TreasuryBondProcessor.java

package org.drip.service.json;

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

/*!
 * Copyright (C) 2020 Lakshmi Krishnamurthy
 * Copyright (C) 2019 Lakshmi Krishnamurthy
 * Copyright (C) 2018 Lakshmi Krishnamurthy
 * Copyright (C) 2017 Lakshmi Krishnamurthy
 * Copyright (C) 2016 Lakshmi Krishnamurthy
 * 
 *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
 *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
 *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
 *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
 *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
 *      and computational support.
 *  
 *      https://lakshmidrip.github.io/DROP/
 *  
 *  DROP is composed of three modules:
 *  
 *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
 *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
 *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
 * 
 *  DROP Product Core implements libraries for the following:
 *  - Fixed Income Analytics
 *  - Loan Analytics
 *  - Transaction Cost Analytics
 * 
 *  DROP Portfolio Core implements libraries for the following:
 *  - Asset Allocation Analytics
 *  - Asset Liability Management Analytics
 *  - Capital Estimation Analytics
 *  - Exposure Analytics
 *  - Margin Analytics
 *  - XVA Analytics
 * 
 *  DROP Computational Core implements libraries for the following:
 *  - Algorithm Support
 *  - Computation Support
 *  - Function Analysis
 *  - Model Validation
 *  - Numerical Analysis
 *  - Numerical Optimizer
 *  - Spline Builder
 *  - Statistical Learning
 * 
 *  Documentation for DROP is Spread Over:
 * 
 *  - Main                     => https://lakshmidrip.github.io/DROP/
 *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
 *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
 *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
 *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
 *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
 *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
 *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
 *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
 *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
 *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
 * 
 *  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.
 */

/**
 * <i>TreasuryBondProcessor</i> Sets Up and Executes a JSON Based In/Out Processing Service for Treasury
 * Bonds.
 * 
 * <br><br>
 *  <ul>
 *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
 *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationSupportLibrary.md">Computation Support</a></li>
 *      <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>
 *      <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>
 *  </ul>
 * <br><br>
 *
 * @author Lakshmi Krishnamurthy
 */

public class TreasuryBondProcessor {

    /**
     * JSON Based in/out Treasury Bond Secular Metrics Thunker
     * 
     * @param jsonParameter JSON Treasury Bond Request Parameters
     * 
     * @return JSON Treasury Bond Secular Metrics Response
     */

    @SuppressWarnings ("unchecked") static final org.drip.json.simple.JSONObject SecularMetrics (
        final org.drip.json.simple.JSONObject jsonParameter)
    {
        java.lang.String strTreasuryCode = org.drip.json.parser.Converter.StringEntry (jsonParameter,
            "TreasuryCode");

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

        if (null == dtEffective) return null;

        int iEffectiveDate = dtEffective.julian();

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

        if (null == dtMaturity) return null;

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

        if (null == dtSettle) return null;

        int iSettleDate = dtSettle.julian();

        double dblYield = java.lang.Double.NaN;
        double dblCoupon = java.lang.Double.NaN;
        double dblNotional = java.lang.Double.NaN;
        double dblCleanPrice = java.lang.Double.NaN;

        try {
            dblCoupon = org.drip.json.parser.Converter.DoubleEntry (jsonParameter, "Coupon");

            dblNotional = org.drip.json.parser.Converter.DoubleEntry (jsonParameter, "Notional");

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

            return null;
        }

        org.drip.market.issue.TreasurySetting ts =
            org.drip.market.issue.TreasurySettingContainer.TreasurySetting (strTreasuryCode);

        if (null == ts) return null;

        int iFrequency = ts.frequency();

        java.lang.String strDayCount = ts.dayCount();

        org.drip.product.definition.Bond tsy = org.drip.product.creator.BondBuilder.Treasury (ts.code(),
            dtEffective, dtMaturity, ts.currency(), dblCoupon, iFrequency, strDayCount);

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

        java.lang.String strCurrency = tsy.payCurrency();

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

        try {
            dblYield = tsy.yield01FromPrice (valParams, null, null, dblCleanPrice);
        } catch (java.lang.Exception e) {
            e.printStackTrace();

            return null;
        }

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

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

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

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

            if (null == cpcm) return null;

            double dblPeriodCouponRate = cpcm.rate();

            jsonCouponFlow.put ("CouponRate", dblPeriodCouponRate);

            try {
                int iPeriodStartDate = cp.startDate();

                int iPeriodEndDate = cp.endDate();

                double dblYieldDF = org.drip.analytics.support.Helper.Yield2DF (iFrequency, dblYield,
                    org.drip.analytics.daycount.Convention.YearFraction (iEffectiveDate, iPeriodEndDate,
                        strDayCount, false, null, strCurrency));

                jsonCouponFlow.put ("StartDate", new org.drip.analytics.date.JulianDate
                    (iPeriodStartDate).toString());

                jsonCouponFlow.put ("EndDate", new org.drip.analytics.date.JulianDate
                    (iPeriodEndDate).toString());

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

                double dblCouponDCF = cp.couponDCF();

                jsonCouponFlow.put ("AccrualDays", org.drip.analytics.daycount.Convention.DaysAccrued
                    (iPeriodStartDate, iPeriodEndDate, strDayCount, false, null, strCurrency));

                jsonCouponFlow.put ("AccrualFraction", dblCouponDCF);

                double dblCouponAmount = dblPeriodCouponRate * dblCouponDCF * dblNotional;

                jsonCouponFlow.put ("CouponAmount", dblCouponAmount);

                jsonCouponFlow.put ("YieldDF", dblYieldDF);
            } catch (java.lang.Exception e) {
                e.printStackTrace();

                return null;
            }

            jsonCouponFlowArray.add (jsonCouponFlow);
        }

        jsonResponse.put ("CouponFlow", jsonCouponFlowArray);

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

        jsonResponse.put ("Face", dblNotional);

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

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

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

        try {
            double dblAccruedAmount = tsy.accrued (iSettleDate, null) * dblNotional;

            double dblCurrentPrincipal = tsy.notional (dtPreviousCouponDate.julian()) * dblNotional;

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

            jsonResponse.put ("Accrued", dblAccruedAmount);

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

            jsonResponse.put ("CurrentPrincipal", dblCurrentPrincipal);

            jsonResponse.put ("DV01", dblRisk * dblNotional);

            jsonResponse.put ("ModifiedDuration", tsy.modifiedDurationFromPrice (valParams, null, null,
                dblCleanPrice));

            jsonResponse.put ("Notional", dblNotional);

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

            jsonResponse.put ("Risk", dblRisk);

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

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

            jsonResponse.put ("Yield", tsy.yieldFromPrice (valParams, null, null, dblCleanPrice));
        } catch (java.lang.Exception e) {
            e.printStackTrace();

            return null;
        }

        return jsonResponse;
    }
}