LossQuadratureMetrics.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.  * Copyright (C) 2013 Lakshmi Krishnamurthy
  16.  * Copyright (C) 2012 Lakshmi Krishnamurthy
  17.  * Copyright (C) 2011 Lakshmi Krishnamurthy
  18.  * 
  19.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  20.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  21.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  22.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  23.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  24.  *      and computational support.
  25.  *  
  26.  *      https://lakshmidrip.github.io/DROP/
  27.  *  
  28.  *  DROP is composed of three modules:
  29.  *  
  30.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  31.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  32.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  33.  * 
  34.  *  DROP Product Core implements libraries for the following:
  35.  *  - Fixed Income Analytics
  36.  *  - Loan Analytics
  37.  *  - Transaction Cost Analytics
  38.  * 
  39.  *  DROP Portfolio Core implements libraries for the following:
  40.  *  - Asset Allocation Analytics
  41.  *  - Asset Liability Management Analytics
  42.  *  - Capital Estimation Analytics
  43.  *  - Exposure Analytics
  44.  *  - Margin Analytics
  45.  *  - XVA Analytics
  46.  * 
  47.  *  DROP Computational Core implements libraries for the following:
  48.  *  - Algorithm Support
  49.  *  - Computation Support
  50.  *  - Function Analysis
  51.  *  - Model Validation
  52.  *  - Numerical Analysis
  53.  *  - Numerical Optimizer
  54.  *  - Spline Builder
  55.  *  - Statistical Learning
  56.  * 
  57.  *  Documentation for DROP is Spread Over:
  58.  * 
  59.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  60.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  61.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  62.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  63.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  64.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  65.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  66.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  67.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  68.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  69.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  70.  * 
  71.  *  Licensed under the Apache License, Version 2.0 (the "License");
  72.  *      you may not use this file except in compliance with the License.
  73.  *   
  74.  *  You may obtain a copy of the License at
  75.  *      http://www.apache.org/licenses/LICENSE-2.0
  76.  *  
  77.  *  Unless required by applicable law or agreed to in writing, software
  78.  *      distributed under the License is distributed on an "AS IS" BASIS,
  79.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  80.  *  
  81.  *  See the License for the specific language governing permissions and
  82.  *      limitations under the License.
  83.  */

  85. /**
  86.  * <i>LossPeriodCurveFactors</i> is an Implementation of the Period Class enhanced by the Loss Period
  87.  * Measures. It exports the following Functionality:
  88.  *
  89.  *  <br><br>
  90.  *  <ul>
  91.  *      <li>
  92.  *          Start/End Survival Probabilities
  93.  *      </li>
  94.  *      <li>
  95.  *          Period Effective Notional/Recovery/Discount Factor
  96.  *      </li>
  97.  *      <li>
  98.  *          Serialization into and De-serialization out of Byte Arrays
  99.  *      </li>
  100.  *  </ul>
  101.  *
  102.  *  <br><br>
  103.  *  <ul>
  104.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  105.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  106.  *      <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>
  107.  *      <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>
  108.  *  </ul>
  109.  *
  110.  * @author Lakshmi Krishnamurthy
  111.  */

  113. public class LossQuadratureMetrics {
  114.     private int _iEndDate = java.lang.Integer.MIN_VALUE;
  115.     private int _iStartDate = java.lang.Integer.MIN_VALUE;
  116.     private double _dblAccrualDCF = java.lang.Double.NaN;
  117.     private double _dblEffectiveDF = java.lang.Double.NaN;
  118.     private double _dblEndSurvival = java.lang.Double.NaN;
  119.     private double _dblStartSurvival = java.lang.Double.NaN;
  120.     private double _dblEffectiveNotional = java.lang.Double.NaN;
  121.     private double _dblEffectiveRecovery = java.lang.Double.NaN;

