CompositePeriodCouponMetrics.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>CompositePeriodCouponMetrics</i> holds the results of the compounded Composed period Full Coupon
  84.  * Metrics Estimate Output.
  85.  *
  86.  *  <br><br>
  87.  *  <ul>
  88.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  89.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  90.  *      <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>
  91.  *      <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>
  92.  *  </ul>
  93.  *
  94.  * @author Lakshmi Krishnamurthy
  95.  */

  97. public class CompositePeriodCouponMetrics {
  98.     private double _dblDCF = 0.;
  99.     private double _dblRate = 0.;
  100.     private double _dblCreditFX = 0.;
  101.     private double _dblForwardFX = 0.;
  102.     private double _dblFundingFX = 0.;
  103.     private double _dblCollateralFX = 0.;
  104.     private double _dblCreditForward = 0.;
  105.     private double _dblCreditFunding = 0.;
  106.     private double _dblForwardFunding = 0.;
  107.     private double _dblCollateralCredit = 0.;
  108.     private double _dblCollateralForward = 0.;
  109.     private double _dblCollateralFunding = 0.;
  110.     private java.util.List<org.drip.analytics.output.UnitPeriodMetrics> _lsUPM = null;

  112.     /**
  113.      * CompositePeriodCouponMetrics Instance from the list of the composite period metrics
  114.      * 
  115.      * @param lsUPM List of Unit Period Metrics
  116.      * 
  117.      * @return Instance of CompositePeriodCouponMetrics
  118.      */

  120.     public static final CompositePeriodCouponMetrics Create (
  121.         final java.util.List<org.drip.analytics.output.UnitPeriodMetrics> lsUPM)
  122.     {
  123.         try {
  124.             CompositePeriodCouponMetrics cpm = new CompositePeriodCouponMetrics (lsUPM);

  126.             return cpm.initialize() ? cpm : null;
  127.         } catch (java.lang.Exception e) {
  128.             e.printStackTrace();
  129.         }

  131.         return null;
  132.     }

  134.     protected CompositePeriodCouponMetrics (
  135.         final java.util.List<org.drip.analytics.output.UnitPeriodMetrics> lsUPM)
  136.         throws java.lang.Exception
  137.     {
  138.         if (null == (_lsUPM = lsUPM) || 0 == _lsUPM.size())
  139.             throw new java.lang.Exception ("CompositePeriodCouponMetrics ctr: Invalid Inputs");
  140.     }

  142.     protected boolean initialize()
  143.     {
  144.         double dblAmount = 0.;

  146.         for (org.drip.analytics.output.UnitPeriodMetrics upm : _lsUPM) {
  147.             org.drip.analytics.output.ConvexityAdjustment convAdj = upm.convAdj();

  149.             double dblUnitRate = upm.rate();

  151.             double dblUnitDCF = upm.dcf();

  153.             double dblUnitAmount = dblUnitDCF * dblUnitRate;
  154.             dblAmount += dblUnitAmount;
  155.             _dblDCF += dblUnitDCF;

  157.             _dblCollateralCredit += convAdj.collateralCredit() * dblUnitDCF;

  159.             _dblCollateralForward += convAdj.collateralForward() * dblUnitDCF;

  161.             _dblCollateralFunding += convAdj.collateralFunding() * dblUnitDCF;

  163.             _dblCollateralFX += convAdj.collateralFX() * dblUnitDCF;

  165.             _dblCreditForward += convAdj.creditForward() * dblUnitDCF;

  167.             _dblCreditFunding += convAdj.creditFunding() * dblUnitDCF;

  169.             _dblCreditFX += convAdj.creditFX() * dblUnitDCF;

  171.             _dblForwardFunding += convAdj.forwardFunding() * dblUnitDCF;

  173.             _dblForwardFX += convAdj.forwardFX() * dblUnitDCF;

  175.             _dblFundingFX += convAdj.fundingFX() * dblUnitDCF;
  176.         }

  178.         _dblCollateralCredit /= _dblDCF;
  179.         _dblCollateralForward /= _dblDCF;
  180.         _dblCollateralFunding /= _dblDCF;
  181.         _dblCollateralFX /= _dblDCF;
  182.         _dblCreditForward /= _dblDCF;
  183.         _dblCreditFunding /= _dblDCF;
  184.         _dblCreditFX /= _dblDCF;
  185.         _dblForwardFunding /= _dblDCF;
  186.         _dblForwardFX /= _dblDCF;
  187.         _dblFundingFX /= _dblDCF;
  188.         _dblRate = dblAmount / _dblDCF;
  189.         return true;
  190.     }

