ComposableUnitFloatingPeriod.java

  1. package org.drip.analytics.cashflow;

  3. /*
  4.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  5.  */

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  11.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  12.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  13.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  14.  * Copyright (C) 2014 Lakshmi Krishnamurthy
  15.  * 
  16.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  17.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  18.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  19.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  20.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  21.  *      and computational support.
  22.  *  
  23.  *      https://lakshmidrip.github.io/DROP/
  24.  *  
  25.  *  DROP is composed of three modules:
  26.  *  
  27.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  28.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  29.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  30.  * 
  31.  *  DROP Product Core implements libraries for the following:
  32.  *  - Fixed Income Analytics
  33.  *  - Loan Analytics
  34.  *  - Transaction Cost Analytics
  35.  * 
  36.  *  DROP Portfolio Core implements libraries for the following:
  37.  *  - Asset Allocation Analytics
  38.  *  - Asset Liability Management Analytics
  39.  *  - Capital Estimation Analytics
  40.  *  - Exposure Analytics
  41.  *  - Margin Analytics
  42.  *  - XVA Analytics
  43.  * 
  44.  *  DROP Computational Core implements libraries for the following:
  45.  *  - Algorithm Support
  46.  *  - Computation Support
  47.  *  - Function Analysis
  48.  *  - Model Validation
  49.  *  - Numerical Analysis
  50.  *  - Numerical Optimizer
  51.  *  - Spline Builder
  52.  *  - Statistical Learning
  53.  * 
  54.  *  Documentation for DROP is Spread Over:
  55.  * 
  56.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  57.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  58.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  59.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  60.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  61.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  62.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  63.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  64.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  65.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  66.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  67.  * 
  68.  *  Licensed under the Apache License, Version 2.0 (the "License");
  69.  *      you may not use this file except in compliance with the License.
  70.  *   
  71.  *  You may obtain a copy of the License at
  72.  *      http://www.apache.org/licenses/LICENSE-2.0
  73.  *  
  74.  *  Unless required by applicable law or agreed to in writing, software
  75.  *      distributed under the License is distributed on an "AS IS" BASIS,
  76.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  77.  *  
  78.  *  See the License for the specific language governing permissions and
  79.  *      limitations under the License.
  80.  */

  82. /**
  83.  * <i>ComposableUnitFloatingPeriod</i> contains the Floating Cash Flow Periods' Composable Period Details.
  84.  * Currently it holds the Accrual Start Date, the Accrual End Date, the Fixing Date, the Spread over the
  85.  * Index, and the corresponding Reference Index Period.
  86.  *
  87.  *  <br><br>
  88.  *  <ul>
  89.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  90.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  91.  *      <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>
  92.  *      <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>
  93.  *  </ul>
  94.  *
  95.  * @author Lakshmi Krishnamurthy
  96.  */

  98. public class ComposableUnitFloatingPeriod extends org.drip.analytics.cashflow.ComposableUnitPeriod {
  99.     private double _dblSpread = java.lang.Double.NaN;
  100.     private org.drip.analytics.cashflow.ReferenceIndexPeriod _rip = null;

  102.     private org.drip.analytics.date.JulianDate lookBackProjectionDate (
  103.         final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
  104.         final org.drip.state.identifier.ForwardLabel forwardLabel,
  105.         final org.drip.market.definition.OvernightIndex oi)
  106.     {
  107.         int iSkipBackDay = 0;
  108.         org.drip.analytics.date.JulianDate dtFixing = null;

  110.         org.drip.market.definition.FloaterIndex floaterIndex = forwardLabel.floaterIndex();

  112.         int iLookBackProjectionWindow = oi.publicationLag();

  114.         try {
  115.             dtFixing = new org.drip.analytics.date.JulianDate (_rip.fixingDate());

  117.             while (iSkipBackDay <= iLookBackProjectionWindow) {
  118.                 if (
  119.                     csqc.available (
  120.                         dtFixing,
  121.                         forwardLabel
  122.                     )
  123.                 )
  124.                 return dtFixing;

  126.                 if (null == (dtFixing = dtFixing.subtractBusDays (
  127.                     1,
  128.                     floaterIndex.calendar()
  129.                 )))
  130.                     return null;

  132.                 iSkipBackDay += 1;
  133.             }
  134.         } catch (java.lang.Exception e) {
  135.             e.printStackTrace();
  136.         }

