble (adblDepositQuote[i], 1, 6, 1.) + " ||"
  244.             );

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

  248.         System.out.println();

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

  252.         System.out.println ("\t|        FUTURES INPUT vs. CALC       ||");

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

  256.         for (int i = 0; i < aFuturesComp.length; ++i)
  257.             System.out.println ("\t| [" + aFuturesComp[i].maturityDate() + "] =" +
  258.                 FormatUtil.FormatDouble (aFuturesComp[i].measureValue (
  259.                     valParams,
  260.                     null,
  261.                     csqc,
  262.                     null,
  263.                     "ForwardRate"
  264.                 ), 1, 6, 1.) + " |" +
  265.                 FormatUtil.FormatDouble (adblFuturesQuote[i], 1, 6, 1.) + " ||"
  266.             );

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

  270.         System.out.println();

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

  274.         System.out.println ("\t|          FIX-FLOAT INPUTS vs CALIB             ||");

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

  278.         for (int i = 0; i < aFixFloatComp.length; ++i)
  279.             System.out.println ("\t| [" + aFixFloatComp[i].maturityDate() + "] =" +
  280.                 FormatUtil.FormatDouble (aFixFloatComp[i].measureValue (
  281.                     valParams,
  282.                     null,
  283.                     csqc,
  284.                     null,
  285.                     "CalibSwapRate"
  286.                 ), 1, 6, 1.) + " |" +
  287.                 FormatUtil.FormatDouble (adblFixFloatQuote[i], 1, 6, 1.) + " |" +
  288.                 FormatUtil.FormatDouble (aFixFloatComp[i].measureValue (
  289.                     valParams,
  290.                     null,
  291.                     csqc,
  292.                     null,
  293.                     "FairPremium"
  294.                 ), 1, 6, 1.) + " ||"
  295.             );

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

  299.         System.out.println();

  301.         return dcFunding;
  302.     }

  304.     private static final Map<String, GovvieCurve> GovvieCurve (
  305.         final JulianDate dtSpot,
  306.         final String strCode,
  307.         final double[] adblCoupon,
  308.         final double[] adblYield)
  309.         throws Exception
  310.     {
  311.         JulianDate[] adtEffective = new JulianDate[] {
  312.             dtSpot,
  313.             dtSpot,
  314.             dtSpot,
  315.             dtSpot,
  316.             dtSpot,
  317.             dtSpot,
  318.             dtSpot,
  319.             dtSpot
  320.         };

  322.         JulianDate[] adtMaturity = new JulianDate[] {
  323.             dtSpot.addTenor ("1Y"),
  324.             dtSpot.addTenor ("2Y"),
  325.             dtSpot.addTenor ("3Y"),
  326.             dtSpot.addTenor ("5Y"),
  327.             dtSpot.addTenor ("7Y"),
  328.             dtSpot.addTenor ("10Y"),
  329.             dtSpot.addTenor ("20Y"),
  330.             dtSpot.addTenor ("30Y")
  331.         };

  333.         Map<String, GovvieCurve> mapGovvieCurve = LatentMarketStateBuilder.BumpedGovvieCurve (
  334.             strCode,
  335.             dtSpot,
  336.             adtEffective,
  337.             adtMaturity,
  338.             adblCoupon,
  339.             adblYield,
  340.             "Yield",
  341.             LatentMarketStateBuilder.SHAPE_PRESERVING,
  342.             0.0001,
  343.             false
  344.         );

  346.         BondComponent[] aComp = TreasuryBuilder.FromCode (
  347.             strCode,
  348.             adtEffective,
  349.             adtMaturity,
  350.             adblCoupon
  351.         );

  353.         ValuationParams valParams = ValuationParams.Spot (dtSpot.julian());

  355.         CurveSurfaceQuoteContainer csqc = new CurveSurfaceQuoteContainer();

  357.         csqc.setGovvieState (mapGovvieCurve.get ("BASE"));

  359.         System.out.println();

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

  363.         System.out.println ("\t|       TREASURY INPUT vs CALIB YIELD       ||");

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

  367.         for (int i = 0; i < aComp.length; ++i)
  368.             System.out.println ("\t| " + aComp[i].name() + " | " +
  369.                 FormatUtil.FormatDouble (adblYield[i], 1, 3, 100.) + "% | " +
  370.                 FormatUtil.FormatDouble (aComp[i].yieldFromPrice (
  371.                     valParams,
  372.                     null,
  373.                     null,
  374.                     aComp[i].maturityDate().julian(),
  375.                     1.,
  376.                     aComp[i].priceFromYield (
  377.                         valParams,
  378.                         null,
  379.                         null,
  380.                         mapGovvieCurve.get ("BASE").yield (aComp[i].maturityDate().julian())
  381.                     )
  382.                 ), 1, 3, 100.) + "% ||"
  383.             );

