Bullet.java
- package org.drip.analytics.cashflow;
- /*
- * -*- 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
- * Copyright (C) 2014 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>Bullet</i> is designed to hold the Point Realizations of the Latent States relevant to Terminal
- * Valuation of a Bullet Cash Flow. Current it contains the Period Dates, Period Latent State Identifiers,
- * and the "Extensive" Fields.
- *
- * <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/analytics/README.md">Date, Cash Flow, and Cash Flow Period Measure Generation Utilities</a></li>
- * <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/analytics/cashflow/README.md">Unit and Composite Cash Flow Periods</a></li>
- * </ul>
- *
- * @author Lakshmi Krishnamurthy
- */
- public class Bullet {
- /*
- * Date Fields
- */
- private int _iPayDate = java.lang.Integer.MIN_VALUE;
- private int _iFXFixingDate = java.lang.Integer.MIN_VALUE;
- private int _iTerminalDate = java.lang.Integer.MIN_VALUE;
- /*
- * Period Latent State Identification Support Fields
- */
- private java.lang.String _strPayCurrency = "";
- private java.lang.String _strCouponCurrency = "";
- private org.drip.state.identifier.EntityCDSLabel _creditLabel = null;
- /*
- * Period Cash Extensive Fields
- */
- private double _dblBaseNotional = java.lang.Double.NaN;
- private org.drip.numerical.common.Array2D _a2DNotionalSchedule = null;
- private org.drip.analytics.output.ConvexityAdjustment convexityAdjustment (
- final int iValueDate,
- final org.drip.param.market.CurveSurfaceQuoteContainer csqc)
- {
- org.drip.state.identifier.FXLabel fxLabel = fxLabel();
- org.drip.state.identifier.EntityCDSLabel creditLabel = creditLabel();
- org.drip.state.identifier.FundingLabel fundingLabel = fundingLabel();
- org.drip.analytics.output.ConvexityAdjustment convAdj = new
- org.drip.analytics.output.ConvexityAdjustment();
- try {
- if (
- !convAdj.setCreditFunding (
- null != csqc ? java.lang.Math.exp (
- org.drip.analytics.support.OptionHelper.IntegratedCrossVolQuanto (
- csqc.creditVolatility (creditLabel),
- csqc.fundingVolatility (fundingLabel),
- csqc.creditFundingCorrelation (
- creditLabel,
- fundingLabel
- ),
- iValueDate,
- _iPayDate
- )
- ) : 1.
- ))
- return null;
- if (
- !convAdj.setCreditFX (
- null != csqc && isFXMTM() ? java.lang.Math.exp (
- org.drip.analytics.support.OptionHelper.IntegratedCrossVolQuanto (
- csqc.creditVolatility (creditLabel),
- csqc.fxVolatility (fxLabel),
- csqc.creditFXCorrelation (
- creditLabel,
- fxLabel
- ),
- iValueDate,
- _iPayDate
- )
- ) : 1.
- ))
- return null;
- if (
- !convAdj.setFundingFX (
- null != csqc && isFXMTM() ? java.lang.Math.exp (
- org.drip.analytics.support.OptionHelper.IntegratedCrossVolQuanto (
- csqc.fundingVolatility (fundingLabel),
- csqc.fxVolatility (fxLabel),
- csqc.fundingFXCorrelation (
- fundingLabel,
- fxLabel
- ),
- iValueDate,
- _iPayDate
- )
- ) : 1.
