LossQuadratureGenerator.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.  * Copyright (C) 2014 Lakshmi Krishnamurthy
  15.  * Copyright (C) 2013 Lakshmi Krishnamurthy
  16.  * Copyright (C) 2012 Lakshmi Krishnamurthy
  17.  * Copyright (C) 2011 Lakshmi Krishnamurthy
  18.  * 
  19.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  20.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  21.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  22.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  23.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  24.  *      and computational support.
  25.  *  
  26.  *      https://lakshmidrip.github.io/DROP/
  27.  *  
  28.  *  DROP is composed of three modules:
  29.  *  
  30.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  31.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  32.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  33.  * 
  34.  *  DROP Product Core implements libraries for the following:
  35.  *  - Fixed Income Analytics
  36.  *  - Loan Analytics
  37.  *  - Transaction Cost Analytics
  38.  * 
  39.  *  DROP Portfolio Core implements libraries for the following:
  40.  *  - Asset Allocation Analytics
  41.  *  - Asset Liability Management Analytics
  42.  *  - Capital Estimation Analytics
  43.  *  - Exposure Analytics
  44.  *  - Margin Analytics
  45.  *  - XVA Analytics
  46.  * 
  47.  *  DROP Computational Core implements libraries for the following:
  48.  *  - Algorithm Support
  49.  *  - Computation Support
  50.  *  - Function Analysis
  51.  *  - Model Validation
  52.  *  - Numerical Analysis
  53.  *  - Numerical Optimizer
  54.  *  - Spline Builder
  55.  *  - Statistical Learning
  56.  * 
  57.  *  Documentation for DROP is Spread Over:
  58.  * 
  59.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  60.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  61.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  62.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  63.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  64.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  65.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  66.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  67.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  68.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  69.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  70.  * 
  71.  *  Licensed under the Apache License, Version 2.0 (the "License");
  72.  *      you may not use this file except in compliance with the License.
  73.  *   
  74.  *  You may obtain a copy of the License at
  75.  *      http://www.apache.org/licenses/LICENSE-2.0
  76.  *  
  77.  *  Unless required by applicable law or agreed to in writing, software
  78.  *      distributed under the License is distributed on an "AS IS" BASIS,
  79.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  80.  *  
  81.  *  See the License for the specific language governing permissions and
  82.  *      limitations under the License.
  83.  */

  85. /**
  86.  * <i>LossQuadratureGenerator</i> generates the decomposed Integrand Quadrature for the Loss Steps.
  87.  *
  88.  *  <br><br>
  89.  *  <ul>
  90.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  91.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  92.  *      <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>
  93.  *      <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>
  94.  *  </ul>
  95.  * 
  96.  * @author Lakshmi Krishnamurthy
  97.  */

  99. public class LossQuadratureGenerator {

  101.     /**
  102.      * Generate the Set of Loss Quadrature Metrics from the Day Step Loss Periods
  103.      * 
  104.      * @param comp Component for which the measures are to be generated
  105.      * @param valParams ValuationParams from which the periods are generated
  106.      * @param period The enveloping coupon period
  107.      * @param iWorkoutDate Date representing the absolute end of all the generated periods
  108.      * @param iPeriodUnit Day Step Size Unit of the generated Loss Quadrature Periods
  109.      * @param csqs The Market Parameters Curves/Quotes
  110.      *  
  111.      * @return List of the generated LossQuadratureMetrics
  112.      */

  114.     public static final java.util.List<org.drip.analytics.cashflow.LossQuadratureMetrics>
  115.         GenerateDayStepLossPeriods (
  116.             final org.drip.product.definition.CreditComponent comp,
  117.             final org.drip.param.valuation.ValuationParams valParams,
  118.             final org.drip.analytics.cashflow.CompositePeriod period,
  119.             final int iWorkoutDate,
  120.             final int iPeriodUnit,
  121.             final org.drip.param.market.CurveSurfaceQuoteContainer csqs)
  122.     {
  123.         if (null == comp || null == valParams || null == period || null == csqs) return null;

  125.         org.drip.state.discount.MergedDiscountForwardCurve dc = csqs.fundingState
  126.             (org.drip.state.identifier.FundingLabel.Standard (comp.payCurrency()));

  128.         if (null == dc) return null;

  130.         org.drip.state.credit.CreditCurve cc = csqs.creditState (comp.creditLabel());

  132.         if (null == cc) return null;

  134.         int iLossPayLag = comp.creditValuationParams().lossPayLag();

  136.         int iSubPeriodStartDate = period.startDate();

  138.         if (iSubPeriodStartDate > iWorkoutDate) return null;

