TreasuryFuturesAPI.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.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  14.  * 
  15.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  16.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  17.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  18.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  19.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  20.  *      and computational support.
  21.  *  
  22.  *      https://lakshmidrip.github.io/DROP/
  23.  *  
  24.  *  DROP is composed of three modules:
  25.  *  
  26.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  27.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  28.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  29.  * 
  30.  *  DROP Product Core implements libraries for the following:
  31.  *  - Fixed Income Analytics
  32.  *  - Loan Analytics
  33.  *  - Transaction Cost Analytics
  34.  * 
  35.  *  DROP Portfolio Core implements libraries for the following:
  36.  *  - Asset Allocation Analytics
  37.  *  - Asset Liability Management Analytics
  38.  *  - Capital Estimation Analytics
  39.  *  - Exposure Analytics
  40.  *  - Margin Analytics
  41.  *  - XVA Analytics
  42.  * 
  43.  *  DROP Computational Core implements libraries for the following:
  44.  *  - Algorithm Support
  45.  *  - Computation Support
  46.  *  - Function Analysis
  47.  *  - Model Validation
  48.  *  - Numerical Analysis
  49.  *  - Numerical Optimizer
  50.  *  - Spline Builder
  51.  *  - Statistical Learning
  52.  * 
  53.  *  Documentation for DROP is Spread Over:
  54.  * 
  55.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  56.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  57.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  58.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  59.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  60.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  61.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  62.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  63.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  64.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  65.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  66.  * 
  67.  *  Licensed under the Apache License, Version 2.0 (the "License");
  68.  *      you may not use this file except in compliance with the License.
  69.  *   
  70.  *  You may obtain a copy of the License at
  71.  *      http://www.apache.org/licenses/LICENSE-2.0
  72.  *  
  73.  *  Unless required by applicable law or agreed to in writing, software
  74.  *      distributed under the License is distributed on an "AS IS" BASIS,
  75.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  76.  *  
  77.  *  See the License for the specific language governing permissions and
  78.  *      limitations under the License.
  79.  */

  81. /**
  82.  * <i>TreasuryFuturesAPI</i> demonstrates the Details behind the Pricing and the Scenario Runs behind a
  83.  * Treasury Futures Contract.
  84.  * 
  85.  * <br><br>
  86.  *  <ul>
  87.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  88.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationSupportLibrary.md">Computation Support</a></li>
  89.  *      <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>
  90.  *      <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>
  91.  *  </ul>
  92.  * <br><br>
  93.  *
  94.  * @author Lakshmi Krishnamurthy
  95.  */

  97. public class TreasuryFuturesAPI {

  99.     /**
  100.      * Generate a Full Map Invocation of the Treasury Futures Run Use Case
  101.      * 
  102.      * @param strFuturesCode The Treasury Futures Code
  103.      * @param aiFuturesComponentTreasuryEffectiveDate Array of the Treasury Futures Component Effective Date
  104.      * @param aiFuturesComponentTreasuryMaturityDate Array of the Treasury Futures Component Maturity Date
  105.      * @param adblFuturesComponentTreasuryCoupon Array of the Treasury Futures Component Coupon
  106.      * @param adblFuturesComponentConversionFactor Array of the Treasury Futures Component Conversion Factor
  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 aiGovvieCurveTreasuryEffectiveDate Array of the Treasury Instrument Effective Date (for Treasury
  117.      *      Curve)
  118.      * @param aiGovvieCurveTreasuryMaturityDate Array of the Treasury Instrument Maturity Date (for Treasury
  119.      *      Curve)
  120.      * @param adblGovvieCurveTreasuryCoupon Array of the Treasury Instrument Coupon (for Treasury Curve)
  121.      * @param adblGovvieCurveTreasuryYield Array of the Treasury Instrument Yield (for Treasury Curve)
  122.      * @param strGovvieCurveTreasuryMeasure Treasury Instrument Measure (for Govvie Curve)
  123.      * @param adblFuturesComponentTreasuryPrice Array of the Treasury Futures Component Clean Prices
  124.      * 
  125.      * @return The Output Measure Map
  126.      */

