YAS_GGB.java

  1. package org.drip.sample.treasury;

  3. import org.drip.analytics.cashflow.CompositePeriod;
  4. import org.drip.analytics.date.*;
  5. import org.drip.market.otc.*;
  6. import org.drip.numerical.common.FormatUtil;
  7. import org.drip.param.creator.*;
  8. import org.drip.param.market.CurveSurfaceQuoteContainer;
  9. import org.drip.param.valuation.ValuationParams;
  10. import org.drip.product.creator.*;
  11. import org.drip.product.credit.BondComponent;
  12. import org.drip.product.definition.CalibratableComponent;
  13. import org.drip.product.rates.FixFloatComponent;
  14. import org.drip.service.env.EnvManager;
  15. import org.drip.state.creator.ScenarioDiscountCurveBuilder;
  16. import org.drip.state.discount.MergedDiscountForwardCurve;
  17. import org.drip.state.identifier.ForwardLabel;

  19. /*!
  20.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  21.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  22.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  23.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  24.  * 
  25.  *  This file is part of DRIP, a free-software/open-source library for buy/side financial/trading model
  26.  *      libraries targeting analysts and developers
  27.  *      https://lakshmidrip.github.io/DRIP/
  28.  *  
  29.  *  DRIP is composed of four main libraries:
  30.  *  
  31.  *  - DRIP Fixed Income - https://lakshmidrip.github.io/DRIP-Fixed-Income/
  32.  *  - DRIP Asset Allocation - https://lakshmidrip.github.io/DRIP-Asset-Allocation/
  33.  *  - DRIP Numerical Optimizer - https://lakshmidrip.github.io/DRIP-Numerical-Optimizer/
  34.  *  - DRIP Statistical Learning - https://lakshmidrip.github.io/DRIP-Statistical-Learning/
  35.  * 
  36.  *  - DRIP Fixed Income: Library for Instrument/Trading Conventions, Treasury Futures/Options,
  37.  *      Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valuation and XVA
  38.  *      Metric Generation, Calibration and Hedge Attributions, Statistical Curve Construction, Bond RV
  39.  *      Metrics, Stochastic Evolution and Option Pricing, Interest Rate Dynamics and Option Pricing, LMM
  40.  *      Extensions/Calibrations/Greeks, Algorithmic Differentiation, and Asset Backed Models and Analytics.
  41.  * 
  42.  *  - DRIP Asset Allocation: Library for model libraries for MPT framework, Black Litterman Strategy
  43.  *      Incorporator, Holdings Constraint, and Transaction Costs.
  44.  * 
  45.  *  - DRIP Numerical Optimizer: Library for Numerical Optimization and Spline Functionality.
  46.  * 
  47.  *  - DRIP Statistical Learning: Library for Statistical Evaluation and Machine Learning.
  48.  * 
  49.  *  Licensed under the Apache License, Version 2.0 (the "License");
  50.  *      you may not use this file except in compliance with the License.
  51.  *   
  52.  *  You may obtain a copy of the License at
  53.  *      http://www.apache.org/licenses/LICENSE-2.0
  54.  *  
  55.  *  Unless required by applicable law or agreed to in writing, software
  56.  *      distributed under the License is distributed on an "AS IS" BASIS,
  57.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  58.  *  
  59.  *  See the License for the specific language governing permissions and
  60.  *      limitations under the License.
  61.  */

  63. /**
  64.  * YAS_GGB contains the sample demonstrating the replication of Bloomberg's Greek Govvie EUR Bond YAS
  65.  *  Functionality.
  66.  * 
  67.  * @author Lakshmi Krishnamurthy
  68.  */

