LossQuadratureGenerator.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
 * Copyright (C) 2013 Lakshmi Krishnamurthy
 * Copyright (C) 2012 Lakshmi Krishnamurthy
 * Copyright (C) 2011 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>LossQuadratureGenerator</i> generates the decomposed Integrand Quadrature for the Loss Steps.
 *
 *	<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 LossQuadratureGenerator {

	/**
	 * Generate the Set of Loss Quadrature Metrics from the Day Step Loss Periods
	 * 
	 * @param comp Component for which the measures are to be generated
	 * @param valParams ValuationParams from which the periods are generated
	 * @param period The enveloping coupon period
	 * @param iWorkoutDate Date representing the absolute end of all the generated periods
	 * @param iPeriodUnit Day Step Size Unit of the generated Loss Quadrature Periods
	 * @param csqs The Market Parameters Curves/Quotes
	 *  
	 * @return List of the generated LossQuadratureMetrics
	 */

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

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

		if (null == dc) return null;

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

		if (null == cc) return null;

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

		int iSubPeriodStartDate = period.startDate();

		if (iSubPeriodStartDate > iWorkoutDate) return null;

		int iPeriodEndDate = period.endDate();

		int iValueDate = valParams.valueDate();

		boolean bPeriodDone = false;
		iPeriodEndDate = iPeriodEndDate < iWorkoutDate ? iPeriodEndDate : iWorkoutDate;
		iSubPeriodStartDate = iSubPeriodStartDate < iValueDate ? iValueDate : iSubPeriodStartDate;

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

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

			if (iSubPeriodEndDate < iValueDate) return null;

			if (iSubPeriodEndDate >= iPeriodEndDate) {
				bPeriodDone = true;
				iSubPeriodEndDate = iPeriodEndDate;
			}

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

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

				return null;
			}

			iSubPeriodStartDate = iSubPeriodEndDate;
		}

		return sLP;
	}

	/**
	 * Generate the Set of Loss Quadrature Metrics from the Day Step Loss Periods
	 * 
	 * @param comp Component for which the measures are to be generated
	 * @param valParams ValuationParams from which the periods are generated
	 * @param period The enveloping coupon period
	 * @param iWorkoutDate The absolute end of all the generated periods
	 * @param iPeriodUnit Loss Grid Size Unit of the generated Loss Quadrature Periods
	 * @param csqs The Market Parameters Curves/Quotes
	 *  
	 * @return List of the generated LossQuadratureMetrics
	 */

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

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

		if (null == dc) return null;

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

		if (null == cc) return null;

		int iValueDate = valParams.valueDate();

		int iPeriodEndDate = period.endDate();

		int iSubPeriodStartDate = period.startDate();

		boolean bPeriodDone = false;
		iPeriodEndDate = iPeriodEndDate < iWorkoutDate ? iPeriodEndDate : iWorkoutDate;
		iSubPeriodStartDate = iSubPeriodStartDate < iValueDate ? iValueDate : iSubPeriodStartDate;
		int iDayStep = (iPeriodEndDate - iSubPeriodStartDate) / iPeriodUnit;

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

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

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

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

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

			if (iSubPeriodEndDate < iValueDate) return null;

			try {
				if (iSubPeriodEndDate >= iPeriodEndDate) {
					bPeriodDone = true;
					iSubPeriodEndDate = iPeriodEndDate;
				}

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

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

				return null;
			}

			iSubPeriodStartDate = iSubPeriodEndDate;
		}

		return sLP;
	}


	/**
	 * Generate the Set of Loss Quadrature Metrics from the Day Step Loss Periods
	 * 
	 * @param comp Component for which the measures are to be generated
	 * @param valParams ValuationParams from which the periods are generated
	 * @param period The Enveloping Coupon period
	 * @param iWorkoutDate The Absolute End of all the generated periods
	 * @param csqs The Market Parameters Curves/Quotes
	 *  
	 * @return List of the generated LossQuadratureMetrics
	 */

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

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

		if (null == dc) return null;

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

		if (null == cc) return null;

		int iPeriodStartDate = period.startDate();

		if (iPeriodStartDate > iWorkoutDate) return null;

		int iPeriodEndDate = period.endDate();

		int iValueDate = valParams.valueDate();

		iPeriodStartDate = iPeriodStartDate < iValueDate ? iValueDate : iPeriodStartDate;
		iPeriodEndDate = iPeriodEndDate < iWorkoutDate ? iPeriodEndDate : iWorkoutDate;

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

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

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

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

			return null;
		}

		return sLP;
	}
}