org.drip.analytics.support

Class Helper

java.lang.Object

org.drip.analytics.support.Helper

public class Helper
extends java.lang.Object

AnalyticsHelper contains the collection of the analytics related utility functions used by the modules. The following are the functionality that it exposes: - Yield to Discount Factor, and vice versa. - Map Bloomberg Day Count Codes to Credit Analytics Day Count Codes - Generate rule-based curve node manifest measure bumps - Generate loss periods using a variety of different schemes - Aggregate/disaggregate/merge coupon period lists - Create fixings objects, rate index from currency/coupon/frequency - String Tenor/Month Code/Work-out - Standard Treasury Bench-mark off of Maturity

Author:

Lakshmi Krishnamurthy

Field Summary

Fields

Modifier and Type	Field and Description
static int	LEFT_TENOR_EQUALS Tenor Comparator - Left Tenor Matches Right
static int	LEFT_TENOR_GREATER Tenor Comparator - Left Tenor Greater than Right
static int	LEFT_TENOR_LESSER Tenor Comparator - Left Tenor Lesser than Right

Constructor Summary

Constructors

Constructor and Description
Helper()

Method Summary

Modifier and Type	Method and Description
static boolean	AccumulateMeasures(CaseInsensitiveTreeMap<java.lang.Double> mapOutput, java.lang.String strPrefix, CaseInsensitiveTreeMap<java.lang.Double> mapInput) Append the Prefixed Map Entries of the specified Input Map onto the Output Map
static java.util.Set<CompositePeriod>	AggregateComponentPeriods(Component[] aComp) Aggregate the period lists for an array of components
static java.lang.String	AggregateTenor(java.lang.String strBaseTenor, java.lang.String strRollTenor) Aggregate the Base and the Roll Tenors onto a Composite Tenor
static java.lang.String	BaseTsyBmk(int iValueDate, int iMaturityDate) Return the standard on-the-run benchmark treasury string from the valuation and the maturity dates
static double	BondFuturesPriceAUDBillStyle(JulianDate dtValue, Bond bond, double dblReferenceIndex) Compute the Bond Futures Price AUD Bill Style from the Reference Index Level
static double[]	BumpQuotes(double[] adblQuotesIn, double dblBump, boolean bIsProportional) Bump the input array quotes
static java.lang.String	CalcRateIndex(java.lang.String strCouponCurrency, int iCouponFreq) Calculate the rate index from the coupon currency and the frequency
static LatentStateFixingsContainer	CreateFixingsObject(Bond bond, JulianDate dtFixing, double dblFixing) Create the Latent State Fixings object from the bond, the fixings date, and the fixing.
static double	DF2Yield(int iFreqIn, double dblDF, double dblTime) Calculate the yield from the specified discount factor to the given time.
static double	DIStylePriceFromRate(double dblDIRate, int iStartDate, int iEndDate, java.lang.String strCalendar) Compute the DI-Style Price given the Rate
static double	DIStyleRateFromPrice(double dblDIPrice, int iStartDate, int iEndDate, java.lang.String strCalendar) Compute the DI-Style Rate given the Price
static java.lang.String	GetDayCountFromBBGCode(java.lang.String strBBGDC) Get the DRIP day count from the Bloomberg code
static java.lang.String	GetMonthCodeFromFreq(int iFreq) Retrieve the month code from input frequency
static java.lang.String	GetTenorFromFreq(int iFreq) Retrieve the tenor from the frequency
static void	Init() Initialize IR switcher and Bloomberg day count maps
static boolean	LabelMatch(LatentStateLabel lslLeft, LatentStateLabel lslRight) Do the Left and the Right Labels Match?
static java.util.List<CompositePeriod>	MergePeriodLists(java.util.List<CompositePeriod> lsPeriod1, java.util.List<CompositePeriod> lsPeriod2) Merge two lists of periods
static double[]	NormalizedEqualWeightedArray(int iNumElement) Construct a Normalized, Equally Weighted Array from the Specified Number of Elements
static double	OISFromLIBORSwapFedFundBasis(double dblLIBORSwapRate, double dblFedFundLIBORSwapBasis) Compute the uncompounded OIS Rate from the LIBOR Swap Rate and the LIBOR Swap Rate - Fed Fund Basis.
static double	OISFromLIBORSwapFedFundBasis2(double dblLIBORSwapRate, double dblFedFundLIBORSwapBasis) Compute the Daily Compounded OIS Rate from the LIBOR Swap Rate and the LIBOR Swap Rate - Fed Fund Basis.
static java.lang.String	ParseFromBBGDCCode(java.lang.String strBBGDCCode) Convert the Bloomberg day count code to DRIP day count code.
static java.lang.String	RateIndexFromCcyAndCouponFreq(java.lang.String strCcy, int iCouponFreq) Calculate the rate index from currency and coupon frequency
static java.lang.String	SwitchIRCurve(java.lang.String strCurveIn) Switch the given IR curve if necessary
static int	TenorCompare(java.lang.String strTenorLeft, java.lang.String strTenorRight) Compare the Left and the Right Tenors
static int	TenorToDays(java.lang.String strTenor) Retrieve the Number of Days from the Tenor
static int	TenorToFreq(java.lang.String strTenor) Retrieve the Annual Frequency from the Tenor
static int	TenorToMonths(java.lang.String strTenor) Retrieve the Number of Months from the Tenor
static double	TenorToYearFraction(java.lang.String strTenor) Retrieve the Number of Days from the Tenor
static int	TenorToYears(java.lang.String strTenor) Retrieve the Number of Years from the Tenor
static double[]	TweakManifestMeasure(double[] adblQuotesIn, ManifestMeasureTweak ntp) Tweak the Manifest Measures (gor the given set of nodes) in accordance with the specified tweak parameters
static java.lang.String	WorkoutTypeToString(int iWOType) Turn the work out type to string
static double	Yield2DF(int iFreqIn, double dblYield, double dblTime) Calculate the discount factor from the specified frequency, yield, and accrual year fraction

