PrepayAssetBackedProcessor.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.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  13.  * 
  14.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  15.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  16.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  17.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  18.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  19.  *      and computational support.
  20.  *  
  21.  *      https://lakshmidrip.github.io/DROP/
  22.  *  
  23.  *  DROP is composed of three modules:
  24.  *  
  25.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  26.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  27.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  28.  * 
  29.  *  DROP Product Core implements libraries for the following:
  30.  *  - Fixed Income Analytics
  31.  *  - Loan Analytics
  32.  *  - Transaction Cost Analytics
  33.  * 
  34.  *  DROP Portfolio Core implements libraries for the following:
  35.  *  - Asset Allocation Analytics
  36.  *  - Asset Liability Management Analytics
  37.  *  - Capital Estimation Analytics
  38.  *  - Exposure Analytics
  39.  *  - Margin Analytics
  40.  *  - XVA Analytics
  41.  * 
  42.  *  DROP Computational Core implements libraries for the following:
  43.  *  - Algorithm Support
  44.  *  - Computation Support
  45.  *  - Function Analysis
  46.  *  - Model Validation
  47.  *  - Numerical Analysis
  48.  *  - Numerical Optimizer
  49.  *  - Spline Builder
  50.  *  - Statistical Learning
  51.  * 
  52.  *  Documentation for DROP is Spread Over:
  53.  * 
  54.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  55.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  56.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  57.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  58.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  59.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  60.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  61.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  62.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  63.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  64.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  65.  * 
  66.  *  Licensed under the Apache License, Version 2.0 (the "License");
  67.  *      you may not use this file except in compliance with the License.
  68.  *   
  69.  *  You may obtain a copy of the License at
  70.  *      http://www.apache.org/licenses/LICENSE-2.0
  71.  *  
  72.  *  Unless required by applicable law or agreed to in writing, software
  73.  *      distributed under the License is distributed on an "AS IS" BASIS,
  74.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  75.  *  
  76.  *  See the License for the specific language governing permissions and
  77.  *      limitations under the License.
  78.  */

  80. /**
  81.  * <i>PrepayAssetBackedProcessor</i> Sets Up and Executes a JSON Based In/Out Product Pre-payable Asset
  82.  * Backed Loan Processor.
  83.  * 
  84.  * <br><br>
  85.  *  <ul>
  86.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  87.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationSupportLibrary.md">Computation Support</a></li>
  88.  *      <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>
  89.  *      <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>
  90.  *  </ul>
  91.  * <br><br>
  92.  *
  93.  * @author Lakshmi Krishnamurthy
  94.  */

  96. public class PrepayAssetBackedProcessor {

  98.     /**
  99.      * JSON Based in/out Pre-Payable Asset Backed Loan Secular Metrics Thunker
  100.      * 
  101.      * @param jsonParameter JSON Pre-Payable Asset Backed Loan Request Parameters
  102.      * 
  103.      * @return JSON Pre-Payable Asset Backed Loan Secular Metrics Response
  104.      */

  106.     @SuppressWarnings ("unchecked") static final org.drip.json.simple.JSONObject SecularMetrics (
  107.         final org.drip.json.simple.JSONObject jsonParameter)
  108.     {
  109.         java.lang.String strBondName = org.drip.json.parser.Converter.StringEntry (jsonParameter, "Name");

  111.         java.lang.String strCurrency = org.drip.json.parser.Converter.StringEntry (jsonParameter,
  112.             "Currency");

  114.         java.lang.String strDayCount = org.drip.json.parser.Converter.StringEntry (jsonParameter,
  115.             "DayCount");

  117.         org.drip.analytics.date.JulianDate dtEffective = org.drip.json.parser.Converter.DateEntry
  118.             (jsonParameter, "EffectiveDate");

  120.         if (null == dtEffective) return null;

  122.         int iEffectiveDate = dtEffective.julian();

  124.         org.drip.analytics.date.JulianDate dtSettle = org.drip.json.parser.Converter.DateEntry
  125.             (jsonParameter, "SettleDate");

  127.         if (null == dtSettle) return null;

  129.         int iSettleDate = dtSettle.julian();

  131.         int iNumPayment = -1;
  132.         int iPayFrequency = -1;
  133.         double dblCleanPrice = 1.;
  134.         double dblCPR = java.lang.Double.NaN;
  135.         double dblCouponRate = java.lang.Double.NaN;
  136.         double dblBondNotional = java.lang.Double.NaN;
  137.         double dblServiceFeeRate = java.lang.Double.NaN;
  138.         double dblFixedMonthlyAmount = java.lang.Double.NaN;
  139.         double dblBeginPrincipalFactor = java.lang.Double.NaN;