  128.     public static final java.util.Map<java.lang.String, java.lang.Double> ValuationMetrics (
  129.         final java.lang.String strFuturesCode,
  130.         final int[] aiFuturesComponentTreasuryEffectiveDate,
  131.         final int[] aiFuturesComponentTreasuryMaturityDate,
  132.         final double[] adblFuturesComponentTreasuryCoupon,
  133.         final double[] adblFuturesComponentConversionFactor,
  134.         final int iSpotDate,
  135.         final java.lang.String[] astrFundingCurveDepositTenor,
  136.         final double[] adblFundingCurveDepositQuote,
  137.         final java.lang.String strFundingCurveDepositMeasure,
  138.         final double[] adblFundingCurveFuturesQuote,
  139.         final java.lang.String strFundingCurveFuturesMeasure,
  140.         final java.lang.String[] astrFundingCurveFixFloatTenor,
  141.         final double[] adblFundingCurveFixFloatQuote,
  142.         final java.lang.String strFundingFixFloatMeasure,
  143.         final int[] aiGovvieCurveTreasuryEffectiveDate,
  144.         final int[] aiGovvieCurveTreasuryMaturityDate,
  145.         final double[] adblGovvieCurveTreasuryCoupon,
  146.         final double[] adblGovvieCurveTreasuryYield,
  147.         final java.lang.String strGovvieCurveTreasuryMeasure,
  148.         final double[] adblFuturesComponentTreasuryPrice)
  149.     {
  150.         org.drip.analytics.date.JulianDate dtSpot = null;
  151.         org.drip.analytics.date.JulianDate[] adtGovvieCurveTreasuryMaturity = null;
  152.         org.drip.analytics.date.JulianDate[] adtGovvieCurveTreasuryEffective = null;
  153.         int iNumGovvieCurveMaturity = null == aiGovvieCurveTreasuryMaturityDate ? 0 :
  154.             aiGovvieCurveTreasuryMaturityDate.length;
  155.         int iNumGovvieCurveEffective = null == aiGovvieCurveTreasuryEffectiveDate ? 0 :
  156.             aiGovvieCurveTreasuryEffectiveDate.length;
  157.         java.lang.String[] astrTreasuryBenchmarkCode = new java.lang.String[] {"01YON", "02YON", "03YON",
  158.             "05YON", "07YON", "10YON", "30YON"};
  159.         int iNumTreasuryBenchmark = astrTreasuryBenchmarkCode.length;

  161.         if (null == adblFuturesComponentTreasuryPrice) return null;

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

  166.         if (0 != iNumGovvieCurveEffective)
  167.             adtGovvieCurveTreasuryEffective = new
  168.                 org.drip.analytics.date.JulianDate[iNumGovvieCurveEffective];

  170.         org.drip.param.market.CurveSurfaceQuoteContainer csqc = new
  171.             org.drip.param.market.CurveSurfaceQuoteContainer();

  173.         try {
  174.             dtSpot = new org.drip.analytics.date.JulianDate (iSpotDate);

  176.             for (int i = 0; i < iNumGovvieCurveMaturity; ++i)
  177.                 adtGovvieCurveTreasuryMaturity[i] = new org.drip.analytics.date.JulianDate
  178.                     (aiGovvieCurveTreasuryMaturityDate[i]);

  180.             for (int i = 0; i < iNumGovvieCurveEffective; ++i)
  181.                 adtGovvieCurveTreasuryEffective[i] = new org.drip.analytics.date.JulianDate
  182.                     (aiGovvieCurveTreasuryEffectiveDate[i]);

  184.             if (null != adblGovvieCurveTreasuryYield && adblGovvieCurveTreasuryYield.length ==
  185.                 iNumTreasuryBenchmark) {
  186.                 for (int i = 0; i < iNumTreasuryBenchmark; ++i) {
  187.                     org.drip.param.quote.ProductMultiMeasure pmm = new
  188.                         org.drip.param.quote.ProductMultiMeasure();

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

  193.                     if (!csqc.setProductQuote (astrTreasuryBenchmarkCode[i], pmm)) return null;
  194.                 }
  195.             }
  196.         } catch (java.lang.Exception e) {
  197.             e.printStackTrace();

  199.             return null;
  200.         }

  202.         org.drip.product.govvie.TreasuryFutures tsyFut =
  203.             org.drip.service.template.ExchangeInstrumentBuilder.TreasuryFutures (dtSpot, strFuturesCode,
  204.                 aiFuturesComponentTreasuryEffectiveDate, aiFuturesComponentTreasuryMaturityDate,
  205.                     adblFuturesComponentTreasuryCoupon, adblFuturesComponentConversionFactor);