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

LEFT_TENOR_GREATER

public static int LEFT_TENOR_GREATER

Tenor Comparator - Left Tenor Greater than Right

LEFT_TENOR_LESSER

public static int LEFT_TENOR_LESSER

Tenor Comparator - Left Tenor Lesser than Right

LEFT_TENOR_EQUALS

public static int LEFT_TENOR_EQUALS

Tenor Comparator - Left Tenor Matches Right

Constructor Detail

Helper

public Helper()

Method Detail

Init

public static final void Init()

Initialize IR switcher and Bloomberg day count maps

Yield2DF

public static final double Yield2DF(int iFreqIn,
                                    double dblYield,
                                    double dblTime)
                             throws java.lang.Exception

Calculate the discount factor from the specified frequency, yield, and accrual year fraction

Parameters:

iFreqIn - Input frequency - if zero, set to semi-annual.

dblYield - Yield

dblTime - Time in DC years

Returns:

the discount factor

Throws:

java.lang.Exception - if input are invalid.

DF2Yield

public static final double DF2Yield(int iFreqIn,
                                    double dblDF,
                                    double dblTime)
                             throws java.lang.Exception

Calculate the yield from the specified discount factor to the given time.

Parameters:

iFreqIn - Yield calculation frequency - defaults to semi-annual if zero.

dblDF - Discount Factor

dblTime - Time to which the yield/DF are specified

Returns:

Implied yield

Throws:

java.lang.Exception - Thrown if yield cannot be computed

OISFromLIBORSwapFedFundBasis

public static final double OISFromLIBORSwapFedFundBasis(double dblLIBORSwapRate,
                                                        double dblFedFundLIBORSwapBasis)
                                                 throws java.lang.Exception

Compute the uncompounded OIS Rate from the LIBOR Swap Rate and the LIBOR Swap Rate - Fed Fund Basis. The calculation is from the following Bloomberg Publication: - Lipman, H. and F. Mercurio (2012): OIS Discounting and Dual-Curve Stripping Methodology at Bloomberg

Parameters:

dblLIBORSwapRate - LIBOR Swap Rate

dblFedFundLIBORSwapBasis - Fed Fund - LIBOR Swap Rate Basis

Returns:

The Uncompounded OIS Rate

Throws:

java.lang.Exception - Thrown if the Inputs are invalid

OISFromLIBORSwapFedFundBasis2

public static final double OISFromLIBORSwapFedFundBasis2(double dblLIBORSwapRate,
                                                         double dblFedFundLIBORSwapBasis)
                                                  throws java.lang.Exception

Compute the Daily Compounded OIS Rate from the LIBOR Swap Rate and the LIBOR Swap Rate - Fed Fund Basis. The calculation is from the following Bloomberg Publication: - Lipman, H. and F. Mercurio (2012): OIS Discounting and Dual-Curve Stripping Methodology at Bloomberg

Parameters:

dblLIBORSwapRate - LIBOR Swap Rate

dblFedFundLIBORSwapBasis - Fed Fund - LIBOR Swap Rate Basis

Returns:

