Kakinada.java

package org.drip.sample.loan;

import org.drip.analytics.cashflow.*;
import org.drip.analytics.date.*;
import org.drip.market.definition.FloaterIndex;
import org.drip.numerical.common.FormatUtil;
import org.drip.param.market.CurveSurfaceQuoteContainer;
import org.drip.param.valuation.ValuationParams;
import org.drip.product.creator.BondBuilder;
import org.drip.product.credit.BondComponent;
import org.drip.service.env.EnvManager;
import org.drip.service.scenario.*;

/*
 * -*- 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
 * 
 *  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>Kakinada</i> demonstrates the Analytics Calculation/Reconciliation for the Loan Kakinada.
 *  
 * <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/loan/README.md">Loan Analytics</a></li>
 *  </ul>
 * <br><br>
 * 
 * @author Lakshmi Krishnamurthy
 */

public class Kakinada {

    private static final void PrintCashFlows (
        final BondComponent bond,
        final ValuationParams valParams,
        final CurveSurfaceQuoteContainer csqc)
        throws Exception
    {
        double dirtyPV = 0.;
        double startDF = 1.;

        FloaterIndex floaterIndex = bond.floaterSetting().fri().floaterIndex();

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

        System.out.println ("\t||                                            PERIOD LABELS AND CURVE FACTORS                                           ||");

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

        System.out.println ("\t||   L -> R:                                                                                                            ||");

        System.out.println ("\t||           - Period Start Date                                                                                        ||");

        System.out.println ("\t||           - Period End Date                                                                                          ||");

        System.out.println ("\t||           - Period Coupon Rate (%)                                                                                   ||");

        System.out.println ("\t||           - Period Coupon Year Fraction                                                                              ||");

        System.out.println ("\t||           - Period Start DF                                                                                          ||");

        System.out.println ("\t||           - Period End DF                                                                                            ||");

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

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

        for (CompositePeriod p : bond.couponPeriods()) {
            int iEndDate = p.endDate();

            int iPayDate = p.payDate();

            int iStartDate = p.startDate() > valParams.valueDate() ? p.startDate() : valParams.valueDate();

            double dblCouponRate = bond.couponMetrics (
                iPayDate,
                valParams,
                csqc
            ).rate();

            double dblCouponDCF = p.couponDCF();

            double dblDCF = org.drip.analytics.daycount.Convention.YearFraction (
                iStartDate,
                iEndDate,
                floaterIndex.dayCount(),
                false,
                null,
                floaterIndex.calendar()
            );

            double endDF = p.df (csqc);

            double dblCouponPV = dblCouponRate * dblDCF * endDF;

            System.out.println ("\t|| " +
                DateUtil.YYYYMMDD (iStartDate) + " => " +
                DateUtil.YYYYMMDD (iEndDate) + " | " +
                FormatUtil.FormatDouble (dblCouponRate, 1, 4, 100.) + "% | " +
                FormatUtil.FormatDouble (dblCouponDCF, 1, 4, 1.) + " | " +
                FormatUtil.FormatDouble (startDF, 1, 6, 1.) + " | " +
                FormatUtil.FormatDouble (endDF, 1, 6, 1.) + " | " +
                FormatUtil.FormatDouble (dblDCF, 1, 4, 1.) + " | " +
                FormatUtil.FormatDouble (dblCouponPV, 1, 6, 1.) + " | " +
                FormatUtil.FormatDouble (((startDF / endDF) - 1.) / dblDCF, 1, 4, 100.) + "% | "
            );

            dirtyPV += dblCouponPV;
            startDF = endDF;
        }

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

        System.out.println ("\t||                    PV : " + FormatUtil.FormatDouble (dirtyPV + startDF, 1, 6, 1.));

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

        System.out.println();
    }

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

        JulianDate dtSpot = DateUtil.CreateFromYMD (
            2017,
            DateUtil.OCTOBER,
            10
        );

        String[] astrDepositTenor = new String[] {
            "1D"
        };

        double[] adblDepositQuote = new double[] {
            0.01304  // 1D
        };

        double[] adblFuturesQuote = new double[] {
            0.01345, // 98.655
            0.01470, // 98.530
            0.01575, // 98.425
            0.01660, // 98.340
            0.01745, // 98.255
            0.01845  // 98.155
        };

