ForwardDecompositionUtil.java
package org.drip.analytics.support;
/*
* -*- 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>ForwardDecompositionUtil</i> contains the utility functions needed to carry out periodic decomposition
* at MTM sync points for the given stream.
*
* <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/support/README.md">Assorted Support and Helper Utilities</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class ForwardDecompositionUtil {
/**
* Decompose the Stream into an Array of Single Forward Period Floating Streams
*
* @param fs The Stream
* @param iNumPeriodsToAccumulate Number of Forward Periods to roll into one
*
* @return The Array of Single Forward Period Streams
*/
public static final org.drip.product.rates.Stream[] SinglePeriodStreamDecompose (
final org.drip.product.rates.Stream fs,
final int iNumPeriodsToAccumulate)
{
if (null == fs) return null;
java.util.List<org.drip.analytics.cashflow.CompositePeriod> lsCouponFlow = fs.cashFlowPeriod();
int iNumPeriods = lsCouponFlow.size();
int iCFPIndex = 0;
int iNumPeriodsAccumulated = 0;
int iNumForward = iNumPeriods / iNumPeriodsToAccumulate;
org.drip.product.rates.Stream[] aFS = new org.drip.product.rates.Stream[iNumForward];
java.util.List<java.util.List<org.drip.analytics.cashflow.CompositePeriod>> lslsCouponPeriod = new
java.util.ArrayList<java.util.List<org.drip.analytics.cashflow.CompositePeriod>>();
for (int i = 0; i < iNumForward; ++i)
lslsCouponPeriod.add (new java.util.ArrayList<org.drip.analytics.cashflow.CompositePeriod>());
for (org.drip.analytics.cashflow.CompositePeriod cfp : lsCouponFlow) {
java.util.List<org.drip.analytics.cashflow.CompositePeriod> lsCouponPeriod = lslsCouponPeriod.get
(iCFPIndex);
lsCouponPeriod.add (cfp);
if (++iNumPeriodsAccumulated != iNumPeriodsToAccumulate) continue;
iNumPeriodsAccumulated = 0;
try {
aFS[iCFPIndex++] = new org.drip.product.rates.Stream (lsCouponPeriod);
} catch (java.lang.Exception e) {
e.printStackTrace();
return null;
}
}
return aFS;
}
/**
* Decompose the Dual Stream Component into an Array of Single Forward Period Dual Streams
*
* @param dsc The Dual Stream
*
* @return The Array of Single Forward Period Dual Streams
*/
public static final org.drip.product.definition.CalibratableComponent[] DualStreamForwardArray (
final org.drip.product.rates.DualStreamComponent dsc)
{
if (null == dsc) return null;
org.drip.product.rates.Stream streamDerived = dsc.derivedStream();
org.drip.product.rates.Stream streamReference = dsc.referenceStream();
int iNumForward = 0;
org.drip.product.rates.Stream[] aStreamDerivedForward = null;
org.drip.product.rates.Stream[] aStreamReferenceForward = null;
int iDerivedStreamTenorMonths = 12 / streamDerived.freq();
int iReferenceStreamTenorMonths = 12 / streamReference.freq();
if (iReferenceStreamTenorMonths > iDerivedStreamTenorMonths) {
if (null == (aStreamReferenceForward = SinglePeriodStreamDecompose (streamReference, 1)) || 0 ==
(iNumForward = aStreamReferenceForward.length))
return null;
if (null == (aStreamDerivedForward = SinglePeriodStreamDecompose (streamDerived,
iReferenceStreamTenorMonths / iDerivedStreamTenorMonths)) || iNumForward !=
aStreamDerivedForward.length)
return null;
} else {
if (null == (aStreamDerivedForward = SinglePeriodStreamDecompose (streamDerived, 1)) || 0 ==
(iNumForward = aStreamDerivedForward.length))
return null;
if (null == (aStreamReferenceForward = SinglePeriodStreamDecompose (streamReference,
iDerivedStreamTenorMonths / iReferenceStreamTenorMonths)) || iNumForward !=
aStreamReferenceForward.length)
return null;
}
org.drip.product.definition.CalibratableComponent[] aRC = new
org.drip.product.definition.CalibratableComponent[iNumForward];
for (int i = 0; i < iNumForward; ++i) {
try {
if (null == (aRC[i] = org.drip.product.creator.DualStreamComponentBuilder.MakeFloatFloat
(aStreamReferenceForward[i], aStreamDerivedForward[i], new
org.drip.param.valuation.CashSettleParams (0, streamDerived.couponCurrency(), 0))))
return null;
aRC[i].setPrimaryCode (streamReference.name() + "::" + streamDerived.name() + "_" + i);
} catch (java.lang.Exception e) {
e.printStackTrace();
return null;
}
}
return aRC;
}
/**
* Decompose the Rates Component into an Array of Single Forward Rates Components
*
* @param rc The Rates Component
*
* @return The Array of Single Forward Period Rates Components
*/
public static final org.drip.product.definition.CalibratableComponent[]
CalibratableFixedIncomeComponentForwardArray (
final org.drip.product.definition.CalibratableComponent rc)
{
return null != rc && rc instanceof org.drip.product.rates.DualStreamComponent ?
DualStreamForwardArray ((org.drip.product.rates.DualStreamComponent) rc) : null;
}
}