  141.         try {
  142.             dblCPR = org.drip.json.parser.Converter.DoubleEntry (jsonParameter, "CPR");

  144.             iNumPayment = org.drip.json.parser.Converter.IntegerEntry (jsonParameter, "NumPayment");

  146.             dblCouponRate = org.drip.json.parser.Converter.DoubleEntry (jsonParameter, "CouponRate");

  148.             iPayFrequency = org.drip.json.parser.Converter.IntegerEntry (jsonParameter, "PayFrequency");

  150.             dblBondNotional = org.drip.json.parser.Converter.DoubleEntry (jsonParameter, "BondNotional");

  152.             dblServiceFeeRate = org.drip.json.parser.Converter.DoubleEntry (jsonParameter, "ServiceFeeRate");

  154.             dblFixedMonthlyAmount = org.drip.json.parser.Converter.DoubleEntry (jsonParameter,
  155.                 "FixedMonthlyAmount");

  157.             dblBeginPrincipalFactor = org.drip.json.parser.Converter.DoubleEntry (jsonParameter,
  158.                 "BeginPrincipalFactor");
  159.         } catch (java.lang.Exception e) {
  160.             e.printStackTrace();

  162.             return null;
  163.         }

  165.         org.drip.product.definition.Bond fpmb = org.drip.product.creator.ConstantPaymentBondBuilder.Prepay
  166.             (strBondName, dtEffective, strCurrency, iNumPayment, strDayCount, iPayFrequency, dblCouponRate,
  167.                 dblServiceFeeRate, dblCPR, dblFixedMonthlyAmount, dblBondNotional);

  169.         if (null == fpmb || fpmb.maturityDate().julian() <= iSettleDate) return null;

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

  173.         org.drip.json.simple.JSONArray jsonCouponFlowArray = new org.drip.json.simple.JSONArray();

  175.         for (org.drip.analytics.cashflow.CompositePeriod cp : fpmb.couponPeriods()) {
  176.             org.drip.json.simple.JSONObject jsonCouponFlow = new org.drip.json.simple.JSONObject();

  178.             org.drip.analytics.output.CompositePeriodCouponMetrics cpcm = cp.couponMetrics (iEffectiveDate,
  179.                 null);

  181.             if (null == cpcm) return null;

  183.             double dblPeriodCouponRate = cpcm.rate();

  185.             jsonCouponFlow.put ("FeeRate", dblServiceFeeRate);

  187.             jsonCouponFlow.put ("CouponRate", dblPeriodCouponRate);

  189.             jsonCouponFlow.put ("PrincipalFactor", dblBeginPrincipalFactor);

  191.             try {
  192.                 double dblEndPrincipalFactor = fpmb.notional (cp.endDate());

  194.                 double dblYieldDF = org.drip.analytics.support.Helper.Yield2DF (iPayFrequency, dblCouponRate,
  195.                     org.drip.analytics.daycount.Convention.YearFraction (dtEffective.julian(), cp.endDate(),
  196.                         "30/360", false, null, strCurrency));

  198.                 jsonCouponFlow.put ("StartDate", new org.drip.analytics.date.JulianDate
  199.                     (cp.startDate()).toString());

  201.                 jsonCouponFlow.put ("EndDate", new org.drip.analytics.date.JulianDate
  202.                     (cp.endDate()).toString());

  204.                 jsonCouponFlow.put ("PayDate", new org.drip.analytics.date.JulianDate
  205.                     (cp.payDate()).toString());

  207.                 double dblCouponDCF = cp.couponDCF();

  209.                 jsonCouponFlow.put ("AccrualDays", dblCouponDCF * 365.);

  211.                 jsonCouponFlow.put ("AccrualFraction", dblCouponDCF);

  213.                 double dblCouponAmount = dblBeginPrincipalFactor * dblPeriodCouponRate * dblCouponDCF *
  214.                     dblBondNotional;
  215.                 double dblFeeAmount = dblBeginPrincipalFactor * dblServiceFeeRate * dblCouponDCF *
  216.                     dblBondNotional;
  217.                 double dblPrincipalAmount = (dblBeginPrincipalFactor - dblEndPrincipalFactor) *
  218.                     dblBondNotional;
  219.                 double dblTotalAmount = dblPrincipalAmount + dblCouponAmount;
  220.                 dblBeginPrincipalFactor = dblEndPrincipalFactor;
  221.                 double dblBeginNotional = dblBeginPrincipalFactor * dblBondNotional;