- ))
- return null;
- return convAdj;
- } catch (java.lang.Exception e) {
- e.printStackTrace();
- }
- return null;
- }
- /**
- * Construct a Bullet Instance from the specified Parameters
- *
- * @param iTerminalDate Period End Date
- * @param iPayDate Period Pay Date
- * @param iFXFixingDate FX Fixing Date for non-MTM Cash-flow
- * @param dblBaseNotional Coupon Period Base Notional
- * @param a2DNotionalSchedule Coupon Period Notional Schedule
- * @param strPayCurrency Pay Currency
- * @param strCouponCurrency Coupon Currency
- * @param creditLabel Credit Label
- *
- * @throws java.lang.Exception Thrown if the Inputs are Invalid
- */
- public Bullet (
- final int iTerminalDate,
- final int iPayDate,
- final int iFXFixingDate,
- final double dblBaseNotional,
- final org.drip.numerical.common.Array2D a2DNotionalSchedule,
- final java.lang.String strPayCurrency,
- final java.lang.String strCouponCurrency,
- final org.drip.state.identifier.EntityCDSLabel creditLabel)
- throws java.lang.Exception
- {
- if (!org.drip.numerical.common.NumberUtil.IsValid (_dblBaseNotional = dblBaseNotional) ||
- null == (_strPayCurrency = strPayCurrency) || _strPayCurrency.isEmpty() ||
- null == (_strCouponCurrency = strCouponCurrency) || _strCouponCurrency.isEmpty())
- throw new java.lang.Exception ("Bullet Constructor => Invalid inputs");
- _iPayDate = iPayDate;
- _creditLabel = creditLabel;
- _iFXFixingDate = iFXFixingDate;
- _iTerminalDate = iTerminalDate;
- if (null == (_a2DNotionalSchedule = a2DNotionalSchedule))
- _a2DNotionalSchedule = org.drip.numerical.common.Array2D.BulletSchedule();
- }
- /**
- * Retrieve the Terminal Date
- *
- * @return Terminal Date
- */
- public int terminalDate()
- {
- return _iTerminalDate;
- }
- /**
- * Retrieve the Period Pay Date
- *
- * @return Period Pay Date
- */
- public int payDate()
- {
- return _iPayDate;
- }
- /**
- * Retrieve the Period FX Fixing Date
- *
- * @return Period FX Fixing Date
- */
- public int fxFixingDate()
- {
- return _iFXFixingDate;
- }
- /**
- * Coupon Period FX
- *
- * @param csqc Market Parameters
- *
- * @return Period FX
- *
- * @throws java.lang.Exception Thrown if the Inputs are Invalid
- */
- public double fx (
- final org.drip.param.market.CurveSurfaceQuoteContainer csqc)
- throws java.lang.Exception
- {
- org.drip.state.identifier.FXLabel fxLabel = fxLabel();
- if (null == fxLabel) return 1.;
- if (null == csqc) throw new java.lang.Exception ("Bullet::fx => Invalid Inputs");
- if (!isFXMTM()) return csqc.fixing (_iFXFixingDate, fxLabel);
- org.drip.state.fx.FXCurve fxfc = csqc.fxState (fxLabel);
- if (null == fxfc)
- throw new java.lang.Exception ("Bullet::fx => No Curve for " + fxLabel.fullyQualifiedName());
- return fxfc.fx (_iPayDate);
- }
- /**
- * Is the Cash Flow FX MTM?
- *
- * @return true - FX MTM is on (i.e., FX is not driven by FX Fixing)
- */
- public boolean isFXMTM()
- {
- return java.lang.Integer.MIN_VALUE != _iFXFixingDate;
- }
- /**
- * Retrieve the Pay Currency
- *
- * @return The Pay Currency
- */
- public java.lang.String payCurrency()
- {
- return _strPayCurrency;
- }
- /**
- * Retrieve the Coupon Currency
- *
- * @return The Coupon Currency
- */
- public java.lang.String couponCurrency()
- {
- return _strCouponCurrency;
- }
- /**
- * Get the Base Notional
- *
- * @return Base Notional
- */
- public double baseNotional()
- {
- return _dblBaseNotional;
- }
- /**
- * Get the Notional Schedule
- *
- * @return Notional Schedule
- */
- public org.drip.numerical.common.Array2D notionalSchedule()
- {
- return _a2DNotionalSchedule;
- }
- /**
- * Notional corresponding to the specified Date
- *
- * @param iDate The Specified Date
- *
- * @return The Corresponding to the specified Date
- *
- * @throws java.lang.Exception Thrown if the Inputs are Invalid
- */
- public double notional (
- final int iDate)
- throws java.lang.Exception
- {
- return _dblBaseNotional * (null == _a2DNotionalSchedule ? 1. : _a2DNotionalSchedule.y (iDate));
- }
- /**
- * Notional Aggregated over the specified Dates
- *
- * @param iDate1 The Date #1
- * @param iDate2 The Date #2
- *
- * @return The Notional Aggregated over the specified Dates
- *
