FuturesHelper.java

  1. package org.drip.analytics.support;

  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.  * 
  15.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  16.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  17.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  18.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  19.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  20.  *      and computational support.
  21.  *  
  22.  *      https://lakshmidrip.github.io/DROP/
  23.  *  
  24.  *  DROP is composed of three modules:
  25.  *  
  26.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  27.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  28.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  29.  * 
  30.  *  DROP Product Core implements libraries for the following:
  31.  *  - Fixed Income Analytics
  32.  *  - Loan Analytics
  33.  *  - Transaction Cost Analytics
  34.  * 
  35.  *  DROP Portfolio Core implements libraries for the following:
  36.  *  - Asset Allocation Analytics
  37.  *  - Asset Liability Management Analytics
  38.  *  - Capital Estimation Analytics
  39.  *  - Exposure Analytics
  40.  *  - Margin Analytics
  41.  *  - XVA Analytics
  42.  * 
  43.  *  DROP Computational Core implements libraries for the following:
  44.  *  - Algorithm Support
  45.  *  - Computation Support
  46.  *  - Function Analysis
  47.  *  - Model Validation
  48.  *  - Numerical Analysis
  49.  *  - Numerical Optimizer
  50.  *  - Spline Builder
  51.  *  - Statistical Learning
  52.  * 
  53.  *  Documentation for DROP is Spread Over:
  54.  * 
  55.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  56.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  57.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  58.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  59.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  60.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  61.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  62.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  63.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  64.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  65.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  66.  * 
  67.  *  Licensed under the Apache License, Version 2.0 (the "License");
  68.  *      you may not use this file except in compliance with the License.
  69.  *   
  70.  *  You may obtain a copy of the License at
  71.  *      http://www.apache.org/licenses/LICENSE-2.0
  72.  *  
  73.  *  Unless required by applicable law or agreed to in writing, software
  74.  *      distributed under the License is distributed on an "AS IS" BASIS,
  75.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  76.  *  
  77.  *  See the License for the specific language governing permissions and
  78.  *      limitations under the License.
  79.  */

  81. /**
  82.  * <i>FuturesHelper</i> contains the Collection of the Futures Valuation related Utility Functions.
  83.  *
  84.  *  <br><br>
  85.  *  <ul>
  86.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  87.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  88.  *      <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>
  89.  *      <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>
  90.  *  </ul>
  91.  * 
  92.  * @author Lakshmi Krishnamurthy
  93.  */

  95. public class FuturesHelper {

  97.     /**
  98.      * Compute the Forward Bond Price Using the Implied Bond Yield
  99.      * 
  100.      * @param bond The Bond Instance
  101.      * @param valParamsSpot The Spot Valuation Parameters
  102.      * @param valParamsForward The Forward Valuation Parameters
  103.      * @param csqc The Market Parameters
  104.      * @param vcp Valuation Customization Parameters
  105.      * @param dblCleanPrice The Clean Bond Price
  106.      * 
  107.      * @return The Forward Bond Price Using the Implied Bond Yield
  108.      * 
  109.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  110.      */

  112.     public static final double ForwardBondYieldPrice (
  113.         final org.drip.product.definition.Bond bond,
  114.         final org.drip.param.valuation.ValuationParams valParamsSpot,
  115.         final org.drip.param.valuation.ValuationParams valParamsForward,
  116.         final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
  117.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  118.         final double dblCleanPrice)
  119.         throws java.lang.Exception
  120.     {
  121.         if (null == bond)
  122.             throw new java.lang.Exception ("FuturesHelper::ForwardBondYieldPrice => Invalid Inputs");

  124.         return bond.priceFromYield (valParamsForward, csqc, vcp, bond.yieldFromPrice (valParamsSpot, csqc,
  125.             vcp, dblCleanPrice));
  126.     }

  128.     /**
  129.      * Compute the Forward Bond Price Using the Implied Bond Z Spread
  130.      * 
  131.      * @param bond The Bond Instance
  132.      * @param valParamsSpot The Spot Valuation Parameters
  133.      * @param valParamsForward The Forward Valuation Parameters
  134.      * @param csqc The Market Parameters
  135.      * @param vcp Valuation Customization Parameters
  136.      * @param dblCleanPrice The Clean Bond Price
  137.      * 
  138.      * @return The Forward Bond Price Using the Implied Bond Z Spread
  139.      * 
  140.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  141.      */