  138.         return null;
  139.     }

  141.     private double baseForwardRate (
  142.         final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
  143.         final org.drip.state.identifier.ForwardLabel forwardLabel)
  144.         throws java.lang.Exception
  145.     {
  146.         org.drip.market.definition.FloaterIndex floaterIndex = forwardLabel.floaterIndex();

  148.         if (!(floaterIndex instanceof org.drip.market.definition.OvernightIndex)) {
  149.             int iFixingDate = _rip.fixingDate();

  151.             if (
  152.                 csqc.available (
  153.                     iFixingDate,
  154.                     forwardLabel
  155.                 )
  156.             )
  157.                 return csqc.fixing (
  158.                     iFixingDate,
  159.                     forwardLabel
  160.                 );
  161.         } else {
  162.             org.drip.analytics.date.JulianDate dtValidFixing = lookBackProjectionDate (
  163.                 csqc,
  164.                 forwardLabel,
  165.                 (org.drip.market.definition.OvernightIndex) floaterIndex
  166.             );

  168.             if (null != dtValidFixing)
  169.                 return csqc.fixing (
  170.                     dtValidFixing,
  171.                     forwardLabel
  172.                 );
  173.         }

  175.         int iReferencePeriodEndDate = _rip.endDate();

  177.         org.drip.state.forward.ForwardRateEstimator fre = csqc.forwardState (forwardLabel);

  179.         if (null != fre) return fre.forward (iReferencePeriodEndDate);

  181.         java.lang.String strForwardCurrency = forwardLabel.currency();

  183.         org.drip.state.discount.MergedDiscountForwardCurve dcFunding = csqc.fundingState
  184.             (org.drip.state.identifier.FundingLabel.Standard (strForwardCurrency));

  186.         if (null == dcFunding)
  187.             throw new java.lang.Exception
  188.                 ("ComposableUnitFloatingPeriod::baseForwardRate => Cannot locate Funding Curve " +
  189.                     strForwardCurrency);

  191.         int iEpochDate = dcFunding.epoch().julian();

  193.         int iReferencePeriodStartDate = _rip.startDate();

  195.         iReferencePeriodStartDate = iReferencePeriodStartDate > iEpochDate ? iReferencePeriodStartDate :
  196.             iEpochDate;

  198.         return dcFunding.libor (
  199.             iReferencePeriodStartDate,
  200.             iReferencePeriodEndDate,
  201.             org.drip.analytics.daycount.Convention.YearFraction (
  202.                 iReferencePeriodStartDate,
  203.                 iReferencePeriodEndDate,
  204.                 floaterIndex.dayCount(),
  205.                 false,
  206.                 null,
  207.                 floaterIndex.calendar()
  208.             )
  209.         );
  210.     }

  212.     private double baseOTCFixFloatRate (
  213.         final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
  214.         final org.drip.state.identifier.OTCFixFloatLabel otcFixFloatLabel)
  215.         throws java.lang.Exception
  216.     {
  217.         int iFixingDate = _rip.fixingDate();

  219.         if (csqc.available (
  220.             iFixingDate,
  221.             otcFixFloatLabel
  222.         ))
  223.             return csqc.fixing (
  224.                 iFixingDate,
  225.                 otcFixFloatLabel
  226.             );

  228.         java.lang.String strCurrency = otcFixFloatLabel.currency();

  230.         java.lang.String strOTCFixFloatMaturity = otcFixFloatLabel.fixFloatTenor();

  232.         org.drip.state.discount.MergedDiscountForwardCurve dcFunding = csqc.fundingState
  233.             (org.drip.state.identifier.FundingLabel.Standard (strCurrency));

  235.         if (null == dcFunding)
  236.             throw new java.lang.Exception
  237.                 ("ComposableUnitFloatingPeriod::baseOTCFixFloatRate => Cannot locate Funding Curve " +
  238.                     strCurrency);

  240.         org.drip.market.otc.FixedFloatSwapConvention ffsc =
  241.             org.drip.market.otc.IBORFixedFloatContainer.ConventionFromJurisdiction (
  242.                 strCurrency,
  243.                 "ALL",
  244.                 strOTCFixFloatMaturity,
  245.                 "MAIN"
  246.             );

  248.         if (null == ffsc)
  249.             throw new java.lang.Exception
  250.                 ("ComposableUnitFloatingPeriod::baseOTCFixFloatRate => Cannot locate Fix Float Convention!");

  252.         int iReferencePeriodStartDate = _rip.startDate();

