NonFixedBullet.java

  1. package org.drip.sample.corporate;

  3. import org.drip.analytics.cashflow.*;
  4. import org.drip.analytics.date.*;
  5. import org.drip.numerical.common.FormatUtil;
  6. import org.drip.param.creator.MarketParamsBuilder;
  7. import org.drip.param.market.CurveSurfaceQuoteContainer;
  8. import org.drip.param.valuation.*;
  9. import org.drip.product.creator.BondBuilder;
  10. import org.drip.product.credit.BondComponent;
  11. import org.drip.product.definition.*;
  12. import org.drip.service.env.EnvManager;
  13. import org.drip.service.template.*;
  14. import org.drip.state.discount.MergedDiscountForwardCurve;
  15. import org.drip.state.govvie.GovvieCurve;

  17. /*
  18.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  19.  */

  21. /*!
  22.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  23.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  24.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  25.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  26.  * 
  27.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  28.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  29.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  30.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  31.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  32.  *      and computational support.
  33.  *  
  34.  *      https://lakshmidrip.github.io/DROP/
  35.  *  
  36.  *  DROP is composed of three modules:
  37.  *  
  38.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  39.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  40.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  41.  * 
  42.  *  DROP Product Core implements libraries for the following:
  43.  *  - Fixed Income Analytics
  44.  *  - Loan Analytics
  45.  *  - Transaction Cost Analytics
  46.  * 
  47.  *  DROP Portfolio Core implements libraries for the following:
  48.  *  - Asset Allocation Analytics
  49.  *  - Asset Liability Management Analytics
  50.  *  - Capital Estimation Analytics
  51.  *  - Exposure Analytics
  52.  *  - Margin Analytics
  53.  *  - XVA Analytics
  54.  * 
  55.  *  DROP Computational Core implements libraries for the following:
  56.  *  - Algorithm Support
  57.  *  - Computation Support
  58.  *  - Function Analysis
  59.  *  - Model Validation
  60.  *  - Numerical Analysis
  61.  *  - Numerical Optimizer
  62.  *  - Spline Builder
  63.  *  - Statistical Learning
  64.  * 
  65.  *  Documentation for DROP is Spread Over:
  66.  * 
  67.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  68.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  69.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  70.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  71.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  72.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  73.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  74.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  75.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  76.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  77.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  78.  * 
  79.  *  Licensed under the Apache License, Version 2.0 (the "License");
  80.  *      you may not use this file except in compliance with the License.
  81.  *   
  82.  *  You may obtain a copy of the License at
  83.  *      http://www.apache.org/licenses/LICENSE-2.0
  84.  *  
  85.  *  Unless required by applicable law or agreed to in writing, software
  86.  *      distributed under the License is distributed on an "AS IS" BASIS,
  87.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  88.  *  
  89.  *  See the License for the specific language governing permissions and
  90.  *      limitations under the License.
  91.  */

  93. /**
  94.  * <i>NonFixedBullet</i> demonstrates Non-EOS Non-Fixed Coupon (Floater, Variable) Corporate Bond Pricing and
  95.  * Relative Value Measure Generation Functionality.
  96.  *  
  97.  * <br><br>
  98.  *  <ul>
  99.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  100.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  101.  *      <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>
  102.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/corporate/README.md">Corporate Bond Relative Value Analytics</a></li>
  103.  *  </ul>
  104.  * <br><br>
  105.  * 
  106.  * @author Lakshmi Krishnamurthy
  107.  */

  109. public class NonFixedBullet {

  111.     private static final MergedDiscountForwardCurve FundingCurve (
  112.         final JulianDate dtSpot,
  113.         final String strCurrency,
  114.         final double dblBump)
  115.         throws Exception
  116.     {
  117.         String[] astrDepositMaturityTenor = new String[] {
  118.             "2D"
  119.         };

  121.         double[] adblDepositQuote = new double[] {
  122.             0.0111956 + dblBump // 2D
  123.         };

  125.         double[] adblFuturesQuote = new double[] {
  126.             0.011375 + dblBump, // 98.8625
  127.             0.013350 + dblBump, // 98.6650
  128.             0.014800 + dblBump, // 98.5200
  129.             0.016450 + dblBump, // 98.3550
  130.             0.017850 + dblBump, // 98.2150
  131.             0.019300 + dblBump  // 98.0700
  132.         };