  207.         if (null == tsyFut) return null;

  209.         org.drip.product.definition.Bond[] aBond = tsyFut.basket();

  211.         int iNumFuturesComponent = adblFuturesComponentTreasuryPrice.length;

  213.         for (int i = 0; i < iNumFuturesComponent; ++i) {
  214.             org.drip.param.quote.ProductMultiMeasure pmm = new org.drip.param.quote.ProductMultiMeasure();

  216.             try {
  217.                 pmm.addQuote ("Price", new org.drip.param.quote.MultiSided ("mid",
  218.                     adblFuturesComponentTreasuryPrice[i]), true);
  219.             } catch (java.lang.Exception e) {
  220.                 e.printStackTrace();

  222.                 return null;
  223.             }

  225.             csqc.setProductQuote (aBond[i].name(), pmm);
  226.         }

  228.         org.drip.state.discount.MergedDiscountForwardCurve dcFunding =
  229.             org.drip.service.template.LatentMarketStateBuilder.SmoothFundingCurve (dtSpot,
  230.                 aBond[0].currency(), astrFundingCurveDepositTenor, adblFundingCurveDepositQuote,
  231.                     strFundingCurveDepositMeasure, adblFundingCurveFuturesQuote,
  232.                         strFundingCurveFuturesMeasure, astrFundingCurveFixFloatTenor,
  233.                             adblFundingCurveFixFloatQuote, strFundingFixFloatMeasure);

  235.         csqc.setFundingState (dcFunding);

  237.         org.drip.state.govvie.GovvieCurve gc =
  238.             org.drip.service.template.LatentMarketStateBuilder.ShapePreservingGovvieCurve (tsyFut.type(),
  239.                 dtSpot, adtGovvieCurveTreasuryEffective, adtGovvieCurveTreasuryMaturity,
  240.                     adblGovvieCurveTreasuryCoupon, adblGovvieCurveTreasuryYield,
  241.                         strGovvieCurveTreasuryMeasure);

  243.         csqc.setGovvieState (gc);

  245.         return tsyFut.value (org.drip.param.valuation.ValuationParams.Spot (dtSpot.julian()), null, csqc,
  246.             null);
  247.     }

  249.     /**
  250.      * Generate the Treasury Curve Tenor Key Rate Sensitivity/Duration
  251.      * 
  252.      * @param strFuturesCode The Treasury Futures Code
  253.      * @param aiFuturesComponentTreasuryEffectiveDate Array of the Treasury Futures Component Effective Date
  254.      * @param aiFuturesComponentTreasuryMaturityDate Array of the Treasury Futures Component Maturity Date
  255.      * @param adblFuturesComponentTreasuryCoupon Array of the Treasury Futures Component Coupon
  256.      * @param adblFuturesComponentConversionFactor Array of the Treasury Futures Component Conversion Factor
  257.      * @param iSpotDate Spot Date
  258.      * @param aiGovvieCurveTreasuryEffectiveDate Array of the Treasury Instrument Effective Date (for Treasury
  259.      *      Curve)
  260.      * @param aiGovvieCurveTreasuryMaturityDate Array of the Treasury Instrument Maturity Date (for Treasury
  261.      *      Curve)
  262.      * @param adblGovvieCurveTreasuryCoupon Array of the Treasury Instrument Coupon (for Treasury Curve)
  263.      * @param adblGovvieCurveTreasuryYield Array of the Treasury Instrument Yield (for Treasury Curve)
  264.      * @param strGovvieCurveTreasuryMeasure Treasury Instrument Measure (for Govvie Curve)
  265.      * @param adblFuturesComponentTreasuryPrice Array of the Treasury Futures Component Clean Prices
  266.      * 
  267.      * @return The Treasury Curve Tenor Sensitivity/Duration
  268.      */

