Repo.java

package org.drip.sample.securitysuite;

import org.drip.analytics.date.*;
import org.drip.analytics.daycount.Convention;
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.template.LatentMarketStateBuilder;
import org.drip.state.discount.MergedDiscountForwardCurve;

/*
 * -*- 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.
 */

/**
 * Repo generates the Full Suite of Replication Metrics for a Sample Repo Instrument.
 * 
 * @author Lakshmi Krishnamurthy
 */

public class Repo {

    private static final MergedDiscountForwardCurve OvernightCurve (
        final JulianDate dtSpot,
        final String strCurrency)
        throws Exception
    {
        String[] astrDepositMaturityTenor = new String[] {
            "1D",
            "3D"
        };

        double[] adblDepositQuote = new double[] {
            0.0004,     // 1D
            0.0004      // 3D
        };

        String[] astrShortEndOISMaturityTenor = new String[] {
            "1W",
            "2W",
            "3W",
            "1M"
        };

        double[] adblShortEndOISQuote = new double[] {
            0.00070,    //   1W
            0.00069,    //   2W
            0.00078,    //   3W
            0.00074     //   1M
        };

        String[] astrOISFuturesEffectiveTenor = new String[] {
            "1M",
            "2M",
            "3M",
            "4M",
            "5M"
        };

        String[] astrOISFuturesMaturityTenor = new String[] {
            "1M",
            "1M",
            "1M",
            "1M",
            "1M"
        };

        double[] adblOISFuturesQuote = new double[] {
             0.00046,    //   1M x 1M
             0.00016,    //   2M x 1M
            -0.00007,    //   3M x 1M
            -0.00013,    //   4M x 1M
            -0.00014     //   5M x 1M
        };

        String[] astrLongEndOISMaturityTenor = new String[] {
            "15M",
            "18M",
            "21M",
            "02Y",
            "03Y",
            "04Y",
            "05Y",
            "06Y",
            "07Y",
            "08Y",
            "09Y",
            "10Y",
            "11Y",
            "12Y",
            "15Y",
            "20Y",
            "25Y",
            "30Y"
        };

        double[] adblLongEndOISQuote = new double[] {
            0.00002,    //  15M
            0.00008,    //  18M
            0.00021,    //  21M
            0.00036,    //   2Y
            0.00127,    //   3Y
            0.00274,    //   4Y
            0.00456,    //   5Y
            0.00647,    //   6Y
            0.00827,    //   7Y
            0.00996,    //   8Y
            0.01147,    //   9Y
            0.01280,    //  10Y
            0.01404,    //  11Y
            0.01516,    //  12Y
            0.01764,    //  15Y
            0.01939,    //  20Y
            0.02003,    //  25Y
            0.02038     //  30Y
        };

        return LatentMarketStateBuilder.SmoothOvernightCurve (
            dtSpot,
            strCurrency,
            astrDepositMaturityTenor,
            adblDepositQuote,
            "Rate",
            astrShortEndOISMaturityTenor,
            adblShortEndOISQuote,
            "SwapRate",
            astrOISFuturesEffectiveTenor,
            astrOISFuturesMaturityTenor,
            adblOISFuturesQuote,
            "SwapRate",
            astrLongEndOISMaturityTenor,
            adblLongEndOISQuote,
            "SwapRate"
        );
    }

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

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

        int iCouponFreq = 2;
        String strName = "Repo";
        String strCurrency = "USD";
        double dblMarketPrice = 1.;
        double dblRepoRate = 0.04; 
        double dblCouponRate = 0.0667; 
        String strCouponDayCount = "30/360";

        MergedDiscountForwardCurve dcOvernight = OvernightCurve (
            dtSpot,
            strCurrency
        );

        JulianDate dtBondEffective = DateUtil.CreateFromYMD (
            2010,
            3,
            18
        );

        JulianDate dtBondMaturity = DateUtil.CreateFromYMD (
            2030,
            4,
            7
        );

        BondComponent bond = BondBuilder.CreateSimpleFixed (
            strName,
            strCurrency,
            strName,
            dblCouponRate,
            iCouponFreq,
            strCouponDayCount,
            dtBondEffective,
            dtBondMaturity,
            null,
            null
        );

        double dblCurrentYield = bond.yieldFromPrice (
            ValuationParams.Spot (dtSpot.julian()),
            null,
            null,
            dblMarketPrice
        );

        System.out.println ("Current Yield: " + dblCurrentYield);

        JulianDate dtRepoEffective = DateUtil.CreateFromYMD (
            2018,
            3,
            20
        );

        JulianDate dtRepoMaturity = DateUtil.CreateFromYMD (
            2018,
            9,
            20
        );

        double dblRepoEffectiveCleanPrice = bond.priceFromYield (
            ValuationParams.Spot (dtRepoEffective.julian()),
            null,
            null,
            dblCurrentYield
        );

        double dblRepoMaturityCleanPrice = bond.priceFromYield (
            ValuationParams.Spot (dtRepoMaturity.julian()),
            null,
            null,
            dblCurrentYield
        );

        System.out.println (dblRepoEffectiveCleanPrice + " | " + dblRepoMaturityCleanPrice);

        double dblRepoEffectiveDatePV = dblRepoEffectiveCleanPrice * dcOvernight.df (dtRepoEffective);

        double dblRepoMaturityDatePV = dblRepoMaturityCleanPrice * dcOvernight.df (dtRepoMaturity);

        System.out.println (dblRepoEffectiveDatePV + " | " + dblRepoMaturityDatePV);

        double dblBondAccrual = dblCouponRate * Convention.YearFraction (
            dtRepoEffective.julian(),
            dtRepoMaturity.julian(),
            strCouponDayCount,
            false,
            null,
            strCurrency
        );

        double dblBondLegValue = dblRepoEffectiveDatePV - dblRepoMaturityDatePV - dblBondAccrual;

        double dblRepoAccrual = dblRepoRate * Convention.YearFraction (
            dtRepoEffective.julian(),
            dtRepoMaturity.julian(),
            strCouponDayCount,
            false,
            null,
            strCurrency
        );

        double dblRepoValue = dblBondLegValue + dblRepoAccrual;

        System.out.println (dblRepoEffectiveDatePV + " | " + dblRepoMaturityDatePV);

        System.out.println (dblBondLegValue + " | " + dblRepoAccrual + " | " + dblRepoValue);
    }
}