- * @throws java.lang.Exception Thrown if the Inputs are Invalid
- */
- public double notional (
- final int iDate1,
- final int iDate2)
- throws java.lang.Exception
- {
- return _dblBaseNotional * (
- null == _a2DNotionalSchedule ? 1. : _a2DNotionalSchedule.y (
- iDate1,
- iDate2
- )
- );
- }
- /**
- * Return the Collateral Label
- *
- * @return The Collateral Label
- */
- public org.drip.state.identifier.CollateralLabel collateralLabel()
- {
- return org.drip.state.identifier.CollateralLabel.Standard (_strPayCurrency);
- }
- /**
- * Return the Credit Label
- *
- * @return The Credit Label
- */
- public org.drip.state.identifier.EntityCDSLabel creditLabel()
- {
- return _creditLabel;
- }
- /**
- * Return the Funding Label
- *
- * @return The Funding Label
- */
- public org.drip.state.identifier.FundingLabel fundingLabel()
- {
- return org.drip.state.identifier.FundingLabel.Standard (_strPayCurrency);
- }
- /**
- * Return the FX Label
- *
- * @return The FX Label
- */
- public org.drip.state.identifier.FXLabel fxLabel()
- {
- return _strPayCurrency.equalsIgnoreCase (_strCouponCurrency) ? null :
- org.drip.state.identifier.FXLabel.Standard (_strPayCurrency + "/" + _strCouponCurrency);
- }
- /**
- * Compute the Metrics at the specified Valuation Date
- *
- * @param iValueDate Valuation Date
- * @param csqc The Market Curve Surface/Quote Set
- *
- * @return The Metrics at the specified Valuation Date
- */
- public org.drip.analytics.output.BulletMetrics metrics (
- final int iValueDate,
- final org.drip.param.market.CurveSurfaceQuoteContainer csqc)
- {
- double dblDF = 1.;
- double dblSurvival = 1.;
- org.drip.state.identifier.FXLabel fxLabel = fxLabel();
- org.drip.state.identifier.FundingLabel fundingLabel = fundingLabel();
- org.drip.state.credit.CreditCurve cc = null == csqc ? null :
- csqc.creditState (_creditLabel);
- org.drip.state.discount.MergedDiscountForwardCurve dcFunding = null == csqc ? null :
- csqc.fundingState (fundingLabel);
- try {
- double dblFX = fx (csqc);
- if (null != dcFunding) dblDF = dcFunding.df (_iPayDate);
- if (null != cc) dblSurvival = cc.survival (_iPayDate);
- return new org.drip.analytics.output.BulletMetrics (
- _iTerminalDate,
- _iPayDate,
- notional (_iTerminalDate),
- dblSurvival,
- dblDF,
- dblFX,
- convexityAdjustment (
- iValueDate,
- csqc
- ),
- _creditLabel,
- fundingLabel,
- fxLabel
- );
- } catch (java.lang.Exception e) {
- e.printStackTrace();
- }
- return null;
- }
- /**
- * Generate the Funding Predictor/Response Constraint
- *
- * @param iValueDate Valuation Date
- * @param csqc Market Curve Surface/Quote Set
- * @param pqs Calibration Product Quote Set
- *
- * @return The Funding Predictor/Response Constraint
- */
- public org.drip.state.estimator.PredictorResponseWeightConstraint fundingPRWC (
- final int iValueDate,
- final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
- final org.drip.product.calib.ProductQuoteSet pqs)
- {
- if (null == pqs) return null;
- double dblPV = 0.;
- org.drip.state.estimator.PredictorResponseWeightConstraint prwc = new
- org.drip.state.estimator.PredictorResponseWeightConstraint();
- org.drip.analytics.output.BulletMetrics bm = metrics (
- iValueDate,
- csqc
- );
- if (null == bm) return null;
- java.util.Map<java.lang.Integer, java.lang.Double> mapDiscountFactorLoading =
- bm.discountFactorFundingLoading (pqs.fundingLabel());
- if (null != mapDiscountFactorLoading && 0 != mapDiscountFactorLoading.size()) {
- for (java.util.Map.Entry<java.lang.Integer, java.lang.Double> meDiscountFactorLoading :
- mapDiscountFactorLoading.entrySet()) {
- int iDateAnchor = meDiscountFactorLoading.getKey();
- double dblDiscountFactorFundingLoading = meDiscountFactorLoading.getValue();
- if (
- !prwc.addPredictorResponseWeight (
- iDateAnchor,
- dblDiscountFactorFundingLoading
- )
- )
- return null;
- if (
- !prwc.addDResponseWeightDManifestMeasure (
- "PV",
- iDateAnchor,
- dblDiscountFactorFundingLoading
- )
- )
- return null;
- }
- } else
- dblPV -= bm.annuity();
- if (!prwc.updateValue (dblPV)) return null;
- if (
- !prwc.updateDValueDManifestMeasure (
- "PV",
- 1.
- )
- )
- return null;
- return prwc;
- }
- }