  254.         org.drip.product.rates.FixFloatComponent ffc = ffsc.createFixFloatComponent (
  255.             new org.drip.analytics.date.JulianDate (iReferencePeriodStartDate),
  256.             strOTCFixFloatMaturity,
  257.             0.,
  258.             0.,
  259.             1.
  260.         );

  262.         if (null == ffc)
  263.             throw new java.lang.Exception
  264.                 ("ComposableUnitFloatingPeriod::baseOTCFixFloatRate => Cannot create Fix Float Component!");

  266.         java.util.Map<java.lang.String, java.lang.Double> mapFFCOutput = ffc.value (
  267.             org.drip.param.valuation.ValuationParams.Spot (iReferencePeriodStartDate),
  268.             null,
  269.             org.drip.param.creator.MarketParamsBuilder.Create (
  270.                 dcFunding,
  271.                 null,
  272.                 null,
  273.                 null,
  274.                 null,
  275.                 null,
  276.                 null
  277.             ),
  278.             null
  279.         );

  281.         if (null == mapFFCOutput || !mapFFCOutput.containsKey ("SwapRate"))
  282.             throw new java.lang.Exception
  283.                 ("ComposableUnitFloatingPeriod::baseOTCFixFloatRate => Cannot calculate Swap Rate!");

  285.         return mapFFCOutput.get ("SwapRate");
  286.     }

  288.     /**
  289.      * The ComposableUnitFloatingPeriod Constructor
  290.      * 
  291.      * @param iStartDate Accrual Start Date
  292.      * @param iEndDate Accrual End Date
  293.      * @param strTenor The Composable Period Tenor
  294.      * @param rip The Reference Index Period
  295.      * @param dblSpread The Floater Spread
  296.      * 
  297.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  298.      */

  300.     public ComposableUnitFloatingPeriod (
  301.         final int iStartDate,
  302.         final int iEndDate,
  303.         final java.lang.String strTenor,
  304.         final org.drip.analytics.cashflow.ReferenceIndexPeriod rip,
  305.         final double dblSpread)
  306.         throws java.lang.Exception
  307.     {
  308.         super (
  309.             iStartDate,
  310.             iEndDate,
  311.             strTenor,
  312.             rip.floaterLabel().ucas()
  313.         );

  315.         if (!org.drip.numerical.common.NumberUtil.IsValid (_dblSpread = dblSpread))
  316.             throw new java.lang.Exception ("ComposableUnitFloatingPeriod Constructor => Invalid Inputs");

  318.         _rip = rip;
  319.     }

  321.     /**
  322.      * Retrieve the Reference Rate for the Floating Period
  323.      * 
  324.      * @param csqc The Market Curve and Surface
  325.      * 
  326.      * @return The Reference Rate for the Floating Period
  327.      * 
  328.      * @throws java.lang.Exception Thrown if the inputs are invalid
  329.      */

  331.     @Override public double baseRate (
  332.         final org.drip.param.market.CurveSurfaceQuoteContainer csqc)
  333.         throws java.lang.Exception
  334.     {
  335.         if (null == csqc) return java.lang.Double.NaN;

  337.         org.drip.state.identifier.FloaterLabel floaterLabel = _rip.floaterLabel();

  339.         if (floaterLabel instanceof org.drip.state.identifier.ForwardLabel)
  340.             return baseForwardRate (
  341.                 csqc,
  342.                 (org.drip.state.identifier.ForwardLabel) _rip.floaterLabel()
  343.             );

  345.         if (floaterLabel instanceof org.drip.state.identifier.OTCFixFloatLabel)
  346.             return baseOTCFixFloatRate (
  347.                 csqc,
  348.                 (org.drip.state.identifier.OTCFixFloatLabel) _rip.floaterLabel()
  349.             );

  351.         throw new java.lang.Exception
  352.             ("ComposableUnitFloatingPeriod::baseRate => Unknown Reference Period Index");
  353.     }

  355.     @Override public double basis()
  356.     {
  357.         return _dblSpread;
  358.     }

  360.     @Override public java.lang.String couponCurrency()
  361.     {
  362.         return _rip.floaterLabel().currency();
  363.     }

  365.     /**
  366.      * Retrieve the Reference Index Period
  367.      * 
  368.      * @return The Reference Index Period
  369.      */

  371.     public org.drip.analytics.cashflow.ReferenceIndexPeriod referenceIndexPeriod()
  372.     {
  373.         return _rip;
  374.     }
  375. }
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