  270.     public static final java.util.Map<java.lang.String, java.lang.Double> KeyRateDuration (
  271.         final java.lang.String strFuturesCode,
  272.         final int[] aiFuturesComponentTreasuryEffectiveDate,
  273.         final int[] aiFuturesComponentTreasuryMaturityDate,
  274.         final double[] adblFuturesComponentTreasuryCoupon,
  275.         final double[] adblFuturesComponentConversionFactor,
  276.         final int iSpotDate,
  277.         final int[] aiGovvieCurveTreasuryEffectiveDate,
  278.         final int[] aiGovvieCurveTreasuryMaturityDate,
  279.         final double[] adblGovvieCurveTreasuryCoupon,
  280.         final double[] adblGovvieCurveTreasuryYield,
  281.         final java.lang.String strGovvieCurveTreasuryMeasure,
  282.         final double[] adblFuturesComponentTreasuryPrice)
  283.     {
  284.         double dblBaselineCTDOAS = java.lang.Double.NaN;
  285.         org.drip.analytics.date.JulianDate dtSpot = null;
  286.         org.drip.analytics.date.JulianDate[] adtGovvieCurveTreasuryMaturity = null;
  287.         org.drip.analytics.date.JulianDate[] adtGovvieCurveTreasuryEffective = null;
  288.         int iNumGovvieCurveMaturity = null == aiGovvieCurveTreasuryMaturityDate ? 0 :
  289.             aiGovvieCurveTreasuryMaturityDate.length;
  290.         int iNumGovvieCurveEffective = null == aiGovvieCurveTreasuryEffectiveDate ? 0 :
  291.             aiGovvieCurveTreasuryEffectiveDate.length;
  292.         java.lang.String[] astrTreasuryBenchmarkCode = new java.lang.String[] {"01YON", "02YON", "03YON",
  293.             "05YON", "07YON", "10YON", "30YON"};
  294.         int iNumTreasuryBenchmark = astrTreasuryBenchmarkCode.length;
  295.         int iNumFuturesComponent = null == adblFuturesComponentTreasuryPrice ? 0 :
  296.             adblFuturesComponentTreasuryPrice.length;

  298.         if (0 == iNumFuturesComponent) return null;

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

  303.         if (0 != iNumGovvieCurveEffective)
  304.             adtGovvieCurveTreasuryEffective = new
  305.                 org.drip.analytics.date.JulianDate[iNumGovvieCurveEffective];

  307.         org.drip.param.market.CurveSurfaceQuoteContainer csqc = new
  308.             org.drip.param.market.CurveSurfaceQuoteContainer();

  310.         try {
  311.             dtSpot = new org.drip.analytics.date.JulianDate (iSpotDate);

  313.             for (int i = 0; i < iNumGovvieCurveMaturity; ++i)
  314.                 adtGovvieCurveTreasuryMaturity[i] = new org.drip.analytics.date.JulianDate
  315.                     (aiGovvieCurveTreasuryMaturityDate[i]);

  317.             for (int i = 0; i < iNumGovvieCurveEffective; ++i)
  318.                 adtGovvieCurveTreasuryEffective[i] = new org.drip.analytics.date.JulianDate
  319.                     (aiGovvieCurveTreasuryEffectiveDate[i]);

  321.             if (null != adblGovvieCurveTreasuryYield && adblGovvieCurveTreasuryYield.length ==
  322.                 iNumTreasuryBenchmark) {
  323.                 for (int i = 0; i < iNumTreasuryBenchmark; ++i) {
  324.                     org.drip.param.quote.ProductMultiMeasure pmm = new
  325.                         org.drip.param.quote.ProductMultiMeasure();

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

  330.                     if (!csqc.setProductQuote (astrTreasuryBenchmarkCode[i], pmm)) return null;
  331.                 }
  332.             }
  333.         } catch (java.lang.Exception e) {
  334.             e.printStackTrace();

  336.             return null;
  337.         }

  339.         org.drip.product.govvie.TreasuryFutures tsyFut =
  340.             org.drip.service.template.ExchangeInstrumentBuilder.TreasuryFutures (dtSpot, strFuturesCode,
  341.                 aiFuturesComponentTreasuryEffectiveDate, aiFuturesComponentTreasuryMaturityDate,
  342.                     adblFuturesComponentTreasuryCoupon, adblFuturesComponentConversionFactor);

  344.         if (null == tsyFut) return null;

  346.         org.drip.product.definition.Bond[] aBond = tsyFut.basket();

  348.         for (int i = 0; i < iNumFuturesComponent; ++i) {
  349.             org.drip.param.quote.ProductMultiMeasure pmm = new org.drip.param.quote.ProductMultiMeasure();

  351.             try {
  352.                 pmm.addQuote ("Price", new org.drip.param.quote.MultiSided ("mid",
  353.                     adblFuturesComponentTreasuryPrice[i]), true);
  354.             } catch (java.lang.Exception e) {
  355.                 e.printStackTrace();

