DU1KeyRateDuration.java

  1. package org.drip.sample.treasuryfuturesrisk;

  3. import java.util.*;

  5. import org.drip.analytics.date.JulianDate;
  6. import org.drip.feed.loader.*;
  7. import org.drip.historical.sensitivity.TenorDurationNodeMetrics;
  8. import org.drip.market.exchange.*;
  9. import org.drip.market.issue.*;
  10. import org.drip.numerical.common.FormatUtil;
  11. import org.drip.service.env.EnvManager;
  12. import org.drip.service.product.TreasuryFuturesAPI;

  14. /*
  15.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  16.  */

  18. /*!
  19.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  20.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  21.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  22.  * 
  23.  *  This file is part of DRIP, a free-software/open-source library for buy/side financial/trading model
  24.  *      libraries targeting analysts and developers
  25.  *      https://lakshmidrip.github.io/DRIP/
  26.  *  
  27.  *  DRIP is composed of four main libraries:
  28.  *  
  29.  *  - DRIP Fixed Income - https://lakshmidrip.github.io/DRIP-Fixed-Income/
  30.  *  - DRIP Asset Allocation - https://lakshmidrip.github.io/DRIP-Asset-Allocation/
  31.  *  - DRIP Numerical Optimizer - https://lakshmidrip.github.io/DRIP-Numerical-Optimizer/
  32.  *  - DRIP Statistical Learning - https://lakshmidrip.github.io/DRIP-Statistical-Learning/
  33.  * 
  34.  *  - DRIP Fixed Income: Library for Instrument/Trading Conventions, Treasury Futures/Options,
  35.  *      Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valuation and XVA
  36.  *      Metric Generation, Calibration and Hedge Attributions, Statistical Curve Construction, Bond RV
  37.  *      Metrics, Stochastic Evolution and Option Pricing, Interest Rate Dynamics and Option Pricing, LMM
  38.  *      Extensions/Calibrations/Greeks, Algorithmic Differentiation, and Asset Backed Models and Analytics.
  39.  * 
  40.  *  - DRIP Asset Allocation: Library for model libraries for MPT framework, Black Litterman Strategy
  41.  *      Incorporator, Holdings Constraint, and Transaction Costs.
  42.  * 
  43.  *  - DRIP Numerical Optimizer: Library for Numerical Optimization and Spline Functionality.
  44.  * 
  45.  *  - DRIP Statistical Learning: Library for Statistical Evaluation and Machine Learning.
  46.  * 
  47.  *  Licensed under the Apache License, Version 2.0 (the "License");
  48.  *      you may not use this file except in compliance with the License.
  49.  *   
  50.  *  You may obtain a copy of the License at
  51.  *      http://www.apache.org/licenses/LICENSE-2.0
  52.  *  
  53.  *  Unless required by applicable law or agreed to in writing, software
  54.  *      distributed under the License is distributed on an "AS IS" BASIS,
  55.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  56.  *  
  57.  *  See the License for the specific language governing permissions and
  58.  *      limitations under the License.
  59.  */

  61. /**
  62.  * DU1KeyRateDuration demonstrates the Computation of the Key Rate Duration for the DU1 Treasury Futures.
  63.  *
  64.  * @author Lakshmi Krishnamurthy
  65.  */

  67. public class DU1KeyRateDuration {

  69.     public static final void main (
  70.         final String[] astrArgs)
  71.         throws Exception
  72.     {
  73.         EnvManager.InitEnv ("");

  75.         String strFuturesCode = "DU1";

  77.         TreasuryFuturesContract tfc = TreasuryFuturesContractContainer.TreasuryFuturesContract (strFuturesCode);

  79.         String strTreasuryCode = tfc.code();

  81.         TreasurySetting ts = TreasurySettingContainer.TreasurySetting (strTreasuryCode);

  83.         String strTreasuryMarkLocation = "C:\\DRIP\\CreditAnalytics\\Daemons\\Transforms\\TreasuryYieldMarks\\" +
  84.             TreasurySettingContainer.CurrencyBenchmarkCode (ts.currency()) +
  85.                 "BenchmarksReconstituted.csv";
  86.         String strPrintLocation = "C:\\DRIP\\CreditAnalytics\\Daemons\\Transforms\\TreasuryFuturesCloses\\" +
  87.             strFuturesCode + "ClosesReconstitutor.csv";

