BulletMetrics.java

  1. package org.drip.analytics.output;

  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>BulletMetrics</i> holds the results of the Bullet Cash flow metrics estimate output.
  84.  *
  85.  *  <br><br>
  86.  *  <ul>
  87.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  88.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  89.  *      <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>
  90.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/analytics/output/README.md">Period Product Targeted Valuation Measures</a></li>
  91.  *  </ul>
  92.  *
  93.  * @author Lakshmi Krishnamurthy
  94.  */

  96. public class BulletMetrics {

  98.     /*
  99.      * Bullet Latent State Identification Support Fields
  100.      */

  102.     private org.drip.state.identifier.EntityCDSLabel _creditLabel = null;
  103.     private org.drip.state.identifier.FundingLabel _fundingLabel = null;
  104.     private org.drip.state.identifier.FXLabel _fxLabel = null;

  106.     /*
  107.      * Bullet Parameters Specification Fields
  108.      */

  110.     private int _iTerminalDate = java.lang.Integer.MIN_VALUE;
  111.     private int _iPayDate = java.lang.Integer.MIN_VALUE;
  112.     private double _dblNotional = java.lang.Double.NaN;

  114.     /*
  115.      * Bullet State Point Value Fields
  116.      */

  118.     private double _dblSurvival = java.lang.Double.NaN;
  119.     private double _dblDF = java.lang.Double.NaN;
  120.     private double _dblFX = java.lang.Double.NaN;

  122.     /*
  123.      * Bullet Convexity Adjustment Fields
  124.      */

  126.     private org.drip.analytics.output.ConvexityAdjustment _convAdj = null;

  128.     /**
  129.      * BulletMetrics Constructor
  130.      * 
  131.      * @param iTerminalDate Terminal Date
  132.      * @param iPayDate Pay Date
  133.      * @param dblNotional Notional
  134.      * @param dblSurvival Terminal Survival
  135.      * @param dblDF Terminal Discount Factor
  136.      * @param dblFX Terminal FX Rate
  137.      * @param convAdj Terminal Convexity Adjustment
  138.      * @param creditLabel The Credit Label
  139.      * @param fundingLabel The Funding Label
  140.      * @param fxLabel The FX Label
  141.      * 
  142.      * @throws java.lang.Exception Thrown if Inputs are invalid
  143.      */

  145.     public BulletMetrics (
  146.         final int iTerminalDate,
  147.         final int iPayDate,
  148.         final double dblNotional,
  149.         final double dblSurvival,
  150.         final double dblDF,
  151.         final double dblFX,
  152.         final org.drip.analytics.output.ConvexityAdjustment convAdj,
  153.         final org.drip.state.identifier.EntityCDSLabel creditLabel,
  154.         final org.drip.state.identifier.FundingLabel fundingLabel,
  155.         final org.drip.state.identifier.FXLabel fxLabel)
  156.         throws java.lang.Exception
  157.     {
  158.         if (!org.drip.numerical.common.NumberUtil.IsValid (_dblNotional = dblNotional) ||
  159.             !org.drip.numerical.common.NumberUtil.IsValid (_dblSurvival = dblSurvival) ||
  160.                 !org.drip.numerical.common.NumberUtil.IsValid (_dblDF = dblDF) ||
  161.                     !org.drip.numerical.common.NumberUtil.IsValid (_dblFX = dblFX) || null == (_convAdj =
  162.                         convAdj) || null == (_fundingLabel = fundingLabel))
  163.             throw new java.lang.Exception ("BulletMetrics ctr: Invalid Inputs");

  165.         _fxLabel = fxLabel;
  166.         _iPayDate = iPayDate;
  167.         _creditLabel = creditLabel;
  168.         _iTerminalDate = iTerminalDate;
  169.     }

  171.     /**
  172.      * Retrieve the Terminal Date
  173.      * 
  174.      * @return The Terminal Date
  175.      */

  177.     public int terminalDate()
  178.     {
  179.         return _iTerminalDate;
  180.     }

  182.     /**
  183.      * Retrieve the Pay Date
  184.      * 
  185.      * @return The Pay Date
  186.      */

  188.     public int payDate()
  189.     {
  190.         return _iPayDate;
  191.     }

  193.     /**
  194.      * Retrieve the Terminal Notional
  195.      * 
  196.      * @return The Terminal Notional
  197.      */

  199.     public double notional()
  200.     {
  201.         return _dblNotional;
  202.     }

  204.     /**
  205.      * Retrieve the Terminal Survival Probability
  206.      * 
  207.      * @return The Terminal Survival Probability
  208.      */

  210.     public double survival()
  211.     {
  212.         return _dblSurvival;
  213.     }

  215.     /**
  216.      * Retrieve the Terminal DF
  217.      * 
  218.      * @return The Terminal DF
  219.      */

