USTULTRA.java
package org.drip.sample.treasuryfutures;
import java.util.Map;
import org.drip.analytics.date.*;
import org.drip.analytics.daycount.Convention;
import org.drip.analytics.output.BondRVMeasures;
import org.drip.numerical.common.FormatUtil;
import org.drip.param.creator.MarketParamsBuilder;
import org.drip.param.market.CurveSurfaceQuoteContainer;
import org.drip.param.quote.*;
import org.drip.param.valuation.*;
import org.drip.product.credit.*;
import org.drip.product.definition.*;
import org.drip.product.govvie.TreasuryFutures;
import org.drip.service.env.EnvManager;
import org.drip.service.template.*;
import org.drip.state.creator.ScenarioRepoCurveBuilder;
import org.drip.state.discount.MergedDiscountForwardCurve;
import org.drip.state.govvie.GovvieCurve;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* 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.
*/
/**
* USTULTRA demonstrates the Details behind the Implementation and the Pricing of the ULTRA LONG WN1 UST
* Futures Contract.
*
* @author Lakshmi Krishnamurthy
*/
public class USTULTRA {
private static final MergedDiscountForwardCurve FundingCurve (
final JulianDate dtSpot,
final String strCurrency)
throws Exception
{
String[] astrDepositMaturityTenor = new String[] {
"2D",
"1W",
"1M",
"2M",
"3M"
};
double[] adblDepositQuote = new double[] {
0.00195, // 2D
0.00176, // 1W
0.00301, // 1M
0.00401, // 2M
0.00492 // 3M
};
double[] adblFuturesQuote = new double[] {
0.00609,
0.00687
};
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[] {
0.00762, // 1Y
0.01055, // 2Y
0.01300, // 3Y
0.01495, // 4Y
0.01651, // 5Y
0.01787, // 6Y
0.01904, // 7Y
0.02005, // 8Y
0.02090, // 9Y
0.02166, // 10Y
0.02231, // 11Y
0.02289, // 12Y
0.02414, // 15Y
0.02570, // 20Y
0.02594, // 25Y
0.02627, // 30Y
0.02648, // 40Y
0.02632 // 50Y
};
MergedDiscountForwardCurve dcFunding = LatentMarketStateBuilder.SmoothFundingCurve (
dtSpot,
strCurrency,
astrDepositMaturityTenor,
adblDepositQuote,
"ForwardRate",
adblFuturesQuote,
"ForwardRate",
astrFixFloatMaturityTenor,
adblFixFloatQuote,
"SwapRate"
);
Component[] aDepositComp = OTCInstrumentBuilder.FundingDeposit (
dtSpot,
strCurrency,
astrDepositMaturityTenor
);
Component[] aFuturesComp = ExchangeInstrumentBuilder.ForwardRateFuturesPack (
dtSpot,
adblFuturesQuote.length,
strCurrency
);
Component[] aFixFloatComp = OTCInstrumentBuilder.FixFloatStandard (
dtSpot,
strCurrency,
"ALL",
astrFixFloatMaturityTenor,
"MAIN",
0.
);
ValuationParams valParams = new ValuationParams (
dtSpot,
dtSpot,
strCurrency
);
CurveSurfaceQuoteContainer csqc = MarketParamsBuilder.Create (
dcFunding,
null,
null,
null,
null,
null,
null
);
System.out.println ("\n\n\t|------------------------------------||");
System.out.println ("\t| DEPOSIT INPUT vs. CALC ||");
System.out.println ("\t|------------------------------------||");
for (int i = 0; i < aDepositComp.length; ++i)
System.out.println ("\t| [" + aDepositComp[i].maturityDate() + "] =" +
FormatUtil.FormatDouble (aDepositComp[i].measureValue (
valParams,
null,
csqc,
null,
"ForwardRate"
), 1, 6, 1.) + " |" +
FormatUtil.FormatDouble (adblDepositQuote[i], 1, 6, 1.) + " ||"
);
System.out.println ("\t|------------------------------------||");
System.out.println ("\n\t|------------------------------------||");
System.out.println ("\t| FUTURES INPUT vs. CALC ||");
System.out.println ("\t|------------------------------------||");
for (int i = 0; i < aFuturesComp.length; ++i)
System.out.println ("\t| [" + aFuturesComp[i].maturityDate() + "] =" +
FormatUtil.FormatDouble (aFuturesComp[i].measureValue (
valParams,
null,
csqc,
null,
"ForwardRate"
), 1, 6, 1.) + " |" +
FormatUtil.FormatDouble (adblFuturesQuote[i], 1, 6, 1.) + " ||"
);
System.out.println ("\t|------------------------------------||");
System.out.println ("\n\t|-----------------------------------------------|| ");
