ConvexityAdjustment.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>ConvexityAdjustment</i> holds the dynamical convexity Adjustments between the Latent States.
  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 ConvexityAdjustment {
  97.     private double _dblCollateralCredit = 1.;
  98.     private double _dblCollateralForward = 1.;
  99.     private double _dblCollateralFunding = 1.;
  100.     private double _dblCollateralFX = 1.;
  101.     private double _dblCreditForward = 1.;
  102.     private double _dblCreditFunding = 1.;
  103.     private double _dblCreditFX = 1.;
  104.     private double _dblForwardFunding = 1.;
  105.     private double _dblForwardFX = 1.;
  106.     private double _dblFundingFX = 1.;

  108.     /**
  109.      * Empty ConvexityAdjustment Constructor
  110.      */

  112.     public ConvexityAdjustment()
  113.     {
  114.     }

  116.     /**
  117.      * Set the Collateral/Credit Convexity Adjustment
  118.      * 
  119.      * @param dblCollateralCredit The Collateral/Credit Convexity Adjustment
  120.      * 
  121.      * @return TRUE - The Collateral/Credit Convexity Adjustment successfully set
  122.      */

  124.     public boolean setCollateralCredit (
  125.         final double dblCollateralCredit)
  126.     {
  127.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblCollateralCredit)) return false;

  129.         _dblCollateralCredit = dblCollateralCredit;
  130.         return true;
  131.     }

  133.     /**
  134.      * Retrieve the Collateral/Credit Convexity Adjustment
  135.      * 
  136.      * @return The Collateral/Credit Convexity Adjustment
  137.      */

  139.     public double collateralCredit()
  140.     {
  141.         return _dblCollateralCredit;
  142.     }

  144.     /**
  145.      * Set the Collateral/Forward Convexity Adjustment
  146.      * 
  147.      * @param dblCollateralForward The Collateral/Forward Convexity Adjustment
  148.      * 
  149.      * @return TRUE - The Collateral/Forward Convexity Adjustment successfully set
  150.      */

  152.     public boolean setCollateralForward (
  153.         final double dblCollateralForward)
  154.     {
  155.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblCollateralForward)) return false;

  157.         _dblCollateralForward = dblCollateralForward;
  158.         return true;
  159.     }

  161.     /**
  162.      * Retrieve the Collateral/Forward Convexity Adjustment
  163.      * 
  164.      * @return The Collateral/Forward Convexity Adjustment
  165.      */

  167.     public double collateralForward()
  168.     {
  169.         return _dblCollateralForward;
  170.     }

  172.     /**
  173.      * Set the Collateral/Funding Convexity Adjustment
  174.      * 
  175.      * @param dblCollateralFunding The Collateral/Funding Convexity Adjustment
  176.      * 
  177.      * @return TRUE - The Collateral/Funding Convexity Adjustment successfully set
  178.      */

  180.     public boolean setCollateralFunding (
  181.         final double dblCollateralFunding)
  182.     {
  183.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblCollateralFunding)) return false;

  185.         _dblCollateralFunding = dblCollateralFunding;
  186.         return true;
  187.     }

  189.     /**
  190.      * Retrieve the Collateral/Funding Convexity Adjustment
  191.      * 
  192.      * @return The Collateral/Funding Convexity Adjustment
  193.      */

  195.     public double collateralFunding()
  196.     {
  197.         return _dblCollateralFunding;
  198.     }

  200.     /**
  201.      * Set the Collateral/FX Convexity Adjustment
  202.      * 
  203.      * @param dblCollateralFX The Collateral/FX Convexity Adjustment
  204.      * 
  205.      * @return TRUE - The Collateral/FX Convexity Adjustment successfully set
  206.      */

  208.     public boolean setCollateralFX (
  209.         final double dblCollateralFX)
  210.     {
  211.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblCollateralFX)) return false;

  213.         _dblCollateralFX = dblCollateralFX;
  214.         return true;
  215.     }

  217.     /**
  218.      * Retrieve the Collateral/FX Convexity Adjustment
  219.      * 
  220.      * @return The Collateral/FX Convexity Adjustment
  221.      */

  223.     public double collateralFX()
  224.     {
  225.         return _dblCollateralFX;
  226.     }

  228.     /**
  229.      * Set the Credit/Forward Convexity Adjustment
  230.      * 
  231.      * @param dblCreditForward The Credit/Forward Convexity Adjustment
  232.      * 
  233.      * @return TRUE - The Credit/Forward Convexity Adjustment successfully set
  234.      */

  236.     public boolean setCreditForward (
  237.         final double dblCreditForward)
  238.     {
  239.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblCreditForward)) return false;

  241.         _dblCreditForward = dblCreditForward;
  242.         return true;
  243.     }