  140.         int iPeriodEndDate = period.endDate();

  142.         int iValueDate = valParams.valueDate();

  144.         boolean bPeriodDone = false;
  145.         iPeriodEndDate = iPeriodEndDate < iWorkoutDate ? iPeriodEndDate : iWorkoutDate;
  146.         iSubPeriodStartDate = iSubPeriodStartDate < iValueDate ? iValueDate : iSubPeriodStartDate;

  148.         java.util.List<org.drip.analytics.cashflow.LossQuadratureMetrics> sLP = new
  149.             java.util.ArrayList<org.drip.analytics.cashflow.LossQuadratureMetrics>();

  151.         while (!bPeriodDone) {
  152.             int iSubPeriodEndDate = iSubPeriodStartDate + iPeriodUnit;

  154.             if (iSubPeriodEndDate < iValueDate) return null;

  156.             if (iSubPeriodEndDate >= iPeriodEndDate) {
  157.                 bPeriodDone = true;
  158.                 iSubPeriodEndDate = iPeriodEndDate;
  159.             }

  161.             try {
  162.                 org.drip.analytics.cashflow.LossQuadratureMetrics lp =
  163.                     org.drip.analytics.cashflow.LossQuadratureMetrics.MakeDefaultPeriod (iSubPeriodStartDate,
  164.                         iSubPeriodEndDate, period.accrualDCF ((iSubPeriodStartDate + iSubPeriodEndDate) / 2),
  165.                             comp.notional (iSubPeriodStartDate, iSubPeriodEndDate), comp.recovery
  166.                                 (iSubPeriodStartDate, iSubPeriodEndDate, cc), dc, cc, iLossPayLag);

  168.                 if (null != lp) sLP.add (lp);
  169.             } catch (java.lang.Exception e) {
  170.                 e.printStackTrace();

  172.                 return null;
  173.             }

  175.             iSubPeriodStartDate = iSubPeriodEndDate;
  176.         }

  178.         return sLP;
  179.     }

  181.     /**
  182.      * Generate the Set of Loss Quadrature Metrics from the Day Step Loss Periods
  183.      * 
  184.      * @param comp Component for which the measures are to be generated
  185.      * @param valParams ValuationParams from which the periods are generated
  186.      * @param period The enveloping coupon period
  187.      * @param iWorkoutDate The absolute end of all the generated periods
  188.      * @param iPeriodUnit Loss Grid Size Unit of the generated Loss Quadrature Periods
  189.      * @param csqs The Market Parameters Curves/Quotes
  190.      *  
  191.      * @return List of the generated LossQuadratureMetrics
  192.      */

  194.     public static final java.util.List<org.drip.analytics.cashflow.LossQuadratureMetrics>
  195.         GeneratePeriodUnitLossPeriods (
  196.             final org.drip.product.definition.CreditComponent comp,
  197.             final org.drip.param.valuation.ValuationParams valParams,
  198.             final org.drip.analytics.cashflow.CompositePeriod period,
  199.             final int iWorkoutDate,
  200.             final int iPeriodUnit,
  201.             final org.drip.param.market.CurveSurfaceQuoteContainer csqs)
  202.     {
  203.         if (null == comp || null == valParams || null == period || null == csqs) return null;

  205.         org.drip.state.discount.MergedDiscountForwardCurve dc = csqs.fundingState
  206.             (org.drip.state.identifier.FundingLabel.Standard (comp.payCurrency()));

  208.         if (null == dc) return null;

  210.         org.drip.state.credit.CreditCurve cc = csqs.creditState (comp.creditLabel());

  212.         if (null == cc) return null;

  214.         int iValueDate = valParams.valueDate();

  216.         int iPeriodEndDate = period.endDate();

  218.         int iSubPeriodStartDate = period.startDate();

  220.         boolean bPeriodDone = false;
  221.         iPeriodEndDate = iPeriodEndDate < iWorkoutDate ? iPeriodEndDate : iWorkoutDate;
  222.         iSubPeriodStartDate = iSubPeriodStartDate < iValueDate ? iValueDate : iSubPeriodStartDate;
  223.         int iDayStep = (iPeriodEndDate - iSubPeriodStartDate) / iPeriodUnit;

  225.         if (iSubPeriodStartDate > iWorkoutDate || iPeriodEndDate < iValueDate) return null;

  227.         if (iDayStep < org.drip.param.pricer.CreditPricerParams.PERIOD_DAY_STEPS_MINIMUM)
  228.             iDayStep = org.drip.param.pricer.CreditPricerParams.PERIOD_DAY_STEPS_MINIMUM;

  230.         int iLossPayLag = comp.creditValuationParams().lossPayLag();

