BGMPointUpdate.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>BGMPointUpdate</i> contains the Instantaneous Snapshot of the Evolving Discount Point Latent State
  83.  * Quantification Metrics Updated using the BGM LIBOR Update Dynamics.
  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/lmm/README.md">LMM Based Latent State Evolution</a></li>
  91.  *  </ul>
  92.  *
  93.  * @author Lakshmi Krishnamurthy
  94.  */

  96. public class BGMPointUpdate extends org.drip.dynamics.evolution.LSQMPointUpdate {
  97.     private org.drip.state.identifier.ForwardLabel _lslForward = null;
  98.     private org.drip.state.identifier.FundingLabel _lslFunding = null;
  99.     private double _dblLognormalLIBORVolatility = java.lang.Double.NaN;
  100.     private double _dblContinuouslyCompoundedForwardVolatility = java.lang.Double.NaN;

  102.     /**
  103.      * Construct an Instance of BGMPointUpdate
  104.      * 
  105.      * @param lslFunding The Funding Latent State Label
  106.      * @param lslForward The Forward Latent State Label
  107.      * @param iInitialDate The Initial Date
  108.      * @param iFinalDate The Final Date
  109.      * @param iTargetPointDate The Target Point Date
  110.      * @param dblLIBOR The LIBOR Rate
  111.      * @param dblLIBORIncrement The LIBOR Rate Increment
  112.      * @param dblContinuousForwardRate The Continuously Compounded Forward Rate
  113.      * @param dblContinuousForwardRateIncrement The Continuously Compounded Forward Rate Increment
  114.      * @param dblSpotRate The Spot Rate
  115.      * @param dblSpotRateIncrement The Spot Rate Increment
  116.      * @param dblDiscountFactor The Discount Factor
  117.      * @param dblDiscountFactorIncrement The Discount Factor Increment
  118.      * @param dblInstantaneousEffectiveForwardRate Instantaneous Effective Annual Forward Rate
  119.      * @param dblInstantaneousNominalForwardRate Instantaneous Nominal Annual Forward Rate
  120.      * @param dblLognormalLIBORVolatility The Log-normal LIBOR Rate Volatility
  121.      * @param dblContinuouslyCompoundedForwardVolatility The Continuously Compounded Forward Rate Volatility
  122.      * 
  123.      * @return Instance of BGMPointUpdate
  124.      */

  126.     public static final BGMPointUpdate Create (
  127.         final org.drip.state.identifier.FundingLabel lslFunding,
  128.         final org.drip.state.identifier.ForwardLabel lslForward,
  129.         final int iInitialDate,
  130.         final int iFinalDate,
  131.         final int iTargetPointDate,
  132.         final double dblLIBOR,
  133.         final double dblLIBORIncrement,
  134.         final double dblContinuousForwardRate,
  135.         final double dblContinuousForwardRateIncrement,
  136.         final double dblSpotRate,
  137.         final double dblSpotRateIncrement,
  138.         final double dblDiscountFactor,
  139.         final double dblDiscountFactorIncrement,
  140.         final double dblInstantaneousEffectiveForwardRate,
  141.         final double dblInstantaneousNominalForwardRate,
  142.         final double dblLognormalLIBORVolatility,
  143.         final double dblContinuouslyCompoundedForwardVolatility)
  144.     {
  145.         org.drip.dynamics.evolution.LSQMPointRecord lrSnapshot = new
  146.             org.drip.dynamics.evolution.LSQMPointRecord();

  148.         if (!lrSnapshot.setQM (lslForward,
  149.             org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_LIBOR_RATE, dblLIBOR))
  150.             return null;

  152.         if (!lrSnapshot.setQM (lslForward,
  153.             org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_CONTINUOUSLY_COMPOUNDED_FORWARD_RATE,
  154.                 dblContinuousForwardRate))
  155.             return null;

  157.         if (!lrSnapshot.setQM (lslForward,
  158.             org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_INSTANTANEOUS_EFFECTIVE_FORWARD_RATE,
  159.                 dblInstantaneousEffectiveForwardRate))
  160.             return null;

  162.         if (!lrSnapshot.setQM (lslForward,
  163.             org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_INSTANTANEOUS_NOMINAL_FORWARD_RATE,
  164.                 dblInstantaneousNominalForwardRate))
  165.             return null;

  167.         if (!lrSnapshot.setQM (lslFunding,
  168.             org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_ZERO_RATE, dblSpotRate))
  169.             return null;

  171.         if (!lrSnapshot.setQM (lslFunding,
  172.             org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_DISCOUNT_FACTOR, dblDiscountFactor))
  173.             return null;

  175.         org.drip.dynamics.evolution.LSQMPointRecord lrIncrement = new
  176.             org.drip.dynamics.evolution.LSQMPointRecord();

