BGMCurveUpdate.java

package org.drip.dynamics.lmm;

/*
 * -*- 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>BGMCurveUpdate</i> contains the Instantaneous Snapshot of the Evolving Discount Curve Latent State
 * Quantification Metrics Updated using the BGM LIBOR Update Dynamics.
 *
 *  <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/lmm/README.md">LMM Based Latent State Evolution</a></li>
 *  </ul>
 *
 * @author Lakshmi Krishnamurthy
 */

public class BGMCurveUpdate extends org.drip.dynamics.evolution.LSQMCurveUpdate {
    private org.drip.state.identifier.ForwardLabel _lslForward = null;
    private org.drip.state.identifier.FundingLabel _lslFunding = null;
    private org.drip.dynamics.lmm.LognormalLIBORVolatility _llv = null;

    /**
     * Construct an Instance of BGMCurveUpdate
     * 
     * @param lslFunding The Funding Latent State Label
     * @param lslForward The Forward Latent State Label
     * @param iInitialDate The Initial Date
     * @param iFinalDate The Final Date
     * @param fc The LIBOR Forward Curve Snapshot
     * @param spanLIBORIncrement The LIBOR Forward Curve Span Increment
     * @param dc The Discount Factor Discount Curve
     * @param spanDiscountFactorIncrement The Discount Factor Discount Curve Span Increment
     * @param spanContinuousForwardRateIncrement The Continuous Forward Rate Discount Curve Span Increment
     * @param spanSpotRateIncrement The Spot Rate Discount Curve Span Increment
     * @param spanInstantaneousEffectiveForward The Instantaneous Effective Forward Rate Span
     * @param spanInstantaneousNominalForward The Instantaneous Nominal Forward Rate Span
     * @param llv The Log-normal LIBOR Rate Volatility
     * 
     * @return Instance of BGMCurveUpdate
     */

    public static final BGMCurveUpdate Create (
        final org.drip.state.identifier.FundingLabel lslFunding,
        final org.drip.state.identifier.ForwardLabel lslForward,
        final int iInitialDate,
        final int iFinalDate,
        final org.drip.state.forward.ForwardCurve fc,
        final org.drip.spline.grid.Span spanLIBORIncrement,
        final org.drip.state.discount.MergedDiscountForwardCurve dc,
        final org.drip.spline.grid.Span spanDiscountFactorIncrement,
        final org.drip.spline.grid.Span spanContinuousForwardRateIncrement,
        final org.drip.spline.grid.Span spanSpotRateIncrement,
        final org.drip.spline.grid.Span spanInstantaneousEffectiveForward,
        final org.drip.spline.grid.Span spanInstantaneousNominalForward,
        final org.drip.dynamics.lmm.LognormalLIBORVolatility llv)
    {
        org.drip.dynamics.evolution.LSQMCurveSnapshot snapshot = new
            org.drip.dynamics.evolution.LSQMCurveSnapshot();

        if (!snapshot.setQMCurve (org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_LIBOR_RATE, fc))
            return null;

        if (!snapshot.setQMCurve
            (org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_DISCOUNT_FACTOR, dc))
            return null;

        org.drip.dynamics.evolution.LSQMCurveIncrement increment = new
            org.drip.dynamics.evolution.LSQMCurveIncrement();

        if (null != spanLIBORIncrement && !increment.setQMSpan (lslForward,
            org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_LIBOR_RATE, spanLIBORIncrement))
            return null;

        if (null != spanContinuousForwardRateIncrement && !increment.setQMSpan (lslForward,
            org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_CONTINUOUSLY_COMPOUNDED_FORWARD_RATE,
                spanContinuousForwardRateIncrement))
            return null;

        if (null != spanDiscountFactorIncrement && !increment.setQMSpan (lslFunding,
            org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_DISCOUNT_FACTOR,
                spanDiscountFactorIncrement))
            return null;

        if (null != spanSpotRateIncrement && !increment.setQMSpan (lslFunding,
            org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_ZERO_RATE, spanSpotRateIncrement))
            return null;

        if (null != spanInstantaneousEffectiveForward && !increment.setQMSpan (lslForward,
            org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_INSTANTANEOUS_EFFECTIVE_FORWARD_RATE,
                spanInstantaneousEffectiveForward))
            return null;