  123.     /**
  124.      * Create an Instance of the LossPeriodCurveFactors using the Period's Dates and Curves to generate the
  125.      *  Curve Measures
  126.      * 
  127.      * @param iStartDate Period Start Date
  128.      * @param iEndDate Period End Date
  129.      * @param dblAccrualDCF Period's Accrual Day Count Fraction
  130.      * @param dblEffectiveNotional Period's Effective Notional
  131.      * @param dblEffectiveRecovery Period's Effective Recovery
  132.      * @param dc Discount Curve
  133.      * @param cc Credit Curve
  134.      * @param iDefaultLag Default Pay Lag
  135.      * 
  136.      * @return LossPeriodCurveFactors Instance
  137.      */

  139.     public static final LossQuadratureMetrics MakeDefaultPeriod (
  140.         final int iStartDate,
  141.         final int iEndDate,
  142.         final double dblAccrualDCF,
  143.         final double dblEffectiveNotional,
  144.         final double dblEffectiveRecovery,
  145.         final org.drip.state.discount.MergedDiscountForwardCurve dc,
  146.         final org.drip.state.credit.CreditCurve cc,
  147.         final int iDefaultLag)
  148.     {
  149.         if (
  150.             !org.drip.numerical.common.NumberUtil.IsValid (dblAccrualDCF) ||
  151.             !org.drip.numerical.common.NumberUtil.IsValid (dblEffectiveNotional) ||
  152.             !org.drip.numerical.common.NumberUtil.IsValid (dblEffectiveRecovery) ||
  153.             null == dc ||
  154.             null == cc
  155.         )
  156.             return null;

  158.         try {
  159.             return new LossQuadratureMetrics (
  160.                 iStartDate,
  161.                 iEndDate,
  162.                 cc.survival (iStartDate),
  163.                 cc.survival (iEndDate),
  164.                 dblAccrualDCF,
  165.                 dblEffectiveNotional,
  166.                 dblEffectiveRecovery,
  167.                 dc.effectiveDF (
  168.                     iStartDate + iDefaultLag,
  169.                     iEndDate + iDefaultLag
  170.                 )
  171.             );
  172.         } catch (java.lang.Exception e) {
  173.             e.printStackTrace();
  174.         }

  176.         return null;
  177.     }

  179.     /**
  180.      * Create a LossPeriodCurveFactors Instance from the Period Dates and the Curve Measures
  181.      * 
  182.      * @param iStartDate Period Start Date
  183.      * @param iEndDate Period End Date
  184.      * @param dblAccrualDCF Period's Accrual Day Count Fraction
  185.      * @param dblEffectiveNotional Period's Effective Notional
  186.      * @param dc Discount Curve
  187.      * @param cc Credit Curve
  188.      * @param iDefaultLag Default Pay Lag
  189.      * 
  190.      * @return LossPeriodCurveFactors instance
  191.      */

  193.     public static final LossQuadratureMetrics MakeDefaultPeriod (
  194.         final int iStartDate,
  195.         final int iEndDate,
  196.         final double dblAccrualDCF,
  197.         final double dblEffectiveNotional,
  198.         final org.drip.state.discount.MergedDiscountForwardCurve dc,
  199.         final org.drip.state.credit.CreditCurve cc,
  200.         final int iDefaultLag)
  201.     {
  202.         if (
  203.             !org.drip.numerical.common.NumberUtil.IsValid (dblAccrualDCF) ||
  204.             !org.drip.numerical.common.NumberUtil.IsValid (dblEffectiveNotional) ||
  205.             null == dc ||
  206.             null == cc
  207.         )
  208.             return null;

  210.         try {
  211.             return new LossQuadratureMetrics (
  212.                 iStartDate,
  213.                 iEndDate,
  214.                 cc.survival (iStartDate),
  215.                 cc.survival (iEndDate),
  216.                 dblAccrualDCF,
  217.                 dblEffectiveNotional,
  218.                 cc.effectiveRecovery (
  219.                     iStartDate + iDefaultLag,
  220.                     iEndDate + iDefaultLag
  221.                 ),
  222.                 dc.effectiveDF (
  223.                     iStartDate + iDefaultLag,
  224.                     iEndDate + iDefaultLag
  225.                 )
  226.             );
  227.         } catch (java.lang.Exception e) {
  228.             e.printStackTrace();
  229.         }

