LossQuadratureMetrics.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
* Copyright (C) 2013 Lakshmi Krishnamurthy
* Copyright (C) 2012 Lakshmi Krishnamurthy
* Copyright (C) 2011 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>LossPeriodCurveFactors</i> is an Implementation of the Period Class enhanced by the Loss Period
* Measures. It exports the following Functionality:
*
* <br><br>
* <ul>
* <li>
* Start/End Survival Probabilities
* </li>
* <li>
* Period Effective Notional/Recovery/Discount Factor
* </li>
* <li>
* Serialization into and De-serialization out of Byte Arrays
* </li>
* </ul>
*
* <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 LossQuadratureMetrics {
private int _iEndDate = java.lang.Integer.MIN_VALUE;
private int _iStartDate = java.lang.Integer.MIN_VALUE;
private double _dblAccrualDCF = java.lang.Double.NaN;
private double _dblEffectiveDF = java.lang.Double.NaN;
private double _dblEndSurvival = java.lang.Double.NaN;
private double _dblStartSurvival = java.lang.Double.NaN;
private double _dblEffectiveNotional = java.lang.Double.NaN;
private double _dblEffectiveRecovery = java.lang.Double.NaN;
/**
* Create an Instance of the LossPeriodCurveFactors using the Period's Dates and Curves to generate the
* Curve Measures
*
* @param iStartDate Period Start Date
* @param iEndDate Period End Date
* @param dblAccrualDCF Period's Accrual Day Count Fraction
* @param dblEffectiveNotional Period's Effective Notional
* @param dblEffectiveRecovery Period's Effective Recovery
* @param dc Discount Curve
* @param cc Credit Curve
* @param iDefaultLag Default Pay Lag
*
* @return LossPeriodCurveFactors Instance
*/
public static final LossQuadratureMetrics MakeDefaultPeriod (
final int iStartDate,
final int iEndDate,
final double dblAccrualDCF,
final double dblEffectiveNotional,
final double dblEffectiveRecovery,
final org.drip.state.discount.MergedDiscountForwardCurve dc,
final org.drip.state.credit.CreditCurve cc,
final int iDefaultLag)
{
if (
!org.drip.numerical.common.NumberUtil.IsValid (dblAccrualDCF) ||
!org.drip.numerical.common.NumberUtil.IsValid (dblEffectiveNotional) ||
!org.drip.numerical.common.NumberUtil.IsValid (dblEffectiveRecovery) ||
null == dc ||
null == cc
)
return null;
try {
return new LossQuadratureMetrics (
iStartDate,
iEndDate,
cc.survival (iStartDate),
cc.survival (iEndDate),
dblAccrualDCF,
dblEffectiveNotional,
dblEffectiveRecovery,
dc.effectiveDF (
iStartDate + iDefaultLag,
iEndDate + iDefaultLag
)
);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* Create a LossPeriodCurveFactors Instance from the Period Dates and the Curve Measures
*
* @param iStartDate Period Start Date
* @param iEndDate Period End Date
* @param dblAccrualDCF Period's Accrual Day Count Fraction
* @param dblEffectiveNotional Period's Effective Notional
* @param dc Discount Curve
* @param cc Credit Curve
* @param iDefaultLag Default Pay Lag
*
* @return LossPeriodCurveFactors instance
*/
public static final LossQuadratureMetrics MakeDefaultPeriod (
final int iStartDate,
final int iEndDate,
final double dblAccrualDCF,
final double dblEffectiveNotional,
final org.drip.state.discount.MergedDiscountForwardCurve dc,
final org.drip.state.credit.CreditCurve cc,
final int iDefaultLag)
{
if (
!org.drip.numerical.common.NumberUtil.IsValid (dblAccrualDCF) ||
!org.drip.numerical.common.NumberUtil.IsValid (dblEffectiveNotional) ||
null == dc ||
null == cc
)
return null;
try {
return new LossQuadratureMetrics (
iStartDate,
iEndDate,
cc.survival (iStartDate),
cc.survival (iEndDate),
dblAccrualDCF,
dblEffectiveNotional,
cc.effectiveRecovery (
iStartDate + iDefaultLag,
iEndDate + iDefaultLag
),
dc.effectiveDF (
iStartDate + iDefaultLag,
iEndDate + iDefaultLag
)
);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* LossPeriodCurveFactors Constructor
*
* @param iStartDate Period Start Date
* @param iEndDate Period End Date
* @param dblStartSurvival Period Start Survival
* @param dblEndSurvival Period End Survival
* @param dblAccrualDCF Period Accrual DCF
* @param dblEffectiveNotional Period Effective Notional
* @param dblEffectiveRecovery Period Effective Recovery
* @param dblEffectiveDF Period Effective Discount Factor
*
* @throws java.lang.Exception Thrown if inputs are invalid
*/
public LossQuadratureMetrics (
final int iStartDate,
final int iEndDate,
final double dblStartSurvival,
final double dblEndSurvival,
final double dblAccrualDCF,
final double dblEffectiveNotional,
final double dblEffectiveRecovery,
final double dblEffectiveDF)
throws java.lang.Exception
{
if (
!org.drip.numerical.common.NumberUtil.IsValid (_dblStartSurvival = dblStartSurvival) ||
!org.drip.numerical.common.NumberUtil.IsValid (_dblEndSurvival = dblEndSurvival) ||
!org.drip.numerical.common.NumberUtil.IsValid (_dblAccrualDCF = dblAccrualDCF) ||
!org.drip.numerical.common.NumberUtil.IsValid (_dblEffectiveNotional = dblEffectiveNotional) ||
!org.drip.numerical.common.NumberUtil.IsValid (_dblEffectiveRecovery = dblEffectiveRecovery) ||
!org.drip.numerical.common.NumberUtil.IsValid (_dblEffectiveDF = dblEffectiveDF)
)
throw new java.lang.Exception ("LossPeriodCurveFactors Constructor => Invalid params");
_iEndDate = iEndDate;
_iStartDate = iStartDate;
}
/**
* Period Start Date
*
* @return Period Start Date
*/
public int startDate()
{
return _iStartDate;
}
/**
* Survival Probability at the Period Beginning
*
* @return Survival Probability at the Period Beginning
*/
public double startSurvival()
{
return _dblStartSurvival;
}
/**
* Period End Date
*
* @return Period End Date
*/
public int endDate()
{
return _iEndDate;
}
/**
* Survival at the Period End
*
* @return Survival at the Period End
*/
public double endSurvival()
{
return _dblEndSurvival;
}
/**
* Get the Period Effective Notional
*
* @return Period Effective Notional
*/
public double effectiveNotional()
{
return _dblEffectiveNotional;
}
/**
* Get the Period Effective Recovery
*
* @return Period Effective Recovery
*/
public double effectiveRecovery()
{
return _dblEffectiveRecovery;
}
/**
* Get the Period Effective Discount Factor
*
* @return Period Effective Discount Factor
*/
public double effectiveDF()
{
return _dblEffectiveDF;
}
/**
* Get the Period Accrual Day Count Fraction
*
* @return Period Accrual Day Count Fraction
*/
public double accrualDCF()
{
return _dblAccrualDCF;
}
}