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.) + " ||"
);
}
}