CDXNAIGS245YAttribution.java
package org.drip.sample.creditindexpnl;
import java.util.List;
import org.drip.analytics.date.JulianDate;
import org.drip.feed.loader.*;
import org.drip.historical.attribution.*;
import org.drip.numerical.common.FormatUtil;
import org.drip.service.env.EnvManager;
import org.drip.service.product.CreditIndexAPI;
/*
* -*- 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
*
* 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>CDXNAIGS245YAttribution</i> contains the Functionality associated with the Attribution of the CDX NA IG
* 5Y S24 Index.
*
* <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/creditindexpnl/README.md">CDX NA IG PnL Attribution</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class CDXNAIGS245YAttribution {
public static final void main (
final String[] astrArgs)
throws Exception
{
EnvManager.InitEnv ("");
int iSeries = 24;
int iHorizonGap = 1;
String strClosesLocation = "C:\\DROP\\Daemons\\Transforms\\CreditCDXMarks\\CDXNAIGS" + iSeries + "5YReconstitutor.csv";
String[] astrFundingFixingMaturityTenor = new String[] {
"1Y",
"2Y",
"3Y",
"4Y",
"5Y",
"6Y",
"7Y",
"8Y",
"9Y",
"10Y",
"11Y",
"12Y",
"15Y",
"20Y",
"25Y",
"30Y",
"40Y",
"50Y"
};
CSVGrid csvGrid = CSVParser.StringGrid (
strClosesLocation,
true
);
JulianDate[] adtClose = csvGrid.dateArrayAtColumn (0);
double[] adblFundingFixingQuote1Y = csvGrid.doubleArrayAtColumn (1);
double[] adblFundingFixingQuote2Y = csvGrid.doubleArrayAtColumn (2);
double[] adblFundingFixingQuote3Y = csvGrid.doubleArrayAtColumn (3);
double[] adblFundingFixingQuote4Y = csvGrid.doubleArrayAtColumn (4);
double[] adblFundingFixingQuote5Y = csvGrid.doubleArrayAtColumn (5);
double[] adblFundingFixingQuote6Y = csvGrid.doubleArrayAtColumn (6);
double[] adblFundingFixingQuote7Y = csvGrid.doubleArrayAtColumn (7);
double[] adblFundingFixingQuote8Y = csvGrid.doubleArrayAtColumn (8);
double[] adblFundingFixingQuote9Y = csvGrid.doubleArrayAtColumn (9);
double[] adblFundingFixingQuote10Y = csvGrid.doubleArrayAtColumn (10);
double[] adblFundingFixingQuote11Y = csvGrid.doubleArrayAtColumn (11);
double[] adblFundingFixingQuote12Y = csvGrid.doubleArrayAtColumn (12);
double[] adblFundingFixingQuote15Y = csvGrid.doubleArrayAtColumn (13);
double[] adblFundingFixingQuote20Y = csvGrid.doubleArrayAtColumn (14);
double[] adblFundingFixingQuote25Y = csvGrid.doubleArrayAtColumn (15);
double[] adblFundingFixingQuote30Y = csvGrid.doubleArrayAtColumn (16);
double[] adblFundingFixingQuote40Y = csvGrid.doubleArrayAtColumn (17);
double[] adblFundingFixingQuote50Y = csvGrid.doubleArrayAtColumn (18);
String[] astrFullCreditIndexName = csvGrid.stringArrayAtColumn (19);
double[] adblCreditIndexQuotedSpread = csvGrid.doubleArrayAtColumn (20);
int iNumClose = adtClose.length;
JulianDate[] adtSpot = new JulianDate[iNumClose];
