GovvieStateShifted.java

  1. package org.drip.template.statebump;

  3. import java.util.Map;

  5. import org.drip.analytics.date.*;
  6. import org.drip.numerical.common.FormatUtil;
  7. import org.drip.param.valuation.ValuationParams;
  8. import org.drip.product.credit.BondComponent;
  9. import org.drip.product.govvie.TreasuryComponent;
  10. import org.drip.service.env.EnvManager;
  11. import org.drip.service.template.*;
  12. import org.drip.state.govvie.GovvieCurve;

  14. /*
  15.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  16.  */

  18. /*!
  19.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  20.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  21.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  22.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  23.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  24.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  25.  * 
  26.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  27.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  28.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  29.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  30.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  31.  *      and computational support.
  32.  *  
  33.  *      https://lakshmidrip.github.io/DROP/
  34.  *  
  35.  *  DROP is composed of three modules:
  36.  *  
  37.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  38.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  39.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  40.  * 
  41.  *  DROP Product Core implements libraries for the following:
  42.  *  - Fixed Income Analytics
  43.  *  - Loan Analytics
  44.  *  - Transaction Cost Analytics
  45.  * 
  46.  *  DROP Portfolio Core implements libraries for the following:
  47.  *  - Asset Allocation Analytics
  48.  *  - Asset Liability Management Analytics
  49.  *  - Capital Estimation Analytics
  50.  *  - Exposure Analytics
  51.  *  - Margin Analytics
  52.  *  - XVA Analytics
  53.  * 
  54.  *  DROP Computational Core implements libraries for the following:
  55.  *  - Algorithm Support
  56.  *  - Computation Support
  57.  *  - Function Analysis
  58.  *  - Model Validation
  59.  *  - Numerical Analysis
  60.  *  - Numerical Optimizer
  61.  *  - Spline Builder
  62.  *  - Statistical Learning
  63.  * 
  64.  *  Documentation for DROP is Spread Over:
  65.  * 
  66.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  67.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  68.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  69.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  70.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  71.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  72.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  73.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  74.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  75.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  76.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  77.  * 
  78.  *  Licensed under the Apache License, Version 2.0 (the "License");
  79.  *      you may not use this file except in compliance with the License.
  80.  *   
  81.  *  You may obtain a copy of the License at
  82.  *      http://www.apache.org/licenses/LICENSE-2.0
  83.  *  
  84.  *  Unless required by applicable law or agreed to in writing, software
  85.  *      distributed under the License is distributed on an "AS IS" BASIS,
  86.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  87.  *  
  88.  *  See the License for the specific language governing permissions and
  89.  *      limitations under the License.
  90.  */

  92. /**
  93.  * <i>GovvieStateShifted</i> demonstrates the Construction and Usage of Tenor Bumped Govvie Curves.
  94.  *
  95.  *  <br><br>
  96.  *  <ul>
  97.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  98.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  99.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/template/README.md">Pricing/Risk Templates for Fixed Income Component Products</a></li>
  100.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/template/statebump/README.md">Shifted Latent State Construction Template</a></li>
  101.  *  </ul>
  102.  * <br><br>
  103.  * 
  104.  * @author Lakshmi Krishnamurthy
  105.  */

  107. public class GovvieStateShifted {

  109.     public static final void main (
  110.         final String[] astrArgs)
  111.         throws Exception
  112.     {
  113.         EnvManager.InitEnv ("");

  115.         JulianDate dtSpot = DateUtil.CreateFromYMD (
  116.             2017,
  117.             DateUtil.DECEMBER,
  118.             21
  119.         );

  121.         String strCode = "UST";
  122.         double dblBump = 0.0001;
  123.         boolean bIsBumpProportional = false;

  125.         JulianDate[] adtEffective = new JulianDate[] {
  126.             DateUtil.CreateFromYMD (2010, DateUtil.SEPTEMBER, 21),
  127.             DateUtil.CreateFromYMD (2009, DateUtil.JULY, 14),
  128.             DateUtil.CreateFromYMD (2011, DateUtil.MARCH, 8),
  129.             DateUtil.CreateFromYMD (2010, DateUtil.AUGUST, 25),
  130.             DateUtil.CreateFromYMD (2010, DateUtil.DECEMBER, 3)
  131.         };

