BGMForwardTenorSnap.java

  1. package org.drip.dynamics.lmm;

  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>BGMForwardTenorSnap</i> contains the Absolute and the Incremental Latent State Quantifier Snapshot
  83.  * traced from the Evolution of the LIBOR Forward Rate as formulated in:
  84.  *
  85.  *  <br><br>
  86.  *  <ul>
  87.  *      <li>
  88.  *          Goldys, B., M. Musiela, and D. Sondermann (1994): <i>Log-normality of Rates and Term Structure
  89.  *              Models</i> <b>The University of New South Wales</b>
  90.  *      </li>
  91.  *      <li>
  92.  *          Musiela, M. (1994): <i>Nominal Annual Rates and Log-normal Volatility Structure</i> <b>The
  93.  *              University of New South Wales</b>
  94.  *      </li>
  95.  *      <li>
  96.  *          Brace, A., D. Gatarek, and M. Musiela (1997): The Market Model of Interest Rate Dynamics
  97.  *              <i>Mathematical Finance</i> <b>7 (2)</b> 127-155
  98.  *      </li>
  99.  *  </ul>
  100.  *
  101.  *  <br><br>
  102.  *  <ul>
  103.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  104.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  105.  *      <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>
  106.  *      <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>
  107.  *  </ul>
  108.  *
  109.  * @author Lakshmi Krishnamurthy
  110.  */

  112. public class BGMForwardTenorSnap {
  113.     private double _dblLIBOR = java.lang.Double.NaN;
  114.     private int _iDate = java.lang.Integer.MIN_VALUE;
  115.     private double _dblDiscountFactor = java.lang.Double.NaN;
  116.     private double _dblLIBORIncrement = java.lang.Double.NaN;
  117.     private double _dblSpotRateIncrement = java.lang.Double.NaN;
  118.     private double _dblDiscountFactorIncrement = java.lang.Double.NaN;
  119.     private double _dblLognormalLIBORVolatility = java.lang.Double.NaN;
  120.     private double _dblInstantaneousNominalForwardRate = java.lang.Double.NaN;
  121.     private double _dblInstantaneousEffectiveForwardRate = java.lang.Double.NaN;
  122.     private double _dblContinuouslyCompoundedForwardIncrement = java.lang.Double.NaN;
  123.     private double _dblContinuouslyCompoundedForwardVolatility = java.lang.Double.NaN;

  125.     /**
  126.      * BGMForwardTenorSnap Constructor
  127.      * 
  128.      * @param iDate The Date corresponding to the Tenor
  129.      * @param dblLIBOR The LIBOR Rate
  130.      * @param dblLIBORIncrement The LIBOR Rate Increment
  131.      * @param dblDiscountFactor The Discount Factor
  132.      * @param dblDiscountFactorIncrement The Discount Factor Increment
  133.      * @param dblContinuouslyCompoundedForwardIncrement Continuously Compounded Forward Rate Increment
  134.      * @param dblSpotRateIncrement Spot Rate Increment
  135.      * @param dblInstantaneousEffectiveForwardRate Instantaneous Effective Annual Forward Rate
  136.      * @param dblInstantaneousNominalForwardRate Instantaneous Nominal Annual Forward Rate
  137.      * @param dblLognormalLIBORVolatility The Log-normal LIBOR Rate Volatility
  138.      * @param dblContinuouslyCompoundedForwardVolatility The Continuously Compounded Forward Rate Volatility
  139.      * 
  140.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  141.      */

  143.     public BGMForwardTenorSnap (
  144.         final int iDate,
  145.         final double dblLIBOR,
  146.         final double dblLIBORIncrement,
  147.         final double dblDiscountFactor,
  148.         final double dblDiscountFactorIncrement,
  149.         final double dblContinuouslyCompoundedForwardIncrement,
  150.         final double dblSpotRateIncrement,
  151.         final double dblInstantaneousEffectiveForwardRate,
  152.         final double dblInstantaneousNominalForwardRate,
  153.         final double dblLognormalLIBORVolatility,
  154.         final double dblContinuouslyCompoundedForwardVolatility)
  155.         throws java.lang.Exception
  156.     {
  157.         if (!org.drip.numerical.common.NumberUtil.IsValid (_dblLIBOR = dblLIBOR) ||
  158.             !org.drip.numerical.common.NumberUtil.IsValid (_dblLIBORIncrement = dblLIBORIncrement) ||
  159.                 !org.drip.numerical.common.NumberUtil.IsValid (_dblDiscountFactor = dblDiscountFactor) ||
  160.                     !org.drip.numerical.common.NumberUtil.IsValid (_dblDiscountFactorIncrement =
  161.                         dblDiscountFactorIncrement) || !org.drip.numerical.common.NumberUtil.IsValid
  162.                             (_dblContinuouslyCompoundedForwardIncrement =
  163.                                 dblContinuouslyCompoundedForwardIncrement) ||
  164.                                     !org.drip.numerical.common.NumberUtil.IsValid (_dblSpotRateIncrement =
  165.                                         dblSpotRateIncrement) || !org.drip.numerical.common.NumberUtil.IsValid
  166.                                             (_dblInstantaneousEffectiveForwardRate =
  167.                                                 dblInstantaneousEffectiveForwardRate) ||
  168.                                                     !org.drip.numerical.common.NumberUtil.IsValid
  169.                                                         (_dblInstantaneousNominalForwardRate =
  170.                                                             dblInstantaneousNominalForwardRate) ||
  171.                                                                 !org.drip.numerical.common.NumberUtil.IsValid
  172.             (_dblLognormalLIBORVolatility = dblLognormalLIBORVolatility) ||
  173.                 !org.drip.numerical.common.NumberUtil.IsValid (_dblContinuouslyCompoundedForwardVolatility =
  174.                     dblContinuouslyCompoundedForwardVolatility))
  175.             throw new java.lang.Exception ("BGMForwardTenorSnap ctr: Invalid Inputs");