  89.         CSVGrid csvGridTreasuryMark = CSVParser.StringGrid (
  90.             strTreasuryMarkLocation,
  91.             true
  92.         );

  94.         JulianDate[] adtTreasuryMark = csvGridTreasuryMark.dateArrayAtColumn (0);

  96.         double[] adblYield02Y = csvGridTreasuryMark.doubleArrayAtColumn (1);

  98.         double[] adblYield03Y = csvGridTreasuryMark.doubleArrayAtColumn (2);

  100.         double[] adblYield04Y = csvGridTreasuryMark.doubleArrayAtColumn (3);

  102.         double[] adblYield05Y = csvGridTreasuryMark.doubleArrayAtColumn (4);

  104.         double[] adblYield07Y = csvGridTreasuryMark.doubleArrayAtColumn (5);

  106.         double[] adblYield10Y = csvGridTreasuryMark.doubleArrayAtColumn (6);

  108.         double[] adblYield20Y = csvGridTreasuryMark.doubleArrayAtColumn (7);

  110.         double[] adblYield30Y = csvGridTreasuryMark.doubleArrayAtColumn (8);

  112.         Map<JulianDate, Double> mapTreasuryMark02Y = new TreeMap<JulianDate, Double>();

  114.         Map<JulianDate, Double> mapTreasuryMark03Y = new TreeMap<JulianDate, Double>();

  116.         Map<JulianDate, Double> mapTreasuryMark04Y = new TreeMap<JulianDate, Double>();

  118.         Map<JulianDate, Double> mapTreasuryMark05Y = new TreeMap<JulianDate, Double>();

  120.         Map<JulianDate, Double> mapTreasuryMark07Y = new TreeMap<JulianDate, Double>();

  122.         Map<JulianDate, Double> mapTreasuryMark10Y = new TreeMap<JulianDate, Double>();

  124.         Map<JulianDate, Double> mapTreasuryMark20Y = new TreeMap<JulianDate, Double>();

  126.         Map<JulianDate, Double> mapTreasuryMark30Y = new TreeMap<JulianDate, Double>();

  128.         for (int i = 0; i < adtTreasuryMark.length; ++i) {
  129.             mapTreasuryMark02Y.put (adtTreasuryMark[i], adblYield02Y[i]);

  131.             mapTreasuryMark03Y.put (adtTreasuryMark[i], adblYield03Y[i]);

  133.             mapTreasuryMark04Y.put (adtTreasuryMark[i], adblYield04Y[i]);

  135.             mapTreasuryMark05Y.put (adtTreasuryMark[i], adblYield05Y[i]);

  137.             mapTreasuryMark07Y.put (adtTreasuryMark[i], adblYield07Y[i]);

  139.             mapTreasuryMark10Y.put (adtTreasuryMark[i], adblYield10Y[i]);

  141.             mapTreasuryMark20Y.put (adtTreasuryMark[i], adblYield20Y[i]);

  143.             mapTreasuryMark30Y.put (adtTreasuryMark[i], adblYield30Y[i]);
  144.         }

  146.         CSVGrid csvGrid = CSVParser.StringGrid (
  147.             strPrintLocation,
  148.             true
  149.         );

  151.         JulianDate[] adtSpot = csvGrid.dateArrayAtColumn (0);

  153.         double[] adblCleanPrice = csvGrid.doubleArrayAtColumn (2);

  155.         double[] adblCoupon = csvGrid.doubleArrayAtColumn (3);

  157.         JulianDate[] adtEffective = csvGrid.dateArrayAtColumn (4);

  159.         JulianDate[] adtMaturity = csvGrid.dateArrayAtColumn (5);

  161.         JulianDate[] adtExpiry = csvGrid.dateArrayAtColumn (6);

  163.         int iNumCompute = adtSpot.length;
  164.         JulianDate[] adtEffectiveCompute = new JulianDate[iNumCompute];
  165.         JulianDate[] adtMaturityCompute = new JulianDate[iNumCompute];
  166.         double[] adblCouponCompute = new double[iNumCompute];
  167.         JulianDate[] adtExpiryCompute = new JulianDate[iNumCompute];
  168.         JulianDate[] adtSpotCompute = new JulianDate[iNumCompute];
  169.         double[] adblCleanPriceCompute = new double[iNumCompute];
  170.         double[][] aadblComputeYield = new double[iNumCompute][8];
  171.         String[] astrBenchmarkTenor = new String[] {
  172.             "2Y",
  173.             "3Y",
  174.             "4Y",
  175.             "5Y",
  176.             "7Y",
  177.             "10Y",
  178.             "20Y",
  179.             "30Y"
  180.         };