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

  154.         double[] adblFixFloatQuote = new double[] {
  155.             0.017029 + dblBump, //  2Y
  156.             0.019354 + dblBump, //  3Y
  157.             0.021044 + dblBump, //  4Y
  158.             0.022291 + dblBump, //  5Y
  159.             0.023240 + dblBump, //  6Y
  160.             0.024025 + dblBump, //  7Y
  161.             0.024683 + dblBump, //  8Y
  162.             0.025243 + dblBump, //  9Y
  163.             0.025720 + dblBump, // 10Y
  164.             0.026130 + dblBump, // 11Y
  165.             0.026495 + dblBump, // 12Y
  166.             0.027230 + dblBump, // 15Y
  167.             0.027855 + dblBump, // 20Y
  168.             0.028025 + dblBump, // 25Y
  169.             0.028028 + dblBump, // 30Y
  170.             0.027902 + dblBump, // 40Y
  171.             0.027655 + dblBump  // 50Y
  172.         };

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

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

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

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

  208.         ValuationParams valParams = new ValuationParams (
  209.             dtSpot,
  210.             dtSpot,
  211.             strCurrency
  212.         );

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

  224.         System.out.println();

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

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

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

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

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

  246.         System.out.println();

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

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

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

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

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

  268.         System.out.println();

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

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

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

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

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

  297.         System.out.println();

  299.         return dcFunding;
  300.     }

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

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

  331.         GovvieCurve gc = LatentMarketStateBuilder.GovvieCurve (
  332.             strCode,
  333.             dtSpot,
  334.             adtEffective,
  335.             adtMaturity,
  336.             adblCoupon,
  337.             adblYield,
  338.             "Yield",
  339.             LatentMarketStateBuilder.SHAPE_PRESERVING
  340.         );

  342.         BondComponent[] aComp = TreasuryBuilder.FromCode (
  343.             strCode,
  344.             adtEffective,
  345.             adtMaturity,
  346.             adblCoupon
  347.         );

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

  351.         CurveSurfaceQuoteContainer csqc = new CurveSurfaceQuoteContainer();

  353.         csqc.setGovvieState (gc);

  355.         System.out.println();

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

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

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

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

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

  383.         return gc;
  384.     }

  386.     private static final BondComponent Corporate (
  387.         final String strCUSIP,
  388.         final String strRateIndex,
  389.         final JulianDate dtEffective,
  390.         final JulianDate dtMaturity,
  391.         final double dblFloatSpread)
  392.         throws Exception
  393.     {
  394.         return BondBuilder.CreateSimpleFloater (
  395.             strCUSIP,
  396.             "USD",
  397.             strRateIndex,
  398.             "",
  399.             dblFloatSpread,
  400.             4,
  401.             "Act/360",
  402.             dtEffective,
  403.             dtMaturity,
  404.             null,
  405.             null
  406.         );
  407.     }

  409.     private static final void RVMeasures (
  410.         final BondComponent[] aBond,
  411.         final JulianDate dtValue,
  412.         final MergedDiscountForwardCurve dcBase,
  413.         final MergedDiscountForwardCurve dcBump,
  414.         final GovvieCurve gc,
  415.         final double[] adblCleanPrice,
  416.         final double[] adblFullFirstCoupon)
  417.         throws Exception
  418.     {
  419.         JulianDate dtSettle = dtValue.addBusDays (
  420.             3,
  421.             aBond[0].currency()
  422.         );

  424.         ValuationParams valParams = new ValuationParams (
  425.             dtValue,
  426.             dtSettle,
  427.             aBond[0].currency()
  428.         );

  430.         System.out.println();

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

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

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

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

  440.         System.out.println();

  442.         String strSecularMetrics = "";

  444.         for (int i = 0; i < aBond.length; ++i) {
  445.             CurveSurfaceQuoteContainer csqc = MarketParamsBuilder.Create (
  446.                 dcBase,
  447.                 gc,
  448.                 null,
  449.                 null,
  450.                 null,
  451.                 null,
  452.                 null
  453.             );

