LatentStateShapePreservingCCIS.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
*
* 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>LatentStateShapePreservingCCIS</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>
* Calibration Market Parameters
* </li>
* <li>
* Calibration Pricing Parameters
* </li>
* <li>
* Array of Calibration Span Representation
* </li>
* <li>
* Map of Calibration Quotes
* </li>
* <li>
* Map of Calibration Measures
* </li>
* <li>
* Double Map of the Date/Index Fixings
* </li>
* <li>
* The Shape Preserving Linear Latent State Calibrator
* </li>
* </ul>
* <br><br>
*
* Additional functions provide for retrieval of the above and specific instrument quotes.
*
* <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 LatentStateShapePreservingCCIS implements
org.drip.analytics.input.CurveConstructionInputSet {
private org.drip.param.valuation.ValuationParams _valParam = null;
private org.drip.param.pricer.CreditPricerParams _pricerParam = null;
private org.drip.param.market.CurveSurfaceQuoteContainer _csqs = null;
private org.drip.param.market.LatentStateFixingsContainer _lsfc = null;
private org.drip.param.valuation.ValuationCustomizationParams _vcp = null;
private org.drip.state.inference.LatentStateStretchSpec[] _aStretchSpec = null;
private org.drip.state.inference.LinearLatentStateCalibrator _llscShapePreserving = null;
/**
* LatentStateShapePreservingCCIS constructor
*
* @param llscShapePreserving Shape Preserving LinearLatentStateCalibrator instance
* @param aStretchSpec Array of the Latent State Stretch Representation Specifications
* @param valParam Valuation Parameters
* @param pricerParam Pricer Parameters
* @param vcp Valuation Customization Parameters
* @param csqs Market Parameters
*
* @throws java.lang.Exception Thrown if Inputs are invalid
*/
public LatentStateShapePreservingCCIS (
final org.drip.state.inference.LinearLatentStateCalibrator llscShapePreserving,
final org.drip.state.inference.LatentStateStretchSpec[] aStretchSpec,
final org.drip.param.valuation.ValuationParams valParam,
final org.drip.param.pricer.CreditPricerParams pricerParam,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs)
throws java.lang.Exception
{
if (null == (_llscShapePreserving = llscShapePreserving) || null == (_aStretchSpec = aStretchSpec) ||
null == (_valParam = valParam))
throw new java.lang.Exception ("LatentStateShapePreservingCCIS ctr: Invalid Inputs");
_vcp = vcp;
_csqs = csqs;
int iNumStretchNULL = 0;
_pricerParam = pricerParam;
int iNumStretch = _aStretchSpec.length;
if (0 == iNumStretch)
throw new java.lang.Exception ("LatentStateShapePreservingCCIS ctr: Invalid Inputs");
for (int i = 0; i < iNumStretch; ++i) {
if (null == _aStretchSpec[i]) ++iNumStretchNULL;
}
if (iNumStretchNULL == iNumStretch)
throw new java.lang.Exception ("LatentStateShapePreservingCCIS ctr: Invalid Inputs");
}
@Override public org.drip.param.valuation.ValuationParams valuationParameter()
{
return _valParam;
}
@Override public org.drip.param.valuation.ValuationCustomizationParams quotingParameter()
{
return _vcp;
}
@Override public org.drip.product.definition.CalibratableComponent[] components()
{
java.util.List<org.drip.product.definition.CalibratableComponent> lsComp = new
java.util.ArrayList<org.drip.product.definition.CalibratableComponent>();
for (org.drip.state.inference.LatentStateStretchSpec stretchSpec : _aStretchSpec) {
if (null == stretchSpec) continue;
org.drip.state.inference.LatentStateSegmentSpec[] aSegmentSpec = stretchSpec.segmentSpec();
if (null == aSegmentSpec) continue;
int iNumComp = aSegmentSpec.length;
if (0 == iNumComp) continue;
for (int i = 0; i < iNumComp; ++i) {
if (null == aSegmentSpec[i]) continue;
org.drip.product.definition.CalibratableComponent comp = aSegmentSpec[i].component();
if (null != comp) lsComp.add (comp);
}
}
int iNumComp = lsComp.size();
if (0 == iNumComp) return null;
org.drip.product.definition.CalibratableComponent[] aComp = new
org.drip.product.definition.CalibratableComponent[iNumComp];
for (int i = 0; i < iNumComp; ++i)
aComp[i] = lsComp.get (i);
return aComp;
}
@Override public
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
quoteMap()
{
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
mapInstrumentQuote = new
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>();
for (org.drip.state.inference.LatentStateStretchSpec stretchSpec : _aStretchSpec) {
if (null == stretchSpec) continue;
org.drip.state.inference.LatentStateSegmentSpec[] aSegmentSpec = stretchSpec.segmentSpec();
for (org.drip.state.inference.LatentStateSegmentSpec segmentSpec : aSegmentSpec) {
org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapMeasureQuote = new
org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>();
org.drip.product.calib.ProductQuoteSet pqs = segmentSpec.manifestMeasures();
for (java.lang.String strManifestMeasure : pqs.fields()) {
try {
mapMeasureQuote.put (strManifestMeasure, pqs.get (strManifestMeasure));
} catch (java.lang.Exception e) {
e.printStackTrace();
}
}
mapInstrumentQuote.put (segmentSpec.component().primaryCode(), mapMeasureQuote);
}
}
return mapInstrumentQuote;
}
@Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.String[]> measures()
{
return null;
}
@Override public org.drip.param.market.LatentStateFixingsContainer fixing()
{
return _lsfc;
}
/**
* Retrieve the Pricer Parameters
*
* @return The Pricer Parameters
*/
public org.drip.param.pricer.CreditPricerParams pricerParameter()
{
return _pricerParam;
}
/**
* Retrieve the Market Parameters
*
* @return The Market Parameters
*/
public org.drip.param.market.CurveSurfaceQuoteContainer marketParameters()
{
return _csqs;
}
/**
* Retrieve the Array of Latent State Stretch Representation Specifications
*
* @return The Array of Latent State Stretch Representation Specifications
*/
public org.drip.state.inference.LatentStateStretchSpec[] stretchSpec()
{
return _aStretchSpec;
}
/**
* Retrieve the Shape Preserving Linear Latent State Calibrator
*
* @return The Shape Preserving Linear Latent State Calibrator
*/
public org.drip.state.estimator.GlobalControlCurveParams shapePreservingLLSC()
{
return _llscShapePreserving;
}
}