KeyRateDuration.java

package org.drip.sample.treasuryfuturesapi;

import java.util.*;

import org.drip.analytics.date.*;
import org.drip.numerical.common.FormatUtil;
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.
 */

/**
 * KeyRateDuration demonstrates the Invocation and Examination of the Key Rate Duration Computation for the
 *  specified Treasury Futures.
 *
 * @author Lakshmi Krishnamurthy
 */

public class KeyRateDuration {

    private static void ComputeKeyRateDuration (
        final String strFuturesCode,
        final int[] aiFuturesComponentTreasuryEffectiveDate,
        final int[] aiFuturesComponentTreasuryMaturityDate,
        final double[] adblFuturesComponentTreasuryCoupon,
        final double[] adblFuturesComponentConversionFactor,
        final int iSpotDate,
        final int[] aiGovvieCurveTreasuryEffectiveDate,
        final int[] aiGovvieCurveTreasuryMaturityDate,
        final double[] adblGovvieCurveTreasuryCoupon,
        final double[] adblGovvieCurveTreasuryYield,
        final String strGovvieCurveTreasuryMeasure,
        final double[] adblFuturesComponentTreasuryPrice,
        final boolean bHeader,
        final boolean bTrailer)
        throws Exception
    {
        Map<String, Double> mapKeyRateDuration = TreasuryFuturesAPI.KeyRateDuration (
            strFuturesCode,
            aiFuturesComponentTreasuryEffectiveDate,
            aiFuturesComponentTreasuryMaturityDate,
            adblFuturesComponentTreasuryCoupon,
            adblFuturesComponentConversionFactor,
            iSpotDate,
            aiGovvieCurveTreasuryEffectiveDate,
            aiGovvieCurveTreasuryMaturityDate,
            adblGovvieCurveTreasuryCoupon,
            adblGovvieCurveTreasuryYield,
            strGovvieCurveTreasuryMeasure,
            adblFuturesComponentTreasuryPrice
        );

        if (bHeader) {
            System.out.println ("\n\t|------------------------------------------------------------------------------------------------------------------------------------||");

            System.out.print ("\t| CODE |");

            Set<String> setstrKey = mapKeyRateDuration.keySet();

            for (String strKey : setstrKey)
                System.out.print (" " + strKey + " |");

            System.out.println ("|");

            System.out.println ("\t|------------------------------------------------------------------------------------------------------------------------------------||");
        }

        System.out.print ("\t|  " + strFuturesCode + " |");

        for (Map.Entry<String, Double> me : mapKeyRateDuration.entrySet())
            System.out.print ("     " + FormatUtil.FormatDouble (-1. * me.getValue(), 1, 5, 1.) + "    |");

        System.out.println ("|");

        if (bTrailer)
            System.out.println ("\t|------------------------------------------------------------------------------------------------------------------------------------||\n");
    }

    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();

        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
        };

        ComputeKeyRateDuration (
            "CN1",
            aiFuturesComponentTreasuryEffectiveDate,
            aiFuturesComponentTreasuryMaturityDate,
            adblFuturesComponentTreasuryCoupon,
            adblFuturesComponentConversionFactor,
            iSpotDate,
            aiGovvieCurveTreasuryEffectiveDate,
            aiGovvieCurveTreasuryMaturityDate,
            adblGovvieCurveTreasuryCoupon,
            adblGovvieCurveTreasuryYield,
            strGovvieCurveTreasuryMeasure,
            adblFuturesComponentTreasuryPrice,
            true,
            false
        );

        ComputeKeyRateDuration (
            "DU1",
            aiFuturesComponentTreasuryEffectiveDate,
            aiFuturesComponentTreasuryMaturityDate,
            adblFuturesComponentTreasuryCoupon,
            adblFuturesComponentConversionFactor,
            iSpotDate,
            aiGovvieCurveTreasuryEffectiveDate,
            aiGovvieCurveTreasuryMaturityDate,
            adblGovvieCurveTreasuryCoupon,
            adblGovvieCurveTreasuryYield,
            strGovvieCurveTreasuryMeasure,
            adblFuturesComponentTreasuryPrice,
            false,
            false
        );

