BondProcessor.java

  1. package org.drip.service.json;

  3. /*
  4.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  5.  */

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  11.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  12.  * 
  13.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  14.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  15.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  16.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  17.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  18.  *      and computational support.
  19.  *  
  20.  *      https://lakshmidrip.github.io/DROP/
  21.  *  
  22.  *  DROP is composed of three modules:
  23.  *  
  24.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  25.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  26.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  27.  * 
  28.  *  DROP Product Core implements libraries for the following:
  29.  *  - Fixed Income Analytics
  30.  *  - Loan Analytics
  31.  *  - Transaction Cost Analytics
  32.  * 
  33.  *  DROP Portfolio Core implements libraries for the following:
  34.  *  - Asset Allocation Analytics
  35.  *  - Asset Liability Management Analytics
  36.  *  - Capital Estimation Analytics
  37.  *  - Exposure Analytics
  38.  *  - Margin Analytics
  39.  *  - XVA Analytics
  40.  * 
  41.  *  DROP Computational Core implements libraries for the following:
  42.  *  - Algorithm Support
  43.  *  - Computation Support
  44.  *  - Function Analysis
  45.  *  - Model Validation
  46.  *  - Numerical Analysis
  47.  *  - Numerical Optimizer
  48.  *  - Spline Builder
  49.  *  - Statistical Learning
  50.  * 
  51.  *  Documentation for DROP is Spread Over:
  52.  * 
  53.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  54.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  55.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  56.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  57.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  58.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  59.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  60.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  61.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  62.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  63.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  64.  * 
  65.  *  Licensed under the Apache License, Version 2.0 (the "License");
  66.  *      you may not use this file except in compliance with the License.
  67.  *   
  68.  *  You may obtain a copy of the License at
  69.  *      http://www.apache.org/licenses/LICENSE-2.0
  70.  *  
  71.  *  Unless required by applicable law or agreed to in writing, software
  72.  *      distributed under the License is distributed on an "AS IS" BASIS,
  73.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  74.  *  
  75.  *  See the License for the specific language governing permissions and
  76.  *      limitations under the License.
  77.  */

  79. /**
  80.  * <i>BondProcessor</i> Sets Up and Executes a JSON Based In/Out Bond Valuation Processor.
  81.  * 
  82.  * <br><br>
  83.  *  <ul>
  84.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  85.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationSupportLibrary.md">Computation Support</a></li>
  86.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/service/README.md">Environment, Product/Definition Containers, and Scenario/State Manipulation APIs</a></li>
  87.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/service/json/README.md">JSON Based Valuation Request Service</a></li>
  88.  *  </ul>
  89.  * <br><br>
  90.  *
  91.  * @author Lakshmi Krishnamurthy
  92.  */

  94. public class BondProcessor {

  96.     /**
  97.      * JSON Based in/out Bond Secular Metrics Thunker
  98.      * 
  99.      * @param jsonParameter JSON Bond Request Parameters
  100.      * 
  101.      * @return JSON Bond Secular Metrics Response
  102.      */

  104.     @SuppressWarnings ("unchecked") static final org.drip.json.simple.JSONObject SecularMetrics (
  105.         final org.drip.json.simple.JSONObject jsonParameter)
  106.     {
  107.         org.drip.state.discount.MergedDiscountForwardCurve dcFunding =
  108.             org.drip.service.json.LatentStateProcessor.FundingCurve (jsonParameter);

  110.         if (null == dcFunding) return null;

  112.         org.drip.param.market.CurveSurfaceQuoteContainer csqc = new
  113.             org.drip.param.market.CurveSurfaceQuoteContainer();

  115.         if (!csqc.setFundingState (dcFunding)) return null;

  117.         double dblCleanPrice = java.lang.Double.NaN;
  118.         org.drip.product.credit.BondComponent bond = null;