        String[] astrFixFloatTenor = new String[] {
            "02Y",
            "03Y",
            "04Y",
            "05Y",
            "06Y",
            "07Y",
            "08Y",
            "09Y",
            "10Y",
            "11Y",
            "12Y",
            "15Y",
            "20Y",
            "25Y",
            "30Y",
            "40Y",
            "50Y"
        };

        double[] adblFixFloatQuote = new double[] {
            0.016410, //  2Y
            0.017863, //  3Y
            0.019030, //  4Y
            0.020035, //  5Y
            0.020902, //  6Y
            0.021660, //  7Y
            0.022307, //  8Y
            0.022879, //  9Y
            0.023363, // 10Y
            0.023820, // 11Y
            0.024172, // 12Y
            0.024934, // 15Y
            0.025581, // 20Y
            0.025906, // 25Y
            0.025973, // 30Y
            0.025838, // 40Y
            0.025560  // 50Y
        };

        String[] astrGovvieTenor = new String[] {
            "1Y",
            "2Y",
            "3Y",
            "5Y",
            "7Y",
            "10Y",
            "20Y",
            "30Y"
        };

        double[] adblGovvieYield = 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
        };

        String[] astrCreditTenor = new String[] {
            "06M",
            "01Y",
            "02Y",
            "03Y",
            "04Y",
            "05Y",
            "07Y",
            "10Y"
        };

        double[] adblCreditQuote = new double[] {
             10.,   //  6M
             12.,   //  1Y
             15.,   //  2Y
             19.,   //  3Y
             24.,   //  4Y
             28.,   //  5Y
             38.,   //  7Y
             51.    // 10Y
        };

        double dblFX = 1;
        int iSettleLag = 3;
        double dblSpread = 0.0450;
        double dblCleanPrice = 1.0;
        double dblIssuePrice = 0.995;
        double dblSpreadBump = 20.;
        String strTreasuryCode = "UST";
        double dblIssueAmount = 321500000.;
        double dblSpreadDurationMultiplier = 5.;
        double dblResetRate = adblDepositQuote[0];

        JulianDate dtEffective = DateUtil.CreateFromYMD (
            2017,
            7,
            26
        );

        JulianDate dtMaturity = DateUtil.CreateFromYMD (
            2024,
            1,
            26
        );

        BondComponent bond = BondBuilder.CreateSimpleFloater (
            "Kakinada",
            "USD",
            "USD-3M",
            "Kakinada",
            dblSpread,
            4,
            "Act/360",
            dtEffective,
            dtMaturity,
            null,
            null
        );

        BondReplicator abr = BondReplicator.CorporateLoan (
            dblCleanPrice,
            dblIssuePrice,
            dblIssueAmount,
            dtSpot,
            astrDepositTenor,
            adblDepositQuote,
            adblFuturesQuote,
            astrFixFloatTenor,
            adblFixFloatQuote,
            dblSpreadBump,
            dblSpreadDurationMultiplier,
            strTreasuryCode,
            astrGovvieTenor,
            adblGovvieYield,
            astrCreditTenor,
            adblCreditQuote,
            dblFX,
            dblResetRate,
            iSettleLag,
            bond
        );

        BondReplicationRun abrr = abr.generateRun();

        System.out.println (abrr.display());

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

        System.out.println();

        CurveSurfaceQuoteContainer csqc = abr.fundingBaseCSQC();

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

        double dblYield = bond.yieldFromPrice (
            ValuationParams.Spot (dtSpot.julian()),
            csqc,
            null,
            dblCleanPrice
        );

        System.out.println ("Price In  : " + dblCleanPrice);

        System.out.println ("Yield Out : " + dblYield);

        System.out.println ("Price Out : " +
            bond.priceFromYield (
                valParams,
                csqc,
                null,
                dblYield
            )
        );

        PrintCashFlows (
            bond,
            valParams,
            csqc
        );

        EnvManager.TerminateEnv();
    }
}