  221.     public double df()
  222.     {
  223.         return _dblDF;
  224.     }

  226.     /**
  227.      * Retrieve the Terminal FX Rate
  228.      * 
  229.      * @return The Terminal FX Rate
  230.      */

  232.     public double fx()
  233.     {
  234.         return _dblFX;
  235.     }

  237.     /**
  238.      * Retrieve the Terminal Annuity in the Pay Currency
  239.      * 
  240.      * @return The Terminal Annuity in the Pay Currency
  241.      */

  243.     public double annuity()
  244.     {
  245.         return _dblNotional * _dblSurvival * _dblDF * _dblFX;
  246.     }

  248.     /**
  249.      * Retrieve the Terminal Convexity Adjustment
  250.      * 
  251.      * @return The Terminal Convexity Adjustment
  252.      */

  254.     public org.drip.analytics.output.ConvexityAdjustment convexityAdjustment()
  255.     {
  256.         return _convAdj;
  257.     }

  259.     /**
  260.      * Retrieve the Terminal Survival Probability Loading Coefficient for the specified Credit Latent State
  261.      * 
  262.      * @param creditLabel The Credit Label
  263.      * 
  264.      * @return The Terminal Survival Probability Loading Coefficient for the specified Credit Latent State
  265.      */

  267.     public java.util.Map<java.lang.Integer, java.lang.Double> survivalProbabilityCreditLoading (
  268.         final org.drip.state.identifier.EntityCDSLabel creditLabel)
  269.     {
  270.         if (null == creditLabel || !creditLabel.match (_creditLabel)) return null;

  272.         java.util.Map<java.lang.Integer, java.lang.Double> mapSurvivalProbabilityLoading = new
  273.             java.util.TreeMap<java.lang.Integer, java.lang.Double>();

  275.         mapSurvivalProbabilityLoading.put (_iPayDate, _dblNotional * _dblDF * _dblFX *
  276.             _convAdj.cumulative());

  278.         return mapSurvivalProbabilityLoading;
  279.     }

  281.     /**
  282.      * Retrieve the Discount Factor Loading Coefficient for the specified Funding Latent State
  283.      * 
  284.      * @param fundingLabel The Funding Label
  285.      * 
  286.      * @return The Discount Factor Loading Coefficient for the specified Funding Latent State
  287.      */

  289.     public java.util.Map<java.lang.Integer, java.lang.Double> discountFactorFundingLoading (
  290.         final org.drip.state.identifier.FundingLabel fundingLabel)
  291.     {
  292.         if (null == fundingLabel || !fundingLabel.match (_fundingLabel)) return null;

  294.         java.util.Map<java.lang.Integer, java.lang.Double> mapDiscountFactorLoading = new
  295.             java.util.TreeMap<java.lang.Integer, java.lang.Double>();

  297.         mapDiscountFactorLoading.put (_iPayDate, _dblNotional * _dblSurvival * _dblFX *
  298.             _convAdj.cumulative());

  300.         return mapDiscountFactorLoading;
  301.     }

  303.     /**
  304.      * Retrieve the FX Loading Coefficient for the specified FX Latent State
  305.      * 
  306.      * @param fxLabel The FX Label
  307.      * 
  308.      * @return The FX Loading Coefficient for the specified FX Latent State
  309.      */

  311.     public java.util.Map<java.lang.Integer, java.lang.Double> fxFXLoading (
  312.         final org.drip.state.identifier.FXLabel fxLabel)
  313.     {
  314.         if (null == fxLabel || !fxLabel.match (_fxLabel)) return null;

  316.         java.util.Map<java.lang.Integer, java.lang.Double> mapFXLoading = new
  317.             java.util.TreeMap<java.lang.Integer, java.lang.Double>();

  319.         mapFXLoading.put (_iPayDate, _dblNotional * _dblSurvival * _dblDF * _convAdj.cumulative());

  321.         return mapFXLoading;
  322.     }

  324.     /**
  325.      * Retrieve the Credit Label
  326.      * 
  327.      * @return The Credit Label
  328.      */

  330.     public org.drip.state.identifier.EntityCDSLabel creditLabel()
  331.     {
  332.         return _creditLabel;
  333.     }

  335.     /**
  336.      * Retrieve the Funding Label
  337.      * 
  338.      * @return The Funding Label
  339.      */

  341.     public org.drip.state.identifier.FundingLabel fundingLabel()
  342.     {
  343.         return _fundingLabel;
  344.     }

  346.     /**
  347.      * Retrieve the FX Label
  348.      * 
  349.      * @return The FX Label
  350.      */

  352.     public org.drip.state.identifier.FXLabel fxLabel()
  353.     {
  354.         return _fxLabel;
  355.     }
  356. }
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