  120.         try {
  121.             if (null == (bond = org.drip.product.creator.BondBuilder.CreateSimpleFixed
  122.                 (org.drip.json.parser.Converter.StringEntry (jsonParameter, "BondName"),
  123.                     dcFunding.currency(), "", org.drip.json.parser.Converter.DoubleEntry (jsonParameter,
  124.                         "BondCoupon"), org.drip.json.parser.Converter.IntegerEntry (jsonParameter,
  125.                             "BondFrequency"), org.drip.json.parser.Converter.StringEntry (jsonParameter,
  126.                                 "BondDayCount"), org.drip.json.parser.Converter.DateEntry (jsonParameter,
  127.                                     "BondEffectiveDate"), org.drip.json.parser.Converter.DateEntry
  128.                                         (jsonParameter, "BondMaturityDate"), null, null)))
  129.                 return null;

  131.             dblCleanPrice = org.drip.json.parser.Converter.DoubleEntry (jsonParameter, "BondCleanPrice");
  132.         } catch (java.lang.Exception e) {
  133.             e.printStackTrace();

  135.             return null;
  136.         }

  138.         org.drip.param.valuation.ValuationParams valParams = org.drip.param.valuation.ValuationParams.Spot
  139.             (dcFunding.epoch().julian());

  141.         org.drip.json.simple.JSONObject jsonResponse = new org.drip.json.simple.JSONObject();

  143.         jsonResponse.put ("BondName", bond.name());

  145.         jsonResponse.put ("BondEffectiveDate", bond.effectiveDate().toString());

  147.         jsonResponse.put ("BondMaturityDate", bond.maturityDate().toString());

  149.         jsonResponse.put ("BondFirstCouponDate", bond.firstCouponDate().toString());

  151.         jsonResponse.put ("BondCleanPrice", dblCleanPrice);

  153.         try {
  154.             double dblYield01 = bond.yield01FromPrice (valParams, csqc, null, dblCleanPrice);

  156.             double accrued = bond.accrued (valParams.valueDate(), csqc);

  158.             jsonResponse.put ("BondAccrued", accrued);

  160.             jsonResponse.put ("BondDirtyPrice", dblCleanPrice + accrued);

  162.             jsonResponse.put ("BondYield", bond.yieldFromPrice (valParams, csqc, null, dblCleanPrice));

  164.             jsonResponse.put ("BondMacaulayDuration", bond.macaulayDurationFromPrice (valParams, csqc, null,
  165.                 dblCleanPrice));

  167.             jsonResponse.put ("BondModifiedDuration", 10000. * bond.modifiedDurationFromPrice (valParams,
  168.                 csqc, null, dblCleanPrice));

  170.             jsonResponse.put ("BondYield01", 10000. * dblYield01);

  172.             jsonResponse.put ("BondDV01", 10000. * dblYield01);

  174.             jsonResponse.put ("BondConvexity", 1000000. * bond.convexityFromPrice (valParams, csqc, null,
  175.                 dblCleanPrice));

  177.             jsonResponse.put ("BondBasis", 10000. * bond.bondBasisFromPrice (valParams, csqc, null,
  178.                 dblCleanPrice));
  179.         } catch (java.lang.Exception e) {
  180.             e.printStackTrace();

  182.             return null;
  183.         }

  185.         return jsonResponse;
  186.     }

  188.     /**
  189.      * JSON Based in/out Bond Curve Metrics Thunker
  190.      * 
  191.      * @param jsonParameter JSON Bond Request Parameters
  192.      * 
  193.      * @return JSON Bond Curve Metrics Response
  194.      */

  196.     @SuppressWarnings ("unchecked") static final org.drip.json.simple.JSONObject CurveMetrics (
  197.         final org.drip.json.simple.JSONObject jsonParameter)
  198.     {
  199.         org.drip.state.discount.MergedDiscountForwardCurve dcFunding =
  200.             org.drip.service.json.LatentStateProcessor.FundingCurve (jsonParameter);

  202.         if (null == dcFunding) return null;

  204.         org.drip.param.market.CurveSurfaceQuoteContainer csqc = new
  205.             org.drip.param.market.CurveSurfaceQuoteContainer();

  207.         if (!csqc.setFundingState (dcFunding) || !csqc.setGovvieState
  208.             (org.drip.service.json.LatentStateProcessor.TreasuryCurve (jsonParameter)))
  209.             return null;

  211.         double dblCleanPrice = java.lang.Double.NaN;
  212.         org.drip.product.credit.BondComponent bond = null;

  214.         org.drip.analytics.date.JulianDate dtMaturity = org.drip.json.parser.Converter.DateEntry
  215.             (jsonParameter, "BondMaturityDate");

