MarketSurface.java

  1. package org.drip.analytics.definition;

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

  83. /**
  84.  * <i>MarketSurface</i> exposes the stub that implements the market surface that holds the latent state's
  85.  * Evolution parameters.
  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/definition/README.md">Latent State Curves, Surfaces, Turns</a></li>
  93.  *  </ul>
  94.  *
  95.  * @author Lakshmi Krishnamurthy
  96.  */

  98. public abstract class MarketSurface implements org.drip.analytics.definition.Curve {
  99.     protected java.lang.String _strCurrency = "";
  100.     protected int _iEpochDate = java.lang.Integer.MIN_VALUE;
  101.     protected org.drip.state.identifier.CustomLabel _label = null;

  103.     protected MarketSurface (
  104.         final int iEpochDate,
  105.         final org.drip.state.identifier.CustomLabel label,
  106.         final java.lang.String strCurrency)
  107.         throws java.lang.Exception
  108.     {
  109.         if (null == (_strCurrency = strCurrency) || _strCurrency.isEmpty())
  110.             throw new java.lang.Exception ("MarketSurface ctr: Invalid Inputs");

  112.         _iEpochDate = iEpochDate;
  113.     }

  115.     @Override public org.drip.state.identifier.LatentStateLabel label()
  116.     {
  117.         return _label;
  118.     }

  120.     @Override public java.lang.String currency()
  121.     {
  122.         return _strCurrency;
  123.     }

  125.     @Override public org.drip.analytics.date.JulianDate epoch()
  126.     {
  127.         try {
  128.             return new org.drip.analytics.date.JulianDate (_iEpochDate);
  129.         } catch (java.lang.Exception e) {
  130.             e.printStackTrace();
  131.         }

  133.         return null;
  134.     }

  136.     @Override public boolean setCCIS (
  137.         final org.drip.analytics.input.CurveConstructionInputSet ccis)
  138.     {
  139.         return false;
  140.     }

  142.     @Override public org.drip.product.definition.CalibratableComponent[] calibComp()
  143.     {
  144.         return null;
  145.     }

  147.     @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> manifestMeasure (
  148.         final java.lang.String strInstr)
  149.     {
  150.         return null;
  151.     }

  153.     @Override public org.drip.state.representation.LatentState parallelShiftManifestMeasure (
  154.         final java.lang.String strManifestMeasure,
  155.         final double dblShift)
  156.     {
  157.         return null;
  158.     }

  160.     @Override public org.drip.state.representation.LatentState shiftManifestMeasure (
  161.         final int iSpanIndex,
  162.         final java.lang.String strManifestMeasure,
  163.         final double dblShift)
  164.     {
  165.         return null;
  166.     }

  168.     @Override public org.drip.state.representation.LatentState customTweakManifestMeasure (
  169.         final java.lang.String strManifestMeasure,
  170.         final org.drip.param.definition.ManifestMeasureTweak rvtp)
  171.     {
  172.         return null;
  173.     }

  175.     @Override public org.drip.state.representation.LatentState parallelShiftQuantificationMetric (
  176.         final double dblShift)
  177.     {
  178.         return null;
  179.     }

  181.     @Override public org.drip.state.representation.LatentState customTweakQuantificationMetric (
  182.         final org.drip.param.definition.ManifestMeasureTweak rvtp)
  183.     {
  184.         return null;
  185.     }

  187.     /**
  188.      * Get the Market Node given the X and the Y Ordinates
  189.      * 
  190.      * @param dblX X
  191.      * @param dblY Y
  192.      * 
  193.      * @return The Latent State Metric Value evaluated from the Surface
  194.      * 
  195.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  196.      */

  198.     public abstract double node (
  199.         final double dblX,
  200.         final double dblY)
  201.         throws java.lang.Exception;

  203.     /**
  204.      * Get the Market Node given the Strike and the Tenor
  205.      * 
  206.      * @param dblStrike The Strike
  207.      * @param strTenor The Maturity Tenor
  208.      * 
  209.      * @return The Volatility evaluated from the Volatility Surface
  210.      * 
  211.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  212.      */

  214.     public double node (
  215.         final double dblStrike,
  216.         final java.lang.String strTenor)
  217.         throws java.lang.Exception
  218.     {
  219.         if (null == strTenor || strTenor.isEmpty())
  220.             throw new java.lang.Exception ("MarketSurface::node => Invalid Inputs");

  222.         return node (dblStrike, epoch().addTenor (strTenor).julian());
  223.     }

  225.     /**
  226.      * Extract the Term Structure Constructed at the X Anchor Node
  227.      * 
  228.      * @param dblXAnchor The X Anchor Node
  229.      * 
  230.      * @return The Term Structure Constructed at the X Anchor Node
  231.      */

  233.     public abstract org.drip.analytics.definition.NodeStructure xAnchorTermStructure (
  234.         final double dblXAnchor);

  236.     /**
  237.      * Extract the Term Structure Constructed at the Y Anchor Node
  238.      * 
  239.      * @param dblYAnchor The Y Anchor
  240.      * 
  241.      * @return The Term Structure Constructed at the Y Anchor Node
  242.      */

  244.     public abstract org.drip.analytics.definition.NodeStructure yAnchorTermStructure (
  245.         final double dblYAnchor);

  247.     /**
  248.      * Extract the Term Structure Constructed at the Maturity Anchor Tenor
  249.      * 
  250.      * @param strTenorAnchor The Anchor Tenor
  251.      * 
  252.      * @return The Term Structure Constructed at the Maturity Anchor Tenor
  253.      */

  255.     public org.drip.analytics.definition.NodeStructure maturityAnchorTermStructure (
  256.         final java.lang.String strTenorAnchor)
  257.     {
  258.         return null == strTenorAnchor || strTenorAnchor.isEmpty() ? null : yAnchorTermStructure
  259.             (epoch().addTenor (strTenorAnchor).julian());
  260.     }
  261. }
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