PreferredFixedBullet.java

  1. package org.drip.sample.preferred;

  3. import java.util.Map;

  5. import org.drip.analytics.date.*;
  6. import org.drip.analytics.output.BondRVMeasures;
  7. import org.drip.analytics.support.Helper;
  8. import org.drip.numerical.common.FormatUtil;
  9. import org.drip.param.creator.MarketParamsBuilder;
  10. import org.drip.param.market.CurveSurfaceQuoteContainer;
  11. import org.drip.param.quote.*;
  12. import org.drip.param.valuation.*;
  13. import org.drip.product.creator.BondBuilder;
  14. import org.drip.product.credit.BondComponent;
  15. import org.drip.product.definition.*;
  16. import org.drip.service.env.EnvManager;
  17. import org.drip.service.template.*;
  18. import org.drip.state.discount.MergedDiscountForwardCurve;
  19. import org.drip.state.govvie.GovvieCurve;

  21. /*
  22.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  23.  */

  25. /*!
  26.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  27.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  28.  * 
  29.  *  This file is part of DRIP, a free-software/open-source library for buy/side financial/trading model
  30.  *      libraries targeting analysts and developers
  31.  *      https://lakshmidrip.github.io/DRIP/
  32.  *  
  33.  *  DRIP is composed of four main libraries:
  34.  *  
  35.  *  - DRIP Fixed Income - https://lakshmidrip.github.io/DRIP-Fixed-Income/
  36.  *  - DRIP Asset Allocation - https://lakshmidrip.github.io/DRIP-Asset-Allocation/
  37.  *  - DRIP Numerical Optimizer - https://lakshmidrip.github.io/DRIP-Numerical-Optimizer/
  38.  *  - DRIP Statistical Learning - https://lakshmidrip.github.io/DRIP-Statistical-Learning/
  39.  * 
  40.  *  - DRIP Fixed Income: Library for Instrument/Trading Conventions, Treasury Futures/Options,
  41.  *      Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valuation and XVA
  42.  *      Metric Generation, Calibration and Hedge Attributions, Statistical Curve Construction, Bond RV
  43.  *      Metrics, Stochastic Evolution and Option Pricing, Interest Rate Dynamics and Option Pricing, LMM
  44.  *      Extensions/Calibrations/Greeks, Algorithmic Differentiation, and Asset Backed Models and Analytics.
  45.  * 
  46.  *  - DRIP Asset Allocation: Library for model libraries for MPT framework, Black Litterman Strategy
  47.  *      Incorporator, Holdings Constraint, and Transaction Costs.
  48.  * 
  49.  *  - DRIP Numerical Optimizer: Library for Numerical Optimization and Spline Functionality.
  50.  * 
  51.  *  - DRIP Statistical Learning: Library for Statistical Evaluation and Machine Learning.
  52.  * 
  53.  *  Licensed under the Apache License, Version 2.0 (the "License");
  54.  *      you may not use this file except in compliance with the License.
  55.  *   
  56.  *  You may obtain a copy of the License at
  57.  *      http://www.apache.org/licenses/LICENSE-2.0
  58.  *  
  59.  *  Unless required by applicable law or agreed to in writing, software
  60.  *      distributed under the License is distributed on an "AS IS" BASIS,
  61.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  62.  *  
  63.  *  See the License for the specific language governing permissions and
  64.  *      limitations under the License.
  65.  */

  67. /**
  68.  * PreferredFixedBullet demonstrates Non-EOS Fixed Coupon Preferred Bond Pricing and Relative Value Measure
  69.  *  Generation Functionality.
  70.  * 
  71.  * @author Lakshmi Krishnamurthy
  72.  */

  74. public class PreferredFixedBullet {

  76.     private static final MergedDiscountForwardCurve FundingCurve (
  77.         final JulianDate dtSpot,
  78.         final String strCurrency)
  79.         throws Exception
  80.     {
  81.         String[] astrDepositMaturityTenor = new String[] {
  82.             "2D"
  83.         };

  85.         double[] adblDepositQuote = new double[] {
  86.             0.0111956 // 2D
  87.         };

