OAT1.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.  * 
  18.  *  This file is part of DRIP, a free-software/open-source library for buy/side financial/trading model
  19.  *      libraries targeting analysts and developers
  20.  *      https://lakshmidrip.github.io/DRIP/
  21.  *  
  22.  *  DRIP is composed of four main libraries:
  23.  *  
  24.  *  - DRIP Fixed Income - https://lakshmidrip.github.io/DRIP-Fixed-Income/
  25.  *  - DRIP Asset Allocation - https://lakshmidrip.github.io/DRIP-Asset-Allocation/
  26.  *  - DRIP Numerical Optimizer - https://lakshmidrip.github.io/DRIP-Numerical-Optimizer/
  27.  *  - DRIP Statistical Learning - https://lakshmidrip.github.io/DRIP-Statistical-Learning/
  28.  * 
  29.  *  - DRIP Fixed Income: Library for Instrument/Trading Conventions, Treasury Futures/Options,
  30.  *      Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valuation and XVA
  31.  *      Metric Generation, Calibration and Hedge Attributions, Statistical Curve Construction, Bond RV
  32.  *      Metrics, Stochastic Evolution and Option Pricing, Interest Rate Dynamics and Option Pricing, LMM
  33.  *      Extensions/Calibrations/Greeks, Algorithmic Differentiation, and Asset Backed Models and Analytics.
  34.  * 
  35.  *  - DRIP Asset Allocation: Library for model libraries for MPT framework, Black Litterman Strategy
  36.  *      Incorporator, Holdings Constraint, and Transaction Costs.
  37.  * 
  38.  *  - DRIP Numerical Optimizer: Library for Numerical Optimization and Spline Functionality.
  39.  * 
  40.  *  - DRIP Statistical Learning: Library for Statistical Evaluation and Machine Learning.
  41.  * 
  42.  *  Licensed under the Apache License, Version 2.0 (the "License");
  43.  *      you may not use this file except in compliance with the License.
  44.  *   
  45.  *  You may obtain a copy of the License at
  46.  *      http://www.apache.org/licenses/LICENSE-2.0
  47.  *  
  48.  *  Unless required by applicable law or agreed to in writing, software
  49.  *      distributed under the License is distributed on an "AS IS" BASIS,
  50.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  51.  *  
  52.  *  See the License for the specific language governing permissions and
  53.  *      limitations under the License.
  54.  */

  56. /**
  57.  * OAT1 demonstrates the Invocation and Examination of the OAT1 10Y FRTR Treasury Futures.
  58.  *
  59.  * @author Lakshmi Krishnamurthy
  60.  */

  62. public class OAT1 {

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

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

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

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

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

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

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

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

  140.         String strFundingCurveDepositMeasure = "ForwardRate";

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

  147.         String strFundingCurveFuturesMeasure = "ForwardRate";

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

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

  191.         String strFundingFixFloatMeasure = "SwapRate";

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

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

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

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

  233.         String strGovvieCurveTreasuryMeasure = "Yield";

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

  247.         Map<String, Double> mapTreasuryFutures = TreasuryFuturesAPI.ValuationMetrics (
  248.             "OAT1",
  249.             aiFuturesComponentTreasuryEffectiveDate,
  250.             adblFuturesComponentTreasuryMaturity,
  251.             adblFuturesComponentTreasuryCoupon,
  252.             adblFuturesComponentConversionFactor,
  253.             iSpotDate,
  254.             astrFundingCurveDepositTenor,
  255.             adblFundingCurveDepositQuote,
  256.             strFundingCurveDepositMeasure,
  257.             adblFundingCurveFuturesQuote,
  258.             strFundingCurveFuturesMeasure,
  259.             astrFundingCurveFixFloatTenor,
  260.             adblFundingCurveFixFloatQuote,
  261.             strFundingFixFloatMeasure,
  262.             aiGovvieCurveTreasuryEffectiveDate,
  263.             aiGovvieCurveTreasuryMaturityDate,
  264.             adblGovvieCurveTreasuryCoupon,
  265.             adblGovvieCurveTreasuryYield,
  266.             strGovvieCurveTreasuryMeasure,
  267.             adblFuturesComponentTreasuryPrice
  268.         );

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