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

  387.         return mapGovvieCurve;
  388.     }

  390.     private static final void AccumulateBondMarketQuote (
  391.         final CurveSurfaceQuoteContainer csqc,
  392.         final String[] astrOnTheRunCode,
  393.         final double[] adblYield)
  394.         throws Exception
  395.     {
  396.         for (int i = 0; i < astrOnTheRunCode.length; ++i) {
  397.             ProductMultiMeasure pmmq = new ProductMultiMeasure();

  399.             pmmq.addQuote (
  400.                 "Yield",
  401.                 new MultiSided (
  402.                     "mid",
  403.                     adblYield[i]
  404.                 ),
  405.                 true
  406.             );

  408.             csqc.setProductQuote (
  409.                 astrOnTheRunCode[i],
  410.                 pmmq
  411.             );
  412.         }
  413.     }

  415.     private static final Bond Corporate (
  416.         final String strName,
  417.         final JulianDate dtEffective,
  418.         final JulianDate dtMaturity,
  419.         final double dblCoupon,
  420.         final int iFreq,
  421.         final String strDayCount)
  422.         throws Exception
  423.     {
  424.         return BondBuilder.CreateSimpleFixed (
  425.             strName + FormatUtil.FormatDouble (dblCoupon, 1, 4, 100.) + " " + dtMaturity,
  426.             "USD",
  427.             "",
  428.             dblCoupon,
  429.             iFreq,
  430.             strDayCount,
  431.             dtEffective,
  432.             dtMaturity,
  433.             null,
  434.             null
  435.         );
  436.     }

  438.     private static final double[] RVMeasures (
  439.         final Bond[] aBond,
  440.         final JulianDate dtValue,
  441.         final CurveSurfaceQuoteContainer csqc,
  442.         final double[] adblCleanPrice)
  443.         throws Exception
  444.     {
  445.         JulianDate dtSettle = dtValue.addBusDays (
  446.             2,
  447.             aBond[0].currency()
  448.         );

  450.         ValuationParams valParams = new ValuationParams (
  451.             dtValue,
  452.             dtSettle,
  453.             aBond[0].currency()
  454.         );

  456.         System.out.println();

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

  460.         System.out.println ("\t| Trade Date       : " + dtValue + " ||");

  462.         System.out.println ("\t| Cash Settle Date : " + dtSettle + " ||");

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

  466.         System.out.println();

  468.         String strCurveMetrics = "";
  469.         String strSecularMetrics = "";
  470.         double[] adblOAS = new double[aBond.length];

  472.         for (int i = 0; i < aBond.length; ++i) {
  473.             WorkoutInfo wi = aBond[i].exerciseYieldFromPrice (
  474.                 valParams,
  475.                 csqc,
  476.                 null,
  477.                 adblCleanPrice[i]
  478.             );

  480.             BondRVMeasures rvm = aBond[i].standardMeasures (
  481.                 valParams,
  482.                 null,
  483.                 csqc,
  484.                 null,
  485.                 wi,
  486.                 adblCleanPrice[i]
  487.             );

  489.             strSecularMetrics += "\t| " +
  490.                 aBond[i].name() + " | " +
  491.                 aBond[i].effectiveDate() + " | " +
  492.                 aBond[i].maturityDate() + " |  " +
  493.                 aBond[i].firstCouponDate() + "  |" +
  494.                 FormatUtil.FormatDouble (adblCleanPrice[i], 3, 3, 100.) + " |" +
  495.                 FormatUtil.FormatDouble (wi.yield(), 2, 2, 100.) + "% | " +
  496.                 FormatUtil.FormatDouble (rvm.macaulayDuration(), 2, 2, 1.) + "  | " +
  497.                 FormatUtil.FormatDouble (rvm.modifiedDuration(), 2, 2, 10000.) + "  |  " +
  498.                 FormatUtil.FormatDouble (rvm.yield01(), 2, 2, 10000.) + "  |" +
  499.                 FormatUtil.FormatDouble (rvm.yield01(), 4, 0, 1000000.) + " |" +
  500.                 FormatUtil.FormatDouble (rvm.convexity(), 1, 2, 1000000.) + " |   " +
  501.                 FormatUtil.FormatDouble (rvm.bondBasis(), 4, 0, 10000.) + "     ||" + "\n";