  231.         return null;
  232.     }

  234.     /**
  235.      * LossPeriodCurveFactors Constructor
  236.      * 
  237.      * @param iStartDate Period Start Date
  238.      * @param iEndDate Period End Date
  239.      * @param dblStartSurvival Period Start Survival
  240.      * @param dblEndSurvival Period End Survival
  241.      * @param dblAccrualDCF Period Accrual DCF
  242.      * @param dblEffectiveNotional Period Effective Notional
  243.      * @param dblEffectiveRecovery Period Effective Recovery
  244.      * @param dblEffectiveDF Period Effective Discount Factor
  245.      * 
  246.      * @throws java.lang.Exception Thrown if inputs are invalid
  247.      */

  249.     public LossQuadratureMetrics (
  250.         final int iStartDate,
  251.         final int iEndDate,
  252.         final double dblStartSurvival,
  253.         final double dblEndSurvival,
  254.         final double dblAccrualDCF,
  255.         final double dblEffectiveNotional,
  256.         final double dblEffectiveRecovery,
  257.         final double dblEffectiveDF)
  258.         throws java.lang.Exception
  259.     {
  260.         if (
  261.             !org.drip.numerical.common.NumberUtil.IsValid (_dblStartSurvival = dblStartSurvival) ||
  262.             !org.drip.numerical.common.NumberUtil.IsValid (_dblEndSurvival = dblEndSurvival) ||
  263.             !org.drip.numerical.common.NumberUtil.IsValid (_dblAccrualDCF = dblAccrualDCF) ||
  264.             !org.drip.numerical.common.NumberUtil.IsValid (_dblEffectiveNotional = dblEffectiveNotional) ||
  265.             !org.drip.numerical.common.NumberUtil.IsValid (_dblEffectiveRecovery = dblEffectiveRecovery) ||
  266.             !org.drip.numerical.common.NumberUtil.IsValid (_dblEffectiveDF = dblEffectiveDF)
  267.         )
  268.             throw new java.lang.Exception ("LossPeriodCurveFactors Constructor => Invalid params");

  270.         _iEndDate = iEndDate;
  271.         _iStartDate = iStartDate;
  272.     }

  274.     /**
  275.      * Period Start Date
  276.      * 
  277.      * @return Period Start Date
  278.      */

  280.     public int startDate()
  281.     {
  282.         return _iStartDate;
  283.     }

  285.     /**
  286.      * Survival Probability at the Period Beginning
  287.      * 
  288.      * @return Survival Probability at the Period Beginning
  289.      */

  291.     public double startSurvival()
  292.     {
  293.         return _dblStartSurvival;
  294.     }

  296.     /**
  297.      * Period End Date
  298.      * 
  299.      * @return Period End Date
  300.      */

  302.     public int endDate()
  303.     {
  304.         return _iEndDate;
  305.     }

  307.     /**
  308.      * Survival at the Period End
  309.      * 
  310.      * @return Survival at the Period End
  311.      */

  313.     public double endSurvival()
  314.     {
  315.         return _dblEndSurvival;
  316.     }

  318.     /**
  319.      * Get the Period Effective Notional
  320.      * 
  321.      * @return Period Effective Notional
  322.      */

  324.     public double effectiveNotional()
  325.     {
  326.         return _dblEffectiveNotional;
  327.     }

  329.     /**
  330.      * Get the Period Effective Recovery
  331.      * 
  332.      * @return Period Effective Recovery
  333.      */

  335.     public double effectiveRecovery()
  336.     {
  337.         return _dblEffectiveRecovery;
  338.     }

  340.     /**
  341.      * Get the Period Effective Discount Factor
  342.      * 
  343.      * @return Period Effective Discount Factor
  344.      */

  346.     public double effectiveDF()
  347.     {
  348.         return _dblEffectiveDF;
  349.     }

  351.     /**
  352.      * Get the Period Accrual Day Count Fraction
  353.      * 
  354.      * @return Period Accrual Day Count Fraction
  355.      */

  357.     public double accrualDCF()
  358.     {
  359.         return _dblAccrualDCF;
  360.     }
  361. }
Created with JaCoCo 0.7.9.201702052155