WN1KeyRateDuration.java
- package org.drip.sample.treasuryfuturesrisk;
- import java.util.*;
- import org.drip.analytics.date.JulianDate;
- import org.drip.feed.loader.*;
- import org.drip.historical.sensitivity.TenorDurationNodeMetrics;
- 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.
- */
- /**
- * WN1KeyRateDuration demonstrates the Computation of the Key Rate Duration for the WN1 Treasury Futures.
- *
- * @author Lakshmi Krishnamurthy
- */
- public class WN1KeyRateDuration {
- public static final void main (
- final String[] astrArgs)
- throws Exception
- {
- EnvManager.InitEnv ("");
- String strTreasuryCode = "WN1";
- String strTreasuryMarkLocation = "C:\\DRIP\\CreditAnalytics\\Daemons\\Transforms\\TreasuryYieldMarks\\USTBenchmarksReconstituted.csv";
- String strPrintLocation = "C:\\DRIP\\CreditAnalytics\\Daemons\\Transforms\\TreasuryFuturesCloses\\" +
- strTreasuryCode + "ClosesReconstitutor.csv";
- CSVGrid csvGridTreasuryMark = CSVParser.StringGrid (
- strTreasuryMarkLocation,
- true
- );
- JulianDate[] adtTreasuryMark = csvGridTreasuryMark.dateArrayAtColumn (0);
- double[] adblYieldUST02Y = csvGridTreasuryMark.doubleArrayAtColumn (1);
- double[] adblYieldUST03Y = csvGridTreasuryMark.doubleArrayAtColumn (2);
- double[] adblYieldUST04Y = csvGridTreasuryMark.doubleArrayAtColumn (3);
- double[] adblYieldUST05Y = csvGridTreasuryMark.doubleArrayAtColumn (4);
- double[] adblYieldUST07Y = csvGridTreasuryMark.doubleArrayAtColumn (5);
- double[] adblYieldUST10Y = csvGridTreasuryMark.doubleArrayAtColumn (6);
- double[] adblYieldUST20Y = csvGridTreasuryMark.doubleArrayAtColumn (7);
- double[] adblYieldUST30Y = csvGridTreasuryMark.doubleArrayAtColumn (8);
- Map<JulianDate, Double> mapTreasuryMark02Y = new TreeMap<JulianDate, Double>();
- Map<JulianDate, Double> mapTreasuryMark03Y = new TreeMap<JulianDate, Double>();
- Map<JulianDate, Double> mapTreasuryMark04Y = new TreeMap<JulianDate, Double>();
- Map<JulianDate, Double> mapTreasuryMark05Y = new TreeMap<JulianDate, Double>();
- Map<JulianDate, Double> mapTreasuryMark07Y = new TreeMap<JulianDate, Double>();
- Map<JulianDate, Double> mapTreasuryMark10Y = new TreeMap<JulianDate, Double>();
- Map<JulianDate, Double> mapTreasuryMark20Y = new TreeMap<JulianDate, Double>();
- Map<JulianDate, Double> mapTreasuryMark30Y = new TreeMap<JulianDate, Double>();
- for (int i = 0; i < adtTreasuryMark.length; ++i) {
- mapTreasuryMark02Y.put (adtTreasuryMark[i], adblYieldUST02Y[i]);
- mapTreasuryMark03Y.put (adtTreasuryMark[i], adblYieldUST03Y[i]);
- mapTreasuryMark04Y.put (adtTreasuryMark[i], adblYieldUST04Y[i]);
- mapTreasuryMark05Y.put (adtTreasuryMark[i], adblYieldUST05Y[i]);
- mapTreasuryMark07Y.put (adtTreasuryMark[i], adblYieldUST07Y[i]);
- mapTreasuryMark10Y.put (adtTreasuryMark[i], adblYieldUST10Y[i]);
- mapTreasuryMark20Y.put (adtTreasuryMark[i], adblYieldUST20Y[i]);
- mapTreasuryMark30Y.put (adtTreasuryMark[i], adblYieldUST30Y[i]);
- }
- CSVGrid csvGrid = CSVParser.StringGrid (
