/**
* Sample demonstrating the calculation of the bond's full EOD measures from price, TSY spread, or
* yield
*
* <p>USE WITH CARE: This sample ignores errors and does not handle exceptions.
*/
public static final void BondEODSample() {
JulianDate dtEOD = JulianDate.CreateFromYMD(2012, 1, 13);
String strISIN = "US78490FUS63"; // Short dated floater 9/15/2012
// String strISIN = "US78442GGV23"; // Long dated floater
// String strISIN = "US44180Y2046"; // Plain old fixed coupon
Map<String, Double> mapPriceMeasures = FI.BondEODMeasuresFromPrice(strISIN, dtEOD, 1.);
System.out.println("\n--------------\nPrice Measures\n--------------");
for (Map.Entry<String, Double> me : mapPriceMeasures.entrySet())
System.out.println(me.getKey() + "=" + me.getValue());
Map<String, Double> mapTSYSpreadMeasures =
FI.BondEODMeasuresFromTSYSpread(strISIN, dtEOD, 0.0486);
System.out.println("\n---------------\nSpread Measures\n---------------");
for (Map.Entry<String, Double> me : mapTSYSpreadMeasures.entrySet())
System.out.println(me.getKey() + "=" + me.getValue());
Map<String, Double> mapYieldMeasures = FI.BondEODMeasuresFromYield(strISIN, dtEOD, 0.0749);
System.out.println("\n--------------\nYield Measures\n--------------");
for (Map.Entry<String, Double> me : mapYieldMeasures.entrySet())
System.out.println(me.getKey() + "=" + me.getValue());
}
/**
* Sample demonstrating the calculation of analytics for the set of bonds associated with the
* ticker
*
* <p>USE WITH CARE: This sample ignores errors and does not handle exceptions.
*/
public static final void BondTickerAPISample() throws Exception {
int iNumBonds = 0;
String strTicker = "SLMA";
JulianDate dtToday = JulianDate.Today();
DiscountCurve dc = DiscountCurve.CreateFromFlatRate(dtToday, "USD", 0.05);
DiscountCurve dcTSY = DiscountCurve.CreateFromFlatRate(dtToday, "USD", 0.04);
CreditCurve cc = CreditCurve.FromFlatHazard(dtToday.getJulian(), "CC", 0.02, 0.4);
ComponentMarketParams cmp = ComponentMarketParams.MakeCreditCMP(dc, cc);
List<String> lsstrISIN = FI.GetISINsForTicker(strTicker);
System.out.println(
"Dumping: ISIN, FLOAT/FIXED, Bond, Yield, Z Spread, Opt Adj Spread, TSY Spread, Credit Basis, Credit Price");
System.out.println(
"---------------------------------------------------------------------------------------------------------");
for (String strISIN : lsstrISIN) {
Bond bond = FI.GetBond(strISIN);
if (null != bond
&& !bond.hasVariableCoupon()
&& !bond.hasBeenExercised()
&& !bond.hasDefaulted()
&& bond.getMaturityDate().getJulian() > dtToday.getJulian()) {
double dblZSpreadFromPrice = Double.NaN;
double dblOASpreadFromPrice = Double.NaN;
double dblYieldFromPrice = FI.BondYieldFromPrice(strISIN, dtToday, dc, 1.);
if (!FI.IsBondFloater(strISIN)) {
dblZSpreadFromPrice = FI.BondZSpreadFromPrice(strISIN, dtToday, dc, 1.);
dblOASpreadFromPrice = FI.BondOASFromPrice(strISIN, dtToday, dc, 1.);
}
double dblTSYSpreadFromPrice = FI.BondTSYSpreadFromPrice(strISIN, dtToday, dc, dcTSY, 1.);
double dblCreditBasisFromPrice = FI.BondCreditBasisFromPrice(strISIN, dtToday, dc, cc, 1.);
double dblBondCreditPrice = FI.BondCreditPrice(strISIN, dtToday, dc, cc);
++iNumBonds;
System.out.println(
strISIN
+ FIELD_SEPARATOR
+ (bond.isFloater() ? "FLOAT " : "FIXED ")
+ bond.getTicker()
+ FIELD_SEPARATOR
+ FIGen.FormatPrice(bond.getCoupon(dtToday.getJulian(), cmp, null))
+ FIELD_SEPARATOR
+ bond.getMaturityDate()
+ FIELD_SEPARATOR
+ FIGen.FormatPrice(dblYieldFromPrice)
+ FIELD_SEPARATOR
+ FIGen.FormatSpread(dblZSpreadFromPrice)
+ FIELD_SEPARATOR
+ FIGen.FormatSpread(dblOASpreadFromPrice)
+ FIELD_SEPARATOR
+ FIGen.FormatSpread(dblTSYSpreadFromPrice)
+ FIELD_SEPARATOR
+ FIGen.FormatSpread(dblCreditBasisFromPrice)
+ FIELD_SEPARATOR
+ FIGen.FormatPrice(dblBondCreditPrice));
}
}
System.out.println("Processed " + iNumBonds + " " + strTicker + " bonds!");
for (String strISIN : lsstrISIN) {
Bond bond = FI.GetBond(strISIN);
System.out.println(
strISIN
+ FIELD_SEPARATOR
+ bond.getTicker()
+ FIELD_SEPARATOR
+ FIGen.FormatPrice(bond.getCoupon(JulianDate.Today().getJulian(), null, null))
+ FIELD_SEPARATOR
+ bond.getMaturityDate()
+ FIELD_SEPARATOR
+ FIGen.FormatPrice(FI.GetBondDoubleField(strISIN, "OutstandingAmount"), 10, 0, 1.));
}
/*
* Calculate the bucketed outstanding notional for all the bonds of this ticker
*/
JulianDate[] adtAscending = new JulianDate[5];
adtAscending[0] = dtToday.addYears(3);
adtAscending[1] = dtToday.addYears(5);
adtAscending[2] = dtToday.addYears(10);
adtAscending[3] = dtToday.addYears(30);
adtAscending[4] = dtToday.addYears(60);
Map<JulianDate, Double> mapOutstandingNotional =
FI.GetIssuerAggregateOutstandingNotional(dtToday, strTicker, adtAscending);
for (Map.Entry<JulianDate, Double> me : mapOutstandingNotional.entrySet())
System.out.println("[" + JulianDate.Today() + "=>" + me.getKey() + "] = " + me.getValue());
}