  70. public class YAS_GGB {

  72.     private static BondComponent TSYBond (
  73.         final JulianDate dtEffective,
  74.         final JulianDate dtMaturity,
  75.         final int iFreq,
  76.         final String strDayCount,
  77.         final String strCurrency,
  78.         final double dblCoupon)
  79.         throws Exception
  80.     {
  81.         return BondBuilder.CreateSimpleFixed (
  82.             "GGB " + FormatUtil.FormatDouble (dblCoupon, 1, 2, 100.) + " " + dtMaturity,
  83.             strCurrency,
  84.             "",
  85.             dblCoupon,
  86.             iFreq,
  87.             strDayCount,
  88.             dtEffective,
  89.             dtMaturity,
  90.             null,
  91.             null
  92.         );
  93.     }

  95.     private static final FixFloatComponent OTCIRS (
  96.         final JulianDate dtSpot,
  97.         final String strCurrency,
  98.         final String strMaturityTenor,
  99.         final double dblCoupon)
  100.     {
  101.         FixedFloatSwapConvention ffConv = IBORFixedFloatContainer.ConventionFromJurisdiction (
  102.             strCurrency,
  103.             "ALL",
  104.             strMaturityTenor,
  105.             "MAIN"
  106.         );

  108.         return ffConv.createFixFloatComponent (
  109.             dtSpot,
  110.             strMaturityTenor,
  111.             dblCoupon,
  112.             0.,
  113.             1.
  114.         );
  115.     }

  117.     /*
  118.      * Sample demonstrating building of rates curve from cash/future/swaps
  119.      * 
  120.      *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
  121.      */

  123.     private static MergedDiscountForwardCurve BuildRatesCurveFromInstruments (
  124.         final JulianDate dtStart,
  125.         final String[] astrCashTenor,
  126.         final double[] adblCashRate,
  127.         final String[] astrIRSTenor,
  128.         final double[] adblIRSRate,
  129.         final double dblBump,
  130.         final String strCurrency)
  131.         throws Exception
  132.     {
  133.         int iNumDCInstruments = astrCashTenor.length + adblIRSRate.length;
  134.         int aiDate[] = new int[iNumDCInstruments];
  135.         double adblRate[] = new double[iNumDCInstruments];
  136.         String astrCalibMeasure[] = new String[iNumDCInstruments];
  137.         double adblCompCalibValue[] = new double[iNumDCInstruments];
  138.         CalibratableComponent aCompCalib[] = new CalibratableComponent[iNumDCInstruments];

  140.         // Cash Calibration

  142.         JulianDate dtCashEffective = dtStart.addBusDays (
  143.             1,
  144.             strCurrency
  145.         );

  147.         for (int i = 0; i < astrCashTenor.length; ++i) {
  148.             astrCalibMeasure[i] = "Rate";
  149.             adblRate[i] = java.lang.Double.NaN;
  150.             adblCompCalibValue[i] = adblCashRate[i] + dblBump;

  152.             aCompCalib[i] = SingleStreamComponentBuilder.Deposit (
  153.                 dtCashEffective,
  154.                 new JulianDate (aiDate[i] = dtCashEffective.addTenor (astrCashTenor[i]).julian()),
  155.                 ForwardLabel.Create (
  156.                     strCurrency,
  157.                     astrCashTenor[i]
  158.                 )
  159.             );
  160.         }

  162.         // IRS Calibration

  164.         JulianDate dtIRSEffective = dtStart.addBusDays (2, strCurrency);

  166.         for (int i = 0; i < astrIRSTenor.length; ++i) {
  167.             astrCalibMeasure[i + astrCashTenor.length] = "Rate";
  168.             adblRate[i + astrCashTenor.length] = java.lang.Double.NaN;
  169.             adblCompCalibValue[i + astrCashTenor.length] = adblIRSRate[i] + dblBump;

  171.             aiDate[i + astrCashTenor.length] = dtIRSEffective.addTenor (astrIRSTenor[i]).julian();

  173.             aCompCalib[i + astrCashTenor.length] = OTCIRS (
  174.                 dtIRSEffective,
  175.                 strCurrency,
  176.                 astrIRSTenor[i],
  177.                 0.
  178.             );
  179.         }

  181.         /*
  182.          * Build the IR curve from the components, their calibration measures, and their calibration quotes.
  183.          */