  223.                 jsonCouponFlow.put ("BeginPrincipal", dblBeginNotional);

  225.                 jsonCouponFlow.put ("Notional", dblBeginNotional);

  227.                 jsonCouponFlow.put ("EndPrincipal", dblEndPrincipalFactor * dblBondNotional);

  229.                 jsonCouponFlow.put ("PrincipalAmount", dblPrincipalAmount);

  231.                 jsonCouponFlow.put ("CouponAmount", dblCouponAmount);

  233.                 jsonCouponFlow.put ("TotalAmount", dblTotalAmount);

  235.                 jsonCouponFlow.put ("DiscountFactor", dblYieldDF);

  237.                 jsonCouponFlow.put ("FeeAmount", dblFeeAmount);

  239.                 jsonCouponFlow.put ("SurvivalFactor", 1.);
  240.             } catch (java.lang.Exception e) {
  241.                 e.printStackTrace();

  243.                 return null;
  244.             }

  246.             jsonCouponFlowArray.add (jsonCouponFlow);
  247.         }

  249.         jsonResponse.put ("CouponFlow", jsonCouponFlowArray);

  251.         jsonResponse.put ("CleanPrice", 100. * dblCleanPrice);

  253.         jsonResponse.put ("Face", dblBondNotional);

  255.         org.drip.analytics.date.JulianDate dtPreviousCouponDate = fpmb.previousCouponDate (dtSettle);

  257.         if (null != dtPreviousCouponDate) {
  258.             jsonResponse.put ("AccrualDays", dtPreviousCouponDate.julian() - iSettleDate);

  260.             jsonResponse.put ("PreviousCouponDate", dtPreviousCouponDate.toString());
  261.         }

  263.         org.drip.param.valuation.ValuationParams valParams = org.drip.param.valuation.ValuationParams.Spot
  264.             (iSettleDate);

  266.         try {
  267.             double dblAccruedAmount = fpmb.accrued (iSettleDate, null) * dblBondNotional;

  269.             double dblCurrentPrincipal = fpmb.notional (dtPreviousCouponDate.julian()) * dblBondNotional;

  271.             double dblRisk = fpmb.yield01FromPrice (valParams, null, null, dblCleanPrice);

  273.             jsonResponse.put ("Accrued", dblAccruedAmount);

  275.             jsonResponse.put ("Convexity", fpmb.convexityFromPrice (valParams, null, null, dblCleanPrice));

  277.             jsonResponse.put ("CurrentPrincipal", dblCurrentPrincipal);

  279.             jsonResponse.put ("DV01", dblRisk * dblBondNotional);

  281.             jsonResponse.put ("ModifiedDuration", fpmb.modifiedDurationFromPrice (valParams, null, null,
  282.                 dblCleanPrice));

  284.             jsonResponse.put ("Notional", dblBondNotional);

  286.             jsonResponse.put ("NPV", dblCurrentPrincipal + dblAccruedAmount);

  288.             jsonResponse.put ("Risk", dblRisk);

  290.             jsonResponse.put ("SettleDate", dtSettle.toString());

  292.             jsonResponse.put ("Total", dblCurrentPrincipal + dblAccruedAmount);

  294.             jsonResponse.put ("Yield", fpmb.yieldFromPrice (valParams, null, null, dblCleanPrice));

  296.             jsonResponse.put ("Yield01", dblRisk);

  298.             jsonResponse.put ("Y01", dblRisk);
  299.         } catch (java.lang.Exception e) {
  300.             e.printStackTrace();

  302.             return null;
  303.         }

  305.         org.drip.state.discount.MergedDiscountForwardCurve dcFunding =
  306.             org.drip.service.json.LatentStateProcessor.FundingCurve (jsonParameter);

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

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

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

  315.         try {
  316.             jsonResponse.put ("DiscountedPrice", fpmb.priceFromDiscountMargin (valParams, csqc, null, 0.));
  317.         } catch (java.lang.Exception e) {
  318.         }

  320.         if (!csqc.setCreditState (org.drip.service.json.LatentStateProcessor.CreditCurve (jsonParameter,
  321.             dcFunding)))
  322.             return jsonResponse;

  324.         try {
  325.             jsonResponse.put ("DiscountedCreditPrice", fpmb.priceFromCreditBasis (valParams, csqc, null,
  326.                 0.));
  327.         } catch (java.lang.Exception e) {
  328.         }

  330.         return jsonResponse;
  331.     }

  333. }
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