FV1.java

  1. package org.drip.sample.treasuryfuturesapi;

  3. import java.util.Map;

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

  9. /*
  10.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  11.  */

  13. /*!
  14.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  15.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  16.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  17.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  18.  * 
  19.  *  This file is part of DRIP, a free-software/open-source library for buy/side financial/trading model
  20.  *      libraries targeting analysts and developers
  21.  *      https://lakshmidrip.github.io/DRIP/
  22.  *  
  23.  *  DRIP is composed of four main libraries:
  24.  *  
  25.  *  - DRIP Fixed Income - https://lakshmidrip.github.io/DRIP-Fixed-Income/
  26.  *  - DRIP Asset Allocation - https://lakshmidrip.github.io/DRIP-Asset-Allocation/
  27.  *  - DRIP Numerical Optimizer - https://lakshmidrip.github.io/DRIP-Numerical-Optimizer/
  28.  *  - DRIP Statistical Learning - https://lakshmidrip.github.io/DRIP-Statistical-Learning/
  29.  * 
  30.  *  - DRIP Fixed Income: Library for Instrument/Trading Conventions, Treasury Futures/Options,
  31.  *      Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valuation and XVA
  32.  *      Metric Generation, Calibration and Hedge Attributions, Statistical Curve Construction, Bond RV
  33.  *      Metrics, Stochastic Evolution and Option Pricing, Interest Rate Dynamics and Option Pricing, LMM
  34.  *      Extensions/Calibrations/Greeks, Algorithmic Differentiation, and Asset Backed Models and Analytics.
  35.  * 
  36.  *  - DRIP Asset Allocation: Library for model libraries for MPT framework, Black Litterman Strategy
  37.  *      Incorporator, Holdings Constraint, and Transaction Costs.
  38.  * 
  39.  *  - DRIP Numerical Optimizer: Library for Numerical Optimization and Spline Functionality.
  40.  * 
  41.  *  - DRIP Statistical Learning: Library for Statistical Evaluation and Machine Learning.
  42.  * 
  43.  *  Licensed under the Apache License, Version 2.0 (the "License");
  44.  *      you may not use this file except in compliance with the License.
  45.  *   
  46.  *  You may obtain a copy of the License at
  47.  *      http://www.apache.org/licenses/LICENSE-2.0
  48.  *  
  49.  *  Unless required by applicable law or agreed to in writing, software
  50.  *      distributed under the License is distributed on an "AS IS" BASIS,
  51.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  52.  *  
  53.  *  See the License for the specific language governing permissions and
  54.  *      limitations under the License.
  55.  */

  57. /**
  58.  * FV1 demonstrates the Invocation and Examination of the FV1 5Y UST Treasury Futures.
  59.  *
  60.  * @author Lakshmi Krishnamurthy
  61.  */

  63. public class FV1 {

  65.     public static final void main (
  66.         final String[] args)
  67.         throws Exception
  68.     {
  69.         EnvManager.InitEnv ("");

  71.         int[] aiFuturesComponentTreasuryEffectiveDate = new int[] {
  72.             DateUtil.CreateFromYMD (2014, DateUtil.FEBRUARY,  28).julian(), // 912828J5
  73.             DateUtil.CreateFromYMD (2014, DateUtil.MARCH,     31).julian(), // 912828J8
  74.             DateUtil.CreateFromYMD (2014, DateUtil.APRIL,     30).julian(), // 912828K5
  75.             DateUtil.CreateFromYMD (2014, DateUtil.MAY,       31).julian(), // 912828XE
  76.             DateUtil.CreateFromYMD (2014, DateUtil.JUNE,      30).julian(), // 912828XH
  77.             DateUtil.CreateFromYMD (2014, DateUtil.JULY,      31).julian(), // 912828XM
  78.             DateUtil.CreateFromYMD (2014, DateUtil.AUGUST,    31).julian(), // 912828L3
  79.             DateUtil.CreateFromYMD (2014, DateUtil.SEPTEMBER, 30).julian(), // 912828L6
  80.             DateUtil.CreateFromYMD (2014, DateUtil.OCTOBER,   31).julian()  // 912828L9
  81.         };

