FixedBondAPI.java

  1. package org.drip.service.product;

  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>FixedBondAPI</i> demonstrates the Details behind the Pricing and the Scenario Runs behind a Fixed Bond.
  82.  * 
  83.  * <br><br>
  84.  *  <ul>
  85.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  86.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationSupportLibrary.md">Computation Support</a></li>
  87.  *      <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>
  88.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/service/product/README.md">Product Horizon PnL Attribution Decomposition</a></li>
  89.  *  </ul>
  90.  * <br><br>
  91.  *
  92.  * @author Lakshmi Krishnamurthy
  93.  */

  95. public class FixedBondAPI {

  97.     /**
  98.      * Generate a Full Map Invocation of the Bond Valuation Run
  99.      * 
  100.      * @param strIssuerName Bond Issuer Name
  101.      * @param iBondEffectiveDate Bond Effective Date
  102.      * @param iBondMaturityDate Bond Maturity Date
  103.      * @param dblBondCoupon Bond Coupon
  104.      * @param iBondCouponFrequency Bond Coupon Frequency
  105.      * @param strBondCouponDayCount Bond Coupon Day Count
  106.      * @param strBondCouponCurrency Bond Coupon Currency
  107.      * @param iSpotDate Spot Date
  108.      * @param astrFundingCurveDepositTenor Deposit Instruments Tenor (for Funding Curve)
  109.      * @param adblFundingCurveDepositQuote Deposit Instruments Quote (for Funding Curve)
  110.      * @param strFundingCurveDepositMeasure Deposit Instruments Measure (for Funding Curve)
  111.      * @param adblFundingCurveFuturesQuote Futures Instruments Tenor (for Funding Curve)
  112.      * @param strFundingCurveFuturesMeasure Futures Instruments Measure (for Funding Curve)
  113.      * @param astrFundingCurveFixFloatTenor Fix-Float Instruments Tenor (for Funding Curve)
  114.      * @param adblFundingCurveFixFloatQuote Fix-Float Instruments Quote (for Funding Curve)
  115.      * @param strFundingFixFloatMeasure Fix-Float Instruments Tenor (for Funding Curve)
  116.      * @param strGovvieCode Govvie Bond Code (for Treasury Curve)
  117.      * @param aiGovvieCurveTreasuryEffectiveDate Array of the Treasury Instrument Effective Date (for Treasury
  118.      *      Curve)
  119.      * @param aiGovvieCurveTreasuryMaturityDate Array of the Treasury Instrument Maturity Date (for Treasury
  120.      *      Curve)
  121.      * @param adblGovvieCurveTreasuryCoupon Array of the Treasury Instrument Coupon (for Treasury Curve)
  122.      * @param adblGovvieCurveTreasuryYield Array of the Treasury Instrument Yield (for Treasury Curve)
  123.      * @param strGovvieCurveTreasuryMeasure Treasury Instrument Measure (for Treasury Curve)
  124.      * @param strCreditCurveName Credit Curve Name (for Credit Curve)
  125.      * @param astrCreditCurveCDSTenor CDS Maturity Tenor (for Credit Curve)
  126.      * @param adblCreditCurveCDSCoupon Array of CDS Fixed Coupon (for Credit Curve)
  127.      * @param adblCreditCurveCDSQuote Array of CDS Market Quotes (for Credit Curve)
  128.      * @param strCreditCurveCDSMeasure CDS Calibration Measure (for Credit Curve)
  129.      * @param strBondMarketQuoteName Name of the Bond Market Quote
  130.      * @param dblBondMarketQuote Bond Market Quote Value
  131.      * 
  132.      * @return The Output Measure Map
  133.      */

