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
);
}
}