System.out.println ("\t| FIX-FLOAT INPUTS vs CALIB ||");
System.out.println ("\t|-----------------------------------------------|| ");
for (int i = 0; i < aFixFloatComp.length; ++i)
System.out.println ("\t| [" + aFixFloatComp[i].maturityDate() + "] =" +
FormatUtil.FormatDouble (aFixFloatComp[i].measureValue (
valParams,
null,
csqc,
null,
"CalibSwapRate"
), 1, 6, 1.) + " |" +
FormatUtil.FormatDouble (adblFixFloatQuote[i], 1, 6, 1.) + " |" +
FormatUtil.FormatDouble (aFixFloatComp[i].measureValue (
valParams,
null,
csqc,
null,
"FairPremium"
), 1, 6, 1.) + " ||"
);
System.out.println ("\t|-----------------------------------------------|| \n");
return dcFunding;
}
private static final void OnTheRunQuote (
final CurveSurfaceQuoteContainer csqc,
final String[] astrOnTheRunCode,
final double[] adblYield)
throws Exception
{
for (int i = 0; i < astrOnTheRunCode.length; ++i) {
ProductMultiMeasure pmmq = new ProductMultiMeasure();
pmmq.addQuote (
"Yield",
new MultiSided (
"mid",
adblYield[i]
),
true
);
csqc.setProductQuote (
astrOnTheRunCode[i],
pmmq
);
}
}
private static final void FuturesQuote (
final CurveSurfaceQuoteContainer csqc,
final TreasuryFutures bf,
final double dblFuturesPrice)
throws Exception
{
ProductMultiMeasure pmmq = new ProductMultiMeasure();
pmmq.addQuote (
"Price",
new MultiSided (
"mid",
dblFuturesPrice
),
true
);
csqc.setProductQuote (
bf.name(),
pmmq
);
}
private static final void RepoCurves (
final JulianDate dtSpot,
final CurveSurfaceQuoteContainer csqc,
final Bond[] aBond,
final double[] adblRepoRate)
throws Exception
{
for (int i = 0; i < aBond.length; ++i)
csqc.setRepoState (
ScenarioRepoCurveBuilder.FlatRateRepoCurve (
dtSpot,
aBond[i],
adblRepoRate[i]
)
);
}
private static final GovvieCurve TreasuryCurve (
final JulianDate dtSpot,
final String strCode,
final double[] adblCoupon,
final double[] adblYield)
throws Exception
{
JulianDate[] adtEffective = new JulianDate[] {
dtSpot,
dtSpot,
dtSpot,
dtSpot,
dtSpot,
dtSpot,
dtSpot
};
JulianDate[] adtMaturity = new JulianDate[] {
dtSpot.addTenor ("1Y"),
dtSpot.addTenor ("2Y"),
dtSpot.addTenor ("3Y"),
dtSpot.addTenor ("5Y"),
dtSpot.addTenor ("7Y"),
dtSpot.addTenor ("10Y"),
dtSpot.addTenor ("30Y")
};
GovvieCurve gc = LatentMarketStateBuilder.ShapePreservingGovvieCurve (
strCode,
dtSpot,
adtEffective,
adtMaturity,
adblCoupon,
adblYield,
"Yield"
);
BondComponent[] aComp = TreasuryBuilder.FromCode (
strCode,
adtEffective,
adtMaturity,
adblCoupon
);
ValuationParams valParams = new ValuationParams (
dtSpot,
dtSpot,
"USD"
);
CurveSurfaceQuoteContainer csqc = new CurveSurfaceQuoteContainer();
csqc.setGovvieState (gc);
System.out.println ("\n\t|--------------------------------------------||");
System.out.println ("\t| TREASURY INPUT vs CALIB YIELD ||");
System.out.println ("\t|--------------------------------------------||");
for (int i = 0; i < aComp.length; ++i)
System.out.println ("\t| " + aComp[i].name() + " | " +
FormatUtil.FormatDouble (adblYield[i], 2, 2, 100.) + "% | " +
FormatUtil.FormatDouble (aComp[i].yieldFromPrice (
valParams,
null,
null,
aComp[i].maturityDate().julian(),
1.,
aComp[i].priceFromYield (
valParams,
null,
null,
gc.yield (aComp[i].maturityDate().julian())
)
), 2, 2, 100.) + "% ||"
);
System.out.println ("\t|--------------------------------------------||");
return gc;
}
private static final void AccumulateBondMarketQuote (
final CurveSurfaceQuoteContainer csqc,
final Bond[] aBond,
final double[] adblCleanPrice)
throws Exception
{
for (int i = 0; i < aBond.length; ++i) {
ProductMultiMeasure pmmq = new ProductMultiMeasure();
pmmq.addQuote (
"Price",
new MultiSided (
"mid",
adblCleanPrice[i]
),
true
);
csqc.setProductQuote (
aBond[i].name(),
pmmq
);
}
}
/*
* Print the Bond RV Measures
*
* USE WITH CARE: This sample ignores errors and does not handle exceptions.