  245.     /**
  246.      * Retrieve the Credit/Forward Convexity Adjustment
  247.      * 
  248.      * @return The Credit/Forward Convexity Adjustment
  249.      */

  251.     public double creditForward()
  252.     {
  253.         return _dblCreditForward;
  254.     }

  256.     /**
  257.      * Set the Credit/Funding Convexity Adjustment
  258.      * 
  259.      * @param dblCreditFunding The Credit/Funding Convexity Adjustment
  260.      * 
  261.      * @return TRUE - The Credit/Funding Convexity Adjustment successfully set
  262.      */

  264.     public boolean setCreditFunding (
  265.         final double dblCreditFunding)
  266.     {
  267.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblCreditFunding)) return false;

  269.         _dblCreditFunding = dblCreditFunding;
  270.         return true;
  271.     }

  273.     /**
  274.      * Retrieve the Credit/Funding Convexity Adjustment
  275.      * 
  276.      * @return The Credit/Funding Convexity Adjustment
  277.      */

  279.     public double creditFunding()
  280.     {
  281.         return _dblCreditFunding;
  282.     }

  284.     /**
  285.      * Set the Credit/FX Convexity Adjustment
  286.      * 
  287.      * @param dblCreditFX The Credit/FX Convexity Adjustment
  288.      * 
  289.      * @return TRUE - The Credit/FX Convexity Adjustment successfully set
  290.      */

  292.     public boolean setCreditFX (
  293.         final double dblCreditFX)
  294.     {
  295.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblCreditFX)) return false;

  297.         _dblCreditFX = dblCreditFX;
  298.         return true;
  299.     }

  301.     /**
  302.      * Retrieve the Credit/FX Convexity Adjustment
  303.      * 
  304.      * @return The Credit/FX Convexity Adjustment
  305.      */

  307.     public double creditFX()
  308.     {
  309.         return _dblCreditFX;
  310.     }

  312.     /**
  313.      * Set the Forward/Funding Convexity Adjustment
  314.      * 
  315.      * @param dblForwardFunding The Forward/Funding Convexity Adjustment
  316.      * 
  317.      * @return TRUE - The Forward/Funding Convexity Adjustment successfully set
  318.      */

  320.     public boolean setForwardFunding (
  321.         final double dblForwardFunding)
  322.     {
  323.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblForwardFunding)) return false;

  325.         _dblForwardFunding = dblForwardFunding;
  326.         return true;
  327.     }

  329.     /**
  330.      * Retrieve the Forward/Funding Convexity Adjustment
  331.      * 
  332.      * @return The Forward/Funding Convexity Adjustment
  333.      */

  335.     public double forwardFunding()
  336.     {
  337.         return _dblForwardFunding;
  338.     }

  340.     /**
  341.      * Set the Forward/FX Convexity Adjustment
  342.      * 
  343.      * @param dblForwardFX The Forward/FX Convexity Adjustment
  344.      * 
  345.      * @return TRUE - The Forward/FX Convexity Adjustment successfully set
  346.      */

  348.     public boolean setForwardFX (
  349.         final double dblForwardFX)
  350.     {
  351.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblForwardFX)) return false;

  353.         _dblForwardFX = dblForwardFX;
  354.         return true;
  355.     }

  357.     /**
  358.      * Retrieve the Forward/FX Convexity Adjustment
  359.      * 
  360.      * @return The Forward/FX Convexity Adjustment
  361.      */

  363.     public double forwardFX()
  364.     {
  365.         return _dblForwardFX;
  366.     }

  368.     /**
  369.      * Set the Funding/FX Convexity Adjustment
  370.      * 
  371.      * @param dblFundingFX The Funding/FX Convexity Adjustment
  372.      * 
  373.      * @return TRUE - The Funding/FX Convexity Adjustment successfully set
  374.      */

  376.     public boolean setFundingFX (
  377.         final double dblFundingFX)
  378.     {
  379.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblFundingFX)) return false;

  381.         _dblFundingFX = dblFundingFX;
  382.         return true;
  383.     }

  385.     /**
  386.      * Retrieve the Funding/FX Convexity Adjustment
  387.      * 
  388.      * @return The Funding/FX Convexity Adjustment
  389.      */

  391.     public double fundingFX()
  392.     {
  393.         return _dblFundingFX;
  394.     }

  396.     /**
  397.      * Retrieve the Cumulative Convexity Correction
  398.      * 
  399.      * @return The Cumulative Convexity Correction
  400.      */

  402.     public double cumulative()
  403.     {
  404.         return _dblCollateralCredit * _dblCollateralForward * _dblCollateralFunding * _dblCollateralFX *
  405.             _dblCreditForward * _dblCreditFunding * _dblCreditFX * _dblForwardFunding * _dblForwardFX *
  406.                 _dblFundingFX;
  407.     }
  408. }
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