CompositePeriodCouponMetrics.java
package org.drip.analytics.output;
/*
* -*- 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>CompositePeriodCouponMetrics</i> holds the results of the compounded Composed period Full Coupon
* Metrics Estimate Output.
*
* <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/output/README.md">Period Product Targeted Valuation Measures</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class CompositePeriodCouponMetrics {
private double _dblDCF = 0.;
private double _dblRate = 0.;
private double _dblCreditFX = 0.;
private double _dblForwardFX = 0.;
private double _dblFundingFX = 0.;
private double _dblCollateralFX = 0.;
private double _dblCreditForward = 0.;
private double _dblCreditFunding = 0.;
private double _dblForwardFunding = 0.;
private double _dblCollateralCredit = 0.;
private double _dblCollateralForward = 0.;
private double _dblCollateralFunding = 0.;
private java.util.List<org.drip.analytics.output.UnitPeriodMetrics> _lsUPM = null;
/**
* CompositePeriodCouponMetrics Instance from the list of the composite period metrics
*
* @param lsUPM List of Unit Period Metrics
*
* @return Instance of CompositePeriodCouponMetrics
*/
public static final CompositePeriodCouponMetrics Create (
final java.util.List<org.drip.analytics.output.UnitPeriodMetrics> lsUPM)
{
try {
CompositePeriodCouponMetrics cpm = new CompositePeriodCouponMetrics (lsUPM);
return cpm.initialize() ? cpm : null;
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
protected CompositePeriodCouponMetrics (
final java.util.List<org.drip.analytics.output.UnitPeriodMetrics> lsUPM)
throws java.lang.Exception
{
if (null == (_lsUPM = lsUPM) || 0 == _lsUPM.size())
throw new java.lang.Exception ("CompositePeriodCouponMetrics ctr: Invalid Inputs");
}
protected boolean initialize()
{
double dblAmount = 0.;
for (org.drip.analytics.output.UnitPeriodMetrics upm : _lsUPM) {
org.drip.analytics.output.ConvexityAdjustment convAdj = upm.convAdj();
double dblUnitRate = upm.rate();
double dblUnitDCF = upm.dcf();
double dblUnitAmount = dblUnitDCF * dblUnitRate;
dblAmount += dblUnitAmount;
_dblDCF += dblUnitDCF;
_dblCollateralCredit += convAdj.collateralCredit() * dblUnitDCF;
_dblCollateralForward += convAdj.collateralForward() * dblUnitDCF;
_dblCollateralFunding += convAdj.collateralFunding() * dblUnitDCF;
_dblCollateralFX += convAdj.collateralFX() * dblUnitDCF;
_dblCreditForward += convAdj.creditForward() * dblUnitDCF;
_dblCreditFunding += convAdj.creditFunding() * dblUnitDCF;
_dblCreditFX += convAdj.creditFX() * dblUnitDCF;
_dblForwardFunding += convAdj.forwardFunding() * dblUnitDCF;
_dblForwardFX += convAdj.forwardFX() * dblUnitDCF;
_dblFundingFX += convAdj.fundingFX() * dblUnitDCF;
}
_dblCollateralCredit /= _dblDCF;
_dblCollateralForward /= _dblDCF;
_dblCollateralFunding /= _dblDCF;
_dblCollateralFX /= _dblDCF;
_dblCreditForward /= _dblDCF;
_dblCreditFunding /= _dblDCF;
_dblCreditFX /= _dblDCF;
_dblForwardFunding /= _dblDCF;
_dblForwardFX /= _dblDCF;
_dblFundingFX /= _dblDCF;
_dblRate = dblAmount / _dblDCF;
return true;
}
/**
* Retrieve the Composite DCF
*
* @return The Composite DCF
*/
public double dcf()
{
return _dblDCF;
}
/**
* Retrieve the Composite Rate
*
* @return The Composite Rate
*/
public double rate()
{
return _dblRate;
}
/**
* Retrieve the Collateral/Credit Convexity Adjustment
*
* @return The Collateral/Credit Convexity Adjustment
*/
public double collateralCredit()
{
return _dblCollateralCredit;
}
/**
* Retrieve the Collateral/Forward Convexity Adjustment
*
* @return The Collateral/Forward Convexity Adjustment
*/
public double collateralForward()
{
return _dblCollateralForward;
}
/**
* Retrieve the Collateral/Funding Convexity Adjustment
*
* @return The Collateral/Funding Convexity Adjustment
*/
public double collateralFunding()
{
return _dblCollateralFunding;
}
/**
* Retrieve the Collateral/FX Convexity Adjustment
*
* @return The Collateral/FX Convexity Adjustment
*/
public double collateralFX()
{
return _dblCollateralFX;
}
/**
* Retrieve the Credit/Forward Convexity Adjustment
*
* @return The Credit/Forward Convexity Adjustment
*/
public double creditForward()
{
return _dblCreditForward;
}
/**
* Retrieve the Credit/Funding Convexity Adjustment
*
* @return The Credit/Funding Convexity Adjustment
*/
public double creditFunding()
{
return _dblCreditFunding;
}
/**
* Retrieve the Credit/FX Convexity Adjustment
*
* @return The Credit/FX Convexity Adjustment
*/
public double creditFX()
{
return _dblCreditFX;
}
/**
* Retrieve the Forward/Funding Convexity Adjustment
*
* @return The Forward/Funding Convexity Adjustment
*/
public double forwardFunding()
{
return _dblForwardFunding;
}
/**
* Retrieve the Forward/FX Convexity Adjustment
*
* @return The Forward/FX Convexity Adjustment
*/
public double forwardFX()
{
return _dblForwardFX;
}
/**
* Retrieve the Funding/FX Convexity Adjustment
*
* @return The Funding/FX Convexity Adjustment
*/
public double fundingFX()
{
return _dblFundingFX;
}
/**
* Retrieve the Compounding Convexity Correction
*
* @return The Compounding Convexity Correction
*/
public double compounding()
{
return _dblCollateralForward * _dblCreditForward * _dblForwardFunding * _dblForwardFX;
}
/**
* Retrieve the Cumulative Convexity Correction
*
* @return The Cumulative Convexity Correction
*/
public double cumulative()
{
return _dblCollateralCredit * _dblCollateralForward * _dblCollateralFunding * _dblCollateralFX *
_dblCreditForward * _dblCreditFunding * _dblCreditFX * _dblForwardFunding * _dblForwardFX *
_dblFundingFX;
}
/**
* Retrieve the List of the Unit Period Metrics
*
* @return The List of the Unit Period Metrics
*/
public java.util.List<org.drip.analytics.output.UnitPeriodMetrics> unitMetrics()
{
return _lsUPM;
}
}