double[][] aadblFundingFixingQuote = new double[iNumClose][18];
for (int i = 0; i < iNumClose; ++i) {
adtSpot[i] = adtClose[i];
aadblFundingFixingQuote[i][0] = adblFundingFixingQuote1Y[i];
aadblFundingFixingQuote[i][1] = adblFundingFixingQuote2Y[i];
aadblFundingFixingQuote[i][2] = adblFundingFixingQuote3Y[i];
aadblFundingFixingQuote[i][3] = adblFundingFixingQuote4Y[i];
aadblFundingFixingQuote[i][4] = adblFundingFixingQuote5Y[i];
aadblFundingFixingQuote[i][5] = adblFundingFixingQuote6Y[i];
aadblFundingFixingQuote[i][6] = adblFundingFixingQuote7Y[i];
aadblFundingFixingQuote[i][7] = adblFundingFixingQuote8Y[i];
aadblFundingFixingQuote[i][8] = adblFundingFixingQuote9Y[i];
aadblFundingFixingQuote[i][9] = adblFundingFixingQuote10Y[i];
aadblFundingFixingQuote[i][10] = adblFundingFixingQuote11Y[i];
aadblFundingFixingQuote[i][11] = adblFundingFixingQuote12Y[i];
aadblFundingFixingQuote[i][12] = adblFundingFixingQuote15Y[i];
aadblFundingFixingQuote[i][13] = adblFundingFixingQuote20Y[i];
aadblFundingFixingQuote[i][14] = adblFundingFixingQuote25Y[i];
aadblFundingFixingQuote[i][15] = adblFundingFixingQuote30Y[i];
aadblFundingFixingQuote[i][16] = adblFundingFixingQuote40Y[i];
aadblFundingFixingQuote[i][17] = adblFundingFixingQuote50Y[i];
adblCreditIndexQuotedSpread[i] *= 10000.;
}
List<PositionChangeComponents> lsPCC = CreditIndexAPI.HorizonChangeAttribution (
adtSpot,
1,
astrFundingFixingMaturityTenor,
aadblFundingFixingQuote,
astrFullCreditIndexName,
adblCreditIndexQuotedSpread
);
System.out.println ("FirstDate,SecondDate,CreditLabel,Horizon,TotalPnL,MarketShiftPnL,RollDownPnL,AccrualPnL,ExplainedPnL,UnexplainedPnL,FixedCoupon,FirstFairPremium,SecondFairPremium,RollDownFairPremium,CleanFixedDV01");
for (PositionChangeComponents pcc : lsPCC) {
if (null == pcc) continue;
CDSMarketSnap cdsmsFirst = (CDSMarketSnap) pcc.pmsFirst();
CDSMarketSnap cdsmsSecond = (CDSMarketSnap) pcc.pmsSecond();
System.out.println (
pcc.firstDate() + ", " +
pcc.secondDate() + ", " +
cdsmsFirst.creditLabel() + ", " +
iHorizonGap + "," +
FormatUtil.FormatDouble (pcc.grossChange(), 2, 4, 10000.) + ", " +
FormatUtil.FormatDouble (pcc.marketRealizationChange(), 2, 4, 10000.) + ", " +
FormatUtil.FormatDouble (pcc.marketRollDownChange(), 1, 4, 10000.) + ", " +
FormatUtil.FormatDouble (pcc.accrualChange(), 1, 4, 10000.) + ", " +
FormatUtil.FormatDouble (pcc.explainedChange(), 2, 4, 10000.) + ", " +
FormatUtil.FormatDouble (pcc.unexplainedChange(), 1, 4, 10000.) + ", " +
FormatUtil.FormatDouble (cdsmsFirst.fixedCoupon(), 1, 2, 10000.) + ", " +
FormatUtil.FormatDouble (cdsmsFirst.currentFairPremium(), 1, 4, 10000.) + ", " +
FormatUtil.FormatDouble (cdsmsSecond.currentFairPremium(), 1, 4, 10000.) + ", " +
FormatUtil.FormatDouble (cdsmsFirst.rollDownFairPremium(), 1, 4, 10000.) + ", " +
FormatUtil.FormatDouble (cdsmsFirst.cleanDV01(), 1, 4, 1.)
);
}
EnvManager.TerminateEnv();
}
}