        if (null != spanInstantaneousNominalForward && !increment.setQMSpan (lslForward,
            org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_INSTANTANEOUS_NOMINAL_FORWARD_RATE,
                spanInstantaneousNominalForward))
            return null;

        try {
            return new BGMCurveUpdate (lslFunding, lslForward, iInitialDate, iFinalDate, snapshot, increment,
                llv);
        } catch (java.lang.Exception e) {
            e.printStackTrace();
        }

        return null;
    }

    private BGMCurveUpdate (
        final org.drip.state.identifier.FundingLabel lslFunding,
        final org.drip.state.identifier.ForwardLabel lslForward,
        final int iInitialDate,
        final int iFinalDate,
        final org.drip.dynamics.evolution.LSQMCurveSnapshot snapshot,
        final org.drip.dynamics.evolution.LSQMCurveIncrement increment,
        final org.drip.dynamics.lmm.LognormalLIBORVolatility llv)
        throws java.lang.Exception
    {
        super (iInitialDate, iFinalDate, snapshot, increment);

        if (null == (_lslFunding = lslFunding) || null == (_lslForward = lslForward) || null == (_llv = llv))
            throw new java.lang.Exception ("BGMCurveUpdate ctr: Invalid Inputs");
    }

    /**
     * Retrieve the LIBOR Forward Curve
     * 
     * @return The LIBOR Forward Curve
     */

    public org.drip.state.forward.ForwardCurve forwardCurve()
    {
        return (org.drip.state.forward.ForwardCurve) snapshot().qm (_lslForward,
            org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_LIBOR_RATE);
    }

    /**
     * Retrieve the LIBOR Forward Curve Increment Span
     * 
     * @return The LIBOR Forward Curve Increment Span
     */

    public org.drip.spline.grid.Span forwardCurveIncrement()
    {
        return increment().span (_lslForward,
            org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_LIBOR_RATE);
    }

    /**
     * Retrieve the Instantaneous Continuously Compounded Forward Curve Increment Span
     * 
     * @return The Instantaneous Continuously Compounded Forward Curve Increment Span
     */

    public org.drip.spline.grid.Span continuousForwardRateIncrement()
    {
        return increment().span (_lslForward,
            org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_CONTINUOUSLY_COMPOUNDED_FORWARD_RATE);
    }

    /**
     * Retrieve the Instantaneous Effective Annual Forward Rate Span
     * 
     * @return The Instantaneous Effective Annual Forward Rate Span
     */

    public org.drip.spline.grid.Span instantaneousEffectiveForwardRate()
    {
        return increment().span (_lslForward,
            org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_INSTANTANEOUS_EFFECTIVE_FORWARD_RATE);
    }

    /**
     * Retrieve the Instantaneous Nominal Annual Forward Rate Span
     * 
     * @return The Instantaneous Nominal Annual Forward Rate Span
     */

    public org.drip.spline.grid.Span instantaneousNominalForwardRate()
    {
        return increment().span (_lslForward,
            org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_INSTANTANEOUS_NOMINAL_FORWARD_RATE);
    }

    /**
     * Retrieve the Discount Factor Curve
     * 
     * @return The Discount Factor Curve
     */

    public org.drip.state.discount.MergedDiscountForwardCurve discountCurve()
    {
        return (org.drip.state.discount.MergedDiscountForwardCurve) snapshot().qm (_lslFunding,
            org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_DISCOUNT_FACTOR);
    }

    /**
     * Retrieve the Discount Factor Discount Curve Increment
     * 
     * @return The Discount Factor Discount Curve Increment
     */

    public org.drip.spline.grid.Span discountCurveIncrement()
    {
        return increment().span (_lslFunding,
            org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_DISCOUNT_FACTOR);
    }

    /**
     * Retrieve the Spot Rate Discount Curve Increment
     * 
     * @return The Spot Rate Discount Curve Increment
     */

    public org.drip.spline.grid.Span spotRateIncrement()
    {
        return increment().span (_lslFunding,
            org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_ZERO_RATE);
    }

    /**
     * Retrieve the Log-normal LIBOR Volatility Instance
     * 
     * @return The Log-normal LIBOR Volatility Instance
     */

    public org.drip.dynamics.lmm.LognormalLIBORVolatility lognormalLIBORVolatility()
    {
        return _llv;
    }
}