GovvieStateShifted.java
package org.drip.template.statebump;
import java.util.Map;
import org.drip.analytics.date.*;
import org.drip.numerical.common.FormatUtil;
import org.drip.param.valuation.ValuationParams;
import org.drip.product.credit.BondComponent;
import org.drip.product.govvie.TreasuryComponent;
import org.drip.service.env.EnvManager;
import org.drip.service.template.*;
import org.drip.state.govvie.GovvieCurve;
/*
* -*- 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
* Copyright (C) 2015 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>GovvieStateShifted</i> demonstrates the Construction and Usage of Tenor Bumped Govvie Curves.
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
* <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>
* <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>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class GovvieStateShifted {
public static final void main (
final String[] astrArgs)
throws Exception
{
EnvManager.InitEnv ("");
JulianDate dtSpot = DateUtil.CreateFromYMD (
2017,
DateUtil.DECEMBER,
21
);
String strCode = "UST";
double dblBump = 0.0001;
boolean bIsBumpProportional = false;
JulianDate[] adtEffective = new JulianDate[] {
DateUtil.CreateFromYMD (2010, DateUtil.SEPTEMBER, 21),
DateUtil.CreateFromYMD (2009, DateUtil.JULY, 14),
DateUtil.CreateFromYMD (2011, DateUtil.MARCH, 8),
DateUtil.CreateFromYMD (2010, DateUtil.AUGUST, 25),
DateUtil.CreateFromYMD (2010, DateUtil.DECEMBER, 3)
};
JulianDate[] adtMaturity = new JulianDate[] {
dtSpot.addTenor ("2Y"),
dtSpot.addTenor ("4Y"),
dtSpot.addTenor ("5Y"),
dtSpot.addTenor ("7Y"),
dtSpot.addTenor ("10Y")
};
double[] adblCoupon = new double[] {
0.0200,
0.0250,
0.0300,
0.0325,
0.0375
};
double[] adblYield = new double[] {
0.0200,
0.0250,
0.0300,
0.0325,
0.0375
};
Map<String, GovvieCurve> mapBumpedGovvieCurve = LatentMarketStateBuilder.BumpedGovvieCurve (
strCode,
dtSpot,
adtEffective,
adtMaturity,
adblCoupon,
adblYield,
"Yield",
LatentMarketStateBuilder.SHAPE_PRESERVING,
dblBump,
bIsBumpProportional
);
TreasuryComponent[] aTreasury = TreasuryBuilder.FromCode (
strCode,
adtEffective,
adtMaturity,
adblCoupon
);
ValuationParams valParams = ValuationParams.Spot (dtSpot.julian());
System.out.println ("\n\t|-------------------------------------------------------------------||");
for (Map.Entry<String, GovvieCurve> meGovvie : mapBumpedGovvieCurve.entrySet()) {
String strKey = meGovvie.getKey();
if (!strKey.startsWith ("tsy")) continue;
System.out.print ("\t| [" + meGovvie.getKey() + "] => ");
GovvieCurve gc = meGovvie.getValue();
for (BondComponent treasury : aTreasury)
System.out.print (FormatUtil.FormatDouble (treasury.yieldFromPrice (
valParams,
null,
null,
treasury.maturityDate().julian(),
1.,
treasury.priceFromYield (
valParams,
null,
null,
gc.yield (treasury.maturityDate().julian())
)
), 1, 4, 1.) + " |"
);
System.out.print ("|\n");
}
System.out.println ("\t|-------------------------------------------------------------------||");
System.out.println ("\n\t|-------------------------------------||");
GovvieCurve gcBase = mapBumpedGovvieCurve.get ("Base");
GovvieCurve gcBump = mapBumpedGovvieCurve.get ("Bump");
for (TreasuryComponent treasury : aTreasury)
System.out.println (
"\t| YIELD => " +
treasury.maturityDate() + " |" +
FormatUtil.FormatDouble (treasury.yieldFromPrice (
valParams,
null,
null,
treasury.maturityDate().julian(),
1.,
treasury.priceFromYield (
valParams,
null,
null,
gcBase.yield (treasury.maturityDate().julian())
)
), 1, 2, 100.) + "% |" +
FormatUtil.FormatDouble (treasury.yieldFromPrice (
valParams,
null,
null,
treasury.maturityDate().julian(),
1.,
treasury.priceFromYield (
valParams,
null,
null,
gcBump.yield (treasury.maturityDate().julian())
)
), 1, 2, 100.) + "% ||"
);
System.out.println ("\t|-------------------------------------||");
}
}