  135.     public static final java.util.Map<java.lang.String, java.lang.Double> ValuationMetrics (
  136.         final java.lang.String strIssuerName,
  137.         final int iBondEffectiveDate,
  138.         final int iBondMaturityDate,
  139.         final double dblBondCoupon,
  140.         final int iBondCouponFrequency,
  141.         final java.lang.String strBondCouponDayCount,
  142.         final java.lang.String strBondCouponCurrency,
  143.         final int iSpotDate,
  144.         final java.lang.String[] astrFundingCurveDepositTenor,
  145.         final double[] adblFundingCurveDepositQuote,
  146.         final java.lang.String strFundingCurveDepositMeasure,
  147.         final double[] adblFundingCurveFuturesQuote,
  148.         final java.lang.String strFundingCurveFuturesMeasure,
  149.         final java.lang.String[] astrFundingCurveFixFloatTenor,
  150.         final double[] adblFundingCurveFixFloatQuote,
  151.         final java.lang.String strFundingFixFloatMeasure,
  152.         final java.lang.String strGovvieCode,
  153.         final int[] aiGovvieCurveTreasuryEffectiveDate,
  154.         final int[] aiGovvieCurveTreasuryMaturityDate,
  155.         final double[] adblGovvieCurveTreasuryCoupon,
  156.         final double[] adblGovvieCurveTreasuryYield,
  157.         final java.lang.String strGovvieCurveTreasuryMeasure,
  158.         final java.lang.String strCreditCurveName,
  159.         final java.lang.String[] astrCreditCurveCDSTenor,
  160.         final double[] adblCreditCurveCDSCoupon,
  161.         final double[] adblCreditCurveCDSQuote,
  162.         final java.lang.String strCreditCurveCDSMeasure,
  163.         final java.lang.String strBondMarketQuoteName,
  164.         final double dblBondMarketQuote)
  165.     {
  166.         org.drip.analytics.date.JulianDate dtSpot = null;
  167.         org.drip.analytics.date.JulianDate dtMaturity = null;
  168.         org.drip.analytics.date.JulianDate dtEffective = null;
  169.         org.drip.analytics.date.JulianDate[] adtGovvieCurveTreasuryMaturity = null;
  170.         org.drip.analytics.date.JulianDate[] adtGovvieCurveTreasuryEffective = null;
  171.         int iNumGovvieCurveMaturity = null == aiGovvieCurveTreasuryMaturityDate ? 0 :
  172.             aiGovvieCurveTreasuryMaturityDate.length;
  173.         int iNumGovvieCurveEffective = null == aiGovvieCurveTreasuryEffectiveDate ? 0 :
  174.             aiGovvieCurveTreasuryEffectiveDate.length;
  175.         java.lang.String[] astrTreasuryBenchmarkCode = new java.lang.String[] {"01YON", "02YON", "03YON",
  176.             "05YON", "07YON", "10YON", "30YON"};
  177.         int iNumTreasuryBenchmark = astrTreasuryBenchmarkCode.length;

  179.         if (0 != iNumGovvieCurveMaturity)
  180.             adtGovvieCurveTreasuryMaturity = new org.drip.analytics.date.JulianDate[iNumGovvieCurveMaturity];

  182.         if (0 != iNumGovvieCurveEffective)
  183.             adtGovvieCurveTreasuryEffective = new
  184.                 org.drip.analytics.date.JulianDate[iNumGovvieCurveEffective];

  186.         org.drip.param.market.CurveSurfaceQuoteContainer csqc = new
  187.             org.drip.param.market.CurveSurfaceQuoteContainer();

  189.         try {
  190.             dtSpot = new org.drip.analytics.date.JulianDate (iSpotDate);

  192.             dtMaturity = new org.drip.analytics.date.JulianDate (iBondMaturityDate);

  194.             dtEffective = new org.drip.analytics.date.JulianDate (iBondEffectiveDate);

  196.             for (int i = 0; i < iNumGovvieCurveMaturity; ++i)
  197.                 adtGovvieCurveTreasuryMaturity[i] = new org.drip.analytics.date.JulianDate
  198.                     (aiGovvieCurveTreasuryMaturityDate[i]);

  200.             for (int i = 0; i < iNumGovvieCurveEffective; ++i)
  201.                 adtGovvieCurveTreasuryEffective[i] = new org.drip.analytics.date.JulianDate
  202.                     (aiGovvieCurveTreasuryEffectiveDate[i]);

  204.             if (null != adblGovvieCurveTreasuryYield && adblGovvieCurveTreasuryYield.length ==
  205.                 iNumTreasuryBenchmark) {
  206.                 for (int i = 0; i < iNumTreasuryBenchmark; ++i) {
  207.                     org.drip.param.quote.ProductMultiMeasure pmm = new
  208.                         org.drip.param.quote.ProductMultiMeasure();

  210.                     pmm.addQuote ("Yield", new org.drip.param.quote.MultiSided ("mid",
  211.                         adblGovvieCurveTreasuryYield[i]), true);

  213.                     if (!csqc.setProductQuote (astrTreasuryBenchmarkCode[i], pmm)) return null;
  214.                 }
  215.             }
  216.         } catch (java.lang.Exception e) {
  217.             e.printStackTrace();

  219.             return null;
  220.         }

  222.         org.drip.product.credit.BondComponent bond = org.drip.product.creator.BondBuilder.CreateSimpleFixed
  223.             (strIssuerName + " " + org.drip.numerical.common.FormatUtil.FormatDouble (dblBondCoupon, 1, 4, 100.)
  224.                 + " " + dtMaturity, strBondCouponCurrency, strIssuerName, dblBondCoupon,
  225.                     iBondCouponFrequency, strBondCouponDayCount, dtEffective, dtMaturity, null, null);

  227.         if (null == bond) return null;