  143.     public static final double ForwardBondZSpreadPrice (
  144.         final org.drip.product.definition.Bond bond,
  145.         final org.drip.param.valuation.ValuationParams valParamsSpot,
  146.         final org.drip.param.valuation.ValuationParams valParamsForward,
  147.         final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
  148.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  149.         final double dblCleanPrice)
  150.         throws java.lang.Exception
  151.     {
  152.         if (null == bond)
  153.             throw new java.lang.Exception ("FuturesHelper::ForwardBondZSpreadPrice => Invalid Inputs");

  155.         return bond.priceFromZSpread (valParamsForward, csqc, vcp, bond.zSpreadFromPrice (valParamsSpot,
  156.             csqc, vcp, dblCleanPrice));
  157.     }

  159.     /**
  160.      * Compute the Forward Bond Price Using the Implied Bond OAS
  161.      * 
  162.      * @param bond The Bond Instance
  163.      * @param valParamsSpot The Spot Valuation Parameters
  164.      * @param valParamsForward The Forward Valuation Parameters
  165.      * @param csqc The Market Parameters
  166.      * @param vcp Valuation Customization Parameters
  167.      * @param dblCleanPrice The Clean Bond Price
  168.      * 
  169.      * @return The Forward Bond Price Using the Implied Bond OAS
  170.      * 
  171.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  172.      */

  174.     public static final double ForwardBondOASPrice (
  175.         final org.drip.product.definition.Bond bond,
  176.         final org.drip.param.valuation.ValuationParams valParamsSpot,
  177.         final org.drip.param.valuation.ValuationParams valParamsForward,
  178.         final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
  179.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  180.         final double dblCleanPrice)
  181.         throws java.lang.Exception
  182.     {
  183.         if (null == bond)
  184.             throw new java.lang.Exception ("FuturesHelper::ForwardBondOASPrice => Invalid Inputs");

  186.         return bond.priceFromOAS (valParamsForward, csqc, vcp, bond.oasFromPrice (valParamsSpot, csqc, vcp,
  187.             dblCleanPrice));
  188.     }

  190.     /**
  191.      * Compute the Forward Bond Price Using the Implied Bond Credit Basis
  192.      * 
  193.      * @param bond The Bond Instance
  194.      * @param valParamsSpot The Spot Valuation Parameters
  195.      * @param valParamsForward The Forward Valuation Parameters
  196.      * @param csqc The Market Parameters
  197.      * @param vcp Valuation Customization Parameters
  198.      * @param dblCleanPrice The Clean Bond Price
  199.      * 
  200.      * @return The Forward Bond Price Using the Implied Bond Credit Basis
  201.      * 
  202.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  203.      */

  205.     public static final double ForwardBondCreditPrice (
  206.         final org.drip.product.definition.Bond bond,
  207.         final org.drip.param.valuation.ValuationParams valParamsSpot,
  208.         final org.drip.param.valuation.ValuationParams valParamsForward,
  209.         final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
  210.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  211.         final double dblCleanPrice)
  212.         throws java.lang.Exception
  213.     {
  214.         if (null == bond)
  215.             throw new java.lang.Exception ("FuturesHelper::ForwardBondCreditPrice => Invalid Inputs");

  217.         return bond.priceFromCreditBasis (valParamsForward, csqc, vcp, bond.creditBasisFromPrice
  218.             (valParamsSpot, csqc, vcp, dblCleanPrice));
  219.     }

  221.     /**
  222.      * Compute the Forward Bond Price Using the Implied Bond Yield
  223.      * 
  224.      * @param bond The Bond Instance
  225.      * @param dtSpot The Spot Date
  226.      * @param dtForward The Forward Date
  227.      * @param csqc The Market Parameters
  228.      * @param dblCleanPrice The Clean Bond Price
  229.      * 
  230.      * @return The Forward Bond Price Using the Implied Bond Yield
  231.      * 
  232.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  233.      */

  235.     public static final double ForwardBondYieldPrice (
  236.         final org.drip.product.definition.Bond bond,
  237.         final org.drip.analytics.date.JulianDate dtSpot,
  238.         final org.drip.analytics.date.JulianDate dtForward,
  239.         final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
  240.         final double dblCleanPrice)
  241.         throws java.lang.Exception
  242.     {
  243.         if (null == bond || null == dtSpot || null == dtForward)
  244.             throw new java.lang.Exception ("FuturesHelper::ForwardBondYieldPrice => Invalid Inputs");