  357.                 return null;
  358.             }

  360.             if (!csqc.setProductQuote (aBond[i].name(), pmm)) return null;
  361.         }

  363.         java.lang.String strTreasuryType = tsyFut.type();

  365.         if (!csqc.setGovvieState
  366.             (org.drip.service.template.LatentMarketStateBuilder.ShapePreservingGovvieCurve (strTreasuryType,
  367.                 dtSpot, adtGovvieCurveTreasuryEffective, adtGovvieCurveTreasuryMaturity,
  368.                     adblGovvieCurveTreasuryCoupon, adblGovvieCurveTreasuryYield,
  369.                         strGovvieCurveTreasuryMeasure)))
  370.             return null;

  372.         org.drip.product.params.CTDEntry ctdEntry = tsyFut.cheapestToDeliverYield (iSpotDate,
  373.             adblFuturesComponentTreasuryPrice);

  375.         if (null == ctdEntry) return null;

  377.         org.drip.product.definition.Bond bondCTD = ctdEntry.bond();

  379.         if (null == bondCTD) return null;

  381.         double dblCTDExpiryPrice = ctdEntry.forwardPrice();

  383.         org.drip.param.valuation.ValuationParams valParamsExpiry =
  384.             org.drip.param.valuation.ValuationParams.Spot (tsyFut.expiry().julian());

  386.         try {
  387.             if (!org.drip.numerical.common.NumberUtil.IsValid (dblBaselineCTDOAS = bondCTD.oasFromPrice
  388.                 (valParamsExpiry, csqc, null, dblCTDExpiryPrice)))
  389.                 return null;
  390.         } catch (java.lang.Exception e) {
  391.             e.printStackTrace();

  393.             return null;
  394.         }

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

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

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

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

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

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

  417.             org.drip.product.params.CTDEntry tenorCTDEntry = tsyFut.cheapestToDeliverYield (iSpotDate,
  418.                 adblFuturesComponentTreasuryPrice);

  420.             if (null == tenorCTDEntry) return null;

  422.             org.drip.product.definition.Bond tenorBondCTD = tenorCTDEntry.bond();

  424.             if (null == tenorBondCTD) return null;

  426.             try {
  427.                 mapKeyRateDuration.put (strKey, 10000. * (tenorBondCTD.priceFromOAS (valParamsExpiry, csqc,
  428.                     null, dblBaselineCTDOAS) - dblCTDExpiryPrice) / dblCTDExpiryPrice);
  429.             } catch (java.lang.Exception e) {
  430.                 e.printStackTrace();

  432.                 return null;
  433.             }
  434.         }

  436.         return mapKeyRateDuration;
  437.     }

  439.     /**
  440.      * Returns Attribution for the Treasury Futures
  441.      * 
  442.      * @param strTreasuryCode The Treasury Code
  443.      * @param adtEffective Array of Effective Dates
  444.      * @param adtMaturity Array of Maturity Dates
  445.      * @param adblCoupon Array of Coupons
  446.      * @param adtExpiry Array of Futures Expiry Dates
  447.      * @param adtSpot Array of Spot Dates
  448.      * @param adblCleanPrice Array of Closing Clean Prices
  449.      * @param adblConversionFactor Array of the Conversion Factor
  450.      * 
  451.      * @return List of the Position Change Components
  452.      */

  454.     public static final java.util.List<org.drip.historical.attribution.PositionChangeComponents>
  455.         HorizonChangeAttribution (
  456.             final java.lang.String strTreasuryCode,
  457.             final org.drip.analytics.date.JulianDate[] adtEffective,
  458.             final org.drip.analytics.date.JulianDate[] adtMaturity,
  459.             final double[] adblCoupon,
  460.             final org.drip.analytics.date.JulianDate[] adtExpiry,
  461.             final org.drip.analytics.date.JulianDate[] adtSpot,
  462.             final double[] adblCleanPrice,
  463.             final double[] adblConversionFactor)
  464.     {
  465.         org.drip.product.credit.BondComponent[] aTreasury =
  466.             org.drip.service.template.TreasuryBuilder.FromCode (strTreasuryCode, adtEffective, adtMaturity,
  467.                 adblCoupon);

  469.         if (null == aTreasury || null == adtExpiry || null == adtSpot || null == adblCleanPrice || null ==
  470.             adblConversionFactor)
  471.             return null;

