ShortRateUpdate.java
package org.drip.dynamics.hullwhite;
/*
* -*- 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
*
* 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>ShortRateUpdate</i> records the Metrics associated with the Evolution of the Instantaneous Short Rate
* from a Starting to the Terminal Date.
*
* <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/dynamics/README.md">HJM, Hull White, LMM, and SABR Dynamic Evolution Models</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/dynamics/hullwhite/README.md">Hull White Latent State Evolution</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class ShortRateUpdate extends org.drip.dynamics.evolution.LSQMPointUpdate {
private double _dblExpectedFinalShortRate = java.lang.Double.NaN;
private double _dblFinalShortRateVariance = java.lang.Double.NaN;
private org.drip.state.identifier.FundingLabel _lslFunding = null;
/**
* Construct an Instance of ShortRateUpdate
*
* @param lslFunding The Funding Latent State Label
* @param iInitialDate The Initial Date
* @param iFinalDate The Final Date
* @param iTargetPointDate The Target Point Date
* @param dblInitialShortRate The Initial Short Rate
* @param dblRealizedFinalShortRate The Realized Final Short Rate
* @param dblExpectedFinalShortRate The Expected Final Short Rate
* @param dblFinalShortRateVariance The Final Variance of the Short Rate
* @param dblZeroCouponBondPrice The Zero Coupon Bond Price
*
* @return The ShortRateUpdate Instance
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public static final ShortRateUpdate Create (
final org.drip.state.identifier.FundingLabel lslFunding,
final int iInitialDate,
final int iFinalDate,
final int iTargetPointDate,
final double dblInitialShortRate,
final double dblRealizedFinalShortRate,
final double dblExpectedFinalShortRate,
final double dblFinalShortRateVariance,
final double dblZeroCouponBondPrice)
throws java.lang.Exception
{
org.drip.dynamics.evolution.LSQMPointRecord lrSnapshot = new
org.drip.dynamics.evolution.LSQMPointRecord();
if (!lrSnapshot.setQM (lslFunding,
org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_ZERO_RATE,
dblRealizedFinalShortRate))
return null;
if (!lrSnapshot.setQM (lslFunding,
org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_DISCOUNT_FACTOR,
dblZeroCouponBondPrice))
return null;
org.drip.dynamics.evolution.LSQMPointRecord lrIncrement = new
org.drip.dynamics.evolution.LSQMPointRecord();
if (!lrIncrement.setQM (lslFunding,
org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_ZERO_RATE,
dblRealizedFinalShortRate - dblInitialShortRate))
return null;
try {
return new ShortRateUpdate (lslFunding, iInitialDate, iFinalDate, iTargetPointDate, lrSnapshot,
lrIncrement, dblExpectedFinalShortRate, dblFinalShortRateVariance);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
private ShortRateUpdate (
final org.drip.state.identifier.FundingLabel lslFunding,
final int iInitialDate,
final int iFinalDate,
final int iViewDate,
final org.drip.dynamics.evolution.LSQMPointRecord lrSnapshot,
final org.drip.dynamics.evolution.LSQMPointRecord lrIncrement,
final double dblExpectedFinalShortRate,
final double dblFinalShortRateVariance)
throws java.lang.Exception
{
super (iInitialDate, iFinalDate, iViewDate, lrSnapshot, lrIncrement);
if (null == (_lslFunding = lslFunding) || !org.drip.numerical.common.NumberUtil.IsValid
(_dblExpectedFinalShortRate = dblExpectedFinalShortRate) ||
!org.drip.numerical.common.NumberUtil.IsValid (_dblFinalShortRateVariance =
dblFinalShortRateVariance)) {
System.out.println (_lslFunding.fullyQualifiedName());
System.out.println ("Final Short Rate: " + _dblExpectedFinalShortRate);
System.out.println ("Final Short Rate Variance: " + _dblFinalShortRateVariance);
throw new java.lang.Exception ("ShortRateUpdate ctr: Invalid Inputs!");
}
}
/**
* Retrieve the Initial Short Rate
*
* @return The Initial Short Rate
*
* @throws java.lang.Exception Thrown if the Initial Short Rate is not available
*/
public double initialShortRate()
throws java.lang.Exception
{
return realizedFinalShortRate() - shortRateIncrement();
}
/**
* Retrieve the Realized Final Short Rate
*
* @return The Realized Final Short Rate
*
* @throws java.lang.Exception Thrown if the Realized Final Short Rate is not available
*/
public double realizedFinalShortRate()
throws java.lang.Exception
{
return snapshot().qm (_lslFunding,
org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_ZERO_RATE);
}
/**
* Retrieve the Short Rate Increment
*
* @return The Short Rate Increment
*
* @throws java.lang.Exception Thrown if the Short Rate Increment is not available
*/
public double shortRateIncrement()
throws java.lang.Exception
{
return increment().qm (_lslFunding,
org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_ZERO_RATE);
}
/**
* Retrieve the Expected Final Short Rate
*
* @return The Expected Final Short Rate
*/
public double expectedFinalShortRate()
{
return _dblExpectedFinalShortRate;
}
/**
* Retrieve the Final Short Rate Variance
*
* @return The Final Short Rate Variance
*/
public double finalShortRateVariance()
{
return _dblFinalShortRateVariance;
}
/**
* Compute the Zero Coupon Bond Price
*
* @param dblFinalInitialZeroRatio The Final-to-Initial Zero-Coupon Bond Price Ratio
*
* @return The Zero Coupon Bond Price
*
* @throws java.lang.Exception Thrown if the Zero Coupon Bond Price cannot be computed
*/
public double zeroCouponBondPrice (
final double dblFinalInitialZeroRatio)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblFinalInitialZeroRatio))
throw new java.lang.Exception ("ShortRateUpdate::zeroCouponBondPrice => Invalid Inputs");
return dblFinalInitialZeroRatio * snapshot().qm (_lslFunding,
org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_DISCOUNT_FACTOR);
}
}