The Daily Compounded OIS Rate

Throws:

java.lang.Exception - Thrown if the Inputs are invalid

DIStylePriceFromRate

public static final double DIStylePriceFromRate(double dblDIRate,
                                                int iStartDate,
                                                int iEndDate,
                                                java.lang.String strCalendar)
                                         throws java.lang.Exception

Compute the DI-Style Price given the Rate

Parameters:

dblDIRate - The DI Rate

iStartDate - The Start Date

iEndDate - The End Date

strCalendar - The Calendar

Returns:

The DI-Style Price

Throws:

java.lang.Exception - Thrown if the DI-Style Price cannot be calculated

DIStyleRateFromPrice

public static final double DIStyleRateFromPrice(double dblDIPrice,
                                                int iStartDate,
                                                int iEndDate,
                                                java.lang.String strCalendar)
                                         throws java.lang.Exception

Compute the DI-Style Rate given the Price

Parameters:

dblDIPrice - The DI Price

iStartDate - The Start Date

iEndDate - The End Date

strCalendar - The Calendar

Returns:

The DI-Style Rate

Throws:

java.lang.Exception - Thrown if the DI-Style Price cannot be calculated

BaseTsyBmk

public static final java.lang.String BaseTsyBmk(int iValueDate,
                                                int iMaturityDate)

Return the standard on-the-run benchmark treasury string from the valuation and the maturity dates

Parameters:

iValueDate - the Valuation date

iMaturityDate - the Maturity date

Returns:

the standard on-the-run benchmark treasury string

WorkoutTypeToString

public static final java.lang.String WorkoutTypeToString(int iWOType)

Turn the work out type to string

Parameters:

iWOType - One of the WO_TYPE_* fields in the WorkoutInfo class

Returns:

String representation of the work out type field

ParseFromBBGDCCode

public static final java.lang.String ParseFromBBGDCCode(java.lang.String strBBGDCCode)

Convert the Bloomberg day count code to DRIP day count code.

Parameters:

strBBGDCCode - String representing the Bloomberg day count code.

Returns:

String representing the DRIP day count code.

GetTenorFromFreq

public static final java.lang.String GetTenorFromFreq(int iFreq)

Retrieve the tenor from the frequency

Parameters:

iFreq - Integer frequency

Returns:

String representing the tenor

TenorToYears

public static final int TenorToYears(java.lang.String strTenor)
                              throws java.lang.Exception

Retrieve the Number of Years from the Tenor

Parameters:

strTenor - The Specified Tenor

Returns:

The Number of Years

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

TenorToMonths

public static final int TenorToMonths(java.lang.String strTenor)
                               throws java.lang.Exception

Retrieve the Number of Months from the Tenor

Parameters:

strTenor - The Specified Tenor

Returns:

The Number of Months

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

TenorToDays

public static final int TenorToDays(java.lang.String strTenor)
                             throws java.lang.Exception

Retrieve the Number of Days from the Tenor

Parameters:

strTenor - The Specified Tenor

Returns:

The Number of Days

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

TenorToYearFraction

public static final double TenorToYearFraction(java.lang.String strTenor)
                                        throws java.lang.Exception

Retrieve the Number of Days from the Tenor

Parameters:

strTenor - The Specified Tenor

Returns:

The Number of Days

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

TenorToFreq

public static final int TenorToFreq(java.lang.String strTenor)
                             throws java.lang.Exception

Retrieve the Annual Frequency from the Tenor

Parameters:

strTenor - The Specified Tenor

Returns:

The Annual Frequency

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

TenorCompare

public static final int TenorCompare(java.lang.String strTenorLeft,
                                     java.lang.String strTenorRight)
                              throws java.lang.Exception

Compare the Left and the Right Tenors

Parameters:

strTenorLeft - Left Tenor

strTenorRight - Right Tenor

Returns:

Results of the Comparison

Throws:

java.lang.Exception - Thrown if the Comparison cannot be done

GetMonthCodeFromFreq

public static final java.lang.String GetMonthCodeFromFreq(int iFreq)

Retrieve the month code from input frequency

Parameters:

iFreq - Integer frequency

Returns:

String representing the month code

CalcRateIndex

public static final java.lang.String CalcRateIndex(java.lang.String strCouponCurrency,
                                                   int iCouponFreq)

Calculate the rate index from the coupon currency and the frequency

Parameters:

strCouponCurrency - String representing the coupon currency

iCouponFreq - Integer representing the coupon frequency

Returns:

String representing the rate index

GetDayCountFromBBGCode

public static final java.lang.String GetDayCountFromBBGCode(java.lang.String strBBGDC)