  217.         try {
  218.             if (null == (bond = org.drip.product.creator.BondBuilder.CreateSimpleFixed
  219.                 (org.drip.json.parser.Converter.StringEntry (jsonParameter, "BondName"),
  220.                     dcFunding.currency(), "", org.drip.json.parser.Converter.DoubleEntry (jsonParameter,
  221.                         "BondCoupon"), org.drip.json.parser.Converter.IntegerEntry (jsonParameter,
  222.                             "BondFrequency"), org.drip.json.parser.Converter.StringEntry (jsonParameter,
  223.                                 "BondDayCount"), org.drip.json.parser.Converter.DateEntry (jsonParameter,
  224.                                     "BondEffectiveDate"), dtMaturity, null, null)))
  225.                 return null;

  227.             dblCleanPrice = org.drip.json.parser.Converter.DoubleEntry (jsonParameter, "BondCleanPrice");
  228.         } catch (java.lang.Exception e) {
  229.             e.printStackTrace();

  231.             return null;
  232.         }

  234.         int iSpotDate = dcFunding.epoch().julian();

  236.         org.drip.param.valuation.ValuationParams valParams = org.drip.param.valuation.ValuationParams.Spot
  237.             (iSpotDate);

  239.         org.drip.json.simple.JSONObject jsonResponse = new org.drip.json.simple.JSONObject();

  241.         jsonResponse.put ("BondName", bond.name());

  243.         jsonResponse.put ("BondEffectiveDate", bond.effectiveDate().toString());

  245.         jsonResponse.put ("BondMaturityDate", dtMaturity.toString());

  247.         jsonResponse.put ("BondFirstCouponDate", bond.firstCouponDate().toString());

  249.         jsonResponse.put ("BondCleanPrice", dblCleanPrice);

  251.         try {
  252.             jsonResponse.put ("BondASW", bond.aswFromPrice (valParams, csqc, null, dblCleanPrice));
  253.         } catch (java.lang.Exception e) {
  254.             e.printStackTrace();
  255.         }

  257.         try {
  258.             jsonResponse.put ("BondGSpread", bond.gSpreadFromPrice (valParams, csqc, null, dblCleanPrice));
  259.         } catch (java.lang.Exception e) {
  260.             e.printStackTrace();
  261.         }

  263.         try {
  264.             jsonResponse.put ("BondISpread", bond.iSpreadFromPrice (valParams, csqc, null, dblCleanPrice));
  265.         } catch (java.lang.Exception e) {
  266.             e.printStackTrace();
  267.         }

  269.         try {
  270.             jsonResponse.put ("BondOAS", bond.oasFromPrice (valParams, csqc, null, dblCleanPrice));
  271.         } catch (java.lang.Exception e) {
  272.             e.printStackTrace();
  273.         }

  275.         try {
  276.             jsonResponse.put ("BondTreasurySpread", bond.tsySpreadFromPrice (valParams, csqc, null,
  277.                 dblCleanPrice));
  278.         } catch (java.lang.Exception e) {
  279.             e.printStackTrace();
  280.         }

  282.         jsonResponse.put ("BondTreasuryBenchmark", org.drip.analytics.support.Helper.BaseTsyBmk
  283.             (iSpotDate, dtMaturity.julian()));

  285.         try {
  286.             jsonResponse.put ("BondZSpread", bond.zSpreadFromPrice (valParams, csqc, null, dblCleanPrice));
  287.         } catch (java.lang.Exception e) {
  288.             e.printStackTrace();
  289.         }

  291.         return jsonResponse;
  292.     }

  294.     /**
  295.      * JSON Based in/out Bond Curve Cash Flow Thunker
  296.      * 
  297.      * @param jsonParameter JSON Bond Cash Flow Parameters
  298.      * 
  299.      * @return JSON Bond Cash Flow Response
  300.      */

  302.     @SuppressWarnings ("unchecked") static final org.drip.json.simple.JSONObject CashFlows (
  303.         final org.drip.json.simple.JSONObject jsonParameter)
  304.     {
  305.         org.drip.state.discount.MergedDiscountForwardCurve dcFunding =
  306.             org.drip.service.json.LatentStateProcessor.FundingCurve (jsonParameter);