  182.         for (int i = 0; i < iNumCompute; ++i) {
  183.             adtEffectiveCompute[i] = adtEffective[i];
  184.             adtMaturityCompute[i] = adtMaturity[i];
  185.             adblCouponCompute[i] = adblCoupon[i];
  186.             adtExpiryCompute[i] = adtExpiry[i];
  187.             adtSpotCompute[i] = adtSpot[i];
  188.             adblCleanPriceCompute[i] = adblCleanPrice[i];

  190.             aadblComputeYield[i][0] = mapTreasuryMark02Y.get (adtSpotCompute[i]);

  192.             aadblComputeYield[i][1] = mapTreasuryMark03Y.get (adtSpotCompute[i]);

  194.             aadblComputeYield[i][2] = mapTreasuryMark04Y.get (adtSpotCompute[i]);

  196.             aadblComputeYield[i][3] = mapTreasuryMark05Y.get (adtSpotCompute[i]);

  198.             aadblComputeYield[i][4] = mapTreasuryMark07Y.get (adtSpotCompute[i]);

  200.             aadblComputeYield[i][5] = mapTreasuryMark10Y.get (adtSpotCompute[i]);

  202.             aadblComputeYield[i][6] = mapTreasuryMark20Y.get (adtSpotCompute[i]);

  204.             aadblComputeYield[i][7] = mapTreasuryMark30Y.get (adtSpotCompute[i]);
  205.         }

  207.         List<TenorDurationNodeMetrics> lsTDNM = TreasuryFuturesAPI.HorizonKeyRateDuration (
  208.             strTreasuryCode,
  209.             adtEffectiveCompute,
  210.             adtMaturityCompute,
  211.             adblCouponCompute,
  212.             adtExpiryCompute,
  213.             adtSpotCompute,
  214.             adblCleanPriceCompute,
  215.             astrBenchmarkTenor,
  216.             aadblComputeYield
  217.         );

  219.         System.out.println ("SpotDate,ExpiryDate,CTDName,SpotCTDCleanPrice,ExpiryCTDCleanPrice,SpotGSpread,ExpiryGSpread,SpotYield,ExpiryYield,Parallel,2Y,3Y,4Y,5Y,7Y,10Y,20Y,30Y");

  221.         for (TenorDurationNodeMetrics tdnm : lsTDNM) {
  222.             String strTDNM =
  223.                 tdnm.dateSnap() + "," +
  224.                 tdnm.date ("ExpiryDate") + "," +
  225.                 tdnm.c1 ("CTDName") + "," +
  226.                 FormatUtil.FormatDouble (tdnm.r1 ("SpotCTDCleanPrice"), 1, 5, 100.) + "," +
  227.                 FormatUtil.FormatDouble (tdnm.r1 ("ExpiryCTDCleanPrice"), 1, 5, 100.) + "," +
  228.                 FormatUtil.FormatDouble (tdnm.r1 ("SpotGSpread"), 1, 1, 10000.) + "," +
  229.                 FormatUtil.FormatDouble (tdnm.r1 ("ExpiryGSpread"), 1, 1, 10000.) + "," +
  230.                 FormatUtil.FormatDouble (tdnm.r1 ("SpotYield"), 1, 4, 100.) + "," +
  231.                 FormatUtil.FormatDouble (tdnm.r1 ("ExpiryYield"), 1, 4, 100.) + "," +
  232.                 FormatUtil.FormatDouble (tdnm.r1 ("ParallelKRD"), 1, 4, 1.);

  234.             for (Map.Entry<String, Double> meTDNM : tdnm.krdMap().entrySet())
  235.                 strTDNM += "," + FormatUtil.FormatDouble (meTDNM.getValue(), 1, 4, 1.);

  237.             System.out.println (strTDNM);
  238.         }
  239.     }
  240. }
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