  89.         double[] adblFuturesQuote = new double[] {
  90.             0.011375,   // 98.8625
  91.             0.013350,   // 98.6650
  92.             0.014800,   // 98.5200
  93.             0.016450,   // 98.3550
  94.             0.017850,   // 98.2150
  95.             0.019300    // 98.0700
  96.         };

  98.         String[] astrFixFloatMaturityTenor = new String[] {
  99.             "02Y",
  100.             "03Y",
  101.             "04Y",
  102.             "05Y",
  103.             "06Y",
  104.             "07Y",
  105.             "08Y",
  106.             "09Y",
  107.             "10Y",
  108.             "11Y",
  109.             "12Y",
  110.             "15Y",
  111.             "20Y",
  112.             "25Y",
  113.             "30Y",
  114.             "40Y",
  115.             "50Y"
  116.         };

  118.         double[] adblFixFloatQuote = new double[] {
  119.             0.017029, //  2Y
  120.             0.019354, //  3Y
  121.             0.021044, //  4Y
  122.             0.022291, //  5Y
  123.             0.023240, //  6Y
  124.             0.024025, //  7Y
  125.             0.024683, //  8Y
  126.             0.025243, //  9Y
  127.             0.025720, // 10Y
  128.             0.026130, // 11Y
  129.             0.026495, // 12Y
  130.             0.027230, // 15Y
  131.             0.027855, // 20Y
  132.             0.028025, // 25Y
  133.             0.028028, // 30Y
  134.             0.027902, // 40Y
  135.             0.027655  // 50Y
  136.         };

  138.         MergedDiscountForwardCurve dcFunding = LatentMarketStateBuilder.SmoothFundingCurve (
  139.             dtSpot,
  140.             strCurrency,
  141.             astrDepositMaturityTenor,
  142.             adblDepositQuote,
  143.             "ForwardRate",
  144.             adblFuturesQuote,
  145.             "ForwardRate",
  146.             astrFixFloatMaturityTenor,
  147.             adblFixFloatQuote,
  148.             "SwapRate"
  149.         );

  151.         Component[] aDepositComp = OTCInstrumentBuilder.FundingDeposit (
  152.             dtSpot,
  153.             strCurrency,
  154.             astrDepositMaturityTenor
  155.         );

  157.         Component[] aFuturesComp = ExchangeInstrumentBuilder.ForwardRateFuturesPack (
  158.             dtSpot,
  159.             adblFuturesQuote.length,
  160.             strCurrency
  161.         );

  163.         Component[] aFixFloatComp = OTCInstrumentBuilder.FixFloatStandard (
  164.             dtSpot,
  165.             strCurrency,
  166.             "ALL",
  167.             astrFixFloatMaturityTenor,
  168.             "MAIN",
  169.             0.
  170.         );

  172.         ValuationParams valParams = new ValuationParams (
  173.             dtSpot,
  174.             dtSpot,
  175.             strCurrency
  176.         );

  178.         CurveSurfaceQuoteContainer csqc = MarketParamsBuilder.Create (
  179.             dcFunding,
  180.             null,
  181.             null,
  182.             null,
  183.             null,
  184.             null,
  185.             null
  186.         );

  188.         System.out.println();

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

  192.         System.out.println ("\t|        DEPOSIT INPUT vs. CALC       ||");

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

  196.         for (int i = 0; i < aDepositComp.length; ++i)
  197.             System.out.println ("\t| [" + aDepositComp[i].maturityDate() + "] =" +
  198.                 FormatUtil.FormatDouble (aDepositComp[i].measureValue (
  199.                     valParams,
  200.                     null,
  201.                     csqc,
  202.                     null,
  203.                     "ForwardRate"
  204.                 ), 1, 6, 1.) + " |" +
  205.                 FormatUtil.FormatDouble (adblDepositQuote[i], 1, 6, 1.) + " ||"
  206.             );