  503.             adblOAS[i] = rvm.oas();

  505.             double dblCleanPriceOASUp = aBond[i].priceFromOAS (
  506.                 valParams,
  507.                 csqc,
  508.                 null,
  509.                 adblOAS[i] + 0.0001
  510.             );

  512.             double dblCleanPriceOASDown = aBond[i].priceFromOAS (
  513.                 valParams,
  514.                 csqc,
  515.                 null,
  516.                 adblOAS[i] - 0.0001
  517.             );

  519.             strCurveMetrics += "\t| " +
  520.                 aBond[i].name() + " |" +
  521.                 FormatUtil.FormatDouble (adblCleanPrice[i], 3, 3, 100.) + " |" +
  522.                 FormatUtil.FormatDouble (wi.yield(), 2, 2, 100.) + "% |   " +
  523.                 FormatUtil.FormatDouble (rvm.zSpread(), 4, 0, 10000.) + "   |" +
  524.                 FormatUtil.FormatDouble (adblOAS[i], 4, 0, 10000.) + " | " +
  525.                 FormatUtil.FormatDouble (0.5 * (dblCleanPriceOASDown - dblCleanPriceOASUp) / adblCleanPrice[i], 2, 2, 10000.) + "  |  " +
  526.                 FormatUtil.FormatDouble ((dblCleanPriceOASDown + dblCleanPriceOASUp - 2. * adblCleanPrice[i]) / adblCleanPrice[i], 2, 2, 1000000.) + "   |" +
  527.                 FormatUtil.FormatDouble (rvm.asw(), 4, 0, 10000.) + " |  " +
  528.                 FormatUtil.FormatDouble (rvm.gSpread(), 4, 0, 10000.) + "    |   " +
  529.                 FormatUtil.FormatDouble (rvm.iSpread(), 4, 0, 10000.) + "   |    " +
  530.                 FormatUtil.FormatDouble (rvm.tsySpread(), 4, 0, 10000.) + "    |  " +
  531.                 Helper.BaseTsyBmk (
  532.                     dtValue.julian(),
  533.                     aBond[i].maturityDate().julian()
  534.                 ) + "  ||" + "\n";
  535.         }

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

  539.         System.out.println ("\t|             BOND           |  EFFECTIVE  |   MATURITY  |  FIRST COUPON |  PRICE  |  YIELD | MAC DUR | MOD DUR | YIELD 01 | DV01 | CONV |  BOND BASIS ||");

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

  543.         System.out.println (strSecularMetrics);

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

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

  549.         System.out.println ("\t|             BOND           |  PRICE  |  YIELD |  Z SPREAD |  OAS | OAS DUR |  OAS CONV |  ASW |  G SPREAD |  I SPREAD |  TSY SPREAD | TSY BMK ||");

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

  553.         System.out.println (strCurveMetrics);

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

  557.         return adblOAS;
  558.     }

  560.     public static final void main (
  561.         final String[] astrArgs)
  562.         throws Exception
  563.     {
  564.         EnvManager.InitEnv ("");

  566.         JulianDate dtSpot = DateUtil.CreateFromYMD (
  567.             2017,
  568.             DateUtil.MAY,
  569.             9
  570.         );

  572.         String strCurrency = "USD";
  573.         String strTreasuryCode = "UST";

  575.         MergedDiscountForwardCurve dcFunding = FundingCurve (
  576.             dtSpot,
  577.             strCurrency
  578.         );

  580.         double[] adblTreasuryCoupon = new double[] {
  581.             0.0100,
  582.             0.0100,
  583.             0.0125,
  584.             0.0150,
  585.             0.0200,
  586.             0.0225,
  587.             0.0250,
  588.             0.0300
  589.         };

  591.         double[] adblTreasuryYield = new double[] {
  592.             0.01109, //  1Y
  593.             0.01345, //  2Y
  594.             0.01552, //  3Y
  595.             0.01925, //  5Y
  596.             0.02205, //  7Y
  597.             0.02406, // 10Y
  598.             0.02717, // 20Y
  599.             0.03028  // 30Y
  600.         };

  602.         Map<String, GovvieCurve> mapGovvieCurve = GovvieCurve (
  603.             dtSpot,
  604.             strTreasuryCode,
  605.             adblTreasuryCoupon,
  606.             adblTreasuryYield
  607.         );

