ShortForwardRateUpdate.java

  1. package org.drip.dynamics.hjm;

  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>ShortForwardRateUpdate</i> contains the Instantaneous Snapshot of the Evolving Discount Latent State
  83.  * Quantification Metrics.
  84.  *
  85.  *  <br><br>
  86.  *  <ul>
  87.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  88.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  89.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/dynamics/README.md">HJM, Hull White, LMM, and SABR Dynamic Evolution Models</a></li>
  90.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/dynamics/hjm/README.md">HJM Based Latent State Evolution</a></li>
  91.  *  </ul>
  92.  *
  93.  * @author Lakshmi Krishnamurthy
  94.  */

  96. public class ShortForwardRateUpdate extends org.drip.dynamics.evolution.LSQMPointUpdate {
  97.     private org.drip.state.identifier.ForwardLabel _lslForward = null;
  98.     private org.drip.state.identifier.FundingLabel _lslFunding = null;

  100.     /**
  101.      * Construct an Instance of ShortForwardRateUpdate
  102.      * 
  103.      * @param lslFunding The Funding Latent State Label
  104.      * @param lslForward The Forward Latent State Label
  105.      * @param iInitialDate The Initial Date
  106.      * @param iFinalDate The Final Date
  107.      * @param iTargetPointDate The Target Point Date
  108.      * @param dblInstantaneousForwardRate The Instantaneous Forward Rate
  109.      * @param dblInstantaneousForwardRateIncrement The Instantaneous Forward Rate Increment
  110.      * @param dblLIBORForwardRate The LIBOR Forward Rate
  111.      * @param dblLIBORForwardRateIncrement The LIBOR Forward Rate Increment
  112.      * @param dblShiftedLIBORForwardRate The Shifted LIBOR Forward Rate
  113.      * @param dblShiftedLIBORForwardRateIncrement The Shifted LIBOR Forward Rate Increment
  114.      * @param dblShortRate The Short Rate
  115.      * @param dblShortRateIncrement The Short Rate Increment
  116.      * @param dblCompoundedShortRate The Compounded Short Rate
  117.      * @param dblCompoundedShortRateIncrement The Compounded Short Rate Increment
  118.      * @param dblPrice The Price
  119.      * @param dblPriceIncrement The Price Increment
  120.      * 
  121.      * @return Instance of ShortForwardRateUpdate
  122.      */

  124.     public static final ShortForwardRateUpdate Create (
  125.         final org.drip.state.identifier.FundingLabel lslFunding,
  126.         final org.drip.state.identifier.ForwardLabel lslForward,
  127.         final int iInitialDate,
  128.         final int iFinalDate,
  129.         final int iTargetPointDate,
  130.         final double dblInstantaneousForwardRate,
  131.         final double dblInstantaneousForwardRateIncrement,
  132.         final double dblLIBORForwardRate,
  133.         final double dblLIBORForwardRateIncrement,
  134.         final double dblShiftedLIBORForwardRate,
  135.         final double dblShiftedLIBORForwardRateIncrement,
  136.         final double dblShortRate,
  137.         final double dblShortRateIncrement,
  138.         final double dblCompoundedShortRate,
  139.         final double dblCompoundedShortRateIncrement,
  140.         final double dblPrice,
  141.         final double dblPriceIncrement)
  142.     {
  143.         org.drip.dynamics.evolution.LSQMPointRecord lrSnapshot = new
  144.             org.drip.dynamics.evolution.LSQMPointRecord();

  146.         if (!lrSnapshot.setQM (lslFunding,
  147.             org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_ZERO_RATE, dblShortRate))
  148.             return null;

  150.         if (!lrSnapshot.setQM (lslFunding,
  151.             org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_COMPOUNDED_SHORT_RATE,
  152.                 dblCompoundedShortRate))
  153.             return null;

  155.         if (!lrSnapshot.setQM (lslFunding,
  156.             org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_DISCOUNT_FACTOR, dblPrice))
  157.             return null;

  159.         if (!lrSnapshot.setQM (lslForward,
  160.             org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_FORWARD_RATE, dblLIBORForwardRate))
  161.             return null;

  163.         if (!lrSnapshot.setQM (lslForward,
  164.             org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_SHIFTED_FORWARD_RATE,
  165.                 dblShiftedLIBORForwardRate))
  166.             return null;