  229.         org.drip.param.quote.ProductMultiMeasure pmm = new org.drip.param.quote.ProductMultiMeasure();

  231.         try {
  232.             pmm.addQuote (strBondMarketQuoteName, new org.drip.param.quote.MultiSided ("mid",
  233.                 dblBondMarketQuote), true);
  234.         } catch (java.lang.Exception e) {
  235.         }

  237.         csqc.setProductQuote (bond.name(), pmm);

  239.         org.drip.state.discount.MergedDiscountForwardCurve dcFunding =
  240.             org.drip.service.template.LatentMarketStateBuilder.SmoothFundingCurve (dtSpot,
  241.                 strBondCouponCurrency, astrFundingCurveDepositTenor, adblFundingCurveDepositQuote,
  242.                     strFundingCurveDepositMeasure, adblFundingCurveFuturesQuote,
  243.                         strFundingCurveFuturesMeasure, astrFundingCurveFixFloatTenor,
  244.                             adblFundingCurveFixFloatQuote, strFundingFixFloatMeasure);

  246.         csqc.setFundingState (dcFunding);

  248.         csqc.setGovvieState (org.drip.service.template.LatentMarketStateBuilder.ShapePreservingGovvieCurve
  249.             (strGovvieCode, dtSpot, adtGovvieCurveTreasuryEffective, adtGovvieCurveTreasuryMaturity,
  250.                 adblGovvieCurveTreasuryCoupon, adblGovvieCurveTreasuryYield, strGovvieCurveTreasuryMeasure));

  252.         csqc.setCreditState (org.drip.service.template.LatentMarketStateBuilder.CreditCurve (dtSpot,
  253.             strCreditCurveName, astrCreditCurveCDSTenor, adblCreditCurveCDSCoupon, adblCreditCurveCDSQuote,
  254.                 strCreditCurveCDSMeasure, dcFunding));

  256.         return bond.value (org.drip.param.valuation.ValuationParams.Spot (iSpotDate), null, csqc, null);
  257.     }

  259.     /**
  260.      * Generate the Treasury Curve Tenor Key Rate Sensitivity/Duration
  261.      * 
  262.      * @param strIssuerName Bond Issuer Name
  263.      * @param iBondEffectiveDate Bond Effective Date
  264.      * @param iBondMaturityDate Bond Maturity Date
  265.      * @param dblBondCoupon Bond Coupon
  266.      * @param iBondCouponFrequency Bond Coupon Frequency
  267.      * @param strBondCouponDayCount Bond Coupon Day Count
  268.      * @param strBondCouponCurrency Bond Coupon Currency
  269.      * @param iSpotDate Spot Date
  270.      * @param strGovvieCode Govvie Bond Code (for Treasury Curve)
  271.      * @param aiGovvieCurveTreasuryEffectiveDate Array of the Treasury Instrument Effective Date (for Treasury
  272.      *      Curve)
  273.      * @param aiGovvieCurveTreasuryMaturityDate Array of the Treasury Instrument Maturity Date (for Treasury
  274.      *      Curve)
  275.      * @param adblGovvieCurveTreasuryCoupon Array of the Treasury Instrument Coupon (for Treasury Curve)
  276.      * @param adblGovvieCurveTreasuryYield Array of the Treasury Instrument Yield (for Treasury Curve)
  277.      * @param strGovvieCurveTreasuryMeasure Treasury Instrument Measure (for Govvie Curve)
  278.      * @param dblBondMarketCleanPrice Bond Market Clean Price
  279.      * 
  280.      * @return The Treasury Curve Tenor Sensitivity/Duration
  281.      */

  283.     public static final java.util.Map<java.lang.String, java.lang.Double> KeyRateDuration (
  284.         final java.lang.String strIssuerName,
  285.         final int iBondEffectiveDate,
  286.         final int iBondMaturityDate,
  287.         final double dblBondCoupon,
  288.         final int iBondCouponFrequency,
  289.         final java.lang.String strBondCouponDayCount,
  290.         final java.lang.String strBondCouponCurrency,
  291.         final int iSpotDate,
  292.         final java.lang.String strGovvieCode,
  293.         final int[] aiGovvieCurveTreasuryEffectiveDate,
  294.         final int[] aiGovvieCurveTreasuryMaturityDate,
  295.         final double[] adblGovvieCurveTreasuryCoupon,
  296.         final double[] adblGovvieCurveTreasuryYield,
  297.         final java.lang.String strGovvieCurveTreasuryMeasure,
  298.         final double dblBondMarketCleanPrice)
  299.     {
  300.         double dblBaselineOAS = java.lang.Double.NaN;
  301.         org.drip.analytics.date.JulianDate dtSpot = null;
  302.         org.drip.analytics.date.JulianDate dtMaturity = null;
  303.         org.drip.analytics.date.JulianDate dtEffective = null;
  304.         org.drip.analytics.date.JulianDate[] adtGovvieCurveTreasuryMaturity = null;
  305.         org.drip.analytics.date.JulianDate[] adtGovvieCurveTreasuryEffective = null;
  306.         int iNumGovvieCurveMaturity = null == aiGovvieCurveTreasuryMaturityDate ? 0 :
  307.             aiGovvieCurveTreasuryMaturityDate.length;
  308.         int iNumGovvieCurveEffective = null == aiGovvieCurveTreasuryEffectiveDate ? 0 :
  309.             aiGovvieCurveTreasuryEffectiveDate.length;
  310.         java.lang.String[] astrTreasuryBenchmarkCode = new java.lang.String[] {"01YON", "02YON", "03YON",
  311.             "05YON", "07YON", "10YON", "30YON"};
  312.         int iNumTreasuryBenchmark = astrTreasuryBenchmarkCode.length;