  83.         int[] aiFuturesComponentTreasuryMaturityDate = new int[] {
  84.             DateUtil.CreateFromYMD (2020, DateUtil.FEBRUARY,  28).julian(), // 912828J5
  85.             DateUtil.CreateFromYMD (2020, DateUtil.MARCH,     31).julian(), // 912828J8
  86.             DateUtil.CreateFromYMD (2020, DateUtil.APRIL,     30).julian(), // 912828K5
  87.             DateUtil.CreateFromYMD (2020, DateUtil.MAY,       31).julian(), // 912828XE
  88.             DateUtil.CreateFromYMD (2020, DateUtil.JUNE,      30).julian(), // 912828XH
  89.             DateUtil.CreateFromYMD (2020, DateUtil.JULY,      31).julian(), // 912828XM
  90.             DateUtil.CreateFromYMD (2020, DateUtil.AUGUST,    31).julian(), // 912828L3
  91.             DateUtil.CreateFromYMD (2020, DateUtil.SEPTEMBER, 30).julian(), // 912828L6
  92.             DateUtil.CreateFromYMD (2020, DateUtil.OCTOBER,   31).julian()  // 912828L9
  93.         };

  95.         double[] adblFuturesComponentTreasuryCoupon = new double[] {
  96.             0.01375, // 912828J5
  97.             0.01375, // 912828J8
  98.             0.01375, // 912828K5
  99.             0.01500, // 912828XE
  100.             0.01625, // 912828XH
  101.             0.01625, // 912828XM
  102.             0.01375, // 912828L3
  103.             0.01375, // 912828L6
  104.             0.01375  // 912828L9
  105.         };

  107.         double[] adblFuturesComponentConversionFactor = new double[] {
  108.             0.8317, // 912828J5
  109.             0.8287, // 912828J8
  110.             0.8258, // 912828K5
  111.             0.8276, // 912828XE
  112.             0.8297, // 912828XH
  113.             0.8269, // 912828XM
  114.             0.8141, // 912828L3
  115.             0.8113, // 912828L6
  116.             0.8084  // 912828L9
  117.         };

  119.         int iSpotDate = DateUtil.CreateFromYMD (
  120.             2015,
  121.             DateUtil.NOVEMBER,
  122.             18
  123.         ).julian();

  125.         String[] astrFundingCurveDepositTenor = new String[] {
  126.             "2D",
  127.             "1W",
  128.             "1M",
  129.             "2M",
  130.             "3M"
  131.         };

  133.         double[] adblFundingCurveDepositQuote = new double[] {
  134.             0.00195, // 2D
  135.             0.00176, // 1W
  136.             0.00301, // 1M
  137.             0.00401, // 2M
  138.             0.00492  // 3M
  139.         };

  141.         String strFundingCurveDepositMeasure = "ForwardRate";

  143.         double[] adblFundingCurveFuturesQuote = new double[] {
  144.             0.00609,
  145.             0.00687
  146.         };

  148.         String strFundingCurveFuturesMeasure = "ForwardRate";

  150.         String[] astrFundingCurveFixFloatTenor = new String[] {
  151.             "01Y",
  152.             "02Y",
  153.             "03Y",
  154.             "04Y",
  155.             "05Y",
  156.             "06Y",
  157.             "07Y",
  158.             "08Y",
  159.             "09Y",
  160.             "10Y",
  161.             "11Y",
  162.             "12Y",
  163.             "15Y",
  164.             "20Y",
  165.             "25Y",
  166.             "30Y",
  167.             "40Y",
  168.             "50Y"
  169.         };