  232.         java.util.List<org.drip.analytics.cashflow.LossQuadratureMetrics> sLP = new
  233.             java.util.ArrayList<org.drip.analytics.cashflow.LossQuadratureMetrics>();

  235.         while (!bPeriodDone) {
  236.             int iSubPeriodEndDate = iSubPeriodStartDate + iDayStep;

  238.             if (iSubPeriodEndDate < iValueDate) return null;

  240.             try {
  241.                 if (iSubPeriodEndDate >= iPeriodEndDate) {
  242.                     bPeriodDone = true;
  243.                     iSubPeriodEndDate = iPeriodEndDate;
  244.                 }

  246.                 org.drip.analytics.cashflow.LossQuadratureMetrics lp =
  247.                     org.drip.analytics.cashflow.LossQuadratureMetrics.MakeDefaultPeriod (iSubPeriodStartDate,
  248.                         iSubPeriodEndDate, period.accrualDCF ((iSubPeriodStartDate + iSubPeriodEndDate) / 2),
  249.                             comp.notional (iSubPeriodStartDate, iSubPeriodEndDate), comp.recovery
  250.                                 (iSubPeriodStartDate, iSubPeriodEndDate, cc),  dc, cc, iLossPayLag);

  252.                 if (null != lp) sLP.add (lp);
  253.             } catch (java.lang.Exception e) {
  254.                 e.printStackTrace();

  256.                 return null;
  257.             }

  259.             iSubPeriodStartDate = iSubPeriodEndDate;
  260.         }

  262.         return sLP;
  263.     }


  266.     /**
  267.      * Generate the Set of Loss Quadrature Metrics from the Day Step Loss Periods
  268.      * 
  269.      * @param comp Component for which the measures are to be generated
  270.      * @param valParams ValuationParams from which the periods are generated
  271.      * @param period The Enveloping Coupon period
  272.      * @param iWorkoutDate The Absolute End of all the generated periods
  273.      * @param csqs The Market Parameters Curves/Quotes
  274.      *  
  275.      * @return List of the generated LossQuadratureMetrics
  276.      */

  278.     public static final java.util.List<org.drip.analytics.cashflow.LossQuadratureMetrics>
  279.         GenerateWholeLossPeriods (
  280.             final org.drip.product.definition.CreditComponent comp,
  281.             final org.drip.param.valuation.ValuationParams valParams,
  282.             final org.drip.analytics.cashflow.CompositePeriod period,
  283.             final int iWorkoutDate,
  284.             final org.drip.param.market.CurveSurfaceQuoteContainer csqs)
  285.     {
  286.         if (null == comp || null == valParams || null == period || null == csqs) return null;

  288.         org.drip.state.discount.MergedDiscountForwardCurve dc = csqs.fundingState
  289.             (org.drip.state.identifier.FundingLabel.Standard (comp.payCurrency()));

  291.         if (null == dc) return null;

  293.         org.drip.state.credit.CreditCurve cc = csqs.creditState (comp.creditLabel());

  295.         if (null == cc) return null;

  297.         int iPeriodStartDate = period.startDate();

  299.         if (iPeriodStartDate > iWorkoutDate) return null;

  301.         int iPeriodEndDate = period.endDate();

  303.         int iValueDate = valParams.valueDate();

  305.         iPeriodStartDate = iPeriodStartDate < iValueDate ? iValueDate : iPeriodStartDate;
  306.         iPeriodEndDate = iPeriodEndDate < iWorkoutDate ? iPeriodEndDate : iWorkoutDate;

  308.         int iLossPayLag = comp.creditValuationParams().lossPayLag();

  310.         java.util.List<org.drip.analytics.cashflow.LossQuadratureMetrics> sLP = new
  311.             java.util.ArrayList<org.drip.analytics.cashflow.LossQuadratureMetrics>();

  313.         try {
  314.             org.drip.analytics.cashflow.LossQuadratureMetrics lp =
  315.                 org.drip.analytics.cashflow.LossQuadratureMetrics.MakeDefaultPeriod (iPeriodStartDate,
  316.                     iPeriodEndDate, period.accrualDCF ((iPeriodStartDate + iPeriodEndDate) / 2),
  317.                         comp.notional (iPeriodStartDate, iPeriodEndDate), comp.recovery (iPeriodStartDate,
  318.                             iPeriodEndDate, cc), dc, cc, iLossPayLag);

  320.             if (null != lp) sLP.add (lp);
  321.         } catch (java.lang.Exception e) {
  322.             e.printStackTrace();

  324.             return null;
  325.         }

  327.         return sLP;
  328.     }
  329. }
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