  192.     /**
  193.      * Retrieve the Composite DCF
  194.      * 
  195.      * @return The Composite DCF
  196.      */

  198.     public double dcf()
  199.     {
  200.         return _dblDCF;
  201.     }

  203.     /**
  204.      * Retrieve the Composite Rate
  205.      * 
  206.      * @return The Composite Rate
  207.      */

  209.     public double rate()
  210.     {
  211.         return _dblRate;
  212.     }

  214.     /**
  215.      * Retrieve the Collateral/Credit Convexity Adjustment
  216.      * 
  217.      * @return The Collateral/Credit Convexity Adjustment
  218.      */

  220.     public double collateralCredit()
  221.     {
  222.         return _dblCollateralCredit;
  223.     }

  225.     /**
  226.      * Retrieve the Collateral/Forward Convexity Adjustment
  227.      * 
  228.      * @return The Collateral/Forward Convexity Adjustment
  229.      */

  231.     public double collateralForward()
  232.     {
  233.         return _dblCollateralForward;
  234.     }

  236.     /**
  237.      * Retrieve the Collateral/Funding Convexity Adjustment
  238.      * 
  239.      * @return The Collateral/Funding Convexity Adjustment
  240.      */

  242.     public double collateralFunding()
  243.     {
  244.         return _dblCollateralFunding;
  245.     }

  247.     /**
  248.      * Retrieve the Collateral/FX Convexity Adjustment
  249.      * 
  250.      * @return The Collateral/FX Convexity Adjustment
  251.      */

  253.     public double collateralFX()
  254.     {
  255.         return _dblCollateralFX;
  256.     }

  258.     /**
  259.      * Retrieve the Credit/Forward Convexity Adjustment
  260.      * 
  261.      * @return The Credit/Forward Convexity Adjustment
  262.      */

  264.     public double creditForward()
  265.     {
  266.         return _dblCreditForward;
  267.     }

  269.     /**
  270.      * Retrieve the Credit/Funding Convexity Adjustment
  271.      * 
  272.      * @return The Credit/Funding Convexity Adjustment
  273.      */

  275.     public double creditFunding()
  276.     {
  277.         return _dblCreditFunding;
  278.     }

  280.     /**
  281.      * Retrieve the Credit/FX Convexity Adjustment
  282.      * 
  283.      * @return The Credit/FX Convexity Adjustment
  284.      */

  286.     public double creditFX()
  287.     {
  288.         return _dblCreditFX;
  289.     }

  291.     /**
  292.      * Retrieve the Forward/Funding Convexity Adjustment
  293.      * 
  294.      * @return The Forward/Funding Convexity Adjustment
  295.      */

  297.     public double forwardFunding()
  298.     {
  299.         return _dblForwardFunding;
  300.     }

  302.     /**
  303.      * Retrieve the Forward/FX Convexity Adjustment
  304.      * 
  305.      * @return The Forward/FX Convexity Adjustment
  306.      */

  308.     public double forwardFX()
  309.     {
  310.         return _dblForwardFX;
  311.     }

  313.     /**
  314.      * Retrieve the Funding/FX Convexity Adjustment
  315.      * 
  316.      * @return The Funding/FX Convexity Adjustment
  317.      */

  319.     public double fundingFX()
  320.     {
  321.         return _dblFundingFX;
  322.     }

  324.     /**
  325.      * Retrieve the Compounding Convexity Correction
  326.      * 
  327.      * @return The Compounding Convexity Correction
  328.      */

  330.     public double compounding()
  331.     {
  332.         return _dblCollateralForward * _dblCreditForward * _dblForwardFunding * _dblForwardFX;
  333.     }

  335.     /**
  336.      * Retrieve the Cumulative Convexity Correction
  337.      * 
  338.      * @return The Cumulative Convexity Correction
  339.      */

  341.     public double cumulative()
  342.     {
  343.         return _dblCollateralCredit * _dblCollateralForward * _dblCollateralFunding * _dblCollateralFX *
  344.             _dblCreditForward * _dblCreditFunding * _dblCreditFX * _dblForwardFunding * _dblForwardFX *
  345.                 _dblFundingFX;
  346.     }

  348.     /**
  349.      * Retrieve the List of the Unit Period Metrics
  350.      * 
  351.      * @return The List of the Unit Period Metrics
  352.      */

  354.     public java.util.List<org.drip.analytics.output.UnitPeriodMetrics> unitMetrics()
  355.     {
  356.         return _lsUPM;
  357.     }
  358. }
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