  455.             CurveSurfaceQuoteContainer csqcBump = MarketParamsBuilder.Create (
  456.                 dcBump,
  457.                 null,
  458.                 null,
  459.                 null,
  460.                 null,
  461.                 null,
  462.                 null
  463.             );

  465.             ComposableUnitPeriod cupFirst = aBond[i].stream().containingPeriod (dtValue.julian()).periods().get (0);

  467.             csqc.setFixing (
  468.                 ((ComposableUnitFloatingPeriod) cupFirst).referenceIndexPeriod().fixingDate(),
  469.                 aBond[i].floaterSetting().fri(),
  470.                 adblFullFirstCoupon[i] - aBond[i].floatSpread()
  471.             );

  473.             csqcBump.setFixing (
  474.                 ((ComposableUnitFloatingPeriod) cupFirst).referenceIndexPeriod().fixingDate(),
  475.                 aBond[i].floaterSetting().fri(),
  476.                 adblFullFirstCoupon[i] - aBond[i].floatSpread() + 0.0001
  477.             );

  479.             double dblAccrued = aBond[i].accrued (
  480.                 dtSettle.julian(),
  481.                 csqc
  482.             );

  484.             WorkoutInfo wi = aBond[i].exerciseYieldFromPrice (
  485.                 valParams,
  486.                 csqc,
  487.                 null,
  488.                 adblCleanPrice[i]
  489.             );

  491.             double dblYTM = aBond[i].yieldFromPrice (
  492.                 valParams,
  493.                 csqc,
  494.                 null,
  495.                 aBond[i].maturityDate().julian(),
  496.                 1.,
  497.                 adblCleanPrice[i]
  498.             );

  500.             double dblYTMBondEquivalent = aBond[i].yieldFromPrice (
  501.                 valParams,
  502.                 csqc,
  503.                 ValuationCustomizationParams.BondEquivalent (aBond[i].currency()),
  504.                 aBond[i].maturityDate().julian(),
  505.                 1.,
  506.                 adblCleanPrice[i]
  507.             );

  509.             double dblWALTW = aBond[i].weightedAverageLife (
  510.                 valParams,
  511.                 csqc,
  512.                 wi.date(),
  513.                 wi.factor()
  514.             );

  516.             double dblWALTM = aBond[i].weightedAverageLife (
  517.                 valParams,
  518.                 csqc,
  519.                 aBond[i].maturityDate().julian(),
  520.                 1.
  521.             );

  523.             double dblDiscountMargin = aBond[i].discountMarginFromYield (
  524.                 valParams,
  525.                 csqc,
  526.                 null,
  527.                 wi.date(),
  528.                 wi.factor(),
  529.                 wi.yield()
  530.             );

  532.             double dblOAS = aBond[i].oasFromYield (
  533.                 valParams,
  534.                 csqc,
  535.                 null,
  536.                 wi.date(),
  537.                 wi.factor(),
  538.                 wi.yield()
  539.             );

  541.             double dblBasePrice = aBond[i].priceFromFundingCurve (
  542.                 valParams,
  543.                 csqc,
  544.                 wi.date(),
  545.                 wi.factor(),
  546.                 0.
  547.             );

  549.             double dblBumpPrice = aBond[i].priceFromFundingCurve (
  550.                 valParams,
  551.                 csqcBump,
  552.                 wi.date(),
  553.                 wi.factor(),
  554.                 0.
  555.             );