  185.         return ScenarioDiscountCurveBuilder.NonlinearBuild (
  186.             dtStart,
  187.             strCurrency,
  188.             aCompCalib,
  189.             adblCompCalibValue,
  190.             astrCalibMeasure,
  191.             null
  192.         );
  193.     }

  195.     private static final MergedDiscountForwardCurve FundingCurve (
  196.         final JulianDate dtSpot,
  197.         final String strCurrency)
  198.         throws Exception
  199.     {
  200.         String[] astrCashTenor = new String[] {"3M"};
  201.         double[] adblCashRate = new double[] {0.00276};
  202.         String[] astrIRSTenor = new String[] {   "1Y",    "2Y",    "3Y",    "4Y",    "5Y",    "6Y",    "7Y",
  203.                "8Y",    "9Y",   "10Y",   "11Y",   "12Y",   "15Y",   "20Y",   "25Y",   "30Y",   "40Y",   "50Y"};
  204.         double[] adblIRSRate = new double[]  {0.00367, 0.00533, 0.00843, 0.01238, 0.01609, 0.01926, 0.02191,
  205.             0.02406, 0.02588, 0.02741, 0.02870, 0.02982, 0.03208, 0.03372, 0.03445, 0.03484, 0.03501, 0.03484};

  207.         return BuildRatesCurveFromInstruments (
  208.             dtSpot,
  209.             astrCashTenor,
  210.             adblCashRate,
  211.             astrIRSTenor,
  212.             adblIRSRate,
  213.             0.,
  214.             strCurrency
  215.         );
  216.     }

  218.     private static final void TSYMetrics (
  219.         final BondComponent tsyBond,
  220.         final double dblNotional,
  221.         final JulianDate dtSettle,
  222.         final CurveSurfaceQuoteContainer mktParams,
  223.         final double dblCleanPrice)
  224.         throws Exception
  225.     {
  226.         double dblAccrued = tsyBond.accrued (
  227.             dtSettle.julian(),
  228.             null
  229.         );

  231.         double dblYield = tsyBond.yieldFromPrice (
  232.             new ValuationParams (
  233.                 dtSettle,
  234.                 dtSettle,
  235.                 tsyBond.currency()
  236.             ),
  237.             mktParams,
  238.             null,
  239.             dblCleanPrice
  240.         );

  242.         double dblModifiedDuration = tsyBond.modifiedDurationFromPrice (
  243.             new ValuationParams (
  244.                 dtSettle,
  245.                 dtSettle,
  246.                 tsyBond.currency()
  247.             ),
  248.             mktParams,
  249.             null,
  250.             dblCleanPrice
  251.         );

  253.         double dblRisk = tsyBond.yield01FromPrice (
  254.             new ValuationParams (
  255.                 dtSettle,
  256.                 dtSettle,
  257.                 tsyBond.currency()
  258.             ),
  259.             mktParams,
  260.             null,
  261.             dblCleanPrice
  262.         );

  264.         double dblConvexity = tsyBond.convexityFromPrice (
  265.             new ValuationParams (
  266.                 dtSettle,
  267.                 dtSettle,
  268.                 tsyBond.currency()
  269.             ),
  270.             mktParams,
  271.             null,
  272.             dblCleanPrice
  273.         );

  275.         JulianDate dtPreviousCouponDate = tsyBond.previousCouponDate (dtSettle);

  277.         System.out.println();

  279.         System.out.println ("\t\t" + tsyBond.name());

  281.         System.out.println ("\tPrice             : " + FormatUtil.FormatDouble (dblCleanPrice, 1, 4, 100.));

  283.         System.out.println ("\tYield             : " + FormatUtil.FormatDouble (dblYield, 1, 4, 100.) + "%");

  285.         System.out.println ("\tSettle            :  " + dtSettle);

  287.         System.out.println();

  289.         System.out.println ("\tModified Duration : " + FormatUtil.FormatDouble (dblModifiedDuration, 1, 4, 10000.));