  473.         int iNumCloses = adtSpot.length;
  474.         int[] aiExpiryDate = new int[iNumCloses];
  475.         double[] adblYield = new double[iNumCloses];
  476.         double[] adblForwardAccrued = new double[iNumCloses];
  477.         double[] adblForwardCleanPrice = new double[iNumCloses];
  478.         double[] adblForwardModifiedDuration = new double[iNumCloses];

  480.         if (1 >= iNumCloses || iNumCloses != aTreasury.length || iNumCloses != adblCleanPrice.length ||
  481.             iNumCloses != adtExpiry.length || iNumCloses != adblConversionFactor.length)
  482.             return null;

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

  487.         for (int i = 0; i < iNumCloses; ++i) {
  488.             if (null == aTreasury[i]) return null;

  490.             org.drip.param.valuation.ValuationParams valParamsSpot =
  491.                 org.drip.param.valuation.ValuationParams.Spot (adtSpot[i].julian());

  493.             org.drip.param.valuation.ValuationParams valParamsExpiry =
  494.                 org.drip.param.valuation.ValuationParams.Spot (aiExpiryDate[i] = adtExpiry[i].julian());

  496.             try {
  497.                 adblForwardAccrued[i] = aTreasury[i].accrued (aiExpiryDate[i], null);

  499.                 adblYield[i] = aTreasury[i].yieldFromPrice (valParamsSpot, null, null, adblCleanPrice[i]);

  501.                 adblForwardCleanPrice[i] = aTreasury[i].priceFromYield (valParamsExpiry, null, null,
  502.                     adblYield[i]);

  504.                 adblForwardModifiedDuration[i] = aTreasury[i].modifiedDurationFromPrice (valParamsExpiry,
  505.                     null, null, adblForwardCleanPrice[i]) * 10000.;
  506.             } catch (java.lang.Exception e) {
  507.                 e.printStackTrace();
  508.             }
  509.         }

  511.         for (int i = 1; i < iNumCloses; ++i) {
  512.             if (adblConversionFactor[i] != adblConversionFactor[i - 1]) continue;

  514.             java.lang.String strCurrentBondName = aTreasury[i].name();

  516.             java.lang.String strPreviousBondName = aTreasury[i - 1].name();

  518.             double dblScaledPrice1 = (adblForwardCleanPrice[i - 1] + adblForwardAccrued[i - 1]) /
  519.                 adblConversionFactor[i - 1];
  520.             double dblScaledPrice2 = (adblForwardCleanPrice[i] + adblForwardAccrued[i]) /
  521.                 adblConversionFactor[i];

  523.             try {
  524.                 org.drip.historical.attribution.TreasuryFuturesMarketSnap tfpms1 = new
  525.                     org.drip.historical.attribution.TreasuryFuturesMarketSnap (adtSpot[i - 1],
  526.                         dblScaledPrice1);

  528.                 if (!tfpms1.setYieldMarketFactor (adblYield[i - 1], -1. * dblScaledPrice1 *
  529.                     adblForwardModifiedDuration[i - 1], 0.) || !tfpms1.setExpiryDate (adtExpiry[i - 1]) ||
  530.                         !tfpms1.setCTDName (strPreviousBondName) || !tfpms1.setCleanExpiryPrice
  531.                             (adblForwardCleanPrice[i - 1]) || !tfpms1.setConversionFactor
  532.                                 (adblConversionFactor[i - 1]))
  533.                     return null;

  535.                 org.drip.historical.attribution.TreasuryFuturesMarketSnap tfpms2 = new
  536.                     org.drip.historical.attribution.TreasuryFuturesMarketSnap (adtSpot[i],
  537.                         dblScaledPrice2);

  539.                 if (!tfpms2.setYieldMarketFactor (adblYield[i], -1. * dblScaledPrice2 *
  540.                     adblForwardModifiedDuration[i], 0.) || !tfpms2.setExpiryDate (adtExpiry[i]) ||
  541.                         !tfpms2.setCTDName (strCurrentBondName) || !tfpms2.setCleanExpiryPrice
  542.                             (adblForwardCleanPrice[i]) || !tfpms2.setConversionFactor
  543.                                 (adblConversionFactor[i]))
  544.                     return null;

  546.                 org.drip.historical.attribution.PositionChangeComponents pcc = new
  547.                     org.drip.historical.attribution.PositionChangeComponents (false, tfpms1, tfpms2, 0.,
  548.                         null);