Get the DRIP day count from the Bloomberg code

Parameters:

strBBGDC - String representing the Bloomberg day count convention

Returns:

String representing DRIP day count

RateIndexFromCcyAndCouponFreq

public static final java.lang.String RateIndexFromCcyAndCouponFreq(java.lang.String strCcy,
                                                                   int iCouponFreq)

Calculate the rate index from currency and coupon frequency

Parameters:

strCcy - String representing coupon currency

iCouponFreq - Integer representing coupon frequency

Returns:

String representing the rate index

SwitchIRCurve

public static final java.lang.String SwitchIRCurve(java.lang.String strCurveIn)

Switch the given IR curve if necessary

Parameters:

strCurveIn - String representing the input curve

Returns:

String representing the switched curve

CreateFixingsObject

public static final LatentStateFixingsContainer CreateFixingsObject(Bond bond,
                                                                    JulianDate dtFixing,
                                                                    double dblFixing)

Create the Latent State Fixings object from the bond, the fixings date, and the fixing.

Parameters:

bond - The input bond

dtFixing - The Fixings Date

dblFixing - Double representing the fixing

Returns:

The Latent State Fixings Instance

BumpQuotes

public static final double[] BumpQuotes(double[] adblQuotesIn,
                                        double dblBump,
                                        boolean bIsProportional)

Bump the input array quotes

Parameters:

adblQuotesIn - Array of the input double quotes

dblBump - Bump amount

bIsProportional - True - Bump is proportional

Returns:

Bumped array output

TweakManifestMeasure

public static final double[] TweakManifestMeasure(double[] adblQuotesIn,
                                                  ManifestMeasureTweak ntp)

Tweak the Manifest Measures (gor the given set of nodes) in accordance with the specified tweak parameters

Parameters:

adblQuotesIn - Array of quotes to be bumped

ntp - NodeTweakParams input

Returns:

Bumped array output

MergePeriodLists

public static final java.util.List<CompositePeriod> MergePeriodLists(java.util.List<CompositePeriod> lsPeriod1,
                                                                     java.util.List<CompositePeriod> lsPeriod2)

Merge two lists of periods

Parameters:

lsPeriod1 - Period 1

lsPeriod2 - Period 2

Returns:

The Merged Period List

AggregateComponentPeriods

public static final java.util.Set<CompositePeriod> AggregateComponentPeriods(Component[] aComp)

Aggregate the period lists for an array of components

Parameters:

aComp - Array of Components

Returns:

The Aggregated Period Set

AccumulateMeasures

public static final boolean AccumulateMeasures(CaseInsensitiveTreeMap<java.lang.Double> mapOutput,
                                               java.lang.String strPrefix,
                                               CaseInsensitiveTreeMap<java.lang.Double> mapInput)

Append the Prefixed Map Entries of the specified Input Map onto the Output Map

Parameters:

mapOutput - The Output Map

strPrefix - The Entry Prefix

mapInput - The Input Map

Returns:

TRUE - At least one entry appended

LabelMatch

public static final boolean LabelMatch(LatentStateLabel lslLeft,
                                       LatentStateLabel lslRight)

Do the Left and the Right Labels Match?

Parameters:

lslLeft - Left Cash Flow Period Label

lslRight - Right Cash Flow Period Label

Returns:

TRUE - The Labels Match

BondFuturesPriceAUDBillStyle

public static final double BondFuturesPriceAUDBillStyle(JulianDate dtValue,
                                                        Bond bond,
                                                        double dblReferenceIndex)
                                                 throws java.lang.Exception

Compute the Bond Futures Price AUD Bill Style from the Reference Index Level

Parameters:

dtValue - The Valuation Date

bond - The Bond Instance

dblReferenceIndex - The Reference Index

Returns:

The Bond Futures Price AUD Bill Style

Throws:

java.lang.Exception - Thrown if the Bond Futures Price AUD Bill Style cannot be computed

NormalizedEqualWeightedArray

public static final double[] NormalizedEqualWeightedArray(int iNumElement)

Construct a Normalized, Equally Weighted Array from the Specified Number of Elements

Parameters:

iNumElement - Number of Elements

Returns:

The Normalized, Equally Weighted Array

AggregateTenor

public static final java.lang.String AggregateTenor(java.lang.String strBaseTenor,
                                                    java.lang.String strRollTenor)

Aggregate the Base and the Roll Tenors onto a Composite Tenor

Parameters:

strBaseTenor - The Base Tenor

strRollTenor - The Roll Tenor

Returns:

The Agrregated Composite Tenor