*/
private static final boolean PrintRVMeasures (
final String strPrefix,
final BondRVMeasures rv)
throws Exception
{
if (null == rv) return false;
System.out.println (strPrefix + "ASW : " + FormatUtil.FormatDouble (rv.asw(), 2, 0, 10000.));
System.out.println (strPrefix + "Bond Basis : " + FormatUtil.FormatDouble (rv.bondBasis(), 2, 0, 10000.));
System.out.println (strPrefix + "Convexity : " + FormatUtil.FormatDouble (rv.convexity(), 1, 4, 1000000.));
System.out.println (strPrefix + "Discount Margin : " + FormatUtil.FormatDouble (rv.discountMargin(), 2, 0, 10000.));
System.out.println (strPrefix + "G Spread : " + FormatUtil.FormatDouble (rv.gSpread(), 2, 0, 10000.));
System.out.println (strPrefix + "I Spread : " + FormatUtil.FormatDouble (rv.iSpread(), 2, 0, 10000.));
System.out.println (strPrefix + "Macaulay Duration : " + FormatUtil.FormatDouble (rv.macaulayDuration(), 1, 4, 1.));
System.out.println (strPrefix + "Modified Duration : " + FormatUtil.FormatDouble (rv.modifiedDuration(), 1, 4, 10000.));
System.out.println (strPrefix + "Price : " + FormatUtil.FormatDouble (rv.price(), 2, 4, 100.));
System.out.println (strPrefix + "Workout Date : " + new JulianDate (rv.wi().date()));
System.out.println (strPrefix + "Workout Factor : " + FormatUtil.FormatDouble (rv.wi().factor(), 2, 4, 1.));
System.out.println (strPrefix + "Workout Type : " + rv.wi().type());
System.out.println (strPrefix + "Workout Yield : " + FormatUtil.FormatDouble (rv.wi().yield(), 1, 4, 100.) + "%");
System.out.println (strPrefix + "Yield01 : " + FormatUtil.FormatDouble (rv.yield01(), 1, 4, 10000.));
System.out.println (strPrefix + "Yield Basis : " + FormatUtil.FormatDouble (rv.bondBasis(), 2, 0, 10000.));
System.out.println (strPrefix + "Yield Spread : " + FormatUtil.FormatDouble (rv.bondBasis(), 2, 0, 10000.));
System.out.println (strPrefix + "Z Spread : " + FormatUtil.FormatDouble (rv.zSpread(), 2, 0, 10000.));
return true;
}
private static final void BondRVMeasuresSample (
final BondComponent bond,
final JulianDate dtSpot,
final CurveSurfaceQuoteContainer csqc,
final double dblPrice)
throws Exception
{
ValuationParams valParams = ValuationParams.Spot (
dtSpot,
0,
"",
Convention.DATE_ROLL_ACTUAL
);
/*
* Compute the work-out date given the price.
*/
WorkoutInfo wi = bond.exerciseYieldFromPrice (
valParams,
csqc,
null,
dblPrice
);
/*
* Compute the base RV measures to the work-out date.
