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;
    }
}