  314.         if (0 != iNumGovvieCurveMaturity)
  315.             adtGovvieCurveTreasuryMaturity = new org.drip.analytics.date.JulianDate[iNumGovvieCurveMaturity];

  317.         if (0 != iNumGovvieCurveEffective)
  318.             adtGovvieCurveTreasuryEffective = new
  319.                 org.drip.analytics.date.JulianDate[iNumGovvieCurveEffective];

  321.         org.drip.param.market.CurveSurfaceQuoteContainer csqc = new
  322.             org.drip.param.market.CurveSurfaceQuoteContainer();

  324.         try {
  325.             dtSpot = new org.drip.analytics.date.JulianDate (iSpotDate);

  327.             dtMaturity = new org.drip.analytics.date.JulianDate (iBondMaturityDate);

  329.             dtEffective = new org.drip.analytics.date.JulianDate (iBondEffectiveDate);

  331.             for (int i = 0; i < iNumGovvieCurveMaturity; ++i)
  332.                 adtGovvieCurveTreasuryMaturity[i] = new org.drip.analytics.date.JulianDate
  333.                     (aiGovvieCurveTreasuryMaturityDate[i]);

  335.             for (int i = 0; i < iNumGovvieCurveEffective; ++i)
  336.                 adtGovvieCurveTreasuryEffective[i] = new org.drip.analytics.date.JulianDate
  337.                     (aiGovvieCurveTreasuryEffectiveDate[i]);

  339.             if (null != adblGovvieCurveTreasuryYield && adblGovvieCurveTreasuryYield.length ==
  340.                 iNumTreasuryBenchmark) {
  341.                 for (int i = 0; i < iNumTreasuryBenchmark; ++i) {
  342.                     org.drip.param.quote.ProductMultiMeasure pmm = new
  343.                         org.drip.param.quote.ProductMultiMeasure();

  345.                     pmm.addQuote ("Yield", new org.drip.param.quote.MultiSided ("mid",
  346.                         adblGovvieCurveTreasuryYield[i]), true);

  348.                     if (!csqc.setProductQuote (astrTreasuryBenchmarkCode[i], pmm)) return null;
  349.                 }
  350.             }
  351.         } catch (java.lang.Exception e) {
  352.             e.printStackTrace();

  354.             return null;
  355.         }

  357.         org.drip.product.credit.BondComponent bond = org.drip.product.creator.BondBuilder.CreateSimpleFixed
  358.             (strIssuerName + " " + org.drip.numerical.common.FormatUtil.FormatDouble (dblBondCoupon, 1, 4, 100.)
  359.                 + " " + dtMaturity, strBondCouponCurrency, strIssuerName, dblBondCoupon,
  360.                     iBondCouponFrequency, strBondCouponDayCount, dtEffective, dtMaturity, null, null);

  362.         if (null == bond) return null;

  364.         org.drip.param.quote.ProductMultiMeasure pmm = new org.drip.param.quote.ProductMultiMeasure();

  366.         try {
  367.             pmm.addQuote ("Price", new org.drip.param.quote.MultiSided ("mid", dblBondMarketCleanPrice),
  368.                 true);
  369.         } catch (java.lang.Exception e) {
  370.             e.printStackTrace();

  372.             return null;
  373.         }

  375.         csqc.setProductQuote (bond.name(), pmm);

  377.         org.drip.state.govvie.GovvieCurve gc =
  378.             org.drip.service.template.LatentMarketStateBuilder.ShapePreservingGovvieCurve (strGovvieCode,
  379.                 dtSpot, adtGovvieCurveTreasuryEffective, adtGovvieCurveTreasuryMaturity,
  380.                     adblGovvieCurveTreasuryCoupon, adblGovvieCurveTreasuryYield,
  381.                         strGovvieCurveTreasuryMeasure);