  308.         if (null == dcFunding) return null;

  310.         org.drip.param.market.CurveSurfaceQuoteContainer csqc = new
  311.             org.drip.param.market.CurveSurfaceQuoteContainer();

  313.         if (!csqc.setFundingState (dcFunding)) return null;

  315.         org.drip.state.credit.CreditCurve cc = org.drip.service.json.LatentStateProcessor.CreditCurve
  316.             (jsonParameter, dcFunding);

  318.         csqc.setCreditState (cc);

  320.         double dblValueNotional = 1.;
  321.         org.drip.product.credit.BondComponent bond = null;

  323.         org.drip.analytics.date.JulianDate dtMaturity = org.drip.json.parser.Converter.DateEntry
  324.             (jsonParameter, "BondMaturityDate");

  326.         try {
  327.             if (null == (bond = org.drip.product.creator.BondBuilder.CreateSimpleFixed
  328.                 (org.drip.json.parser.Converter.StringEntry (jsonParameter, "BondName"),
  329.                     dcFunding.currency(), "", org.drip.json.parser.Converter.DoubleEntry (jsonParameter,
  330.                         "BondCoupon"), org.drip.json.parser.Converter.IntegerEntry (jsonParameter,
  331.                             "BondFrequency"), org.drip.json.parser.Converter.StringEntry (jsonParameter,
  332.                                 "BondDayCount"), org.drip.json.parser.Converter.DateEntry (jsonParameter,
  333.                                     "BondEffectiveDate"), dtMaturity, null, null)))
  334.                 return null;

  336.             dblValueNotional = org.drip.json.parser.Converter.DoubleEntry (jsonParameter,
  337.                 "BondValueNotional");
  338.         } catch (java.lang.Exception e) {
  339.             e.printStackTrace();

  341.             return null;
  342.         }

  344.         org.drip.json.simple.JSONObject jsonResponse = new org.drip.json.simple.JSONObject();

  346.         jsonResponse.put ("BondName", bond.name());

  348.         java.util.List<org.drip.analytics.cashflow.CompositePeriod> lsCP = bond.couponPeriods();

  350.         if (null == lsCP || 0 == lsCP.size()) return null;

  352.         org.drip.json.simple.JSONArray jsonCashFlowArray = new org.drip.json.simple.JSONArray();

  354.         for (org.drip.analytics.cashflow.CompositePeriod cp : lsCP) {
  355.             if (null == cp) return null;

  357.             org.drip.json.simple.JSONObject jsonCashFlow = new org.drip.json.simple.JSONObject();

  359.             jsonCashFlow.put ("StartDate", new org.drip.analytics.date.JulianDate
  360.                 (cp.startDate()).toString());

  362.             jsonCashFlow.put ("EndDate", new org.drip.analytics.date.JulianDate (cp.endDate()).toString());

  364.             jsonCashFlow.put ("PayDate", new org.drip.analytics.date.JulianDate (cp.payDate()).toString());

  366.             try {
  367.                 double dblCouponRate = cp.periods().get (0).baseRate (csqc);

  369.                 jsonCashFlow.put ("FixingDate", new org.drip.analytics.date.JulianDate
  370.                     (cp.fxFixingDate()).toString());

  372.                 jsonCashFlow.put ("CouponDCF", cp.couponDCF());

  374.                 jsonCashFlow.put ("CouponRate", dblCouponRate);

  376.                 if (null != cc) jsonCashFlow.put ("SurvivalFactor", cc.survival (cp.payDate()));

  378.                 jsonCashFlow.put ("PayDiscountFactor", cp.df (csqc));

  380.                 jsonCashFlow.put ("CouponAmount", dblCouponRate * dblValueNotional);
  381.             } catch (java.lang.Exception e) {
  382.                 e.printStackTrace();

  384.                 return null;
  385.             }

  387.             jsonCashFlow.put ("BaseNotional", cp.baseNotional() * dblValueNotional);

  389.             jsonCashFlowArray.add (jsonCashFlow);
  390.         }

  392.         jsonResponse.put ("CashFlow", jsonCashFlowArray);

  394.         return jsonResponse;
  395.     }
  396. }
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