        /* ComputeKeyRateDuration (
            "FBB1",
            aiFuturesComponentTreasuryEffectiveDate,
            aiFuturesComponentTreasuryMaturityDate,
            adblFuturesComponentTreasuryCoupon,
            adblFuturesComponentConversionFactor,
            iSpotDate,
            aiGovvieCurveTreasuryEffectiveDate,
            aiGovvieCurveTreasuryMaturityDate,
            adblGovvieCurveTreasuryCoupon,
            adblGovvieCurveTreasuryYield,
            strGovvieCurveTreasuryMeasure,
            adblFuturesComponentTreasuryPrice,
            false,
            false
        ); */

        ComputeKeyRateDuration (
            "FV1",
            aiFuturesComponentTreasuryEffectiveDate,
            aiFuturesComponentTreasuryMaturityDate,
            adblFuturesComponentTreasuryCoupon,
            adblFuturesComponentConversionFactor,
            iSpotDate,
            aiGovvieCurveTreasuryEffectiveDate,
            aiGovvieCurveTreasuryMaturityDate,
            adblGovvieCurveTreasuryCoupon,
            adblGovvieCurveTreasuryYield,
            strGovvieCurveTreasuryMeasure,
            adblFuturesComponentTreasuryPrice,
            false,
            false
        );

        ComputeKeyRateDuration (
            "G1",
            aiFuturesComponentTreasuryEffectiveDate,
            aiFuturesComponentTreasuryMaturityDate,
            adblFuturesComponentTreasuryCoupon,
            adblFuturesComponentConversionFactor,
            iSpotDate,
            aiGovvieCurveTreasuryEffectiveDate,
            aiGovvieCurveTreasuryMaturityDate,
            adblGovvieCurveTreasuryCoupon,
            adblGovvieCurveTreasuryYield,
            strGovvieCurveTreasuryMeasure,
            adblFuturesComponentTreasuryPrice,
            false,
            false
        );

        /* ComputeKeyRateDuration (
            "IK1",
            aiFuturesComponentTreasuryEffectiveDate,
            aiFuturesComponentTreasuryMaturityDate,
            adblFuturesComponentTreasuryCoupon,
            adblFuturesComponentConversionFactor,
            iSpotDate,
            aiGovvieCurveTreasuryEffectiveDate,
            aiGovvieCurveTreasuryMaturityDate,
            adblGovvieCurveTreasuryCoupon,
            adblGovvieCurveTreasuryYield,
            strGovvieCurveTreasuryMeasure,
            adblFuturesComponentTreasuryPrice,
            false,
            false
        ); */

        ComputeKeyRateDuration (
            "JB1",
            aiFuturesComponentTreasuryEffectiveDate,
            aiFuturesComponentTreasuryMaturityDate,
            adblFuturesComponentTreasuryCoupon,
            adblFuturesComponentConversionFactor,
            iSpotDate,
            aiGovvieCurveTreasuryEffectiveDate,
            aiGovvieCurveTreasuryMaturityDate,
            adblGovvieCurveTreasuryCoupon,
            adblGovvieCurveTreasuryYield,
            strGovvieCurveTreasuryMeasure,
            adblFuturesComponentTreasuryPrice,
            false,
            false
        );

        /* ComputeKeyRateDuration (
            "OAT1",
            aiFuturesComponentTreasuryEffectiveDate,
            aiFuturesComponentTreasuryMaturityDate,
            adblFuturesComponentTreasuryCoupon,
            adblFuturesComponentConversionFactor,
            iSpotDate,
            aiGovvieCurveTreasuryEffectiveDate,
            aiGovvieCurveTreasuryMaturityDate,
            adblGovvieCurveTreasuryCoupon,
            adblGovvieCurveTreasuryYield,
            strGovvieCurveTreasuryMeasure,
            adblFuturesComponentTreasuryPrice,
            false,
            false
        ); */

        ComputeKeyRateDuration (
            "OE1",
            aiFuturesComponentTreasuryEffectiveDate,
            aiFuturesComponentTreasuryMaturityDate,
            adblFuturesComponentTreasuryCoupon,
            adblFuturesComponentConversionFactor,
            iSpotDate,
            aiGovvieCurveTreasuryEffectiveDate,
            aiGovvieCurveTreasuryMaturityDate,
            adblGovvieCurveTreasuryCoupon,
            adblGovvieCurveTreasuryYield,
            strGovvieCurveTreasuryMeasure,
            adblFuturesComponentTreasuryPrice,
            false,
            false
        );