  177.         _iDate = iDate;
  178.     }

  180.     /**
  181.      * Retrieve the Tenor Date
  182.      * 
  183.      * @return The Tenor Date
  184.      */

  186.     public int date()
  187.     {
  188.         return _iDate;
  189.     }

  191.     /**
  192.      * Retrieve the LIBOR Rate
  193.      * 
  194.      * @return The LIBOR Rate
  195.      */

  197.     public double libor()
  198.     {
  199.         return _dblLIBOR;
  200.     }

  202.     /**
  203.      * Retrieve the LIBOR Rate Increment
  204.      * 
  205.      * @return The LIBOR Rate Increment
  206.      */

  208.     public double liborIncrement()
  209.     {
  210.         return _dblLIBORIncrement;
  211.     }

  213.     /**
  214.      * Retrieve the Discount Factor
  215.      * 
  216.      * @return The Discount Factor
  217.      */

  219.     public double discountFactor()
  220.     {
  221.         return _dblDiscountFactor;
  222.     }

  224.     /**
  225.      * Retrieve the Discount Factor Increment
  226.      * 
  227.      * @return The Discount Factor Increment
  228.      */

  230.     public double discountFactorIncrement()
  231.     {
  232.         return _dblDiscountFactorIncrement;
  233.     }

  235.     /**
  236.      * Retrieve the Continuously Compounded Forward Rate Increment
  237.      * 
  238.      * @return The Continuously Compounded Forward Rate Increment
  239.      */

  241.     public double continuouslyCompoundedForwardIncrement()
  242.     {
  243.         return _dblContinuouslyCompoundedForwardIncrement;
  244.     }

  246.     /**
  247.      * Retrieve the Spot Rate Increment
  248.      * 
  249.      * @return The Spot Rate Increment
  250.      */

  252.     public double spotRateIncrement()
  253.     {
  254.         return _dblSpotRateIncrement;
  255.     }

  257.     /**
  258.      * Retrieve the Instantaneous Effective Annual Forward Rate
  259.      * 
  260.      * @return The Instantaneous Effective Annual Forward Rate
  261.      */

  263.     public double instantaneousEffectiveForwardRate()
  264.     {
  265.         return _dblInstantaneousEffectiveForwardRate;
  266.     }

  268.     /**
  269.      * Retrieve the Instantaneous Nominal Annual Forward Rate
  270.      * 
  271.      * @return The Instantaneous Nominal Annual Forward Rate
  272.      */

  274.     public double instantaneousNominalForwardRate()
  275.     {
  276.         return _dblInstantaneousNominalForwardRate;
  277.     }

  279.     /**
  280.      * Retrieve the Log-normal LIBOR Volatility
  281.      * 
  282.      * @return The Log-normal LIBOR Volatility
  283.      */

  285.     public double lognormalLIBORVolatility()
  286.     {
  287.         return _dblLognormalLIBORVolatility;
  288.     }

  290.     /**
  291.      * Retrieve the Continuously Compounded Forward Rate Volatility
  292.      * 
  293.      * @return The Continuously Compounded Forward Rate Volatility
  294.      */

  296.     public double continuouslyCompoundedForwardVolatility()
  297.     {
  298.         return _dblContinuouslyCompoundedForwardVolatility;
  299.     }

  301.     @Override public java.lang.String toString()
  302.     {
  303.         return org.drip.numerical.common.FormatUtil.FormatDouble (_dblLIBOR, 1, 2, 100.) + "% | " +
  304.             org.drip.numerical.common.FormatUtil.FormatDouble (_dblLIBORIncrement, 2, 2, 10000.) + " | " +
  305.                 org.drip.numerical.common.FormatUtil.FormatDouble (_dblDiscountFactor, 1, 4, 1.) + " | " +
  306.                     org.drip.numerical.common.FormatUtil.FormatDouble (_dblDiscountFactorIncrement, 2, 2, 10000.)
  307.                         + " | " + org.drip.numerical.common.FormatUtil.FormatDouble
  308.                             (_dblContinuouslyCompoundedForwardIncrement, 2, 2, 10000.) + " | " +
  309.                                 org.drip.numerical.common.FormatUtil.FormatDouble (_dblSpotRateIncrement, 2, 2,
  310.                                     10000.) + " | " + org.drip.numerical.common.FormatUtil.FormatDouble
  311.                                         (_dblInstantaneousEffectiveForwardRate, 2, 2, 10000.) + " | " +
  312.                                             org.drip.numerical.common.FormatUtil.FormatDouble
  313.                                                 (_dblInstantaneousNominalForwardRate, 2, 2, 10000.) + " ||";
  314.     }
  315. }
Created with JaCoCo 0.7.9.201702052155