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

  210.         System.out.println();

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

  214.         System.out.println ("\t|        FUTURES INPUT vs. CALC       ||");

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

  218.         for (int i = 0; i < aFuturesComp.length; ++i)
  219.             System.out.println ("\t| [" + aFuturesComp[i].maturityDate() + "] =" +
  220.                 FormatUtil.FormatDouble (aFuturesComp[i].measureValue (
  221.                     valParams,
  222.                     null,
  223.                     csqc,
  224.                     null,
  225.                     "ForwardRate"
  226.                 ), 1, 6, 1.) + " |" +
  227.                 FormatUtil.FormatDouble (adblFuturesQuote[i], 1, 6, 1.) + " ||"
  228.             );

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

  232.         System.out.println();

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

  236.         System.out.println ("\t|          FIX-FLOAT INPUTS vs CALIB             ||");

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

  240.         for (int i = 0; i < aFixFloatComp.length; ++i)
  241.             System.out.println ("\t| [" + aFixFloatComp[i].maturityDate() + "] =" +
  242.                 FormatUtil.FormatDouble (aFixFloatComp[i].measureValue (
  243.                     valParams,
  244.                     null,
  245.                     csqc,
  246.                     null,
  247.                     "CalibSwapRate"
  248.                 ), 1, 6, 1.) + " |" +
  249.                 FormatUtil.FormatDouble (adblFixFloatQuote[i], 1, 6, 1.) + " |" +
  250.                 FormatUtil.FormatDouble (aFixFloatComp[i].measureValue (
  251.                     valParams,
  252.                     null,
  253.                     csqc,
  254.                     null,
  255.                     "FairPremium"
  256.                 ), 1, 6, 1.) + " ||"
  257.             );

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

  261.         System.out.println();

  263.         return dcFunding;
  264.     }

  266.     private static final Map<String, GovvieCurve> GovvieCurve (
  267.         final JulianDate dtSpot,
  268.         final String strCode,
  269.         final double[] adblCoupon,
  270.         final double[] adblYield)
  271.         throws Exception
  272.     {
  273.         JulianDate[] adtEffective = new JulianDate[] {
  274.             dtSpot,
  275.             dtSpot,
  276.             dtSpot,
  277.             dtSpot,
  278.             dtSpot,
  279.             dtSpot,
  280.             dtSpot,
  281.             dtSpot
  282.         };

  284.         JulianDate[] adtMaturity = new JulianDate[] {
  285.             dtSpot.addTenor ("1Y"),
  286.             dtSpot.addTenor ("2Y"),
  287.             dtSpot.addTenor ("3Y"),
  288.             dtSpot.addTenor ("5Y"),
  289.             dtSpot.addTenor ("7Y"),
  290.             dtSpot.addTenor ("10Y"),
  291.             dtSpot.addTenor ("20Y"),
  292.             dtSpot.addTenor ("30Y")
  293.         };

  295.         Map<String, GovvieCurve> mapGovvieCurve = LatentMarketStateBuilder.BumpedGovvieCurve (
  296.             strCode,
  297.             dtSpot,
  298.             adtEffective,
  299.             adtMaturity,
  300.             adblCoupon,
  301.             adblYield,
  302.             "Yield",
  303.             LatentMarketStateBuilder.SHAPE_PRESERVING,
  304.             0.0001,
  305.             false
  306.         );

  308.         BondComponent[] aComp = TreasuryBuilder.FromCode (
  309.             strCode,
  310.             adtEffective,
  311.             adtMaturity,
  312.             adblCoupon
  313.         );

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

  317.         CurveSurfaceQuoteContainer csqc = new CurveSurfaceQuoteContainer();

  319.         csqc.setGovvieState (mapGovvieCurve.get ("BASE"));

  321.         System.out.println();

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

  325.         System.out.println ("\t|       TREASURY INPUT vs CALIB YIELD       ||");

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

  329.         for (int i = 0; i < aComp.length; ++i)
  330.             System.out.println ("\t| " + aComp[i].name() + " | " +
  331.                 FormatUtil.FormatDouble (adblYield[i], 1, 3, 100.) + "% | " +
  332.                 FormatUtil.FormatDouble (aComp[i].yieldFromPrice (
  333.                     valParams,
  334.                     null,
  335.                     null,
  336.                     aComp[i].maturityDate().julian(),
  337.                     1.,
  338.                     aComp[i].priceFromYield (
  339.                         valParams,
  340.                         null,
  341.                         null,
  342.                         mapGovvieCurve.get ("BASE").yield (aComp[i].maturityDate().julian())
  343.                     )
  344.                 ), 1, 3, 100.) + "% ||"
  345.             );