  168.         if (!lrSnapshot.setQM (lslForward,
  169.             org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_INSTANTANEOUS_FORWARD_RATE,
  170.                 dblInstantaneousForwardRate))
  171.             return null;

  173.         org.drip.dynamics.evolution.LSQMPointRecord lrIncrement = new
  174.             org.drip.dynamics.evolution.LSQMPointRecord();

  176.         if (!lrIncrement.setQM (lslFunding,
  177.             org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_ZERO_RATE, dblShortRateIncrement))
  178.             return null;

  180.         if (!lrIncrement.setQM (lslFunding,
  181.             org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_COMPOUNDED_SHORT_RATE,
  182.                 dblCompoundedShortRateIncrement))
  183.             return null;

  185.         if (!lrIncrement.setQM (lslFunding,
  186.             org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_DISCOUNT_FACTOR, dblPriceIncrement))
  187.             return null;

  189.         if (!lrIncrement.setQM (lslForward,
  190.             org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_FORWARD_RATE,
  191.                 dblLIBORForwardRateIncrement))
  192.             return null;

  194.         if (!lrIncrement.setQM (lslForward,
  195.             org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_SHIFTED_FORWARD_RATE,
  196.                 dblShiftedLIBORForwardRateIncrement))
  197.             return null;

  199.         if (!lrIncrement.setQM (lslForward,
  200.             org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_INSTANTANEOUS_FORWARD_RATE,
  201.                 dblInstantaneousForwardRateIncrement))
  202.             return null;

  204.         try {
  205.             return new ShortForwardRateUpdate (lslFunding, lslForward, iInitialDate, iFinalDate,
  206.                 iTargetPointDate, lrSnapshot, lrIncrement);
  207.         } catch (java.lang.Exception e) {
  208.             e.printStackTrace();
  209.         }

  211.         return null;
  212.     }

  214.     private ShortForwardRateUpdate (
  215.         final org.drip.state.identifier.FundingLabel lslFunding,
  216.         final org.drip.state.identifier.ForwardLabel lslForward,
  217.         final int iInitialDate,
  218.         final int iFinalDate,
  219.         final int iViewDate,
  220.         final org.drip.dynamics.evolution.LSQMPointRecord lrSnapshot,
  221.         final org.drip.dynamics.evolution.LSQMPointRecord lrIncrement)
  222.         throws java.lang.Exception
  223.     {
  224.         super (iInitialDate, iFinalDate, iViewDate, lrSnapshot, lrIncrement);

  226.         if (null == (_lslFunding = lslFunding) || null == (_lslForward = lslForward))
  227.             throw new java.lang.Exception ("ShortForwardRateUpdate ctr: Invalid Inputs");
  228.     }

  230.     /**
  231.      * Retrieve the Instantaneous Forward Rate
  232.      * 
  233.      * @return The Instantaneous Forward Rate
  234.      * 
  235.      * @throws java.lang.Exception Thrown if the Instantaneous Forward Rate is not available
  236.      */

  238.     public double instantaneousForwardRate()
  239.         throws java.lang.Exception
  240.     {
  241.         return snapshot().qm (_lslForward,
  242.             org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_INSTANTANEOUS_FORWARD_RATE);
  243.     }

  245.     /**
  246.      * Retrieve the Instantaneous Forward Rate Increment
  247.      * 
  248.      * @return The Instantaneous Forward Rate Increment
  249.      * 
  250.      * @throws java.lang.Exception Thrown if the Instantaneous Forward Rate Increment is not available
  251.      */

  253.     public double instantaneousForwardRateIncrement()
  254.         throws java.lang.Exception
  255.     {
  256.         return increment().qm (_lslForward,
  257.             org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_INSTANTANEOUS_FORWARD_RATE);
  258.     }

  260.     /**
  261.      * Retrieve the LIBOR Forward Rate
  262.      * 
  263.      * @return The LIBOR Forward Rate
  264.      * 
  265.      * @throws java.lang.Exception Thrown if the Forward Rate is not available
  266.      */

  268.     public double liborForwardRate()
  269.         throws java.lang.Exception
  270.     {
  271.         return snapshot().qm (_lslForward,
  272.             org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_FORWARD_RATE);
  273.     }

