LatentStateStatic.java

  1. package org.drip.analytics.definition;

  2. /*
  3.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  4.  */

  5. /*!
  6.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  7.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  8.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  11.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  12.  * Copyright (C) 2014 Lakshmi Krishnamurthy
  13.  *
  14.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  15.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  16.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  17.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  18.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  19.  *      and computational support.
  20.  *  
  21.  *      https://lakshmidrip.github.io/DROP/
  22.  *  
  23.  *  DROP is composed of three modules:
  24.  *  
  25.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  26.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  27.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  28.  *
  29.  *  DROP Product Core implements libraries for the following:
  30.  *  - Fixed Income Analytics
  31.  *  - Loan Analytics
  32.  *  - Transaction Cost Analytics
  33.  *
  34.  *  DROP Portfolio Core implements libraries for the following:
  35.  *  - Asset Allocation Analytics
  36.  *  - Asset Liability Management Analytics
  37.  *  - Capital Estimation Analytics
  38.  *  - Exposure Analytics
  39.  *  - Margin Analytics
  40.  *  - XVA Analytics
  41.  *
  42.  *  DROP Computational Core implements libraries for the following:
  43.  *  - Algorithm Support
  44.  *  - Computation Support
  45.  *  - Function Analysis
  46.  *  - Model Validation
  47.  *  - Numerical Analysis
  48.  *  - Numerical Optimizer
  49.  *  - Spline Builder
  50.  *  - Statistical Learning
  51.  *
  52.  *  Documentation for DROP is Spread Over:
  53.  *
  54.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  55.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  56.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  57.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  58.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  59.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  60.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  61.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  62.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  63.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  64.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  65.  *
  66.  *  Licensed under the Apache License, Version 2.0 (the "License");
  67.  *      you may not use this file except in compliance with the License.
  68.  *  
  69.  *  You may obtain a copy of the License at
  70.  *      http://www.apache.org/licenses/LICENSE-2.0
  71.  *  
  72.  *  Unless required by applicable law or agreed to in writing, software
  73.  *      distributed under the License is distributed on an "AS IS" BASIS,
  74.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  75.  *  
  76.  *  See the License for the specific language governing permissions and
  77.  *      limitations under the License.
  78.  */

  79. /**
  80.  * <i>LatentStateStatic</i> contains the Analytics Latent State Static/Textual Identifiers.
  81.  *
  82.  *  <br><br>
  83.  *  <ul>
  84.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  85.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  86.  *      <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>
  87.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/analytics/definition/README.md">Latent State Curves, Surfaces, Turns</a></li>
  88.  *  </ul>
  89.  *
  90.  * @author Lakshmi Krishnamurthy
  91.  */

  92. public class LatentStateStatic {

  93.     /**
  94.      * Forward Latent State
  95.      */

  96.     public static final java.lang.String LATENT_STATE_FORWARD = "LATENT_STATE_FORWARD";

  97.     /**
  98.      * Forward Latent State Quantification Metric - Forward Rate
  99.      */

  100.     public static final java.lang.String FORWARD_QM_FORWARD_RATE = "FORWARD_QM_FORWARD_RATE";

  101.     /**
  102.      * Forward Latent State Quantification Metric - LIBOR Rate
  103.      */

  104.     public static final java.lang.String FORWARD_QM_LIBOR_RATE = "FORWARD_QM_LIBOR_RATE";

  105.     /**
  106.      * Forward Latent State Quantification Metric - Shifted Forward Rate
  107.      */

  108.     public static final java.lang.String FORWARD_QM_SHIFTED_FORWARD_RATE = "FORWARD_QM_SHIFTED_FORWARD_RATE";

  109.     /**
  110.      * Forward Latent State Quantification Metric - Instantaneous Forward Rate
  111.      */

  112.     public static final java.lang.String FORWARD_QM_INSTANTANEOUS_FORWARD_RATE =
  113.         "FORWARD_QM_INSTANTANEOUS_FORWARD_RATE";

  114.     /**
  115.      * Forward Latent State Quantification Metric - Continuously Compounded Forward Rate
  116.      */