  550.                 lsPCC.add (pcc);
  551.             } catch (java.lang.Exception e) {
  552.                 e.printStackTrace();
  553.             }
  554.         }

  556.         return lsPCC;
  557.     }

  559.     /**
  560.      * Generate the Horizon Treasury Curve Tenor Key Rate Sensitivity/Duration
  561.      * 
  562.      * @param strTreasuryType The Treasury Type
  563.      * @param adtEffective Array of Effective Dates
  564.      * @param adtMaturity Array of Maturity Dates
  565.      * @param adblCoupon Array of Coupons
  566.      * @param adtExpiry Array of Futures Expiry Dates
  567.      * @param adtSpot Array of Spot Dates
  568.      * @param adblCleanPrice Array of Closing Clean Prices
  569.      * @param astrBenchmarkTenor Array of Benchmark Tenors
  570.      * @param aadblGovvieCurveTreasuryYield Array of the Treasury Instrument Yield (for Treasury Curve)
  571.      * 
  572.      * @return The Treasury Curve Tenor Sensitivity/Duration
  573.      */

  575.     public static final java.util.List<org.drip.historical.sensitivity.TenorDurationNodeMetrics>
  576.         HorizonKeyRateDuration (
  577.             final java.lang.String strTreasuryType,
  578.             final org.drip.analytics.date.JulianDate[] adtEffective,
  579.             final org.drip.analytics.date.JulianDate[] adtMaturity,
  580.             final double[] adblCoupon,
  581.             final org.drip.analytics.date.JulianDate[] adtExpiry,
  582.             final org.drip.analytics.date.JulianDate[] adtSpot,
  583.             final double[] adblCleanPrice,
  584.             final java.lang.String[] astrBenchmarkTenor,
  585.             final double[][] aadblGovvieCurveTreasuryYield)
  586.     {
  587.         if (null == adtSpot || null == astrBenchmarkTenor || null == aadblGovvieCurveTreasuryYield || null ==
  588.             aadblGovvieCurveTreasuryYield[0])
  589.             return null;

  591.         double dblExpiryCleanPrice = java.lang.Double.NaN;
  592.         double dblExpiryGSpread = java.lang.Double.NaN;
  593.         int iNumBenchmark = astrBenchmarkTenor.length;
  594.         double dblExpiryYield = java.lang.Double.NaN;
  595.         double dblSpotGSpread = java.lang.Double.NaN;
  596.         double dblSpotYield = java.lang.Double.NaN;
  597.         int iNumCloses = adtSpot.length;

  599.         if (0 >= iNumCloses || iNumCloses != aadblGovvieCurveTreasuryYield.length) return null;

  601.         java.util.List<org.drip.historical.sensitivity.TenorDurationNodeMetrics> lsTDNM = new
  602.             java.util.ArrayList<org.drip.historical.sensitivity.TenorDurationNodeMetrics>();

  604.         for (int i = 0; i < iNumCloses; ++i) {
  605.             if (null == aadblGovvieCurveTreasuryYield[i] || iNumBenchmark !=
  606.                 aadblGovvieCurveTreasuryYield[i].length)
  607.                 return null;

  609.             org.drip.analytics.date.JulianDate[] adtGovvieCurveTreasuryEffective = new
  610.                 org.drip.analytics.date.JulianDate[iNumBenchmark];
  611.             org.drip.analytics.date.JulianDate[] adtGovvieCurveTreasuryMaturity = new
  612.                 org.drip.analytics.date.JulianDate[iNumBenchmark];
  613.             org.drip.historical.sensitivity.TenorDurationNodeMetrics tdnm = null;
  614.             double dblParallelKRD = 0.;

  616.             for (int j = 0; j < iNumBenchmark; ++j) {
  617.                 adtGovvieCurveTreasuryEffective[j] = adtSpot[i];

  619.                 adtGovvieCurveTreasuryMaturity[j] = adtSpot[i].addTenor (astrBenchmarkTenor[j]);
  620.             }

  622.             org.drip.state.govvie.GovvieCurve gc =
  623.                 org.drip.service.template.LatentMarketStateBuilder.ShapePreservingGovvieCurve
  624.                     (strTreasuryType, adtSpot[i], adtGovvieCurveTreasuryEffective,
  625.                         adtGovvieCurveTreasuryMaturity, aadblGovvieCurveTreasuryYield[i],
  626.                             aadblGovvieCurveTreasuryYield[i], "Yield");