  609.         CurveSurfaceQuoteContainer csqc = MarketParamsBuilder.Create (
  610.             dcFunding,
  611.             null,
  612.             null,
  613.             null,
  614.             null,
  615.             null,
  616.             null
  617.         );

  619.         csqc.setGovvieState (mapGovvieCurve.get ("BASE"));

  621.         AccumulateBondMarketQuote (
  622.             csqc,
  623.             new String[] {
  624.                 "01YON",
  625.                 "02YON",
  626.                 "03YON",
  627.                 "05YON",
  628.                 "07YON",
  629.                 "10YON",
  630.                 "20YON",
  631.                 "30YON"
  632.             },
  633.             adblTreasuryYield
  634.         );

  636.         Bond[] aCorporateBond = new Bond[] {
  637.             Corporate (" PDVSA ", DateUtil.CreateFromYMD (2013, 11, 15), DateUtil.CreateFromYMD (2026, 11, 15), 0.06000, 2, "ISMA 30/360"),
  638.             Corporate (" PDVSA ", DateUtil.CreateFromYMD (2012,  4, 12), DateUtil.CreateFromYMD (2027,  4, 12), 0.05375, 2, "ISMA 30/360"),
  639.             Corporate (" PDVSA ", DateUtil.CreateFromYMD (2012,  5, 17), DateUtil.CreateFromYMD (2035,  5, 17), 0.09750, 2, "ISMA 30/360"),
  640.             Corporate (" PDVSA ", DateUtil.CreateFromYMD (2012,  4, 12), DateUtil.CreateFromYMD (2037,  4, 12), 0.05500, 2, "ISMA 30/360"),
  641.             Corporate ("  URU  ", DateUtil.CreateFromYMD (2014,  1, 15), DateUtil.CreateFromYMD (2033,  1, 15), 0.07875, 2, "ISMA 30/360"),
  642.         };

  644.         double[] adblCleanPrice = new double[] {
  645.             0.3850000,  // (2026, 11, 15)
  646.             0.3823900,  // (2027,  4, 12)
  647.             0.4550000,  // (2035,  5, 17)
  648.             0.3850000,  // (2037,  4, 12)
  649.             1.3315000,  // (2033,  1, 15)
  650.         };

  652.         double[] adblOAS = RVMeasures (
  653.             aCorporateBond,
  654.             dtSpot,
  655.             csqc,
  656.             adblCleanPrice
  657.         );

  659.         ValuationParams valParams = new ValuationParams (
  660.             dtSpot,
  661.             dtSpot.addBusDays (
  662.                 2,
  663.                 dcFunding.currency()
  664.             ),
  665.             dcFunding.currency()
  666.         );

  668.         System.out.println();

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

  672.         System.out.print ("\t|             BOND          ");

  674.         for (Map.Entry<String, GovvieCurve> meGovvieCurve : mapGovvieCurve.entrySet()) {
  675.             if ("BASE".equalsIgnoreCase (meGovvieCurve.getKey()) || "BUMP".equalsIgnoreCase (meGovvieCurve.getKey()))
  676.                 continue;

  678.             System.out.print (" | " + meGovvieCurve.getKey());
  679.         }

  681.         System.out.println (" ||");

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

  685.         for (int i = 0; i < adblOAS.length; ++i) {
  686.             System.out.print ("\t| " + aCorporateBond[i].name());

  688.             for (Map.Entry<String, GovvieCurve> meGovvieCurve : mapGovvieCurve.entrySet()) {
  689.                 if ("BASE".equalsIgnoreCase (meGovvieCurve.getKey()) || "BUMP".equalsIgnoreCase (meGovvieCurve.getKey()))
  690.                     continue;

  692.                 csqc.setGovvieState (meGovvieCurve.getValue());

  694.                 System.out.print (" |      " +
  695.                     FormatUtil.FormatDouble (
  696.                         (adblCleanPrice[i] - aCorporateBond[i].priceFromOAS (
  697.                             valParams,
  698.                             csqc,
  699.                             null,
  700.                             adblOAS[i]
  701.                         )) / adblCleanPrice[i],
  702.                     2, 2, 10000.) + "     "
  703.                 );
  704.             }

  706.             System.out.println (" ||");
  707.         }

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

  711.         System.out.println();

  713.         EnvManager.TerminateEnv();
  714.     }
  715. }
Created with JaCoCo 0.7.9.201702052155