  291.         System.out.println ("\tRisk              : " + FormatUtil.FormatDouble (dblRisk, 1, 4, 10000.));

  293.         System.out.println ("\tConvexity         : " + FormatUtil.FormatDouble (dblConvexity * dblNotional, 1, 4, 1.));

  295.         System.out.println ("\tDV01              : " + FormatUtil.FormatDouble (dblRisk * dblNotional, 1, 0, 1.));

  297.         System.out.println();

  299.         System.out.println ("\tPrevious Coupon Date :  " + dtPreviousCouponDate);

  301.         System.out.println ("\tFace                 : " + FormatUtil.FormatDouble (dblNotional, 1, 2, 1.));

  303.         System.out.println ("\tPrincipal            : " + FormatUtil.FormatDouble (dblCleanPrice * dblNotional, 1, 2, 1.));

  305.         System.out.println ("\tAccrued              : " + FormatUtil.FormatDouble (dblAccrued * dblNotional, 1, 2, 1.));

  307.         System.out.println ("\tTotal                : " + FormatUtil.FormatDouble ((dblCleanPrice + dblAccrued) * dblNotional, 1, 2, 1.));

  309.         System.out.println ("\tAccrual Days         : " + FormatUtil.FormatDouble (dtSettle.julian() - dtPreviousCouponDate.julian(), 1, 0, 1.));
  310.     }

  312.     public static final void main (
  313.         final String astrArgs[])
  314.         throws Exception
  315.     {
  316.         EnvManager.InitEnv ("");

  318.         JulianDate dtSpot = DateUtil.CreateFromYMD (
  319.             2015,
  320.             DateUtil.MAY,
  321.             5
  322.         );

  324.         JulianDate dtEffective = DateUtil.CreateFromYMD (
  325.             2014,
  326.             DateUtil.JULY,
  327.             17
  328.         );

  330.         JulianDate dtMaturity = DateUtil.CreateFromYMD (
  331.             2017,
  332.             DateUtil.JULY,
  333.             17
  334.         );

  336.         int iFreq = 1;
  337.         String strDayCount = "DCAct_Act_UST";
  338.         String strCurrency = "EUR";
  339.         double dblCoupon = 0.03375;
  340.         double dblNotional = 1000000.;
  341.         double dblCleanPrice = 0.7578;

  343.         BondComponent tsyBond = TSYBond (
  344.             dtEffective,
  345.             dtMaturity,
  346.             iFreq,
  347.             strDayCount,
  348.             strCurrency,
  349.             dblCoupon
  350.         );

  352.         System.out.println();

  354.         System.out.println ("\tEffective : " + tsyBond.effectiveDate());

  356.         System.out.println ("\tMaturity  : " + tsyBond.maturityDate());

  358.         System.out.println();

  360.         MergedDiscountForwardCurve dc = FundingCurve (
  361.             dtSpot,
  362.             strCurrency
  363.         );

  365.         TSYMetrics (
  366.             tsyBond,
  367.             dblNotional,
  368.             dtSpot,
  369.             MarketParamsBuilder.Create (
  370.                 dc,
  371.                 null,
  372.                 null,
  373.                 null,
  374.                 null,
  375.                 null,
  376.                 null
  377.             ),
  378.             dblCleanPrice
  379.         );

  381.         System.out.println ("\n\tCashflow\n\t--------");

  383.         for (CompositePeriod p : tsyBond.couponPeriods())
  384.             System.out.println ("\t\t" +
  385.                 DateUtil.YYYYMMDD (p.startDate()) + " | " +
  386.                 DateUtil.YYYYMMDD (p.endDate()) + " | " +
  387.                 DateUtil.YYYYMMDD (p.payDate()) + " | " +
  388.                 FormatUtil.FormatDouble (p.couponDCF(), 1, 4, 1.) + " ||"
  389.             );
  390.     }
  391. }
Created with JaCoCo 0.7.9.201702052155