  628.             org.drip.param.market.CurveSurfaceQuoteContainer csqc = new
  629.                 org.drip.param.market.CurveSurfaceQuoteContainer();

  631.             if (!csqc.setGovvieState (gc)) continue;

  633.             org.drip.param.valuation.ValuationParams valParamsSpot =
  634.                 org.drip.param.valuation.ValuationParams.Spot (adtSpot[i].julian());

  636.             org.drip.param.valuation.ValuationParams valParamsExpiry =
  637.                 org.drip.param.valuation.ValuationParams.Spot (adtExpiry[i].julian());

  639.             org.drip.product.credit.BondComponent bondCTD =
  640.                 org.drip.service.template.TreasuryBuilder.FromCode (strTreasuryType, adtEffective[i],
  641.                     adtMaturity[i], adblCoupon[i]);

  643.             if (null == bondCTD) continue;

  645.             try {
  646.                 dblSpotGSpread = bondCTD.gSpreadFromPrice (valParamsSpot, csqc, null, adblCleanPrice[i]);

  648.                 dblSpotYield = bondCTD.yieldFromPrice (valParamsSpot, csqc, null, adblCleanPrice[i]);

  650.                 dblExpiryCleanPrice = bondCTD.priceFromGSpread (valParamsExpiry, csqc, null, dblSpotGSpread);

  652.                 dblExpiryGSpread = bondCTD.gSpreadFromPrice (valParamsExpiry, csqc, null,
  653.                     dblExpiryCleanPrice);

  655.                 dblExpiryYield = bondCTD.yieldFromPrice (valParamsExpiry, csqc, null, dblExpiryCleanPrice);
  656.             } catch (java.lang.Exception e) {
  657.                 e.printStackTrace();

  659.                 continue;
  660.             }

  662.             org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.govvie.GovvieCurve>
  663.                 mapTenorGovvieCurve = org.drip.service.template.LatentMarketStateBuilder.BumpedGovvieCurve
  664.                     (strTreasuryType, adtSpot[i], adtGovvieCurveTreasuryEffective,
  665.                         adtGovvieCurveTreasuryMaturity, aadblGovvieCurveTreasuryYield[i],
  666.                             aadblGovvieCurveTreasuryYield[i], "Yield",
  667.                                 org.drip.service.template.LatentMarketStateBuilder.SHAPE_PRESERVING, 0.0001,
  668.                                     false);

  670.             if (null == mapTenorGovvieCurve || iNumBenchmark > mapTenorGovvieCurve.size()) continue;

  672.             try {
  673.                 tdnm = new org.drip.historical.sensitivity.TenorDurationNodeMetrics (adtSpot[i]);
  674.             } catch (java.lang.Exception e) {
  675.                 e.printStackTrace();

  677.                 return null;
  678.             }

  680.             tdnm.setR1 ("SpotGSpread", dblSpotGSpread);

  682.             tdnm.setR1 ("ExpiryGSpread", dblExpiryGSpread);

  684.             tdnm.setR1 ("SpotYield", dblSpotYield);

  686.             tdnm.setR1 ("ExpiryYield", dblExpiryYield);

  688.             tdnm.setDate ("ExpiryDate", adtExpiry[i]);

  690.             tdnm.setC1 ("CTDName", bondCTD.name());

  692.             tdnm.setR1 ("SpotCTDCleanPrice", adblCleanPrice[i]);

  694.             tdnm.setR1 ("ExpiryCTDCleanPrice", dblExpiryCleanPrice);

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

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

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

  704.                 double dblTenorKRD = java.lang.Double.NaN;

  706.                 try {
  707.                     dblTenorKRD = -10000. * (bondCTD.priceFromGSpread (valParamsExpiry, csqc, null,
  708.                         dblSpotGSpread) - dblExpiryCleanPrice) / dblExpiryCleanPrice;

  710.                     if (!tdnm.addKRDNode (strKey, dblTenorKRD)) continue;

  712.                     dblParallelKRD += dblTenorKRD;
  713.                 } catch (java.lang.Exception e) {
  714.                     e.printStackTrace();

  716.                     return null;
  717.                 }
  718.             }

  720.             tdnm.setR1 ("ParallelKRD", dblParallelKRD);

  722.             lsTDNM.add (tdnm);
  723.         }

  725.         return lsTDNM;
  726.     }
  727. }
Created with JaCoCo 0.7.9.201702052155