  383.         csqc.setGovvieState (gc);

  385.         org.drip.param.valuation.ValuationParams valParams = org.drip.param.valuation.ValuationParams.Spot
  386.             (iSpotDate);

  388.         try {
  389.             if (!org.drip.numerical.common.NumberUtil.IsValid (dblBaselineOAS = bond.oasFromPrice (valParams,
  390.                 csqc, null, dblBondMarketCleanPrice)))
  391.                 return null;
  392.         } catch (java.lang.Exception e) {
  393.             e.printStackTrace();

  395.             return null;
  396.         }

  398.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.govvie.GovvieCurve>
  399.             mapTenorGovvieCurve = org.drip.service.template.LatentMarketStateBuilder.BumpedGovvieCurve
  400.                 (strGovvieCode, dtSpot, adtGovvieCurveTreasuryEffective, adtGovvieCurveTreasuryMaturity,
  401.                     adblGovvieCurveTreasuryCoupon, adblGovvieCurveTreasuryYield,
  402.                         strGovvieCurveTreasuryMeasure,
  403.                             org.drip.service.template.LatentMarketStateBuilder.SHAPE_PRESERVING, 0.0001,
  404.                                 false);

  406.         if (null == mapTenorGovvieCurve || iNumTreasuryBenchmark > mapTenorGovvieCurve.size()) return null;

  408.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapKeyRateDuration = new
  409.             org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>();

  411.         for (java.util.Map.Entry<java.lang.String, org.drip.state.govvie.GovvieCurve> me :
  412.             mapTenorGovvieCurve.entrySet()) {
  413.             java.lang.String strKey = me.getKey();

  415.             if (!strKey.contains ("tsy")) continue;

  417.             if (!csqc.setGovvieState (me.getValue())) return null;

  419.             try {
  420.                 mapKeyRateDuration.put (strKey, 10000. * (bond.priceFromOAS (valParams, csqc, null,
  421.                     dblBaselineOAS) - dblBondMarketCleanPrice) / dblBondMarketCleanPrice);
  422.             } catch (java.lang.Exception e) {
  423.                 e.printStackTrace();

  425.                 return null;
  426.             }
  427.         }

  429.         return mapKeyRateDuration;
  430.     }

  432.     /**
  433.      * Returns Attribution for the Specified Bond Instance
  434.      * 
  435.      * @param strIssuerName Bond Issuer Name
  436.      * @param iBondEffectiveDate Bond Effective Date
  437.      * @param iBondMaturityDate Bond Maturity Date
  438.      * @param dblBondCoupon Bond Coupon
  439.      * @param iBondCouponFrequency Bond Coupon Frequency
  440.      * @param strBondCouponDayCount Bond Coupon Day Count
  441.      * @param strBondCouponCurrency Bond Coupon Currency
  442.      * @param adtSpot Array of Spot Dates
  443.      * @param adblCleanPrice Array of Closing Clean Prices
  444.      * 
  445.      * @return List of the Position Change Components
  446.      */

  448.     public static final java.util.List<org.drip.historical.attribution.PositionChangeComponents>
  449.         HorizonChangeAttribution (
  450.             final java.lang.String strIssuerName,
  451.             final int iBondEffectiveDate,
  452.             final int iBondMaturityDate,
  453.             final double dblBondCoupon,
  454.             final int iBondCouponFrequency,
  455.             final java.lang.String strBondCouponDayCount,
  456.             final java.lang.String strBondCouponCurrency,
  457.             final org.drip.analytics.date.JulianDate[] adtSpot,
  458.             final double[] adblCleanPrice)
  459.     {
  460.         org.drip.analytics.date.JulianDate dtMaturity = null;
  461.         org.drip.analytics.date.JulianDate dtEffective = null;

  463.         try {
  464.             dtMaturity = new org.drip.analytics.date.JulianDate (iBondMaturityDate);

  466.             dtEffective = new org.drip.analytics.date.JulianDate (iBondEffectiveDate);
  467.         } catch (java.lang.Exception e) {
  468.             e.printStackTrace();

  470.             return null;
  471.         }

  473.         org.drip.product.credit.BondComponent bond = org.drip.product.creator.BondBuilder.CreateSimpleFixed
  474.             (strIssuerName + " " + org.drip.numerical.common.FormatUtil.FormatDouble (dblBondCoupon, 1, 4, 100.)
  475.                 + " " + dtMaturity, strBondCouponCurrency, strIssuerName, dblBondCoupon,
  476.                     iBondCouponFrequency, strBondCouponDayCount, dtEffective, dtMaturity, null, null);

  478.         if (null == bond || null == adtSpot || null == adblCleanPrice) return null;