  557.             strSecularMetrics +=
  558.                 aBond[i].name() + "," +
  559.                 aBond[i].effectiveDate() + "," +
  560.                 aBond[i].maturityDate() + "," +
  561.                 aBond[i].floaterSetting().fri().fullyQualifiedName() + "," +
  562.                 FormatUtil.FormatDouble (aBond[i].floatSpread(), 3, 1, 10000.) + "," +
  563.                 aBond[i].firstCouponDate() + "," +
  564.                 FormatUtil.FormatDouble (adblCleanPrice[i], 3, 3, 100.) + "," +
  565.                 FormatUtil.FormatDouble (dblAccrued, 1, 4, 100.) + "," +
  566.                 FormatUtil.FormatDouble (wi.yield(), 1, 3, 100.) + "%," +
  567.                 FormatUtil.FormatDouble (dblYTM, 1, 3, 100.) + "%," +
  568.                 FormatUtil.FormatDouble (dblYTMBondEquivalent, 1, 3, 100.) + "%," +
  569.                 FormatUtil.FormatDouble (dblWALTW, 1, 3, 1.) + "," +
  570.                 FormatUtil.FormatDouble (dblWALTM, 1, 3, 1.) + "," +
  571.                 FormatUtil.FormatDouble (dblBasePrice - dblBumpPrice, 1, 4, 10000.) + "," +
  572.                 FormatUtil.FormatDouble (dblDiscountMargin, 1, 3, 10000.) + "," +
  573.                 FormatUtil.FormatDouble (dblOAS, 1, 3, 10000.) + "\n";
  574.         }

  576.         System.out.println
  577.             ("Bond, Issue, Maturity, Floater Index, Spread, First Coupon, Clean Price, Accrued, Yield TW, Yield TM, Bond Equivalent Yield TM, WAL TW, WAL TM, Duration TW, Discount Margin TW, OAS TW");

  579.         System.out.print (strSecularMetrics);
  580.     }

  582.     public static final void main (
  583.         final String[] astrArgs)
  584.         throws Exception
  585.     {
  586.         EnvManager.InitEnv ("");

  588.         JulianDate dtSpot = DateUtil.CreateFromYMD (
  589.             2017,
  590.             DateUtil.MARCH,
  591.             10
  592.         );

  594.         String strCurrency = "USD";
  595.         String strTreasuryCode = "UST";

  597.         double[] adblTreasuryCoupon = new double[] {
  598.             0.0100,
  599.             0.0100,
  600.             0.0125,
  601.             0.0150,
  602.             0.0200,
  603.             0.0225,
  604.             0.0250,
  605.             0.0300
  606.         };

  608.         double[] adblTreasuryYield = new double[] {
  609.             0.0083, //  1Y
  610.             0.0122, //  2Y
  611.             0.0149, //  3Y
  612.             0.0193, //  5Y
  613.             0.0227, //  7Y
  614.             0.0248, // 10Y
  615.             0.0280, // 20Y
  616.             0.0308  // 30Y
  617.         };

  619.         BondComponent[] aCorporateBond = new BondComponent[] {
  620.             Corporate ("55608PAF1", "USD-3M", DateUtil.CreateFromYMD (2014,  3, 24), DateUtil.CreateFromYMD (2017,  3, 24), 0.00790),
  621.             Corporate ("233851BX1", "USD-3M", DateUtil.CreateFromYMD (2015,  8,  3), DateUtil.CreateFromYMD (2017,  8,  3), 0.00710),
  622.             Corporate ("00817YAR9", "USD-3M", DateUtil.CreateFromYMD (2016,  6,  9), DateUtil.CreateFromYMD (2017, 12,  8), 0.00650),
  623.             Corporate ("38141GVK7", "USD-3M", DateUtil.CreateFromYMD (2013,  4, 30), DateUtil.CreateFromYMD (2018,  4, 30), 0.01200),
  624.             Corporate ("865622CD4", "USD-3M", DateUtil.CreateFromYMD (2016, 10, 19), DateUtil.CreateFromYMD (2018, 10, 19), 0.00670),
  625.             Corporate ("63307A2B0", "USD-3M", DateUtil.CreateFromYMD (2015, 12, 14), DateUtil.CreateFromYMD (2018, 12, 14), 0.00840),
  626.             Corporate ("6325C0DE8", "USD-3M", DateUtil.CreateFromYMD (2016,  1, 14), DateUtil.CreateFromYMD (2019,  1, 14), 0.00780),
  627.             Corporate ("55608PAU8", "USD-3M", DateUtil.CreateFromYMD (2016,  1, 15), DateUtil.CreateFromYMD (2019,  1, 15), 0.01180),
  628.             Corporate ("61746BDY9", "USD-3M", DateUtil.CreateFromYMD (2016,  1, 27), DateUtil.CreateFromYMD (2019,  2,  1), 0.01375),
  629.             Corporate ("80283LAL7", "USD-3M", DateUtil.CreateFromYMD (2016,  3, 14), DateUtil.CreateFromYMD (2019,  3, 14), 0.01480),
  630.             Corporate ("961214CU5", "USD-3M", DateUtil.CreateFromYMD (2016,  5, 13), DateUtil.CreateFromYMD (2019,  5, 13), 0.00710),
  631.             Corporate ("94988J5E3", "USD-3M", DateUtil.CreateFromYMD (2016,  6,  2), DateUtil.CreateFromYMD (2019,  5, 24), 0.00600),
  632.             Corporate ("064159HU3", "USD-3M", DateUtil.CreateFromYMD (2016,  6, 14), DateUtil.CreateFromYMD (2019,  6, 14), 0.00660),
  633.             Corporate ("23636AAG6", "USD-3M", DateUtil.CreateFromYMD (2016,  9,  8), DateUtil.CreateFromYMD (2019,  9,  6), 0.00580),
  634.             Corporate ("65557CAU7", "USD-3M", DateUtil.CreateFromYMD (2016,  9, 30), DateUtil.CreateFromYMD (2019,  9, 30), 0.00620),
  635.             Corporate ("86563VAF6", "USD-3M", DateUtil.CreateFromYMD (2016, 10, 18), DateUtil.CreateFromYMD (2019, 10, 18), 0.00910),
  636.         };

