BGMTenorNodeSequence.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>BGMTenorNodeSequence</i> contains the Point Nodes of the Latent State Quantifiers and their Increments
  83.  * present in the specified BGMForwardTenorSnap Instance. The References are:
  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 BGMTenorNodeSequence {
  113.     private int[] _aiDate = null;
  114.     private double[] _adblLIBOR = null;
  115.     private double[] _adblLIBORIncrement = null;
  116.     private double[] _adblDiscountFactor = null;
  117.     private double[] _adblSpotRateIncrement = null;
  118.     private double[] _adblDiscountFactorIncrement = null;
  119.     private double[] _adblContinuousForwardRateIncrement = null;
  120.     private double[] _adblInstantaneousNominalForwardRate = null;
  121.     private double[] _adblInstantaneousEffectiveForwardRate = null;

  123.     /**
  124.      * BGMTenorNodeSequence Constructor
  125.      * 
  126.      * @param aBFTS Array of the BGM Forward Tenor Snap Instances
  127.      * 
  128.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  129.      */

  131.     public BGMTenorNodeSequence (
  132.         final org.drip.dynamics.lmm.BGMForwardTenorSnap[] aBFTS)
  133.         throws java.lang.Exception
  134.     {
  135.         if (null == aBFTS) throw new java.lang.Exception ("BGMTenorNodeSequence ctr: Invalid Inputs!");

  137.         int iNumSnap = aBFTS.length;
  138.         _aiDate = new int[iNumSnap];
  139.         _adblLIBOR = new double[iNumSnap];
  140.         _adblLIBORIncrement = new double[iNumSnap];
  141.         _adblDiscountFactor = new double[iNumSnap];
  142.         _adblSpotRateIncrement = new double[iNumSnap];
  143.         _adblDiscountFactorIncrement = new double[iNumSnap];
  144.         _adblContinuousForwardRateIncrement = new double[iNumSnap];
  145.         _adblInstantaneousNominalForwardRate = new double[iNumSnap];
  146.         _adblInstantaneousEffectiveForwardRate = new double[iNumSnap];

  148.         if (0 == iNumSnap) throw new java.lang.Exception ("BGMTenorNodeSequence ctr: Invalid Inputs!");

  150.         for (int i = 0; i < iNumSnap; ++i) {
  151.             _aiDate[i] = aBFTS[i].date();

  153.             _adblLIBOR[i] = aBFTS[i].libor();

  155.             _adblLIBORIncrement[i] = aBFTS[i].liborIncrement();

  157.             _adblDiscountFactor[i] = aBFTS[i].discountFactor();

  159.             _adblSpotRateIncrement[i] = aBFTS[i].spotRateIncrement();

  161.             _adblDiscountFactorIncrement[i] = aBFTS[i].discountFactorIncrement();

  163.             _adblInstantaneousNominalForwardRate[i] = aBFTS[i].instantaneousNominalForwardRate();

  165.             _adblInstantaneousEffectiveForwardRate[i] = aBFTS[i].instantaneousEffectiveForwardRate();

  167.             _adblContinuousForwardRateIncrement[i] = aBFTS[i].continuouslyCompoundedForwardIncrement();
  168.         }
  169.     }

  171.     /**
  172.      * Retrieve the Array of Tenor Dates
  173.      * 
  174.      * @return The Array of Tenor Dates
  175.      */

  177.     public int[] dates()
  178.     {
  179.         return _aiDate;
  180.     }

  182.     /**
  183.      * Retrieve the Array of Tenor LIBOR Rates
  184.      * 
  185.      * @return The Array of Tenor LIBOR Rates
  186.      */

  188.     public double[] liborRates()
  189.     {
  190.         return _adblLIBOR;
  191.     }

  193.     /**
  194.      * Retrieve the Array of Tenor LIBOR Rate Increments
  195.      * 
  196.      * @return The Array of Tenor LIBOR Rate Increments
  197.      */

  199.     public double[] liborRateIncrements()
  200.     {
  201.         return _adblLIBORIncrement;
  202.     }

  204.     /**
  205.      * Retrieve the Array of Tenor Discount Factors
  206.      * 
  207.      * @return The Array of Tenor Discount Factors
  208.      */

