BrokenDateGovvieSpot.java

package org.drip.sample.intexfeed;

import org.drip.analytics.date.*;
import org.drip.numerical.common.FormatUtil;
import org.drip.service.env.EnvManager;
import org.drip.service.template.LatentMarketStateBuilder;
import org.drip.state.govvie.GovvieCurve;

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

/*!
 * 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 risk, transaction costs, exposure, margin
 *      calculations, valuation adjustment, and portfolio construction within and across fixed income,
 *      credit, commodity, equity, FX, and structured products.
 *  
 *      https://lakshmidrip.github.io/DROP/
 *  
 *  DROP is composed of three modules:
 *  
 *  - DROP Analytics Core - https://lakshmidrip.github.io/DROP-Analytics-Core/
 *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
 *  - DROP Numerical Core - https://lakshmidrip.github.io/DROP-Numerical-Core/
 * 
 *  DROP Analytics Core implements libraries for the following:
 *  - Fixed Income Analytics
 *  - Asset Backed Analytics
 *  - XVA Analytics
 *  - Exposure and Margin Analytics
 * 
 *  DROP Portfolio Core implements libraries for the following:
 *  - Asset Allocation Analytics
 *  - Transaction Cost Analytics
 * 
 *  DROP Numerical Core implements libraries for the following:
 *  - Statistical Learning
 *  - Numerical Optimizer
 *  - Spline Builder
 *  - Algorithm Support
 * 
 *  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>BrokenDateGovvieSpot</i> generates the Sequence of Govvie Yields with Monthly Increments in Maturity
 * over 60 Years.
 *  
 * <br><br>
 *  <ul>
 *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/AnalyticsCore.md">Analytics Core Module</a></li>
 *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics Library</a></li>
 *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/README.md">Sample</a></li>
 *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/intexfeed/README.md">Intex Feed Inputs</a></li>
 *  </ul>
 * <br><br>
 * 
 * @author Lakshmi Krishnamurthy
 */

public class BrokenDateGovvieSpot {

    private static final GovvieCurve GovvieCurve (
        final JulianDate dtSpot,
        final String strCode)
        throws Exception
    {
        return LatentMarketStateBuilder.GovvieCurve (
            strCode,
            dtSpot,
            new JulianDate[] {
                dtSpot,
                dtSpot,
                dtSpot,
                dtSpot,
                dtSpot,
                dtSpot,
                dtSpot,
                dtSpot
            },
            new JulianDate[] {
                dtSpot.addTenor ("1Y"),
                dtSpot.addTenor ("2Y"),
                dtSpot.addTenor ("3Y"),
                dtSpot.addTenor ("5Y"),
                dtSpot.addTenor ("7Y"),
                dtSpot.addTenor ("10Y"),
                dtSpot.addTenor ("20Y"),
                dtSpot.addTenor ("30Y")
            },
            new double[] {
                0.01219, //  1Y
                0.01391, //  2Y
                0.01590, //  3Y
                0.01937, //  5Y
                0.02200, //  7Y
                0.02378, // 10Y
                0.02677, // 20Y
                0.02927  // 30Y
            },
            new double[] {
                0.01219, //  1Y
                0.01391, //  2Y
                0.01590, //  3Y
                0.01937, //  5Y
                0.02200, //  7Y
                0.02378, // 10Y
                0.02677, // 20Y
                0.02927  // 30Y
            },
            "Yield",
            LatentMarketStateBuilder.SHAPE_PRESERVING
        );
    }

    public static final void main (
        final String[] astrArgs)
        throws Exception
    {
        EnvManager.InitEnv ("");

        String strCode = "UST";
        int iNumMonthlyTenor = 720;

        JulianDate dtSpot = DateUtil.CreateFromYMD (
            2017,
            DateUtil.OCTOBER,
            5
        );

        GovvieCurve gc = GovvieCurve (
            dtSpot,
            strCode
        );

        System.out.println ("SpotDate,MaturityTenor,MaturityDate,MaturityYield");

        for (int i = 0; i < iNumMonthlyTenor; ++i) {
            JulianDate dtMaturity = dtSpot.addMonths (i);

            System.out.println (
                dtSpot + "," +
                i + "M," +
                dtMaturity + "," +
                FormatUtil.FormatDouble (gc.yield (dtMaturity), 1, 8, 100.) + "%"
            );
        }

        EnvManager.TerminateEnv();
    }
}