YAS_GILT.java

package org.drip.sample.treasury;

import org.drip.analytics.cashflow.CompositePeriod;
import org.drip.analytics.date.*;
import org.drip.market.otc.*;
import org.drip.numerical.common.FormatUtil;
import org.drip.param.creator.*;
import org.drip.param.market.CurveSurfaceQuoteContainer;
import org.drip.param.valuation.ValuationParams;
import org.drip.product.creator.*;
import org.drip.product.credit.BondComponent;
import org.drip.product.definition.CalibratableComponent;
import org.drip.product.rates.FixFloatComponent;
import org.drip.service.env.EnvManager;
import org.drip.state.creator.ScenarioDiscountCurveBuilder;
import org.drip.state.discount.MergedDiscountForwardCurve;
import org.drip.state.identifier.ForwardLabel;

/*!
 * Copyright (C) 2018 Lakshmi Krishnamurthy
 * Copyright (C) 2017 Lakshmi Krishnamurthy
 * Copyright (C) 2016 Lakshmi Krishnamurthy
 * Copyright (C) 2015 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.
 */

/**
 * YAS_GILT contains the sample demonstrating the replication of Bloomberg's GILT YAS functionality.
 * 
 * @author Lakshmi Krishnamurthy
 */

public class YAS_GILT {

    private static BondComponent TSYBond (
        final JulianDate dtEffective,
        final JulianDate dtMaturity,
        final int iFreq,
        final String strCurrency,
        final double dblCoupon)
        throws Exception
    {
        return BondBuilder.CreateSimpleFixed (
            "GILT " + dtMaturity,
            strCurrency,
            "",
            dblCoupon,
            iFreq,
            "DCAct_Act_UST",
            dtEffective,
            dtMaturity,
            null,
            null
        );
    }

    private static final FixFloatComponent OTCIRS (
        final JulianDate dtSpot,
        final String strCurrency,
        final String strMaturityTenor,
        final double dblCoupon)
    {
        FixedFloatSwapConvention ffConv = IBORFixedFloatContainer.ConventionFromJurisdiction (
            strCurrency,
            "ALL",
            strMaturityTenor,
            "MAIN"
        );

        return ffConv.createFixFloatComponent (
            dtSpot,
            strMaturityTenor,
            dblCoupon,
            0.,
            1.
        );
    }

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

    private static MergedDiscountForwardCurve BuildRatesCurveFromInstruments (
        final JulianDate dtStart,
        final String[] astrCashTenor,
        final double[] adblCashRate,
        final String[] astrIRSTenor,
        final double[] adblIRSRate,
        final double dblBump,
        final String strCurrency)
        throws Exception
    {
        int iNumDCInstruments = astrCashTenor.length + adblIRSRate.length;
        int aiDate[] = new int[iNumDCInstruments];
        double adblRate[] = new double[iNumDCInstruments];
        String astrCalibMeasure[] = new String[iNumDCInstruments];
        double adblCompCalibValue[] = new double[iNumDCInstruments];
        CalibratableComponent aCompCalib[] = new CalibratableComponent[iNumDCInstruments];

        // Cash Calibration

        JulianDate dtCashEffective = dtStart.addBusDays (
            1,
            strCurrency
        );

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

            aCompCalib[i] = SingleStreamComponentBuilder.Deposit (
                dtCashEffective,
                new JulianDate (aiDate[i] = dtCashEffective.addTenor (astrCashTenor[i]).julian()),
                ForwardLabel.Create (
                    strCurrency,
                    astrCashTenor[i]
                )
            );
        }

        // IRS Calibration

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

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

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

            aCompCalib[i + astrCashTenor.length] = OTCIRS (
                dtIRSEffective,
                strCurrency,
                astrIRSTenor[i],
                0.
            );
        }

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

        return ScenarioDiscountCurveBuilder.NonlinearBuild (
            dtStart,
            strCurrency,
            aCompCalib,
            adblCompCalibValue,
            astrCalibMeasure,
            null
        );
    }

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

        return BuildRatesCurveFromInstruments (
            dtSpot,
            astrCashTenor,
            adblCashRate,
            astrIRSTenor,
            adblIRSRate,
            0.,
            strCurrency
        );
    }

    private static final void TSYMetrics (
        final BondComponent tsyBond,
        final double dblNotional,
        final JulianDate dtSettle,
        final CurveSurfaceQuoteContainer mktParams,
        final double dblCleanPrice)
        throws Exception
    {
        double dblAccrued = tsyBond.accrued (
            dtSettle.julian(),
            null
        );

        double dblYield = tsyBond.yieldFromPrice (
            new ValuationParams (
                dtSettle,
                dtSettle,
                tsyBond.currency()
            ),
            mktParams,
            null,
            dblCleanPrice
        );

        double dblModifiedDuration = tsyBond.modifiedDurationFromPrice (
            new ValuationParams (
                dtSettle,
                dtSettle,
                tsyBond.currency()
            ),
            mktParams,
            null,
            dblCleanPrice
        );

        double dblRisk = tsyBond.yield01FromPrice (
            new ValuationParams (
                dtSettle,
                dtSettle,
                tsyBond.currency()
            ),
            mktParams,
            null,
            dblCleanPrice
        );

        double dblConvexity = tsyBond.convexityFromPrice (
            new ValuationParams (
                dtSettle,
                dtSettle,
                tsyBond.currency()
            ),
            mktParams,
            null,
            dblCleanPrice
        );

        // double dblPreviousCouponDate = tsyBond.previousCouponRate (dtSettle, mktParams);

        System.out.println();

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

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

        System.out.println();

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

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

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

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

        System.out.println();

        // System.out.println ("\tPrevious Coupon Date : " + new JulianDate (dblPreviousCouponDate));

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

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

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

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

        // System.out.println ("\tAccrual Days         : " + (dtSettle.julian() - dblPreviousCouponDate));
    }

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

        JulianDate dtSpot = DateUtil.CreateFromYMD (
            2015,
            DateUtil.SEPTEMBER,
            8
        );

        JulianDate dtEffective = DateUtil.CreateFromYMD (
            2001,
            DateUtil.SEPTEMBER,
            27
        );

        JulianDate dtMaturity = DateUtil.CreateFromYMD (
            2025,
            DateUtil.MARCH,
            7
        );

        int iFreq = 2;
        String strCurrency = "GBP";
        double dblCoupon = 0.05;
        double dblNotional = 1000000.;
        double dblCleanPrice = 1.28;

        BondComponent tsyBond = TSYBond (
            dtEffective,
            dtMaturity,
            iFreq,
            strCurrency,
            dblCoupon
        );

        System.out.println();

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

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

        System.out.println();

        MergedDiscountForwardCurve dc = FundingCurve (
            dtSpot,
            strCurrency
        );

        TSYMetrics (
            tsyBond,
            dblNotional,
            dtSpot,
            MarketParamsBuilder.Create (
                dc,
                null,
                null,
                null,
                null,
                null,
                null
            ),
            dblCleanPrice
        );

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

        for (CompositePeriod p : tsyBond.couponPeriods())
            System.out.println ("\t\t" +
                DateUtil.YYYYMMDD (p.startDate()) + " | " +
                DateUtil.YYYYMMDD (p.endDate()) + " | " +
                DateUtil.YYYYMMDD (p.payDate()) + " | " +
                FormatUtil.FormatDouble (p.couponDCF(), 1, 4, 1.) + " ||"
            );
    }
}