BootCurveConstructionInput.java

  1. package org.drip.analytics.input;

  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>BootCurveConstructionInput</i> contains the Parameters needed for the Curve Calibration/Estimation. It
  85.  * contains the following:
  86.  *
  87.  *  <br><br>
  88.  *  <ul>
  89.  *      <li>
  90.  *          Calibration Valuation Parameters
  91.  *      </li>
  92.  *      <li>
  93.  *          Calibration Quoting Parameters
  94.  *      </li>
  95.  *      <li>
  96.  *          Array of Calibration Instruments
  97.  *      </li>
  98.  *      <li>
  99.  *          Map of Calibration Quotes
  100.  *      </li>
  101.  *      <li>
  102.  *          Map of Calibration Measures
  103.  *      </li>
  104.  *      <li>
  105.  *          Latent State Fixings Container
  106.  *      </li>
  107.  *  </ul>
  108.  *
  109.  *  <br><br>
  110.  *  <ul>
  111.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  112.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  113.  *      <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>
  114.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/analytics/input/README.md">Curve Surface Construction Customization Inputs</a></li>
  115.  *  </ul>
  116.  *
  117.  * @author Lakshmi Krishnamurthy
  118.  */

  120. public class BootCurveConstructionInput implements org.drip.analytics.input.CurveConstructionInputSet {
  121.     private org.drip.param.valuation.ValuationParams _valParam = null;
  122.     private org.drip.param.market.LatentStateFixingsContainer _lsfc = null;
  123.     private org.drip.param.valuation.ValuationCustomizationParams _quotingParam = null;
  124.     private org.drip.product.definition.CalibratableComponent[] _aCalibInst = null;
  125.     private org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.String[]> _mapMeasures = null;
  126.     private
  127.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
  128.             _mapQuote = null;

  130.     /**
  131.      * Create an Instance of BootCurveConstructionInput from the given Calibration Inputs
  132.      * 
  133.      * @param valParam Valuation Parameters
  134.      * @param quotingParam Quoting Parameters
  135.      * @param aCalibInst Array of the Calibration Instruments
  136.      * @param adblCalibQuote Array of the Calibration Quotes
  137.      * @param astrCalibMeasure Array of the Calibration Measures
  138.      * @param lsfc Latent State Fixings Container
  139.      * 
  140.      * @return Instance of BootCurveConstructionInput
  141.      */

  143.     public static final BootCurveConstructionInput Create (
  144.         final org.drip.param.valuation.ValuationParams valParam,
  145.         final org.drip.param.valuation.ValuationCustomizationParams quotingParam,
  146.         final org.drip.product.definition.CalibratableComponent[] aCalibInst,
  147.         final double[] adblCalibQuote,
  148.         final java.lang.String[] astrCalibMeasure,
  149.         final org.drip.param.market.LatentStateFixingsContainer lsfc)
  150.     {
  151.         if (null == aCalibInst || null == adblCalibQuote || null == astrCalibMeasure) return null;

  153.         int iNumInst = aCalibInst.length;

  155.         if (0 == iNumInst || adblCalibQuote.length != iNumInst || astrCalibMeasure.length != iNumInst)
  156.             return null;

  158.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
  159.             mapQuote = new
  160.                 org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>();

  162.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.String[]> mapMeasures = new
  163.             org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.String[]>();

  165.         for (int i = 0; i < iNumInst; ++i) {
  166.             if (null == aCalibInst[i]) return null;

  168.             java.lang.String strInstrumentCode = aCalibInst[i].primaryCode();

  170.             if (null == strInstrumentCode || strInstrumentCode.isEmpty() || null == astrCalibMeasure[i] ||
  171.                 astrCalibMeasure[i].isEmpty() || !org.drip.numerical.common.NumberUtil.IsValid
  172.                     (adblCalibQuote[i]))
  173.                 return null;

  175.             org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapCalibManifestMeasureQuote
  176.                 = new org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>();

  178.             mapCalibManifestMeasureQuote.put (astrCalibMeasure[i], adblCalibQuote[i]);