*/
org.drip.analytics.output.BondRVMeasures rvm = bond.standardMeasures (
valParams,
null,
csqc,
null,
wi,
dblPrice
);
System.out.println ("\t|---------------------------------------------||\n");
PrintRVMeasures ("\t|\t", rvm);
Map<String, Double> mapOutput = bond.value (
valParams,
null,
csqc,
null
);
System.out.println ("\t|---------------------------------------------||\n");
System.out.println ("\n\t|--------------------------------------------------------------------------||");
System.out.println ("\t| CTD Full Bond Measures ||");
System.out.println ("\t|--------------------------------------------------------------------------||");
for (Map.Entry<String, Double> me : mapOutput.entrySet())
System.out.println ("\t|\t" + me.getKey() + " => " + me.getValue());
System.out.println ("\t|--------------------------------------------------------------------------||");
}
private static final void ComputeFuturesMeasures (
final TreasuryFutures bf,
final JulianDate dtSpot,
final CurveSurfaceQuoteContainer csqc,
final double[] adblCleanPrice)
throws Exception
{
ValuationParams valParams = ValuationParams.Spot (
dtSpot,
0,
"",
Convention.DATE_ROLL_ACTUAL
);
AccumulateBondMarketQuote (
csqc,
bf.basket(),
adblCleanPrice
);
Map<String, Double> mapOutput = bf.value (
valParams,
null,
csqc,
null
);
System.out.println ("\n\t|--------------------------------------------------------------------------||");
System.out.println ("\t| Bond Futures Measures ||");
System.out.println ("\t|--------------------------------------------------------------------------||");
for (Map.Entry<String, Double> me : mapOutput.entrySet())
System.out.println ("\t|\t" + me.getKey() + " => " + me.getValue());
System.out.println ("\t|--------------------------------------------------------------------------||");
}
public static final void main (
final String[] astrArgs)
throws Exception
{
EnvManager.InitEnv ("");
JulianDate dtSpot = DateUtil.CreateFromYMD (
2015,
DateUtil.NOVEMBER,
18
);
String strCurrency = "USD";
String strTreasuryCode = "UST";
MergedDiscountForwardCurve dcFunding = FundingCurve (
dtSpot,
strCurrency
);
double[] adblTreasuryCoupon = new double[] {
0.0100,
0.0100,
0.0125,
0.0150,
0.0200,
0.0225,
0.0300
};
double[] adblTreasuryYield = new double[] {
0.00692,
0.00945,
0.01257,
0.01678,
0.02025,
0.02235,
0.02972
};
GovvieCurve gc = TreasuryCurve (
dtSpot,
strTreasuryCode,
adblTreasuryCoupon,
adblTreasuryYield
);
CurveSurfaceQuoteContainer csqc = MarketParamsBuilder.Create (
dcFunding,
null,
null,
null,
null,
null,
null
);
csqc.setGovvieState (gc);
OnTheRunQuote (
csqc,
new String[] {
"01YON",
"02YON",
"03YON",
"05YON",
"07YON",
"10YON",
"30YON"
},
adblTreasuryYield
);
Bond ust912810QN = TreasuryBuilder.UST (
DateUtil.CreateFromYMD (
2014,
DateUtil.FEBRUARY,
15
),
DateUtil.CreateFromYMD (
2041,
DateUtil.FEBRUARY,
15
),
0.04750
);
Bond ust912810QQ = TreasuryBuilder.UST (
DateUtil.CreateFromYMD (
2014,
DateUtil.MAY,
15
),
DateUtil.CreateFromYMD (
2041,
DateUtil.MAY,
15
),
0.04375
);
Bond ust912810QS = TreasuryBuilder.UST (
DateUtil.CreateFromYMD (
2014,
DateUtil.AUGUST,
15
),
DateUtil.CreateFromYMD (
2041,
DateUtil.AUGUST,
15
),
0.03750
);
Bond ust912810RC = TreasuryBuilder.UST (
DateUtil.CreateFromYMD (
2014,
DateUtil.AUGUST,