  133.         JulianDate[] adtMaturity = new JulianDate[] {
  134.             dtSpot.addTenor ("2Y"),
  135.             dtSpot.addTenor ("4Y"),
  136.             dtSpot.addTenor ("5Y"),
  137.             dtSpot.addTenor ("7Y"),
  138.             dtSpot.addTenor ("10Y")
  139.         };

  141.         double[] adblCoupon = new double[] {
  142.             0.0200,
  143.             0.0250,
  144.             0.0300,
  145.             0.0325,
  146.             0.0375
  147.         };

  149.         double[] adblYield = new double[] {
  150.             0.0200,
  151.             0.0250,
  152.             0.0300,
  153.             0.0325,
  154.             0.0375
  155.         };

  157.         Map<String, GovvieCurve> mapBumpedGovvieCurve = LatentMarketStateBuilder.BumpedGovvieCurve (
  158.             strCode,
  159.             dtSpot,
  160.             adtEffective,
  161.             adtMaturity,
  162.             adblCoupon,
  163.             adblYield,
  164.             "Yield",
  165.             LatentMarketStateBuilder.SHAPE_PRESERVING,
  166.             dblBump,
  167.             bIsBumpProportional
  168.         );

  170.         TreasuryComponent[] aTreasury = TreasuryBuilder.FromCode (
  171.             strCode,
  172.             adtEffective,
  173.             adtMaturity,
  174.             adblCoupon
  175.         );

  177.         ValuationParams valParams = ValuationParams.Spot (dtSpot.julian());

  179.         System.out.println ("\n\t|-------------------------------------------------------------------||");

  181.         for (Map.Entry<String, GovvieCurve> meGovvie : mapBumpedGovvieCurve.entrySet()) {
  182.             String strKey = meGovvie.getKey();

  184.             if (!strKey.startsWith ("tsy")) continue;

  186.             System.out.print ("\t|  [" + meGovvie.getKey() + "] => ");

  188.             GovvieCurve gc = meGovvie.getValue();

  190.             for (BondComponent treasury : aTreasury)
  191.                 System.out.print (FormatUtil.FormatDouble (treasury.yieldFromPrice (
  192.                     valParams,
  193.                     null,
  194.                     null,
  195.                     treasury.maturityDate().julian(),
  196.                     1.,
  197.                     treasury.priceFromYield (
  198.                         valParams,
  199.                         null,
  200.                         null,
  201.                         gc.yield (treasury.maturityDate().julian())
  202.                     )
  203.                 ), 1, 4, 1.) + " |"
  204.             );

  206.             System.out.print ("|\n");
  207.         }

  209.         System.out.println ("\t|-------------------------------------------------------------------||");

  211.         System.out.println ("\n\t|-------------------------------------||");

  213.         GovvieCurve gcBase = mapBumpedGovvieCurve.get ("Base");

  215.         GovvieCurve gcBump = mapBumpedGovvieCurve.get ("Bump");

  217.         for (TreasuryComponent treasury : aTreasury)
  218.             System.out.println (
  219.                 "\t| YIELD => " +
  220.                 treasury.maturityDate() + " |" +
  221.                 FormatUtil.FormatDouble (treasury.yieldFromPrice (
  222.                     valParams,
  223.                     null,
  224.                     null,
  225.                     treasury.maturityDate().julian(),
  226.                     1.,
  227.                     treasury.priceFromYield (
  228.                         valParams,
  229.                         null,
  230.                         null,
  231.                         gcBase.yield (treasury.maturityDate().julian())
  232.                     )
  233.                 ), 1, 2, 100.) + "% |" +
  234.                 FormatUtil.FormatDouble (treasury.yieldFromPrice (
  235.                     valParams,
  236.                     null,
  237.                     null,
  238.                     treasury.maturityDate().julian(),
  239.                     1.,
  240.                     treasury.priceFromYield (
  241.                         valParams,
  242.                         null,
  243.                         null,
  244.                         gcBump.yield (treasury.maturityDate().julian())
  245.                     )
  246.                 ), 1, 2, 100.) + "% ||"
  247.             );

  249.         System.out.println ("\t|-------------------------------------||");
  250.     }
  251. }
Created with JaCoCo 0.7.9.201702052155