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

  349.         return mapGovvieCurve;
  350.     }

  352.     private static final void AccumulateBondMarketQuote (
  353.         final CurveSurfaceQuoteContainer csqc,
  354.         final String[] astrOnTheRunCode,
  355.         final double[] adblYield)
  356.         throws Exception
  357.     {
  358.         for (int i = 0; i < astrOnTheRunCode.length; ++i) {
  359.             ProductMultiMeasure pmmq = new ProductMultiMeasure();

  361.             pmmq.addQuote (
  362.                 "Yield",
  363.                 new MultiSided (
  364.                     "mid",
  365.                     adblYield[i]
  366.                 ),
  367.                 true
  368.             );

  370.             csqc.setProductQuote (
  371.                 astrOnTheRunCode[i],
  372.                 pmmq
  373.             );
  374.         }
  375.     }

  377.     private static final Bond Corporate (
  378.         final String strName,
  379.         final JulianDate dtEffective,
  380.         final JulianDate dtMaturity,
  381.         final double dblCoupon,
  382.         final int iFreq,
  383.         final String strDayCount)
  384.         throws Exception
  385.     {
  386.         return BondBuilder.CreateSimpleFixed (
  387.             strName + FormatUtil.FormatDouble (dblCoupon, 1, 4, 100.) + " " + dtMaturity,
  388.             "USD",
  389.             "",
  390.             dblCoupon,
  391.             iFreq,
  392.             strDayCount,
  393.             dtEffective,
  394.             dtMaturity,
  395.             null,
  396.             null
  397.         );
  398.     }

  400.     private static final double[] RVMeasures (
  401.         final Bond[] aBond,
  402.         final JulianDate dtValue,
  403.         final CurveSurfaceQuoteContainer csqc,
  404.         final double[] adblCleanPrice)
  405.         throws Exception
  406.     {
  407.         JulianDate dtSettle = dtValue.addBusDays (
  408.             0,
  409.             aBond[0].currency()
  410.         );

  412.         ValuationParams valParams = new ValuationParams (
  413.             dtValue,
  414.             dtSettle,
  415.             aBond[0].currency()
  416.         );

  418.         System.out.println();

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

  422.         System.out.println ("\t| Trade Date       : " + dtValue + " ||");

  424.         System.out.println ("\t| Cash Settle Date : " + dtSettle + " ||");

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

  428.         System.out.println();

  430.         String strCurveMetrics = "";
  431.         String strSecularMetrics = "";
  432.         double[] adblOAS = new double[aBond.length];

  434.         for (int i = 0; i < aBond.length; ++i) {
  435.             System.out.println ("Doing " + aBond[i].name());

  437.             WorkoutInfo wi = aBond[i].exerciseYieldFromPrice (
  438.                 valParams,
  439.                 csqc,
  440.                 null,
  441.                 adblCleanPrice[i]
  442.             );

  444.             BondRVMeasures rvm = aBond[i].standardMeasures (
  445.                 valParams,
  446.                 null,
  447.                 csqc,
  448.                 null,
  449.                 wi,
  450.                 adblCleanPrice[i]
  451.             );

  453.             strSecularMetrics += "\t| " +
  454.                 aBond[i].name() + " | " +
  455.                 aBond[i].effectiveDate() + " | " +
  456.                 aBond[i].maturityDate() + " |  " +
  457.                 aBond[i].firstCouponDate() + "  |" +
  458.                 FormatUtil.FormatDouble (adblCleanPrice[i], 3, 3, 100.) + " |" +
  459.                 FormatUtil.FormatDouble (aBond[i].accrued (dtSettle.julian(), csqc), 1, 5, 100.) + " |" +
  460.                 FormatUtil.FormatDouble (wi.yield(), 1, 2, 100.) + "% | " +
  461.                 FormatUtil.FormatDouble (rvm.macaulayDuration(), 2, 2, 1.) + "  | " +
  462.                 FormatUtil.FormatDouble (rvm.modifiedDuration(), 2, 2, 10000.) + "  |  " +
  463.                 FormatUtil.FormatDouble (rvm.yield01(), 2, 2, 10000.) + "  |" +
  464.                 FormatUtil.FormatDouble (rvm.yield01(), 4, 0, 1000000.) + " |" +
  465.                 FormatUtil.FormatDouble (rvm.convexity(), 1, 2, 1000000.) + " |" +
  466.                 FormatUtil.FormatDouble (aBond[i].weightedAverageLife (valParams, csqc), 2, 2, 1.) + " |   " +
  467.                 FormatUtil.FormatDouble (rvm.bondBasis(), 3, 0, 10000.) + "     ||" + "\n";

