ForwardGovvieYield.java

  1. package org.drip.sample.intexfeed;

  3. import org.drip.analytics.date.*;
  4. import org.drip.numerical.common.FormatUtil;
  5. import org.drip.service.env.EnvManager;
  6. import org.drip.service.template.LatentMarketStateBuilder;
  7. import org.drip.state.govvie.GovvieCurve;

  9. /*
  10.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  11.  */

  13. /*!
  14.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  15.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  16.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  17.  * 
  18.  *  This file is part of DROP, an open-source library targeting risk, transaction costs, exposure, margin
  19.  *      calculations, valuation adjustment, and portfolio construction within and across fixed income,
  20.  *      credit, commodity, equity, FX, and structured products.
  21.  *  
  22.  *      https://lakshmidrip.github.io/DROP/
  23.  *  
  24.  *  DROP is composed of three modules:
  25.  *  
  26.  *  - DROP Analytics Core - https://lakshmidrip.github.io/DROP-Analytics-Core/
  27.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  28.  *  - DROP Numerical Core - https://lakshmidrip.github.io/DROP-Numerical-Core/
  29.  * 
  30.  *  DROP Analytics Core implements libraries for the following:
  31.  *  - Fixed Income Analytics
  32.  *  - Asset Backed Analytics
  33.  *  - XVA Analytics
  34.  *  - Exposure and Margin Analytics
  35.  * 
  36.  *  DROP Portfolio Core implements libraries for the following:
  37.  *  - Asset Allocation Analytics
  38.  *  - Transaction Cost Analytics
  39.  * 
  40.  *  DROP Numerical Core implements libraries for the following:
  41.  *  - Statistical Learning
  42.  *  - Numerical Optimizer
  43.  *  - Spline Builder
  44.  *  - Algorithm Support
  45.  * 
  46.  *  Documentation for DROP is Spread Over:
  47.  * 
  48.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  49.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  50.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  51.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  52.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  53.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  54.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  55.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  56.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  57.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  58.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  59.  * 
  60.  *  Licensed under the Apache License, Version 2.0 (the "License");
  61.  *      you may not use this file except in compliance with the License.
  62.  *   
  63.  *  You may obtain a copy of the License at
  64.  *      http://www.apache.org/licenses/LICENSE-2.0
  65.  *  
  66.  *  Unless required by applicable law or agreed to in writing, software
  67.  *      distributed under the License is distributed on an "AS IS" BASIS,
  68.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  69.  *  
  70.  *  See the License for the specific language governing permissions and
  71.  *      limitations under the License.
  72.  */

  74. /**
  75.  * <i>ForwardGovvieYield</i> generates the Forward Govvie Yields over Monthly Increments with Maturity up to
  76.  * 60Y for different Govvie Tenors.
  77.  *  
  78.  * <br><br>
  79.  *  <ul>
  80.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/AnalyticsCore.md">Analytics Core Module</a></li>
  81.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics Library</a></li>
  82.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/README.md">Sample</a></li>
  83.  *      <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>
  84.  *  </ul>
  85.  * <br><br>
  86.  * 
  87.  * @author Lakshmi Krishnamurthy
  88.  */

  90. public class ForwardGovvieYield {

  92.     private static final GovvieCurve GovvieCurve (
  93.         final JulianDate dtSpot,
  94.         final String strCode)
  95.         throws Exception
  96.     {
  97.         return LatentMarketStateBuilder.GovvieCurve (
  98.             strCode,
  99.             dtSpot,
  100.             new JulianDate[] {
  101.                 dtSpot,
  102.                 dtSpot,
  103.                 dtSpot,
  104.                 dtSpot,
  105.                 dtSpot,
  106.                 dtSpot,
  107.                 dtSpot,
  108.                 dtSpot
  109.             },
  110.             new JulianDate[] {
  111.                 dtSpot.addTenor ("1Y"),
  112.                 dtSpot.addTenor ("2Y"),
  113.                 dtSpot.addTenor ("3Y"),
  114.                 dtSpot.addTenor ("5Y"),
  115.                 dtSpot.addTenor ("7Y"),
  116.                 dtSpot.addTenor ("10Y"),
  117.                 dtSpot.addTenor ("20Y"),
  118.                 dtSpot.addTenor ("30Y")
  119.             },
  120.             new double[] {
  121.                 0.01219, //  1Y
  122.                 0.01391, //  2Y
  123.                 0.01590, //  3Y
  124.                 0.01937, //  5Y
  125.                 0.02200, //  7Y
  126.                 0.02378, // 10Y
  127.                 0.02677, // 20Y
  128.                 0.02927  // 30Y
  129.             },
  130.             new double[] {
  131.                 0.01219, //  1Y
  132.                 0.01391, //  2Y
  133.                 0.01590, //  3Y
  134.                 0.01937, //  5Y
  135.                 0.02200, //  7Y
  136.                 0.02378, // 10Y
  137.                 0.02677, // 20Y
  138.                 0.02927  // 30Y
  139.             },
  140.             "Yield",
  141.             LatentMarketStateBuilder.SHAPE_PRESERVING
  142.         );
  143.     }

  145.     public static final void main (
  146.         final String[] astrArgs)
  147.         throws Exception
  148.     {
  149.         /*
  150.          * Initialize the Credit Analytics Library
  151.          */

  153.         EnvManager.InitEnv ("");

  155.         int iNumMonth = 720;
  156.         String strCode = "UST";
  157.         String[] astrGovvieTenor = new String[] {
  158.              "1M",
  159.              "3M",
  160.              "6M",
  161.              "1Y",
  162.              "2Y",
  163.              "3Y",
  164.              "5Y",
  165.              "7Y",
  166.             "10Y",
  167.             "20Y",
  168.             "30Y"
  169.         };

  171.         JulianDate dtSpot = DateUtil.CreateFromYMD (
  172.             2017,
  173.             DateUtil.OCTOBER,
  174.             5
  175.         );

  177.         GovvieCurve gc = GovvieCurve (
  178.             dtSpot,
  179.             strCode
  180.         );

  182.         System.out.println ("SpotDate,ForwardGap,ForwardTenor,ForwardStartDate,ForwardEndDate,ForwardYield");

  184.         for (int i = 0; i <= iNumMonth; ++i) {
  185.             JulianDate dtForward = dtSpot.addMonths (i);

  187.             for (int j = 0; j < astrGovvieTenor.length; ++j) {
  188.                 JulianDate dtMaturity = dtForward.addTenor (astrGovvieTenor[j]);

  190.                 System.out.println (
  191.                     dtSpot + "," +
  192.                     j + "," +
  193.                     astrGovvieTenor[j] + "," +
  194.                     dtForward + "," +
  195.                     dtMaturity + "," +
  196.                     FormatUtil.FormatDouble (
  197.                         gc.forwardYield (
  198.                             dtForward.julian(),
  199.                             dtMaturity.julian()
  200.                         ), 1, 8, 100.)
  201.                     + "%"
  202.                 );
  203.             }
  204.         }

  206.         EnvManager.TerminateEnv();
  207.     }
  208. }
Created with JaCoCo 0.7.9.201702052155