  180.             mapMeasures.put (strInstrumentCode, new java.lang.String[] {astrCalibMeasure[i]});

  182.             mapQuote.put (strInstrumentCode, mapCalibManifestMeasureQuote);

  184.             java.lang.String[] astrSecCode = aCalibInst[i].secondaryCode();

  186.             if (null != astrSecCode) {
  187.                 int iNumSecCode = astrSecCode.length;

  189.                 for (int j = 0; j < iNumSecCode; ++j) {
  190.                     java.lang.String strSecCode = astrSecCode[j];

  192.                     if (null == strSecCode || strSecCode.isEmpty())
  193.                         mapQuote.put (strSecCode, mapCalibManifestMeasureQuote);
  194.                 }
  195.             }
  196.         }

  198.         try {
  199.             return new BootCurveConstructionInput (valParam, quotingParam, aCalibInst, mapQuote, mapMeasures,
  200.                 lsfc);
  201.         } catch (java.lang.Exception e) {
  202.             e.printStackTrace();
  203.         }

  205.         return null;
  206.     }

  208.     /**
  209.      * BootCurveConstructionInput constructor
  210.      * 
  211.      * @param valParam Valuation Parameter
  212.      * @param quotingParam Quoting Parameter
  213.      * @param aCalibInst Array of Calibration Instruments
  214.      * @param mapQuote Map of the Calibration Instrument Quotes
  215.      * @param mapMeasures Map containing the Array of the Calibration Instrument Measures
  216.      * @param lsfc Latent State Fixings Container
  217.      * 
  218.      * @throws java.lang.Exception Thrown if Inputs are Invalid
  219.      */

  221.     public BootCurveConstructionInput (
  222.         final org.drip.param.valuation.ValuationParams valParam,
  223.         final org.drip.param.valuation.ValuationCustomizationParams quotingParam,
  224.         final org.drip.product.definition.CalibratableComponent[] aCalibInst,
  225.         final
  226.             org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
  227.                 mapQuote,
  228.         final org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.String[]> mapMeasures,
  229.         final org.drip.param.market.LatentStateFixingsContainer lsfc)
  230.         throws java.lang.Exception
  231.     {
  232.         if (null == (_valParam = valParam) || null == (_aCalibInst = aCalibInst) || null == (_mapQuote =
  233.             mapQuote) || null == (_mapMeasures = mapMeasures))
  234.             throw new java.lang.Exception ("BootCurveConstructionInput ctr: Invalid Inputs");

  236.         _lsfc = lsfc;
  237.         _quotingParam = quotingParam;
  238.         int iNumInst = _aCalibInst.length;

  240.         if (0 == iNumInst || iNumInst > _mapQuote.size() || iNumInst > _mapMeasures.size())
  241.             throw new java.lang.Exception ("BootCurveConstructionInput ctr: Invalid Inputs");
  242.     }

  244.     @Override public org.drip.param.valuation.ValuationParams valuationParameter()
  245.     {
  246.         return _valParam;
  247.     }

  249.     @Override public org.drip.param.pricer.CreditPricerParams pricerParameter()
  250.     {
  251.         return null;
  252.     }

  254.     @Override public org.drip.param.market.CurveSurfaceQuoteContainer marketParameters()
  255.     {
  256.         return null;
  257.     }

  259.     @Override public org.drip.param.valuation.ValuationCustomizationParams quotingParameter()
  260.     {
  261.         return _quotingParam;
  262.     }

  264.     @Override public org.drip.product.definition.CalibratableComponent[] components()
  265.     {
  266.         return _aCalibInst;
  267.     }

  269.     @Override public
  270.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
  271.             quoteMap()
  272.     {
  273.         return _mapQuote;
  274.     }

  276.     @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.String[]> measures()
  277.     {
  278.         return _mapMeasures;
  279.     }

  281.     @Override public org.drip.param.market.LatentStateFixingsContainer fixing()
  282.     {
  283.         return _lsfc;
  284.     }
  285. }
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