        ComputeKeyRateDuration (
            "RX1",
            aiFuturesComponentTreasuryEffectiveDate,
            aiFuturesComponentTreasuryMaturityDate,
            adblFuturesComponentTreasuryCoupon,
            adblFuturesComponentConversionFactor,
            iSpotDate,
            aiGovvieCurveTreasuryEffectiveDate,
            aiGovvieCurveTreasuryMaturityDate,
            adblGovvieCurveTreasuryCoupon,
            adblGovvieCurveTreasuryYield,
            strGovvieCurveTreasuryMeasure,
            adblFuturesComponentTreasuryPrice,
            false,
            false
        );

        ComputeKeyRateDuration (
            "TU1",
            aiFuturesComponentTreasuryEffectiveDate,
            aiFuturesComponentTreasuryMaturityDate,
            adblFuturesComponentTreasuryCoupon,
            adblFuturesComponentConversionFactor,
            iSpotDate,
            aiGovvieCurveTreasuryEffectiveDate,
            aiGovvieCurveTreasuryMaturityDate,
            adblGovvieCurveTreasuryCoupon,
            adblGovvieCurveTreasuryYield,
            strGovvieCurveTreasuryMeasure,
            adblFuturesComponentTreasuryPrice,
            false,
            false
        );

        ComputeKeyRateDuration (
            "TY1",
            aiFuturesComponentTreasuryEffectiveDate,
            aiFuturesComponentTreasuryMaturityDate,
            adblFuturesComponentTreasuryCoupon,
            adblFuturesComponentConversionFactor,
            iSpotDate,
            aiGovvieCurveTreasuryEffectiveDate,
            aiGovvieCurveTreasuryMaturityDate,
            adblGovvieCurveTreasuryCoupon,
            adblGovvieCurveTreasuryYield,
            strGovvieCurveTreasuryMeasure,
            adblFuturesComponentTreasuryPrice,
            false,
            false
        );

        ComputeKeyRateDuration (
            "UB1",
            aiFuturesComponentTreasuryEffectiveDate,
            aiFuturesComponentTreasuryMaturityDate,
            adblFuturesComponentTreasuryCoupon,
            adblFuturesComponentConversionFactor,
            iSpotDate,
            aiGovvieCurveTreasuryEffectiveDate,
            aiGovvieCurveTreasuryMaturityDate,
            adblGovvieCurveTreasuryCoupon,
            adblGovvieCurveTreasuryYield,
            strGovvieCurveTreasuryMeasure,
            adblFuturesComponentTreasuryPrice,
            false,
            false
        );

        ComputeKeyRateDuration (
            "ULTRA",
            aiFuturesComponentTreasuryEffectiveDate,
            aiFuturesComponentTreasuryMaturityDate,
            adblFuturesComponentTreasuryCoupon,
            adblFuturesComponentConversionFactor,
            iSpotDate,
            aiGovvieCurveTreasuryEffectiveDate,
            aiGovvieCurveTreasuryMaturityDate,
            adblGovvieCurveTreasuryCoupon,
            adblGovvieCurveTreasuryYield,
            strGovvieCurveTreasuryMeasure,
            adblFuturesComponentTreasuryPrice,
            false,
            false
        );

        ComputeKeyRateDuration (
            "US1",
            aiFuturesComponentTreasuryEffectiveDate,
            aiFuturesComponentTreasuryMaturityDate,
            adblFuturesComponentTreasuryCoupon,
            adblFuturesComponentConversionFactor,
            iSpotDate,
            aiGovvieCurveTreasuryEffectiveDate,
            aiGovvieCurveTreasuryMaturityDate,
            adblGovvieCurveTreasuryCoupon,
            adblGovvieCurveTreasuryYield,
            strGovvieCurveTreasuryMeasure,
            adblFuturesComponentTreasuryPrice,
            false,
            false
        );

        ComputeKeyRateDuration (
            "YM1",
            aiFuturesComponentTreasuryEffectiveDate,
            aiFuturesComponentTreasuryMaturityDate,
            adblFuturesComponentTreasuryCoupon,
            adblFuturesComponentConversionFactor,
            iSpotDate,
            aiGovvieCurveTreasuryEffectiveDate,
            aiGovvieCurveTreasuryMaturityDate,
            adblGovvieCurveTreasuryCoupon,
            adblGovvieCurveTreasuryYield,
            strGovvieCurveTreasuryMeasure,
            adblFuturesComponentTreasuryPrice,
            false,
            true
        );
    }
}