BondClientCashFlow.java

package org.drip.sample.service;

import org.drip.analytics.date.*;
import org.drip.json.parser.Converter;
import org.drip.json.simple.JSONObject;
import org.drip.service.env.EnvManager;
import org.drip.service.json.KeyHoleSkeleton;

/*
 * -*- 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.
 */

/**
 * BondClientCashFlow demonstrates the Invocation and Examination of the JSON-based Bond Valuation Service for
 *  generating the Bond Cash Flows.
 *
 * @author Lakshmi Krishnamurthy
 */

public class BondClientCashFlow {

    @SuppressWarnings ("unchecked") public static final void main (
        final String[] astrArgs)
        throws Exception
    {
        EnvManager.InitEnv ("");

        JulianDate dtSpot = DateUtil.CreateFromYMD (
            2017,
            DateUtil.MAY,
            9
        );

        String strCurrency = "USD";
        String strReferenceEntity = "DRIP";

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

        double[] adblDepositQuote = new double[] {
            0.0103456 // 2D
        };

        double[] adblFuturesQuote = new double[] {
            0.01070,
            0.01235,
            0.01360
        };

        String[] astrFixFloatMaturityTenor = new String[] {
            "01Y",
            "02Y",
            "03Y",
            "04Y",
            "05Y",
            "06Y",
            "07Y",
            "08Y",
            "09Y",
            "10Y",
            "11Y",
            "12Y",
            "15Y",
            "20Y",
            "25Y",
            "30Y",
            "40Y",
            "50Y"
        };

        double[] adblFixFloatQuote = new double[] {
            0.012484, //  1Y
            0.014987, //  2Y
            0.017036, //  3Y
            0.018624, //  4Y
            0.019868, //  5Y
            0.020921, //  6Y
            0.021788, //  7Y
            0.022530, //  8Y
            0.023145, //  9Y
            0.023685, // 10Y
            0.024153, // 11Y
            0.024562, // 12Y
            0.025389, // 15Y
            0.026118, // 20Y
            0.026368, // 25Y
            0.026432, // 30Y
            0.026339, // 40Y
            0.026122  // 50Y
        };

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

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

        JulianDate dtEffective = DateUtil.CreateFromYMD (
            2012,
            DateUtil.APRIL,
            12
        );

        JulianDate dtMaturity = DateUtil.CreateFromYMD (
            2027,
            DateUtil.APRIL,
            12
        );

        JSONObject jsonParameters = new JSONObject();

        jsonParameters.put ("SpotDate", dtSpot.toString());

        jsonParameters.put ("Currency", strCurrency);

        jsonParameters.put ("DepositTenor", Converter.Array (astrDepositMaturityTenor));

        jsonParameters.put ("DepositQuote", Converter.Array (adblDepositQuote));

        jsonParameters.put ("FuturesQuote", Converter.Array (adblFuturesQuote));

        jsonParameters.put ("FixFloatTenor", Converter.Array (astrFixFloatMaturityTenor));

        jsonParameters.put ("FixFloatQuote", Converter.Array (adblFixFloatQuote));

        jsonParameters.put ("CDSTenor", Converter.Array (astrCDSMaturityTenor));

        jsonParameters.put ("CDSQuote", Converter.Array (adblCDSQuote));

        jsonParameters.put ("ReferenceEntity", strReferenceEntity);

        jsonParameters.put ("BondName", "  PDVSA  5.3750 12-APR-2027 ");

        jsonParameters.put ("BondCoupon", 0.053750);

        jsonParameters.put ("BondFrequency", 2);

        jsonParameters.put ("BondDayCount", "30/360");

        jsonParameters.put ("BondEffectiveDate", dtEffective.toString());

        jsonParameters.put ("BondMaturityDate", dtMaturity.toString());

        jsonParameters.put ("BondCleanPrice", 0.38239);

        jsonParameters.put ("BondValueNotional", 1000000.);

        JSONObject jsonRequest = new JSONObject();

        jsonRequest.put ("API", "BOND::CASHFLOWS");

        jsonRequest.put ("Parameters", jsonParameters);

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

        System.out.println (jsonRequest.toJSONString());

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

        System.out.println (KeyHoleSkeleton.Thunker (jsonRequest.toJSONString()));
    }
}