  178.         if (!lrIncrement.setQM (lslForward,
  179.             org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_LIBOR_RATE, dblLIBORIncrement))
  180.             return null;

  182.         if (!lrIncrement.setQM (lslForward,
  183.             org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_CONTINUOUSLY_COMPOUNDED_FORWARD_RATE,
  184.                 dblContinuousForwardRateIncrement))
  185.             return null;

  187.         if (!lrIncrement.setQM (lslFunding,
  188.             org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_ZERO_RATE, dblSpotRateIncrement))
  189.             return null;

  191.         if (!lrIncrement.setQM (lslFunding,
  192.             org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_DISCOUNT_FACTOR,
  193.                 dblDiscountFactorIncrement))
  194.             return null;

  196.         try {
  197.             return new BGMPointUpdate (lslFunding, lslForward, iInitialDate, iFinalDate, iTargetPointDate,
  198.                 lrSnapshot, lrIncrement, dblLognormalLIBORVolatility,
  199.                     dblContinuouslyCompoundedForwardVolatility);
  200.         } catch (java.lang.Exception e) {
  201.             e.printStackTrace();
  202.         }

  204.         return null;
  205.     }

  207.     private BGMPointUpdate (
  208.         final org.drip.state.identifier.FundingLabel lslFunding,
  209.         final org.drip.state.identifier.ForwardLabel lslForward,
  210.         final int iInitialDate,
  211.         final int iFinalDate,
  212.         final int iViewDate,
  213.         final org.drip.dynamics.evolution.LSQMPointRecord lrSnapshot,
  214.         final org.drip.dynamics.evolution.LSQMPointRecord lrIncrement,
  215.         final double dblLognormalLIBORVolatility,
  216.         final double dblContinuouslyCompoundedForwardVolatility)
  217.         throws java.lang.Exception
  218.     {
  219.         super (iInitialDate, iFinalDate, iViewDate, lrSnapshot, lrIncrement);

  221.         if (null == (_lslFunding = lslFunding) || null == (_lslForward = lslForward) ||
  222.             !org.drip.numerical.common.NumberUtil.IsValid (_dblLognormalLIBORVolatility =
  223.                 dblLognormalLIBORVolatility) || !org.drip.numerical.common.NumberUtil.IsValid
  224.                     (_dblContinuouslyCompoundedForwardVolatility =
  225.                         dblContinuouslyCompoundedForwardVolatility))
  226.             throw new java.lang.Exception ("BGMPointUpdate ctr: Invalid Inputs");
  227.     }

  229.     /**
  230.      * Retrieve the LIBOR Rate
  231.      * 
  232.      * @return The LIBOR Rate
  233.      * 
  234.      * @throws java.lang.Exception Thrown if the LIBOR Rate is not available
  235.      */

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

  244.     /**
  245.      * Retrieve the LIBOR Rate Increment
  246.      * 
  247.      * @return The LIBOR Rate Increment
  248.      * 
  249.      * @throws java.lang.Exception Thrown if the LIBOR Rate Increment is not available
  250.      */

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

  259.     /**
  260.      * Retrieve the Continuously Compounded Forward Rate
  261.      * 
  262.      * @return The Continuously Compounded Forward Rate
  263.      * 
  264.      * @throws java.lang.Exception Thrown if the Continuously Compounded Forward Rate is not available
  265.      */

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

  274.     /**
  275.      * Retrieve the Continuously Compounded Forward Rate Increment
  276.      * 
  277.      * @return The Continuously Compounded Forward Rate Increment
  278.      * 
  279.      * @throws java.lang.Exception Thrown if the Continuously Compounded Forward Rate Increment is not
  280.      *  available
  281.      */

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

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

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

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

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

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

  328.     public double spotRate()
  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 Spot Rate Increment
  337.      * 
  338.      * @return The Spot Rate Increment
  339.      * 
  340.      * @throws java.lang.Exception Thrown if the Spot Rate Increment is not available
  341.      */

  343.     public double spotRateIncrement()
  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 Discount Factor
  352.      * 
  353.      * @return The Discount Factor
  354.      * 
  355.      * @throws java.lang.Exception Thrown if the Discount Factor is not available
  356.      */

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

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

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

  380.     /**
  381.      * Retrieve the Log-normal LIBOR Volatility
  382.      * 
  383.      * @return The Log-normal LIBOR Volatility
  384.      */

  386.     public double lognormalLIBORVolatility()
  387.     {
  388.         return _dblLognormalLIBORVolatility;
  389.     }

  391.     /**
  392.      * Retrieve the Continuously Compounded Forward Rate Volatility
  393.      * 
  394.      * @return The Continuously Compounded Forward Rate Volatility
  395.      */

  397.     public double continuouslyCompoundedForwardVolatility()
  398.     {
  399.         return _dblContinuouslyCompoundedForwardVolatility;
  400.     }
  401. }
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