BootCurveConstructionInput.java
package org.drip.analytics.input;
/*
* -*- 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
*
* 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>BootCurveConstructionInput</i> contains the Parameters needed for the Curve Calibration/Estimation. It
* contains the following:
*
* <br><br>
* <ul>
* <li>
* Calibration Valuation Parameters
* </li>
* <li>
* Calibration Quoting Parameters
* </li>
* <li>
* Array of Calibration Instruments
* </li>
* <li>
* Map of Calibration Quotes
* </li>
* <li>
* Map of Calibration Measures
* </li>
* <li>
* Latent State Fixings Container
* </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/input/README.md">Curve Surface Construction Customization Inputs</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class BootCurveConstructionInput implements org.drip.analytics.input.CurveConstructionInputSet {
private org.drip.param.valuation.ValuationParams _valParam = null;
private org.drip.param.market.LatentStateFixingsContainer _lsfc = null;
private org.drip.param.valuation.ValuationCustomizationParams _quotingParam = null;
private org.drip.product.definition.CalibratableComponent[] _aCalibInst = null;
private org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.String[]> _mapMeasures = null;
private
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
_mapQuote = null;
/**
* Create an Instance of BootCurveConstructionInput from the given Calibration Inputs
*
* @param valParam Valuation Parameters
* @param quotingParam Quoting Parameters
* @param aCalibInst Array of the Calibration Instruments
* @param adblCalibQuote Array of the Calibration Quotes
* @param astrCalibMeasure Array of the Calibration Measures
* @param lsfc Latent State Fixings Container
*
* @return Instance of BootCurveConstructionInput
*/
public static final BootCurveConstructionInput Create (
final org.drip.param.valuation.ValuationParams valParam,
final org.drip.param.valuation.ValuationCustomizationParams quotingParam,
final org.drip.product.definition.CalibratableComponent[] aCalibInst,
final double[] adblCalibQuote,
final java.lang.String[] astrCalibMeasure,
final org.drip.param.market.LatentStateFixingsContainer lsfc)
{
if (null == aCalibInst || null == adblCalibQuote || null == astrCalibMeasure) return null;
int iNumInst = aCalibInst.length;
if (0 == iNumInst || adblCalibQuote.length != iNumInst || astrCalibMeasure.length != iNumInst)
return null;
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
mapQuote = new
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>();
org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.String[]> mapMeasures = new
org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.String[]>();
for (int i = 0; i < iNumInst; ++i) {
if (null == aCalibInst[i]) return null;
java.lang.String strInstrumentCode = aCalibInst[i].primaryCode();
if (null == strInstrumentCode || strInstrumentCode.isEmpty() || null == astrCalibMeasure[i] ||
astrCalibMeasure[i].isEmpty() || !org.drip.numerical.common.NumberUtil.IsValid
(adblCalibQuote[i]))
return null;
org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapCalibManifestMeasureQuote
= new org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>();
mapCalibManifestMeasureQuote.put (astrCalibMeasure[i], adblCalibQuote[i]);
mapMeasures.put (strInstrumentCode, new java.lang.String[] {astrCalibMeasure[i]});
mapQuote.put (strInstrumentCode, mapCalibManifestMeasureQuote);
java.lang.String[] astrSecCode = aCalibInst[i].secondaryCode();
if (null != astrSecCode) {
int iNumSecCode = astrSecCode.length;
for (int j = 0; j < iNumSecCode; ++j) {
java.lang.String strSecCode = astrSecCode[j];
if (null == strSecCode || strSecCode.isEmpty())
mapQuote.put (strSecCode, mapCalibManifestMeasureQuote);
}
}
}
try {
return new BootCurveConstructionInput (valParam, quotingParam, aCalibInst, mapQuote, mapMeasures,
lsfc);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* BootCurveConstructionInput constructor
*
* @param valParam Valuation Parameter
* @param quotingParam Quoting Parameter
* @param aCalibInst Array of Calibration Instruments
* @param mapQuote Map of the Calibration Instrument Quotes
* @param mapMeasures Map containing the Array of the Calibration Instrument Measures
* @param lsfc Latent State Fixings Container
*
* @throws java.lang.Exception Thrown if Inputs are Invalid
*/
public BootCurveConstructionInput (
final org.drip.param.valuation.ValuationParams valParam,
final org.drip.param.valuation.ValuationCustomizationParams quotingParam,
final org.drip.product.definition.CalibratableComponent[] aCalibInst,
final
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
mapQuote,
final org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.String[]> mapMeasures,
final org.drip.param.market.LatentStateFixingsContainer lsfc)
throws java.lang.Exception
{
if (null == (_valParam = valParam) || null == (_aCalibInst = aCalibInst) || null == (_mapQuote =
mapQuote) || null == (_mapMeasures = mapMeasures))
throw new java.lang.Exception ("BootCurveConstructionInput ctr: Invalid Inputs");
_lsfc = lsfc;
_quotingParam = quotingParam;
int iNumInst = _aCalibInst.length;
if (0 == iNumInst || iNumInst > _mapQuote.size() || iNumInst > _mapMeasures.size())
throw new java.lang.Exception ("BootCurveConstructionInput ctr: Invalid Inputs");
}
@Override public org.drip.param.valuation.ValuationParams valuationParameter()
{
return _valParam;
}
@Override public org.drip.param.pricer.CreditPricerParams pricerParameter()
{
return null;
}
@Override public org.drip.param.market.CurveSurfaceQuoteContainer marketParameters()
{
return null;
}
@Override public org.drip.param.valuation.ValuationCustomizationParams quotingParameter()
{
return _quotingParam;
}
@Override public org.drip.product.definition.CalibratableComponent[] components()
{
return _aCalibInst;
}
@Override public
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
quoteMap()
{
return _mapQuote;
}
@Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.String[]> measures()
{
return _mapMeasures;
}
@Override public org.drip.param.market.LatentStateFixingsContainer fixing()
{
return _lsfc;
}
}