  275.     /**
  276.      * Retrieve the LIBOR Forward Rate Increment
  277.      * 
  278.      * @return The LIBOR Forward Rate Increment
  279.      * 
  280.      * @throws java.lang.Exception Thrown if the Forward Rate Increment is not available
  281.      */

  283.     public double liborForwardRateIncrement()
  284.         throws java.lang.Exception
  285.     {
  286.         return increment().qm (_lslForward,
  287.             org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_FORWARD_RATE);
  288.     }

  290.     /**
  291.      * Retrieve the Shifted LIBOR Forward Rate
  292.      * 
  293.      * @return The Shifted LIBOR Forward Rate
  294.      * 
  295.      * @throws java.lang.Exception Thrown if the Shifted Forward Rate is not available
  296.      */

  298.     public double shiftedLIBORForwardRate()
  299.         throws java.lang.Exception
  300.     {
  301.         return snapshot().qm (_lslForward,
  302.             org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_SHIFTED_FORWARD_RATE);
  303.     }

  305.     /**
  306.      * Retrieve the Shifted LIBOR Forward Rate Increment
  307.      * 
  308.      * @return The Shifted LIBOR Forward Rate Increment
  309.      * 
  310.      * @throws java.lang.Exception Thrown if the Shifted Forward Rate Increment is not available
  311.      */

  313.     public double shiftedLIBORForwardRateIncrement()
  314.         throws java.lang.Exception
  315.     {
  316.         return increment().qm (_lslForward,
  317.             org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_SHIFTED_FORWARD_RATE);
  318.     }

  320.     /**
  321.      * Retrieve the Short Rate
  322.      * 
  323.      * @return The Short Rate
  324.      * 
  325.      * @throws java.lang.Exception Thrown if the Short Rate is not available
  326.      */

  328.     public double shortRate()
  329.         throws java.lang.Exception
  330.     {
  331.         return snapshot().qm (_lslFunding,
  332.             org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_ZERO_RATE);
  333.     }

  335.     /**
  336.      * Retrieve the Short Rate Increment
  337.      * 
  338.      * @return The Short Rate Increment
  339.      * 
  340.      * @throws java.lang.Exception Thrown if the Short Rate Increment is not available
  341.      */

  343.     public double shortRateIncrement()
  344.         throws java.lang.Exception
  345.     {
  346.         return increment().qm (_lslFunding,
  347.             org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_ZERO_RATE);
  348.     }

  350.     /**
  351.      * Retrieve the Compounded Short Rate
  352.      * 
  353.      * @return The Compounded Short Rate
  354.      * 
  355.      * @throws java.lang.Exception Thrown if the Compounded Short Rate is not available
  356.      */

  358.     public double compoundedShortRate()
  359.         throws java.lang.Exception
  360.     {
  361.         return snapshot().qm (_lslFunding,
  362.             org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_COMPOUNDED_SHORT_RATE);
  363.     }

  365.     /**
  366.      * Retrieve the Compounded Short Rate Increment
  367.      * 
  368.      * @return The Compounded Short Rate Increment
  369.      * 
  370.      * @throws java.lang.Exception Thrown if the Compounded Short Rate Increment is not available
  371.      */

  373.     public double compoundedShortRateIncrement()
  374.         throws java.lang.Exception
  375.     {
  376.         return increment().qm (_lslFunding,
  377.             org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_COMPOUNDED_SHORT_RATE);
  378.     }

  380.     /**
  381.      * Retrieve the Price
  382.      * 
  383.      * @return The Price
  384.      * 
  385.      * @throws java.lang.Exception Thrown if the Price is not available
  386.      */

  388.     public double price()
  389.         throws java.lang.Exception
  390.     {
  391.         return snapshot().qm (_lslFunding,
  392.             org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_DISCOUNT_FACTOR);
  393.     }

  395.     /**
  396.      * Retrieve the Price Increment
  397.      * 
  398.      * @return The Price Increment
  399.      * 
  400.      * @throws java.lang.Exception Thrown if the Price Increment is not available
  401.      */

  403.     public double priceIncrement()
  404.         throws java.lang.Exception
  405.     {
  406.         return increment().qm (_lslFunding,
  407.             org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_DISCOUNT_FACTOR);
  408.     }
  409. }
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