  171.         double[] adblFundingCurveFixFloatQuote = new double[] {
  172.             0.00762, //  1Y
  173.             0.01055, //  2Y
  174.             0.01300, //  3Y
  175.             0.01495, //  4Y
  176.             0.01651, //  5Y
  177.             0.01787, //  6Y
  178.             0.01904, //  7Y
  179.             0.02005, //  8Y
  180.             0.02090, //  9Y
  181.             0.02166, // 10Y
  182.             0.02231, // 11Y
  183.             0.02289, // 12Y
  184.             0.02414, // 15Y
  185.             0.02570, // 20Y
  186.             0.02594, // 25Y
  187.             0.02627, // 30Y
  188.             0.02648, // 40Y
  189.             0.02632  // 50Y
  190.         };

  192.         String strFundingFixFloatMeasure = "SwapRate";

  194.         int[] aiGovvieCurveTreasuryEffectiveDate = new int[] {
  195.             iSpotDate,
  196.             iSpotDate,
  197.             iSpotDate,
  198.             iSpotDate,
  199.             iSpotDate,
  200.             iSpotDate,
  201.             iSpotDate
  202.         };

  204.         int[] aiGovvieCurveTreasuryMaturityDate = new int[] {
  205.             new JulianDate (iSpotDate).addTenor ("1Y").julian(),
  206.             new JulianDate (iSpotDate).addTenor ("2Y").julian(),
  207.             new JulianDate (iSpotDate).addTenor ("3Y").julian(),
  208.             new JulianDate (iSpotDate).addTenor ("5Y").julian(),
  209.             new JulianDate (iSpotDate).addTenor ("7Y").julian(),
  210.             new JulianDate (iSpotDate).addTenor ("10Y").julian(),
  211.             new JulianDate (iSpotDate).addTenor ("30Y").julian()
  212.         };

  214.         double[] adblGovvieCurveTreasuryCoupon = new double[] {
  215.             0.0100,
  216.             0.0100,
  217.             0.0125,
  218.             0.0150,
  219.             0.0200,
  220.             0.0225,
  221.             0.0300
  222.         };

  224.         double[] adblGovvieCurveTreasuryYield = new double[] {
  225.             0.00692,
  226.             0.00945,
  227.             0.01257,
  228.             0.01678,
  229.             0.02025,
  230.             0.02235,
  231.             0.02972
  232.         };

  234.         String strGovvieCurveTreasuryMeasure = "Yield";

  236.         double[] adblFuturesComponentTreasuryPrice = new double[] {
  237.              0.99909375, // 912828J5
  238.              0.99900000, // 912828J8
  239.              0.99890625, // 912828K5
  240.              0.99943750, // 912828XE
  241.              0.99984375, // 912828XH
  242.              0.99978125, // 912828XM
  243.              0.99862500, // 912828L3
  244.              0.99850000, // 912828L6
  245.              0.99853125  // 912828L9
  246.         };

  248.         Map<String, Double> mapTreasuryFutures = TreasuryFuturesAPI.ValuationMetrics (
  249.             "FV1",
  250.             aiFuturesComponentTreasuryEffectiveDate,
  251.             aiFuturesComponentTreasuryMaturityDate,
  252.             adblFuturesComponentTreasuryCoupon,
  253.             adblFuturesComponentConversionFactor,
  254.             iSpotDate,
  255.             astrFundingCurveDepositTenor,
  256.             adblFundingCurveDepositQuote,
  257.             strFundingCurveDepositMeasure,
  258.             adblFundingCurveFuturesQuote,
  259.             strFundingCurveFuturesMeasure,
  260.             astrFundingCurveFixFloatTenor,
  261.             adblFundingCurveFixFloatQuote,
  262.             strFundingFixFloatMeasure,
  263.             aiGovvieCurveTreasuryEffectiveDate,
  264.             aiGovvieCurveTreasuryMaturityDate,
  265.             adblGovvieCurveTreasuryCoupon,
  266.             adblGovvieCurveTreasuryYield,
  267.             strGovvieCurveTreasuryMeasure,
  268.             adblFuturesComponentTreasuryPrice
  269.         );

  271.         for (Map.Entry<String, Double> me : mapTreasuryFutures.entrySet())
  272.             System.out.println ("\t" + me.getKey() + " => " + me.getValue());
  273.     }
  274. }
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