15
),
DateUtil.CreateFromYMD (
2043,
DateUtil.AUGUST,
15
),
0.03625
);
Bond ust912810RD = TreasuryBuilder.UST (
DateUtil.CreateFromYMD (
2014,
DateUtil.NOVEMBER,
15
),
DateUtil.CreateFromYMD (
2043,
DateUtil.NOVEMBER,
15
),
0.03750
);
Bond ust912810QT = TreasuryBuilder.UST (
DateUtil.CreateFromYMD (
2014,
DateUtil.NOVEMBER,
15
),
DateUtil.CreateFromYMD (
2041,
DateUtil.NOVEMBER,
15
),
0.03125
);
Bond ust912810QU = TreasuryBuilder.UST (
DateUtil.CreateFromYMD (
2014,
DateUtil.FEBRUARY,
15
),
DateUtil.CreateFromYMD (
2043,
DateUtil.FEBRUARY,
15
),
0.03125
);
Bond ust912810RE = TreasuryBuilder.UST (
DateUtil.CreateFromYMD (
2014,
DateUtil.FEBRUARY,
15
),
DateUtil.CreateFromYMD (
2044,
DateUtil.FEBRUARY,
15
),
0.03625
);
Bond ust912810QZ = TreasuryBuilder.UST (
DateUtil.CreateFromYMD (
2014,
DateUtil.FEBRUARY,
15
),
DateUtil.CreateFromYMD (
2043,
DateUtil.FEBRUARY,
15
),
0.03125
);
Bond ust912810QW = TreasuryBuilder.UST (
DateUtil.CreateFromYMD (
2014,
DateUtil.MAY,
15
),
DateUtil.CreateFromYMD (
2042,
DateUtil.MAY,
15
),
0.03000
);
Bond ust912810RG = TreasuryBuilder.UST (
DateUtil.CreateFromYMD (
2014,
DateUtil.MAY,
15
),
DateUtil.CreateFromYMD (
2044,
DateUtil.MAY,
15
),
0.03625
);
Bond ust912810QX = TreasuryBuilder.UST (
DateUtil.CreateFromYMD (
2014,
DateUtil.AUGUST,
15
),
DateUtil.CreateFromYMD (
2042,
DateUtil.AUGUST,
15
),
0.02375
);
Bond ust912810RB = TreasuryBuilder.UST (
DateUtil.CreateFromYMD (
2014,
DateUtil.MAY,
15
),
DateUtil.CreateFromYMD (
2043,
DateUtil.MAY,
15
),
0.02875
);
Bond ust912810QY = TreasuryBuilder.UST (
DateUtil.CreateFromYMD (
2014,
DateUtil.NOVEMBER,
15
),
DateUtil.CreateFromYMD (
2042,
DateUtil.NOVEMBER,
15
),
0.02750
);
Bond ust912810RH = TreasuryBuilder.UST (
DateUtil.CreateFromYMD (
2014,
DateUtil.AUGUST,
15
),
DateUtil.CreateFromYMD (
2044,
DateUtil.AUGUST,
15
),
0.03125
);
Bond ust912810RJ = TreasuryBuilder.UST (
DateUtil.CreateFromYMD (
2014,
DateUtil.NOVEMBER,
15
),
DateUtil.CreateFromYMD (
2044,
DateUtil.NOVEMBER,
15
),
0.03000
);
Bond ust912810RM = TreasuryBuilder.UST (
DateUtil.CreateFromYMD (
2014,
DateUtil.MAY,
15
),
DateUtil.CreateFromYMD (
2045,
DateUtil.MAY,
15
),
0.03000
);
Bond ust912810RP = TreasuryBuilder.UST (
DateUtil.CreateFromYMD (
2014,
DateUtil.NOVEMBER,
15
),
DateUtil.CreateFromYMD (
2045,
DateUtil.NOVEMBER,
15
),
0.03000
);
Bond ust912810RN = TreasuryBuilder.UST (
DateUtil.CreateFromYMD (
2014,
DateUtil.AUGUST,
15
),
DateUtil.CreateFromYMD (
2045,
DateUtil.AUGUST,
15
),
0.02875
);
Bond ust912810RK = TreasuryBuilder.UST (
DateUtil.CreateFromYMD (
2014,
DateUtil.FEBRUARY,
15
),
DateUtil.CreateFromYMD (
2045,
DateUtil.FEBRUARY,
15
),
0.02500
);
double dblContractSize = 100000.;
double dblFuturesPrice = 1.56687500;
Bond[] aBond = new Bond[] {
ust912810QN,
ust912810QQ,
ust912810QS,
ust912810RC,
ust912810RD,
ust912810QT,
ust912810QU,
ust912810RE,
ust912810QZ,
ust912810QW,
ust912810RG,
ust912810QX,
ust912810RB,
ust912810QY,
ust912810RH,
ust912810RJ,
ust912810RM,
ust912810RP,
ust912810RN,
ust912810RK
};
TreasuryFutures tu1 = new TreasuryFutures (
aBond,
new double[] {
0.8392, // 912810QN
0.7900, // 912810QQ
0.7080, // 912810QS
0.6821, // 912810RC
0.6976, // 912810RD
0.6253, // 912810QT
0.6239, // 912810QU
0.6798, // 912810RE
0.6179, // 912810QZ
