Ahmednagar.java

package org.drip.sample.securitysuite;

import org.drip.analytics.date.*;
import org.drip.analytics.daycount.*;
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) 2018 Lakshmi Krishnamurthy
 * Copyright (C) 2017 Lakshmi Krishnamurthy
 * 
 *  This file is part of DRIP, a free-software/open-source library for buy/side financial/trading model
 *      libraries targeting analysts and developers
 *      https://lakshmidrip.github.io/DRIP/
 *  
 *  DRIP is composed of four main libraries:
 *  
 *  - DRIP Fixed Income - https://lakshmidrip.github.io/DRIP-Fixed-Income/
 *  - DRIP Asset Allocation - https://lakshmidrip.github.io/DRIP-Asset-Allocation/
 *  - DRIP Numerical Optimizer - https://lakshmidrip.github.io/DRIP-Numerical-Optimizer/
 *  - DRIP Statistical Learning - https://lakshmidrip.github.io/DRIP-Statistical-Learning/
 * 
 *  - DRIP Fixed Income: Library for Instrument/Trading Conventions, Treasury Futures/Options,
 *      Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valuation and XVA
 *      Metric Generation, Calibration and Hedge Attributions, Statistical Curve Construction, Bond RV
 *      Metrics, Stochastic Evolution and Option Pricing, Interest Rate Dynamics and Option Pricing, LMM
 *      Extensions/Calibrations/Greeks, Algorithmic Differentiation, and Asset Backed Models and Analytics.
 * 
 *  - DRIP Asset Allocation: Library for model libraries for MPT framework, Black Litterman Strategy
 *      Incorporator, Holdings Constraint, and Transaction Costs.
 * 
 *  - DRIP Numerical Optimizer: Library for Numerical Optimization and Spline Functionality.
 * 
 *  - DRIP Statistical Learning: Library for Statistical Evaluation and Machine Learning.
 * 
 *  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.
 */

/**
 * Ahmednagar generates the Full Suite of Replication Metrics for Bond Ahmednagar.
 * 
 * @author Lakshmi Krishnamurthy
 */

public class Ahmednagar {

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

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

        String[] astrDepositTenor = new String[] {
            "2D"
        };

        double[] adblDepositQuote = new double[] {
            0.0130411 // 2D
        };

        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"
        };

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

        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
        };

        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[] {
             60.,   //  6M
             68.,   //  1Y
             88.,   //  2Y
            102.,   //  3Y
            121.,   //  4Y
            138.,   //  5Y
            168.,   //  7Y
            188.    // 10Y
        };

        double dblFX = 1.;
        int iSettleLag = 3;
        int iFixedFreq = 2;
        int iFloatFreq = 4;
        String strName = "Ahmednagar";
        double dblCleanPrice = 1.;
        double dblIssuePrice = 1.;
        String strCurrency = "USD";
        double dblSpreadBump = 20.;
        double dblFixedCoupon = 0.0625;
        double dblIssueAmount = 3.6e08;
        String strTreasuryCode = "UST";
        String strFloatIndex = "USD-3M";
        double dblFloatSpread = 0.03899;
        String strFixedDayCount = "30/360";
        double dblSpreadDurationMultiplier = 5.;

        JulianDate dtEffective = DateUtil.CreateFromYMD (
            2017,
            DateUtil.FEBRUARY,
            28
        );

        JulianDate dtFixedFirstCoupon = DateUtil.CreateFromYMD (
            2017,
            DateUtil.AUGUST,
            28
        );

        JulianDate dtFixedEnd = DateUtil.CreateFromYMD (
            2027,
            DateUtil.AUGUST,
            28
        );

        JulianDate dtFloatPenultimateCoupon = DateUtil.CreateFromYMD (
            2056,
            DateUtil.AUGUST,
            28
        );

        JulianDate dtMaturity = DateUtil.CreateFromYMD (
            2057,
            DateUtil.FEBRUARY,
            28
        );

        BondComponent bond = BondBuilder.FixedFToFloatP (
            strName,
            strName,
            dtEffective.julian(),
            dtFixedEnd.julian(),
            dtFixedFirstCoupon.julian(),
            iFixedFreq,
            dblFixedCoupon,
            strFixedDayCount,
            strFixedDayCount,
            dtMaturity.julian(),
            dtFloatPenultimateCoupon.julian(),
            iFloatFreq,
            dblFloatSpread,
            strFloatIndex,
            new DateAdjustParams (
                Convention.DATE_ROLL_FOLLOWING,
                0,
                strCurrency
            ),
            null,
            null,
            null,
            null,
            null,
            null,
            null
        );

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

        BondReplicationRun abrr = abr.generateRun();

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