BuiltInCDSPortfolioDefinitions.java
package org.drip.sample.credit;
/*
* Generic imports
*/
import java.util.*;
import org.drip.analytics.date.*;
import org.drip.analytics.support.CaseInsensitiveTreeMap;
import org.drip.product.definition.*;
import org.drip.service.env.*;
/*
* -*- 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
* Copyright (C) 2016 Lakshmi Krishnamurthy
* Copyright (C) 2015 Lakshmi Krishnamurthy
* Copyright (C) 2014 Lakshmi Krishnamurthy
* Copyright (C) 2013 Lakshmi Krishnamurthy
* Copyright (C) 2012 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>BuiltInCDSPortfolioDefinitions</i> displays the Built-in CDS Portfolios. It shows the following:
*
* <br><br>
* <ul>
* <li>
* Construct the CDX.NA.IG 5Y Series 17 index by name and series.
* </li>
* <li>
* Construct the on-the-run CDX.NA.IG 5Y Series index.
* </li>
* <li>
* List all the built-in CDX's - their names and descriptions.
* </li>
* <li>
* Construct the on-the run CDX.EM 5Y corresponding to T - 1Y.
* </li>
* <li>
* Construct the on-the run ITRAXX.ENERGY 5Y corresponding to T - 7Y.
* </li>
* <li>
* Retrieve the full set of date/index series set for ITRAXX.ENERGY.
* </li>
* </ul>
*
* <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/cashflow/README.md">Single Name Portfolio CDS Analytics</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class BuiltInCDSPortfolioDefinitions {
/*
* Sample demonstrating the creation/usage of the CDX API
*
* USE WITH CARE: This sample ignores errors and does not handle exceptions.
*/
private static final void BasketCDSAPISample()
{
JulianDate dtToday = DateUtil.CreateFromYMD (
2013,
DateUtil.MAY,
10
);
/*
* Construct the CDX.NA.IG 5Y Series 17 index by name and series
*/
/* BasketProduct bpCDX = CreditAnalytics.MakeCDX (
"CDX.NA.IG",
17,
"5Y"
); */
/*
* Construct the on-the-run CDX.NA.IG 5Y Series index
*/
/* BasketProduct bpCDXOTR = CreditAnalytics.MakeCDX (
"CDX.NA.IG",
dtToday,
"5Y"
); */
/*
* List of all the built-in CDX names
*/
Set<String> setstrCDXNames = StandardCDXManager.GetCDXNames();
/*
* Descriptions of all the built-in CDX names
*/
CaseInsensitiveTreeMap<String> mapCDXDescr = StandardCDXManager.GetCDXDescriptions();
/*
* Construct the on-the run CDX.EM 5Y corresponding to T - 1Y
*/
BasketProduct bpPresetOTR = StandardCDXManager.GetOnTheRun (
"CDX.EM",
dtToday.subtractTenor ("1Y"),
"5Y"
);
/*
* Construct the on-the run ITRAXX.ENERGY 5Y corresponding to T - 7Y
*/
BasketProduct bpPreLoadedOTR = StandardCDXManager.GetOnTheRun (
"ITRAXX.ENERGY",
dtToday.subtractTenor ("7Y"),
"5Y"
);
/*
* Retrieve the full set of date/index series set for ITRAXX.ENERGY
*/
Map<JulianDate, Integer> mapCDXSeries = StandardCDXManager.GetCDXSeriesMap ("ITRAXX.ENERGY");
// System.out.println (bpCDX.name() + ": " + bpCDX.effective() + "=>" + bpCDX.maturity());
// System.out.println (bpCDXOTR.name() + ": " + bpCDXOTR.effective() + "=>" + bpCDXOTR.maturity());
int i = 0;
for (String strCDX : setstrCDXNames)
System.out.println ("CDX[" + i++ + "]: " + strCDX);
for (Map.Entry<String, String> meCDXDescr : mapCDXDescr.entrySet())
System.out.println ("[" + meCDXDescr.getKey() + "]: " + meCDXDescr.getValue());
System.out.println (bpPresetOTR.name() + ": " + bpPresetOTR.effective() + "=>" + bpPresetOTR.maturity());
System.out.println (bpPreLoadedOTR.name() + ": " + bpPreLoadedOTR.effective() + "=>" + bpPreLoadedOTR.maturity());
for (Map.Entry<JulianDate, Integer> me : mapCDXSeries.entrySet())
System.out.println ("ITRAXX.ENERGY[" + me.getValue() + "]: " + me.getKey());
}
public static final void main (
final String astrArgs[])
throws Exception
{
// String strConfig = "c:\\Lakshmi\\BondAnal\\Config.xml";
String strConfig = "";
EnvManager.InitEnv (strConfig);
BasketCDSAPISample();
EnvManager.TerminateEnv();
}
}