0.6059, // 912810QW
0.6448, // 912810RG
0.5714, // 912810QX
0.5831, // 912810RB
0.5697, // 912810QY
0.6097, // 912810RH
0.5913, // 912810RJ
0.5887, // 912810RM
0.5861, // 912810RP
0.5702, // 912810RN
0.5217, // 912810RK
},
null
);
double[] adblRepoRate = new double[] {
0.00800,
0.00825,
0.00850,
0.00875,
0.00900,
0.00925,
0.00950,
0.00975,
0.01000,
0.01025,
0.01050,
0.01075,
0.01100,
0.01125,
0.01150,
0.01175,
0.01200,
0.01225,
0.01250,
0.01275
};
RepoCurves (
dtSpot,
csqc,
aBond,
adblRepoRate
);
tu1.setExpiry (
DateUtil.CreateFromYMD (
2016,
DateUtil.FEBRUARY,
15
)
);
double[] adblCleanPrice = new double[] {
1.3200000,
1.2540625,
1.1412500,
1.1193750,
1.1450000,
1.0262500,
1.0256250,
1.1184375,
1.0181250,
0.9990625,
1.0659375,
0.9481250,
0.9681250,
0.9459375,
1.0153125,
0.9896875,
0.9890625,
0.9918750,
0.9656250,
0.8909375
};
FuturesQuote (
csqc,
tu1,
dblFuturesPrice
);
Bond bondCTD = tu1.cheapestToDeliverYield (
dtSpot.julian(),
adblCleanPrice
).bond();
System.out.println ("\n\t|---------------------------------------------||");
System.out.println ("\t| ||");
System.out.println ("\t| Bond # 1: " + ust912810QN.name() + " ||");
System.out.println ("\t| Bond # 2: " + ust912810QQ.name() + " ||");
System.out.println ("\t| Bond # 3: " + ust912810QS.name() + " ||");
System.out.println ("\t| Bond # 4: " + ust912810RC.name() + " ||");
System.out.println ("\t| Bond # 5: " + ust912810RD.name() + " ||");
System.out.println ("\t| Bond # 6: " + ust912810QT.name() + " ||");
System.out.println ("\t| Bond # 7: " + ust912810QU.name() + " ||");
System.out.println ("\t| Bond # 8: " + ust912810RE.name() + " ||");
System.out.println ("\t| Bond # 9: " + ust912810QZ.name() + " ||");
System.out.println ("\t| Bond #10: " + ust912810QW.name() + " ||");
System.out.println ("\t| Bond #11: " + ust912810RG.name() + " ||");
System.out.println ("\t| Bond #12: " + ust912810QX.name() + " ||");
System.out.println ("\t| Bond #13: " + ust912810RB.name() + " ||");
System.out.println ("\t| Bond #14: " + ust912810QY.name() + " ||");
System.out.println ("\t| Bond #15: " + ust912810RH.name() + " ||");
System.out.println ("\t| Bond #16: " + ust912810RJ.name() + " ||");
System.out.println ("\t| Bond #17: " + ust912810RM.name() + " ||");
System.out.println ("\t| Bond #18: " + ust912810RP.name() + " ||");
System.out.println ("\t| Bond #19: " + ust912810RN.name() + " ||");
System.out.println ("\t| Bond #20: " + ust912810RK.name() + " ||");
System.out.println ("\t| ||");
System.out.println ("\t|---------------------------------------------||");
System.out.println ("\t| Cheapest to Deliver: " + bondCTD.name() + " ||");
BondRVMeasuresSample (
(BondComponent) bondCTD,
dtSpot,
csqc,
1.3200000
);
ComputeFuturesMeasures (
tu1,
dtSpot,
csqc,
adblCleanPrice
);
System.out.println ("\n\t|---------------------------------------------||");
System.out.println ("\t| Futures Price : " + FormatUtil.FormatDouble (dblFuturesPrice, 2, 5, 100.) + " ||");
System.out.println ("\t| Contract Size : " + FormatUtil.FormatDouble (dblContractSize, 1, 2, 1.) + " ||");
System.out.println ("\t| Contract Value : " + FormatUtil.FormatDouble (dblContractSize * dblFuturesPrice, 1, 2, 1.) + " ||");
System.out.println ("\t|---------------------------------------------||\n");
}
}