NodeStructure.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.  * 
  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>NodeStructure</i> exposes the stub that implements the latent state's Node Structure (e.g., a
  84.  * Deterministic Term Structure) - by Construction, this is expected to be non-local.
  85.  *
  86.  *  <br><br>
  87.  *  <ul>
  88.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  89.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  90.  *      <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>
  91.  *      <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>
  92.  *  </ul>
  93.  *
  94.  * @author Lakshmi Krishnamurthy
  95.  */

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

  103.     protected NodeStructure (
  104.         final int iEpochDate,
  105.         final org.drip.state.identifier.LatentStateLabel label,
  106.         final java.lang.String strCurrency)
  107.         throws java.lang.Exception
  108.     {
  109.         if (null == (_label = label) || null == (_strCurrency = strCurrency) || _strCurrency.isEmpty())
  110.             throw new java.lang.Exception ("NodeStructure 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 at the given Predictor Ordinate
  189.      * 
  190.      * @param iPredictorOrdinate The Predictor Ordinate
  191.      * 
  192.      * @return The Node evaluated from the Term Structure
  193.      * 
  194.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  195.      */

  197.     public abstract double node (
  198.         final int iPredictorOrdinate)
  199.         throws java.lang.Exception;

  201.     /**
  202.      * Get the Market Node Derivative at the given Predictor Ordinate
  203.      * 
  204.      * @param iPredictorOrdinate The Predictor Ordinate
  205.      * @param iOrder Order of the Derivative
  206.      * 
  207.      * @return The Node Derivative evaluated from the Term Structure
  208.      * 
  209.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  210.      */

  212.     public abstract double nodeDerivative (
  213.         final int iPredictorOrdinate,
  214.         final int iOrder)
  215.         throws java.lang.Exception;

  217.     /**
  218.      * Get the Market Node at the given Maturity
  219.      * 
  220.      * @param dt The Julian Maturity Date
  221.      * 
  222.      * @return The Node evaluated from the Term Structure
  223.      * 
  224.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  225.      */

  227.     public double node (
  228.         final org.drip.analytics.date.JulianDate dt)
  229.         throws java.lang.Exception
  230.     {
  231.         if (null == dt) throw new java.lang.Exception ("NodeStructure::node => Invalid Inputs");

  233.         return node (dt.julian());
  234.     }

  236.     /**
  237.      * Get the Market Node at the given Maturity
  238.      * 
  239.      * @param strTenor The Maturity Tenor
  240.      * 
  241.      * @return The Node evaluated from the Term Structure
  242.      * 
  243.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  244.      */

  246.     public double node (
  247.         final java.lang.String strTenor)
  248.         throws java.lang.Exception
  249.     {
  250.         if (null == strTenor || strTenor.isEmpty())
  251.             throw new java.lang.Exception ("NodeStructure::node => Invalid Inputs");

  253.         return node (epoch().addTenor (strTenor).julian());
  254.     }

  256.     /**
  257.      * Get the Market Node Derivative at the given Maturity
  258.      * 
  259.      * @param dt The Julian Maturity Date
  260.      * @param iOrder Order of the Derivative
  261.      * 
  262.      * @return The Node Derivative evaluated from the Term Structure
  263.      * 
  264.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  265.      */

  267.     public double nodeDerivative (
  268.         final org.drip.analytics.date.JulianDate dt,
  269.         final int iOrder)
  270.         throws java.lang.Exception
  271.     {
  272.         if (null == dt) throw new java.lang.Exception ("TermStructure::nodeDerivative => Invalid Inputs");

  274.         return nodeDerivative (dt.julian(), iOrder);
  275.     }

  277.     /**
  278.      * Get the Market Node Derivative at the given Maturity
  279.      * 
  280.      * @param strTenor The Maturity Tenor
  281.      * @param iOrder Order of the Derivative
  282.      * 
  283.      * @return The Node Derivative evaluated from the Term Structure
  284.      * 
  285.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  286.      */

  288.     public double nodeDerivative (
  289.         final java.lang.String strTenor,
  290.         final int iOrder)
  291.         throws java.lang.Exception
  292.     {
  293.         if (null == strTenor || strTenor.isEmpty())
  294.             throw new java.lang.Exception ("TermStructure::nodeDerivative => Invalid Inputs");

  296.         return nodeDerivative (epoch().addTenor (strTenor).julian(), iOrder);
  297.     }
  298. }
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