  480.         int iNumCloses = adtSpot.length;
  481.         int[] aiSpotDate = new int[iNumCloses];
  482.         double[] adblYield = new double[iNumCloses];
  483.         double[] adblDirtyPrice = new double[iNumCloses];
  484.         double[] adblModifiedDuration = new double[iNumCloses];

  486.         if (1 >= iNumCloses || iNumCloses != adblCleanPrice.length) return null;

  488.         for (int i = 0; i < iNumCloses; ++i) {
  489.             org.drip.param.valuation.ValuationParams valParamsSpot =
  490.                 org.drip.param.valuation.ValuationParams.Spot (aiSpotDate[i] = adtSpot[i].julian());

  492.             try {
  493.                 if (!org.drip.numerical.common.NumberUtil.IsValid (adblYield[i] = bond.yieldFromPrice
  494.                     (valParamsSpot, null, null, adblCleanPrice[i])))
  495.                     return null;

  497.                 if (!org.drip.numerical.common.NumberUtil.IsValid (adblModifiedDuration[i] =
  498.                     bond.modifiedDurationFromPrice (valParamsSpot, null, null, adblCleanPrice[i])))
  499.                     return null;

  501.                 if (!org.drip.numerical.common.NumberUtil.IsValid (adblDirtyPrice[i] = adblCleanPrice[i] +
  502.                     bond.accrued (aiSpotDate[i], null)))
  503.                     return null;
  504.             } catch (java.lang.Exception e) {
  505.                 e.printStackTrace();

  507.                 return null;
  508.             }
  509.         }

  511.         java.util.List<org.drip.historical.attribution.PositionChangeComponents> lsPCC = new
  512.             java.util.ArrayList<org.drip.historical.attribution.PositionChangeComponents>();

  514.         for (int i = 1; i < iNumCloses; ++i) {
  515.             try {
  516.                 org.drip.historical.attribution.BondMarketSnap bpms1 = new
  517.                     org.drip.historical.attribution.BondMarketSnap (adtSpot[i - 1],
  518.                         adblCleanPrice[i - 1]);

  520.                 if (!bpms1.setYieldMarketFactor (adblYield[i - 1], -1. * adblDirtyPrice[i - 1] *
  521.                     adblModifiedDuration[i - 1], 0.))
  522.                     return null;

  524.                 org.drip.historical.attribution.BondMarketSnap bpms2 = new
  525.                     org.drip.historical.attribution.BondMarketSnap (adtSpot[i], adblCleanPrice[i]);

  527.                 if (!bpms2.setYieldMarketFactor (adblYield[i], -1. * adblDirtyPrice[i] *
  528.                     adblModifiedDuration[i], 0.))
  529.                     return null;

  531.                 lsPCC.add (new org.drip.historical.attribution.PositionChangeComponents (false, bpms1, bpms2,
  532.                     org.drip.analytics.daycount.Convention.YearFraction (aiSpotDate[i - 1],
  533.                         aiSpotDate[i], strBondCouponDayCount, false, null, strBondCouponCurrency), null));
  534.             } catch (java.lang.Exception e) {
  535.                 e.printStackTrace();

  537.                 return null;
  538.             }
  539.         }

  541.         return lsPCC;
  542.     }

  544.     /**
  545.      * Generate the Relative Value Metrics for the Specified Bond
  546.      * 
  547.      * @param strIssuerName Bond Issuer Name
  548.      * @param iBondEffectiveDate Bond Effective Date
  549.      * @param iBondMaturityDate Bond Maturity Date
  550.      * @param dblBondCoupon Bond Coupon
  551.      * @param iBondCouponFrequency Bond Coupon Frequency
  552.      * @param strBondCouponDayCount Bond Coupon Day Count
  553.      * @param strBondCouponCurrency Bond Coupon Currency
  554.      * @param iSpotDate Spot Date
  555.      * @param astrFundingCurveDepositTenor Deposit Instruments Tenor (for Funding Curve)
  556.      * @param adblFundingCurveDepositQuote Deposit Instruments Quote (for Funding Curve)
  557.      * @param strFundingCurveDepositMeasure Deposit Instruments Measure (for Funding Curve)
  558.      * @param adblFundingCurveFuturesQuote Futures Instruments Tenor (for Funding Curve)
  559.      * @param strFundingCurveFuturesMeasure Futures Instruments Measure (for Funding Curve)
  560.      * @param astrFundingCurveFixFloatTenor Fix-Float Instruments Tenor (for Funding Curve)
  561.      * @param adblFundingCurveFixFloatQuote Fix-Float Instruments Quote (for Funding Curve)
  562.      * @param strFundingFixFloatMeasure Fix-Float Instruments Tenor (for Funding Curve)
  563.      * @param strGovvieCode Govvie Bond Code (for Treasury Curve)
  564.      * @param aiGovvieCurveTreasuryEffectiveDate Array of the Treasury Instrument Effective Date (for Treasury
  565.      *      Curve)
  566.      * @param aiGovvieCurveTreasuryMaturityDate Array of the Treasury Instrument Maturity Date (for Treasury
  567.      *      Curve)
  568.      * @param adblGovvieCurveTreasuryCoupon Array of the Treasury Instrument Coupon (for Treasury Curve)
  569.      * @param adblGovvieCurveTreasuryYield Array of the Treasury Instrument Yield (for Treasury Curve)
  570.      * @param strGovvieCurveTreasuryMeasure Treasury Instrument Measure (for Treasury Curve)
  571.      * @param strCreditCurveName Credit Curve Name (for Credit Curve)
  572.      * @param astrCreditCurveCDSTenor CDS Maturity Tenor (for Credit Curve)
  573.      * @param adblCreditCurveCDSCoupon Array of CDS Fixed Coupon (for Credit Curve)
  574.      * @param adblCreditCurveCDSQuote Array of CDS Market Quotes (for Credit Curve)
  575.      * @param strCreditCurveCDSMeasure CDS Calibration Measure (for Credit Curve)
  576.      * @param dblBondMarketCleanPrice Bond Market Clean Price
  577.      * 
  578.      * @return The Relative Value Metrics
  579.      */