- strPrintLocation,
- true
- );
- JulianDate[] adtSpot = csvGrid.dateArrayAtColumn (0);
- double[] adblCleanPrice = csvGrid.doubleArrayAtColumn (2);
- double[] adblCoupon = csvGrid.doubleArrayAtColumn (3);
- JulianDate[] adtEffective = csvGrid.dateArrayAtColumn (4);
- JulianDate[] adtMaturity = csvGrid.dateArrayAtColumn (5);
- JulianDate[] adtExpiry = csvGrid.dateArrayAtColumn (6);
- int iNumCompute = adtSpot.length;
- JulianDate[] adtEffectiveCompute = new JulianDate[iNumCompute];
- JulianDate[] adtMaturityCompute = new JulianDate[iNumCompute];
- double[] adblCouponCompute = new double[iNumCompute];
- JulianDate[] adtExpiryCompute = new JulianDate[iNumCompute];
- JulianDate[] adtSpotCompute = new JulianDate[iNumCompute];
- double[] adblCleanPriceCompute = new double[iNumCompute];
- double[][] aadblUSTComputeYield = new double[iNumCompute][8];
- String[] astrBenchmarkTenor = new String[] {
- "2Y",
- "3Y",
- "4Y",
- "5Y",
- "7Y",
- "10Y",
- "20Y",
- "30Y"
- };
- for (int i = 0; i < iNumCompute; ++i) {
- adtEffectiveCompute[i] = adtEffective[i];
- adtMaturityCompute[i] = adtMaturity[i];
- adblCouponCompute[i] = adblCoupon[i];
- adtExpiryCompute[i] = adtExpiry[i];
- adtSpotCompute[i] = adtSpot[i];
- adblCleanPriceCompute[i] = adblCleanPrice[i];
- aadblUSTComputeYield[i][0] = adblYieldUST02Y[i];
- aadblUSTComputeYield[i][1] = adblYieldUST03Y[i];
- aadblUSTComputeYield[i][2] = adblYieldUST04Y[i];
- aadblUSTComputeYield[i][3] = adblYieldUST05Y[i];
- aadblUSTComputeYield[i][4] = adblYieldUST07Y[i];
- aadblUSTComputeYield[i][5] = adblYieldUST10Y[i];
- aadblUSTComputeYield[i][6] = adblYieldUST20Y[i];
- aadblUSTComputeYield[i][7] = adblYieldUST30Y[i];
- }
- List<TenorDurationNodeMetrics> lsTDNM = TreasuryFuturesAPI.HorizonKeyRateDuration (
- "UST",
- adtEffectiveCompute,
- adtMaturityCompute,
- adblCouponCompute,
- adtExpiryCompute,
- adtSpotCompute,
- adblCleanPriceCompute,
- astrBenchmarkTenor,
- aadblUSTComputeYield
- );
- System.out.println ("SpotDate,ExpiryDate,CTDName,SpotCTDCleanPrice,ExpiryCTDCleanPrice,SpotGSpread,ExpiryGSpread,SpotYield,ExpiryYield,Parallel,2Y,3Y,4Y,5Y,7Y,10Y,20Y,30Y");
- for (TenorDurationNodeMetrics tdnm : lsTDNM) {
- String strTDNM =
- tdnm.dateSnap() + "," +
- tdnm.date ("ExpiryDate") + "," +
- tdnm.c1 ("CTDName") + "," +
- FormatUtil.FormatDouble (tdnm.r1 ("SpotCTDCleanPrice"), 1, 5, 100.) + "," +
- FormatUtil.FormatDouble (tdnm.r1 ("ExpiryCTDCleanPrice"), 1, 5, 100.) + "," +
- FormatUtil.FormatDouble (tdnm.r1 ("SpotGSpread"), 1, 1, 10000.) + "," +
- FormatUtil.FormatDouble (tdnm.r1 ("ExpiryGSpread"), 1, 1, 10000.) + "," +
- FormatUtil.FormatDouble (tdnm.r1 ("SpotYield"), 1, 4, 100.) + "," +
- FormatUtil.FormatDouble (tdnm.r1 ("ExpiryYield"), 1, 4, 100.) + "," +
- FormatUtil.FormatDouble (tdnm.r1 ("ParallelKRD"), 1, 4, 1.);
- for (Map.Entry<String, Double> meTDNM : tdnm.krdMap().entrySet())
- strTDNM += "," + FormatUtil.FormatDouble (meTDNM.getValue(), 1, 4, 1.);
- System.out.println (strTDNM);
- }
- }
- }