  469.             adblOAS[i] = rvm.oas();

  471.             double dblCleanPriceOASUp = aBond[i].priceFromOAS (
  472.                 valParams,
  473.                 csqc,
  474.                 null,
  475.                 adblOAS[i] + 0.0001
  476.             );

  478.             double dblCleanPriceOASDown = aBond[i].priceFromOAS (
  479.                 valParams,
  480.                 csqc,
  481.                 null,
  482.                 adblOAS[i] - 0.0001
  483.             );

  485.             strCurveMetrics += "\t| " +
  486.                 aBond[i].name() + " |" +
  487.                 FormatUtil.FormatDouble (adblCleanPrice[i], 3, 3, 100.) + " |" +
  488.                 FormatUtil.FormatDouble (wi.yield(), 1, 2, 100.) + "% |   " +
  489.                 FormatUtil.FormatDouble (rvm.zSpread(), 3, 0, 10000.) + "   |" +
  490.                 FormatUtil.FormatDouble (adblOAS[i], 3, 0, 10000.) + " | " +
  491.                 FormatUtil.FormatDouble (0.5 * (dblCleanPriceOASDown - dblCleanPriceOASUp) / adblCleanPrice[i], 2, 2, 10000.) + "  |  " +
  492.                 FormatUtil.FormatDouble ((dblCleanPriceOASDown + dblCleanPriceOASUp - 2. * adblCleanPrice[i]) / adblCleanPrice[i], 2, 2, 1000000.) + "   |" +
  493.                 FormatUtil.FormatDouble (rvm.asw(), 3, 0, 10000.) + " |  " +
  494.                 FormatUtil.FormatDouble (rvm.gSpread(), 3, 0, 10000.) + "    |   " +
  495.                 FormatUtil.FormatDouble (rvm.iSpread(), 3, 0, 10000.) + "   |    " +
  496.                 FormatUtil.FormatDouble (rvm.tsySpread(), 3, 0, 10000.) + "    |  " +
  497.                 Helper.BaseTsyBmk (
  498.                     dtValue.julian(),
  499.                     aBond[i].maturityDate().julian()
  500.                 ) + "  ||" + "\n";
  501.         }

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

  505.         System.out.println ("\t|             BOND           |  EFFECTIVE  |   MATURITY  |  FIRST COUPON |  PRICE  | ACCRUED | YIELD | MAC DUR | MOD DUR | YIELD 01 | DV01 | CONV |  WAL  | BOND BASIS ||");

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

  509.         System.out.print (strSecularMetrics);

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

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

  515.         System.out.println ("\t|             BOND           |  PRICE  | YIELD | Z SPREAD | OAS | OAS DUR |  OAS CONV | ASW | G SPREAD | I SPREAD | TSY SPREAD | TSY BMK ||");

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

  519.         System.out.print (strCurveMetrics);

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

  523.         return adblOAS;
  524.     }

  526.     public static final void main (
  527.         final String[] astrArgs)
  528.         throws Exception
  529.     {
  530.         EnvManager.InitEnv ("");

  532.         JulianDate dtSpot = DateUtil.CreateFromYMD (
  533.             2017,
  534.             DateUtil.MARCH,
  535.             13
  536.         );

  538.         String strCurrency = "USD";
  539.         String strTreasuryCode = "UST";

  541.         MergedDiscountForwardCurve dcFunding = FundingCurve (
  542.             dtSpot,
  543.             strCurrency
  544.         );