  581.     public static final org.drip.analytics.output.BondRVMeasures RelativeValueMetrics (
  582.         final java.lang.String strIssuerName,
  583.         final int iBondEffectiveDate,
  584.         final int iBondMaturityDate,
  585.         final double dblBondCoupon,
  586.         final int iBondCouponFrequency,
  587.         final java.lang.String strBondCouponDayCount,
  588.         final java.lang.String strBondCouponCurrency,
  589.         final int iSpotDate,
  590.         final java.lang.String[] astrFundingCurveDepositTenor,
  591.         final double[] adblFundingCurveDepositQuote,
  592.         final java.lang.String strFundingCurveDepositMeasure,
  593.         final double[] adblFundingCurveFuturesQuote,
  594.         final java.lang.String strFundingCurveFuturesMeasure,
  595.         final java.lang.String[] astrFundingCurveFixFloatTenor,
  596.         final double[] adblFundingCurveFixFloatQuote,
  597.         final java.lang.String strFundingFixFloatMeasure,
  598.         final java.lang.String strGovvieCode,
  599.         final int[] aiGovvieCurveTreasuryEffectiveDate,
  600.         final int[] aiGovvieCurveTreasuryMaturityDate,
  601.         final double[] adblGovvieCurveTreasuryCoupon,
  602.         final double[] adblGovvieCurveTreasuryYield,
  603.         final java.lang.String strGovvieCurveTreasuryMeasure,
  604.         final java.lang.String strCreditCurveName,
  605.         final java.lang.String[] astrCreditCurveCDSTenor,
  606.         final double[] adblCreditCurveCDSCoupon,
  607.         final double[] adblCreditCurveCDSQuote,
  608.         final java.lang.String strCreditCurveCDSMeasure,
  609.         final double dblBondMarketCleanPrice)
  610.     {
  611.         org.drip.analytics.date.JulianDate dtSpot = null;
  612.         org.drip.analytics.date.JulianDate dtMaturity = null;
  613.         org.drip.analytics.date.JulianDate dtEffective = null;
  614.         org.drip.analytics.date.JulianDate[] adtGovvieCurveTreasuryMaturity = null;
  615.         org.drip.analytics.date.JulianDate[] adtGovvieCurveTreasuryEffective = null;
  616.         int iNumGovvieCurveMaturity = null == aiGovvieCurveTreasuryMaturityDate ? 0 :
  617.             aiGovvieCurveTreasuryMaturityDate.length;
  618.         int iNumGovvieCurveEffective = null == aiGovvieCurveTreasuryEffectiveDate ? 0 :
  619.             aiGovvieCurveTreasuryEffectiveDate.length;
  620.         java.lang.String[] astrTreasuryBenchmarkCode = new java.lang.String[] {"01YON", "02YON", "03YON",
  621.             "05YON", "07YON", "10YON", "30YON"};
  622.         int iNumTreasuryBenchmark = astrTreasuryBenchmarkCode.length;

  624.         if (0 != iNumGovvieCurveMaturity)
  625.             adtGovvieCurveTreasuryMaturity = new org.drip.analytics.date.JulianDate[iNumGovvieCurveMaturity];

  627.         if (0 != iNumGovvieCurveEffective)
  628.             adtGovvieCurveTreasuryEffective = new
  629.                 org.drip.analytics.date.JulianDate[iNumGovvieCurveEffective];