  117.     public static final java.lang.String FORWARD_QM_CONTINUOUSLY_COMPOUNDED_FORWARD_RATE =
  118.         "FORWARD_QM_CONTINUOUSLY_COMPOUNDED_FORWARD_RATE";

  119.     /**
  120.      * Forward Latent State Quantification Metric - Instantaneous Effective Annual Forward Rate
  121.      */

  122.     public static final java.lang.String FORWARD_QM_INSTANTANEOUS_EFFECTIVE_FORWARD_RATE =
  123.         "FORWARD_QM_EFFECTIVE_ANNUAL_FORWARD_RATE";

  124.     /**
  125.      * Forward Latent State Quantification Metric - Instantaneous Nominal Annual Forward Rate
  126.      */

  127.     public static final java.lang.String FORWARD_QM_INSTANTANEOUS_NOMINAL_FORWARD_RATE =
  128.         "FORWARD_QM_NOMINAL_ANNUAL_FORWARD_RATE";

  129.     /**
  130.      * Funding Latent State
  131.      */

  132.     public static final java.lang.String LATENT_STATE_FUNDING = "LATENT_STATE_FUNDING";

  133.     /**
  134.      * Discount Latent State Quantification Metric - Discount Factor
  135.      */

  136.     public static final java.lang.String DISCOUNT_QM_DISCOUNT_FACTOR = "DISCOUNT_QM_DISCOUNT_FACTOR";

  137.     /**
  138.      * Discount Latent State Quantification Metric - Zero Rate
  139.      */

  140.     public static final java.lang.String DISCOUNT_QM_ZERO_RATE = "DISCOUNT_QM_ZERO_RATE";

  141.     /**
  142.      * Discount Latent State Quantification Metric - Compounded Short Rate
  143.      */

  144.     public static final java.lang.String DISCOUNT_QM_COMPOUNDED_SHORT_RATE =
  145.         "DISCOUNT_QM_COMPOUNDED_SHORT_RATE";

  146.     /**
  147.      * Discount Latent State Quantification Metric - Forward Rate
  148.      */

  149.     public static final java.lang.String DISCOUNT_QM_FORWARD_RATE = "DISCOUNT_QM_FORWARD_RATE";

  150.     /**
  151.      * Govvie Latent State
  152.      */

  153.     public static final java.lang.String LATENT_STATE_GOVVIE = "LATENT_STATE_GOVVIE";

  154.     /**
  155.      * Govvie Latent State Quantification Metric - Treasury Benchmark Yield
  156.      */

  157.     public static final java.lang.String GOVVIE_QM_YIELD = "GOVVIE_QM_YIELD";

  158.     /**
  159.      * FX Latent State
  160.      */

  161.     public static final java.lang.String LATENT_STATE_FX = "LATENT_STATE_FX";

  162.     /**
  163.      * FX Latent State Quantification Metric - FX Forward Outright
  164.      */

  165.     public static final java.lang.String FX_QM_FORWARD_OUTRIGHT = "FX_QM_FORWARD_OUTRIGHT";

  166.     /**
  167.      * Volatility Latent State
  168.      */

  169.     public static final java.lang.String LATENT_STATE_VOLATILITY = "LATENT_STATE_VOLATILITY";

  170.     /**
  171.      * Volatility Latent State Quantification Metric - SABR Volatility
  172.      */

  173.     public static final java.lang.String VOLATILITY_QM_SABR_VOLATILITY = "VOLATILITY_QM_SABR_VOLATILITY";

  174.     /**
  175.      * Volatility Latent State Quantification Metric - Lognormal Volatility
  176.      */

  177.     public static final java.lang.String VOLATILITY_QM_LOGNORMAL_VOLATILITY =
  178.         "VOLATILITY_QM_LOGNORMAL_VOLATILITY";

  179.     /**
  180.      * Volatility Latent State Quantification Metric - Normal Volatility
  181.      */

  182.     public static final java.lang.String VOLATILITY_QM_NORMAL_VOLATILITY = "VOLATILITY_QM_NORMAL_VOLATILITY";
  183. }