  546.         double[] adblTreasuryCoupon = new double[] {
  547.             0.0100,
  548.             0.0100,
  549.             0.0125,
  550.             0.0150,
  551.             0.0200,
  552.             0.0225,
  553.             0.0250,
  554.             0.0300
  555.         };

  557.         double[] adblTreasuryYield = new double[] {
  558.             0.0104, //  1Y
  559.             0.0137, //  2Y
  560.             0.0167, //  3Y
  561.             0.0213, //  5Y
  562.             0.0243, //  7Y
  563.             0.0260, // 10Y
  564.             0.0294, // 20Y
  565.             0.0319  // 30Y
  566.         };

  568.         Map<String, GovvieCurve> mapGovvieCurve = GovvieCurve (
  569.             dtSpot,
  570.             strTreasuryCode,
  571.             adblTreasuryCoupon,
  572.             adblTreasuryYield
  573.         );

  575.         CurveSurfaceQuoteContainer csqc = MarketParamsBuilder.Create (
  576.             dcFunding,
  577.             null,
  578.             null,
  579.             null,
  580.             null,
  581.             null,
  582.             null
  583.         );

  585.         csqc.setGovvieState (mapGovvieCurve.get ("BASE"));

  587.         AccumulateBondMarketQuote (
  588.             csqc,
  589.             new String[] {
  590.                 "01YON",
  591.                 "02YON",
  592.                 "03YON",
  593.                 "05YON",
  594.                 "07YON",
  595.                 "10YON",
  596.                 "20YON",
  597.                 "30YON"
  598.             },
  599.             adblTreasuryYield
  600.         );

  602.         Bond[] aCorporateBond = new Bond[] {
  603.             Corporate ("AGENCY ", DateUtil.CreateFromYMD (2014,  4,  3), DateUtil.CreateFromYMD (2019,  4, 30), 0.06375, 4, "30/360 NON-EOM"),
  604.         };

  606.         double[] adblCleanPrice = new double[] {
  607.             1.0036800,  // (2019,  4, 30)
  608.         };

  610.         double[] adblOAS = RVMeasures (
  611.             aCorporateBond,
  612.             dtSpot,
  613.             csqc,
  614.             adblCleanPrice
  615.         );

  617.         ValuationParams valParams = new ValuationParams (
  618.             dtSpot,
  619.             dtSpot.addBusDays (
  620.                 3,
  621.                 dcFunding.currency()
  622.             ),
  623.             dcFunding.currency()
  624.         );

  626.         System.out.println();

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

  630.         System.out.print ("\t|             BOND          ");

  632.         for (Map.Entry<String, GovvieCurve> meGovvieCurve : mapGovvieCurve.entrySet()) {
  633.             if ("BASE".equalsIgnoreCase (meGovvieCurve.getKey()) || "BUMP".equalsIgnoreCase (meGovvieCurve.getKey()))
  634.                 continue;

  636.             System.out.print (" | " + meGovvieCurve.getKey());
  637.         }

  639.         System.out.println (" ||");

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

  643.         for (int i = 0; i < adblOAS.length; ++i) {
  644.             System.out.print ("\t| " + aCorporateBond[i].name());

  646.             for (Map.Entry<String, GovvieCurve> meGovvieCurve : mapGovvieCurve.entrySet()) {
  647.                 if ("BASE".equalsIgnoreCase (meGovvieCurve.getKey()) || "BUMP".equalsIgnoreCase (meGovvieCurve.getKey()))
  648.                     continue;

  650.                 csqc.setGovvieState (meGovvieCurve.getValue());

  652.                 System.out.print (" |      " +
  653.                     FormatUtil.FormatDouble (
  654.                         (adblCleanPrice[i] - aCorporateBond[i].priceFromOAS (
  655.                             valParams,
  656.                             csqc,
  657.                             null,
  658.                             adblOAS[i]
  659.                         )) / adblCleanPrice[i],
  660.                     2, 2, 10000.) + "     "
  661.                 );
  662.             }

  664.             System.out.println (" ||");
  665.         }

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

  669.         System.out.println();
  670.     }
  671. }
Created with JaCoCo 0.7.9.201702052155