  631.         org.drip.param.market.CurveSurfaceQuoteContainer csqc = new
  632.             org.drip.param.market.CurveSurfaceQuoteContainer();

  634.         try {
  635.             dtSpot = new org.drip.analytics.date.JulianDate (iSpotDate);

  637.             dtMaturity = new org.drip.analytics.date.JulianDate (iBondMaturityDate);

  639.             dtEffective = new org.drip.analytics.date.JulianDate (iBondEffectiveDate);

  641.             for (int i = 0; i < iNumGovvieCurveMaturity; ++i)
  642.                 adtGovvieCurveTreasuryMaturity[i] = new org.drip.analytics.date.JulianDate
  643.                     (aiGovvieCurveTreasuryMaturityDate[i]);

  645.             for (int i = 0; i < iNumGovvieCurveEffective; ++i)
  646.                 adtGovvieCurveTreasuryEffective[i] = new org.drip.analytics.date.JulianDate
  647.                     (aiGovvieCurveTreasuryEffectiveDate[i]);

  649.             if (null != adblGovvieCurveTreasuryYield && adblGovvieCurveTreasuryYield.length ==
  650.                 iNumTreasuryBenchmark) {
  651.                 for (int i = 0; i < iNumTreasuryBenchmark; ++i) {
  652.                     org.drip.param.quote.ProductMultiMeasure pmm = new
  653.                         org.drip.param.quote.ProductMultiMeasure();

  655.                     pmm.addQuote ("Yield", new org.drip.param.quote.MultiSided ("mid",
  656.                         adblGovvieCurveTreasuryYield[i]), true);

  658.                     if (!csqc.setProductQuote (astrTreasuryBenchmarkCode[i], pmm)) return null;
  659.                 }
  660.             }
  661.         } catch (java.lang.Exception e) {
  662.             e.printStackTrace();

  664.             return null;
  665.         }

  667.         org.drip.product.credit.BondComponent bond = org.drip.product.creator.BondBuilder.CreateSimpleFixed
  668.             (strIssuerName + " " + org.drip.numerical.common.FormatUtil.FormatDouble (dblBondCoupon, 1, 4, 100.)
  669.                 + " " + dtMaturity, strBondCouponCurrency, strIssuerName, dblBondCoupon,
  670.                     iBondCouponFrequency, strBondCouponDayCount, dtEffective, dtMaturity, null, null);

  672.         if (null == bond) return null;

  674.         org.drip.param.quote.ProductMultiMeasure pmm = new org.drip.param.quote.ProductMultiMeasure();

  676.         try {
  677.             pmm.addQuote ("Price", new org.drip.param.quote.MultiSided ("mid", dblBondMarketCleanPrice),
  678.                 true);
  679.         } catch (java.lang.Exception e) {
  680.         }

  682.         csqc.setProductQuote (bond.name(), pmm);

  684.         org.drip.state.discount.MergedDiscountForwardCurve dcFunding =
  685.             org.drip.service.template.LatentMarketStateBuilder.SmoothFundingCurve (dtSpot,
  686.                 strBondCouponCurrency, astrFundingCurveDepositTenor, adblFundingCurveDepositQuote,
  687.                     strFundingCurveDepositMeasure, adblFundingCurveFuturesQuote,
  688.                         strFundingCurveFuturesMeasure, astrFundingCurveFixFloatTenor,
  689.                             adblFundingCurveFixFloatQuote, strFundingFixFloatMeasure);

  691.         csqc.setFundingState (dcFunding);

  693.         csqc.setGovvieState (org.drip.service.template.LatentMarketStateBuilder.ShapePreservingGovvieCurve
  694.             (strGovvieCode, dtSpot, adtGovvieCurveTreasuryEffective, adtGovvieCurveTreasuryMaturity,
  695.                 adblGovvieCurveTreasuryCoupon, adblGovvieCurveTreasuryYield, strGovvieCurveTreasuryMeasure));

  697.         csqc.setCreditState (org.drip.service.template.LatentMarketStateBuilder.CreditCurve (dtSpot,
  698.             strCreditCurveName, astrCreditCurveCDSTenor, adblCreditCurveCDSCoupon, adblCreditCurveCDSQuote,
  699.                 strCreditCurveCDSMeasure, dcFunding));

  701.         org.drip.param.valuation.ValuationParams valParams = org.drip.param.valuation.ValuationParams.Spot
  702.             (iSpotDate);

  704.         return bond.standardMeasures (valParams, null, csqc, null, bond.exerciseYieldFromPrice (valParams,
  705.             csqc, null, dblBondMarketCleanPrice), dblBondMarketCleanPrice);
  706.     }
  707. }
Created with JaCoCo 0.7.9.201702052155