  638.         double[] adblCleanPrice = new double[] {
  639.             1.0001950,  // (2017,  3, 24)
  640.             1.0024600,  // (2017,  8,  3)
  641.             1.0039670,  // (2017, 12,  8)
  642.             1.0097600,  // (2018,  4, 30)
  643.             1.0033100,  // (2018, 10, 19)
  644.             1.0058650,  // (2018, 12, 14)
  645.             1.0079700,  // (2019,  1, 14)
  646.             1.0114550,  // (2019,  1, 15)
  647.             1.0172800,  // (2019,  2,  1)
  648.             1.0164400,  // (2019,  3, 14)
  649.             1.0073900,  // (2019,  5, 13)
  650.             1.0055400,  // (2019,  5, 24)
  651.             1.0063760,  // (2019,  6, 14)
  652.             1.0032590,  // (2019,  9,  6)
  653.             1.0042840,  // (2019,  9, 30)
  654.             1.0052800,  // (2019, 10, 18)
  655.         };

  657.         double[] adblFullFirstCoupon = new double[] {
  658.             0.0178706,  // (2017,  3, 24)
  659.             0.0174456,  // (2017,  8,  3)
  660.             0.0175622,  // (2017, 12,  8)
  661.             0.0223900,  // (2018,  4, 30)
  662.             0.0168483,  // (2018, 10, 19)
  663.             0.0196122,  // (2018, 12, 14)
  664.             0.0180317,  // (2019,  1, 14)
  665.             0.0220317,  // (2019,  1, 15)
  666.             0.0240900,  // (2019,  2,  1)
  667.             0.0260122,  // (2019,  3, 14)
  668.             0.0174372,  // (2019,  5, 13)
  669.             0.0165400,  // (2019,  5, 24)
  670.             0.0178122,  // (2019,  6, 14)
  671.             0.0168000,  // (2019,  9,  6)
  672.             0.0161817,  // (2019,  9, 30)
  673.             0.0193372,  // (2019, 10, 18)
  674.         };

  676.         RVMeasures (
  677.             aCorporateBond,
  678.             dtSpot,
  679.             FundingCurve (
  680.                 dtSpot,
  681.                 strCurrency,
  682.                 0.
  683.             ),
  684.             FundingCurve (
  685.                 dtSpot,
  686.                 strCurrency,
  687.                 0.0001
  688.             ),
  689.             GovvieCurve (
  690.                 dtSpot,
  691.                 strTreasuryCode,
  692.                 adblTreasuryCoupon,
  693.                 adblTreasuryYield
  694.             ),
  695.             adblCleanPrice,
  696.             adblFullFirstCoupon
  697.         );

  699.         System.out.println();

  701.         EnvManager.TerminateEnv();
  702.     }
  703. }
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