  246.         return bond.priceFromYield (org.drip.param.valuation.ValuationParams.Spot (dtForward.julian()), csqc,
  247.             null, bond.yieldFromPrice (org.drip.param.valuation.ValuationParams.Spot (dtSpot.julian()), csqc,
  248.                 null, dblCleanPrice));
  249.     }

  251.     /**
  252.      * Compute the Forward Bond Price Using the Implied Bond Z Spread
  253.      * 
  254.      * @param bond The Bond Instance
  255.      * @param dtSpot The Spot Date
  256.      * @param dtForward The Forward Date
  257.      * @param csqc The Market Parameters
  258.      * @param dblCleanPrice The Clean Bond Price
  259.      * 
  260.      * @return The Forward Bond Price Using the Implied Bond Z Spread
  261.      * 
  262.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  263.      */

  265.     public static final double ForwardBondZSpreadPrice (
  266.         final org.drip.product.definition.Bond bond,
  267.         final org.drip.analytics.date.JulianDate dtSpot,
  268.         final org.drip.analytics.date.JulianDate dtForward,
  269.         final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
  270.         final double dblCleanPrice)
  271.         throws java.lang.Exception
  272.     {
  273.         if (null == bond || null == dtSpot || null == dtForward)
  274.             throw new java.lang.Exception ("FuturesHelper::ForwardBondZSpreadPrice => Invalid Inputs");

  276.         return bond.priceFromZSpread (org.drip.param.valuation.ValuationParams.Spot (dtForward.julian()),
  277.             csqc, null, bond.zSpreadFromPrice (org.drip.param.valuation.ValuationParams.Spot
  278.                 (dtSpot.julian()), csqc, null, dblCleanPrice));
  279.     }

  281.     /**
  282.      * Compute the Forward Bond Price Using the Implied Bond OAS
  283.      * 
  284.      * @param bond The Bond Instance
  285.      * @param dtSpot The Spot Date
  286.      * @param dtForward The Forward Date
  287.      * @param csqc The Market Parameters
  288.      * @param dblCleanPrice The Clean Bond Price
  289.      * 
  290.      * @return The Forward Bond Price Using the Implied Bond OAS
  291.      * 
  292.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  293.      */

  295.     public static final double ForwardBondOASPrice (
  296.         final org.drip.product.definition.Bond bond,
  297.         final org.drip.analytics.date.JulianDate dtSpot,
  298.         final org.drip.analytics.date.JulianDate dtForward,
  299.         final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
  300.         final double dblCleanPrice)
  301.         throws java.lang.Exception
  302.     {
  303.         if (null == bond || null == dtSpot || null == dtForward)
  304.             throw new java.lang.Exception ("FuturesHelper::ForwardBondOASPrice => Invalid Inputs");

  306.         return bond.priceFromOAS (org.drip.param.valuation.ValuationParams.Spot (dtForward.julian()), csqc,
  307.             null, bond.oasFromPrice (org.drip.param.valuation.ValuationParams.Spot (dtSpot.julian()), csqc,
  308.                 null, dblCleanPrice));
  309.     }

  311.     /**
  312.      * Compute the Forward Bond Price Using the Implied Bond Credit Basis
  313.      * 
  314.      * @param bond The Bond Instance
  315.      * @param dtSpot The Spot Date
  316.      * @param dtForward The Forward Date
  317.      * @param csqc The Market Parameters
  318.      * @param dblCleanPrice The Clean Bond Price
  319.      * 
  320.      * @return The Forward Bond Price Using the Implied Bond Credit Basis
  321.      * 
  322.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  323.      */

  325.     public static final double ForwardBondCreditPrice (
  326.         final org.drip.product.definition.Bond bond,
  327.         final org.drip.analytics.date.JulianDate dtSpot,
  328.         final org.drip.analytics.date.JulianDate dtForward,
  329.         final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
  330.         final double dblCleanPrice)
  331.         throws java.lang.Exception
  332.     {
  333.         if (null == bond || null == dtSpot || null == dtForward)
  334.             throw new java.lang.Exception ("FuturesHelper::ForwardBondCreditPrice => Invalid Inputs");

  336.         return bond.priceFromCreditBasis (org.drip.param.valuation.ValuationParams.Spot (dtForward.julian()),
  337.             csqc, null, bond.creditBasisFromPrice (org.drip.param.valuation.ValuationParams.Spot
  338.                 (dtSpot.julian()), csqc, null, dblCleanPrice));
  339.     }
  340. }
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