CN1.java

package org.drip.sample.treasuryfuturesapi;

import java.util.Map;

import org.drip.analytics.date.*;
import org.drip.service.env.EnvManager;
import org.drip.service.product.TreasuryFuturesAPI;

/*
 * -*- 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
 * 
 *  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.
 */

/**
 * CN1 demonstrates the Invocation and Examination of the CN1 10Y CAN Treasury Futures.
 *
 * @author Lakshmi Krishnamurthy
 */

public class CN1 {

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

		int[] aiFuturesComponentTreasuryEffectiveDate = new int[] {
			DateUtil.CreateFromYMD (2014, DateUtil.FEBRUARY,  28).julian(), // 912828J5
			DateUtil.CreateFromYMD (2014, DateUtil.MARCH,     31).julian(), // 912828J8
			DateUtil.CreateFromYMD (2014, DateUtil.APRIL,     30).julian(), // 912828K5
			DateUtil.CreateFromYMD (2014, DateUtil.MAY,       31).julian(), // 912828XE
			DateUtil.CreateFromYMD (2014, DateUtil.JUNE,      30).julian(), // 912828XH
			DateUtil.CreateFromYMD (2014, DateUtil.JULY,      31).julian(), // 912828XM
			DateUtil.CreateFromYMD (2014, DateUtil.AUGUST,    31).julian(), // 912828L3
			DateUtil.CreateFromYMD (2014, DateUtil.SEPTEMBER, 30).julian(), // 912828L6
			DateUtil.CreateFromYMD (2014, DateUtil.OCTOBER,   31).julian()  // 912828L9
		};

		int[] aiFuturesComponentTreasuryMaturityDate = new int[] {
			DateUtil.CreateFromYMD (2020, DateUtil.FEBRUARY,  28).julian(), // 912828J5
			DateUtil.CreateFromYMD (2020, DateUtil.MARCH,     31).julian(), // 912828J8
			DateUtil.CreateFromYMD (2020, DateUtil.APRIL,     30).julian(), // 912828K5
			DateUtil.CreateFromYMD (2020, DateUtil.MAY,       31).julian(), // 912828XE
			DateUtil.CreateFromYMD (2020, DateUtil.JUNE,      30).julian(), // 912828XH
			DateUtil.CreateFromYMD (2020, DateUtil.JULY,      31).julian(), // 912828XM
			DateUtil.CreateFromYMD (2020, DateUtil.AUGUST,    31).julian(), // 912828L3
			DateUtil.CreateFromYMD (2020, DateUtil.SEPTEMBER, 30).julian(), // 912828L6
			DateUtil.CreateFromYMD (2020, DateUtil.OCTOBER,   31).julian()  // 912828L9
		};

		double[] adblFuturesComponentTreasuryCoupon = new double[] {
			0.01375, // 912828J5
			0.01375, // 912828J8
			0.01375, // 912828K5
			0.01500, // 912828XE
			0.01625, // 912828XH
			0.01625, // 912828XM
			0.01375, // 912828L3
			0.01375, // 912828L6
			0.01375  // 912828L9
		};

		double[] adblFuturesComponentConversionFactor = new double[] {
			0.8317, // 912828J5
			0.8287, // 912828J8
			0.8258, // 912828K5
			0.8276, // 912828XE
			0.8297, // 912828XH
			0.8269, // 912828XM
			0.8141, // 912828L3
			0.8113, // 912828L6
			0.8084	// 912828L9
		};

		int iSpotDate = DateUtil.CreateFromYMD (
			2015,
			DateUtil.NOVEMBER,
			18
		).julian();

		String[] astrFundingCurveDepositTenor = new String[] {
			"2D",
			"1W",
			"1M",
			"2M",
			"3M"
		};

		double[] adblFundingCurveDepositQuote = new double[] {
			0.00195, // 2D
			0.00176, // 1W
			0.00301, // 1M
			0.00401, // 2M
			0.00492  // 3M
		};

		String strFundingCurveDepositMeasure = "ForwardRate";

		double[] adblFundingCurveFuturesQuote = new double[] {
			0.00609,
			0.00687
		};

		String strFundingCurveFuturesMeasure = "ForwardRate";

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

		double[] adblFundingCurveFixFloatQuote = 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
		};

		String strFundingFixFloatMeasure = "SwapRate";

		int[] aiGovvieCurveTreasuryEffectiveDate = new int[] {
			iSpotDate,
			iSpotDate,
			iSpotDate,
			iSpotDate,
			iSpotDate,
			iSpotDate,
			iSpotDate
		};

		int[] aiGovvieCurveTreasuryMaturityDate = new int[] {
			new JulianDate (iSpotDate).addTenor ("1Y").julian(),
			new JulianDate (iSpotDate).addTenor ("2Y").julian(),
			new JulianDate (iSpotDate).addTenor ("3Y").julian(),
			new JulianDate (iSpotDate).addTenor ("5Y").julian(),
			new JulianDate (iSpotDate).addTenor ("7Y").julian(),
			new JulianDate (iSpotDate).addTenor ("10Y").julian(),
			new JulianDate (iSpotDate).addTenor ("30Y").julian()
		};

		double[] adblGovvieCurveTreasuryCoupon = new double[] {
			0.0100,
			0.0100,
			0.0125,
			0.0150,
			0.0200,
			0.0225,
			0.0300
		};

		double[] adblGovvieCurveTreasuryYield = new double[] {
			0.00692,
			0.00945,
			0.01257,
			0.01678,
			0.02025,
			0.02235,
			0.02972
		};

		String strGovvieCurveTreasuryMeasure = "Yield";

		double[] adblFuturesComponentTreasuryPrice = new double[] {
			 0.99909375, // 912828J5
			 0.99900000, // 912828J8
			 0.99890625, // 912828K5
			 0.99943750, // 912828XE
			 0.99984375, // 912828XH
			 0.99978125, // 912828XM
			 0.99862500, // 912828L3
			 0.99850000, // 912828L6
			 0.99853125  // 912828L9
		};

		Map<String, Double> mapTreasuryFutures = TreasuryFuturesAPI.ValuationMetrics (
			"CN1",
			aiFuturesComponentTreasuryEffectiveDate,
			aiFuturesComponentTreasuryMaturityDate,
			adblFuturesComponentTreasuryCoupon,
			adblFuturesComponentConversionFactor,
			iSpotDate,
			astrFundingCurveDepositTenor,
			adblFundingCurveDepositQuote,
			strFundingCurveDepositMeasure,
			adblFundingCurveFuturesQuote,
			strFundingCurveFuturesMeasure,
			astrFundingCurveFixFloatTenor,
			adblFundingCurveFixFloatQuote,
			strFundingFixFloatMeasure,
			aiGovvieCurveTreasuryEffectiveDate,
			aiGovvieCurveTreasuryMaturityDate,
			adblGovvieCurveTreasuryCoupon,
			adblGovvieCurveTreasuryYield,
			strGovvieCurveTreasuryMeasure,
			adblFuturesComponentTreasuryPrice
		);

		for (Map.Entry<String, Double> me : mapTreasuryFutures.entrySet())
			System.out.println ("\t" + me.getKey() + " => " + me.getValue());
	}
}