VertexDateBuilder.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
*
* 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>VertexDateBuilder</i> exports Static Functions that create Vertex Dates using different Schemes. The
* References are:
*
* <br><br>
* <ul>
* <li>
* Burgard, C., and M. Kjaer (2013): Funding Strategies, Funding Costs <i>Risk</i> <b>24 (12)</b>
* 82-87
* </li>
* <li>
* Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-party
* Risk and Funding Costs <i>Journal of Credit Risk</i> <b>7 (3)</b> 1-19
* </li>
* <li>
* Burgard, C., and M. Kjaer (2014): In the Balance <i>Risk</i> <b>24 (11)</b> 72-75
* </li>
* <li>
* Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk <i>Risk</i> <b>20 (2)</b>
* 86-90
* </li>
* <li>
* Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing
* <i>Risk</i> <b>21 (2)</b> 97-102
* </li>
* </ul>
*
* <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 VertexDateBuilder
{
/**
* Construct an Array of Dates from the Spot Date and the Vertex Tenor Array
*
* @param spotDate The Spot Date
* @param vertexTenorArray The Vertex Tenor Array
*
* @return The Array of Dates
*/
public static final int[] SpotDateVertexTenor (
final int spotDate,
final java.lang.String[] vertexTenorArray)
{
if (0 >= spotDate || null == vertexTenorArray) return null;
int vertexCount = vertexTenorArray.length;
int[] vertexDateArray = 0 == vertexCount ? null : new int[vertexCount];
if (0 == vertexCount) return null;
org.drip.analytics.date.JulianDate spotDateJulian = new org.drip.analytics.date.JulianDate
(spotDate);
for (int vertexIndex = 0; vertexIndex < vertexCount; ++vertexIndex)
{
org.drip.analytics.date.JulianDate vertexDateJulian = spotDateJulian.addTenor
(vertexTenorArray[vertexIndex]);
if (null == vertexDateJulian)
{
return null;
}
vertexDateArray[vertexIndex] = vertexDateJulian.julian();
}
return vertexDateArray;
}
/**
* Construct an Array of Vertex Dates from the Spot Date, Tenor Spacing Width, and the Vertex Count
*
* @param spotDate The Spot Date
* @param periodTenor The Tenor Spacing Width
* @param vertexCount The Number of Vertexes
*
* @return The Array of Vertex Dates
*/
public static final int[] SpotDatePeriodTenor (
final int spotDate,
final java.lang.String periodTenor,
final int vertexCount)
{
if (0 >= spotDate || 0 >= vertexCount)
{
return null;
}
int[] vertexDateArray = new int[vertexCount];
org.drip.analytics.date.JulianDate previousDateJulian = new org.drip.analytics.date.JulianDate
(spotDate);
for (int vertexIndex = 0; vertexIndex < vertexCount; ++vertexIndex)
{
org.drip.analytics.date.JulianDate vertexDateJulian = previousDateJulian.addTenor (periodTenor);
if (null == vertexDateJulian)
{
return null;
}
vertexDateArray[vertexIndex] = vertexDateJulian.julian();
previousDateJulian = vertexDateJulian;
}
return vertexDateArray;
}
/**
* Generate Equal Width Vertex Dates from the specified Spot Date and the Terminal Date
*
* @param spotDate The Spot Date
* @param terminalDate The Terminal Date
* @param vertexCount The Number of Vertexes
*
* @return Array of Equal Width Vertex Dates
*/
public static final int[] EqualWidth (
final int spotDate,
final int terminalDate,
final int vertexCount)
{
if (0 >= spotDate || terminalDate <= spotDate || 0 >= vertexCount)
{
return null;
}
int[] vertexDateArray = new int[vertexCount];
vertexDateArray[vertexCount - 1] = terminalDate;
double periodWidth = ((double) (terminalDate - spotDate)) / vertexCount;
for (int vertexIndex = 0; vertexIndex < vertexCount - 1; ++vertexIndex)
{
vertexDateArray[vertexIndex] = spotDate + (int) ((vertexIndex + 1) * periodWidth);
}
return vertexDateArray;
}
}