  210.     public double[] discountFactors()
  211.     {
  212.         return _adblDiscountFactor;
  213.     }

  215.     /**
  216.      * Retrieve the Array of Tenor Discount Factor Increments
  217.      * 
  218.      * @return The Array of Tenor Discount Factor Increments
  219.      */

  221.     public double[] discountFactorIncrements()
  222.     {
  223.         return _adblDiscountFactorIncrement;
  224.     }

  226.     /**
  227.      * Retrieve the Array of Tenor Instantaneous Effective Annual Forward Rate
  228.      * 
  229.      * @return The Array of Tenor Instantaneous Effective Annual Forward Rate
  230.      */

  232.     public double[] instantaneousEffectiveForwardRates()
  233.     {
  234.         return _adblInstantaneousEffectiveForwardRate;
  235.     }

  237.     /**
  238.      * Retrieve the Array of Tenor Instantaneous Nominal Annual Forward Rate
  239.      * 
  240.      * @return The Array of Tenor Instantaneous Nominal Annual Forward Rate
  241.      */

  243.     public double[] instantaneousNominalForwardRates()
  244.     {
  245.         return _adblInstantaneousNominalForwardRate;
  246.     }

  248.     /**
  249.      * Retrieve the Array of Tenor Instantaneous Continuously Compounded Forward Rate Increments
  250.      * 
  251.      * @return The Array of Tenor Instantaneous Continuously Compounded Forward Rate Increments
  252.      */

  254.     public double[] continuousForwardRateIncrements()
  255.     {
  256.         return _adblContinuousForwardRateIncrement;
  257.     }

  259.     /**
  260.      * Retrieve the Array of Tenor Spot Rate Increments
  261.      * 
  262.      * @return The Array of Tenor Spot Rate Increments
  263.      */

  265.     public double[] spotRateIncrements()
  266.     {
  267.         return _adblSpotRateIncrement;
  268.     }

  270.     @Override public java.lang.String toString()
  271.     {
  272.         int iNumTenor = _aiDate.length;
  273.         java.lang.String strDateDump = "\t |";
  274.         java.lang.String strPartition = "\t |";
  275.         java.lang.String strLIBORDump = "\t |";
  276.         java.lang.String strLIBORIncrementDump = "\t |";
  277.         java.lang.String strDiscountFactorDump = "\t |";
  278.         java.lang.String strSpotRateIncrementDump = "\t |";
  279.         java.lang.String strDiscountFactorIncrementDump = "\t |";
  280.         java.lang.String strContinuousForwardIncrementDump = "\t |";
  281.         java.lang.String strInstantaneousNominalForwardDump = "\t |";
  282.         java.lang.String strInstantaneousEffectiveForwardDump = "\t |";

  284.         for (int i = 0; i < iNumTenor; ++i) {
  285.             strPartition += "-------------";

  287.             strDateDump += " " + new org.drip.analytics.date.JulianDate (_aiDate[i]) + " |";

  289.             strLIBORDump += "  " + org.drip.numerical.common.FormatUtil.FormatDouble (_adblLIBOR[i], 1, 3, 100.)
  290.                 + "%   |";

  292.             strLIBORIncrementDump += "    " + org.drip.numerical.common.FormatUtil.FormatDouble
  293.                 (_adblLIBORIncrement[i], 2, 0, 10000.) + "     |";

  295.             strDiscountFactorDump += "  " + org.drip.numerical.common.FormatUtil.FormatDouble
  296.                 (_adblDiscountFactor[i], 2, 3, 100.) + "   |";

  298.             strDiscountFactorIncrementDump += "    " + org.drip.numerical.common.FormatUtil.FormatDouble
  299.                 (_adblDiscountFactorIncrement[i], 2, 0, 10000.) + "     |";

  301.             strContinuousForwardIncrementDump += "    " + org.drip.numerical.common.FormatUtil.FormatDouble
  302.                 (_adblContinuousForwardRateIncrement[i], 2, 0, 10000.) + "     |";

  304.             strSpotRateIncrementDump += "    " + org.drip.numerical.common.FormatUtil.FormatDouble
  305.                 (_adblSpotRateIncrement[i], 2, 0, 10000.) + "     |";

  307.             strInstantaneousEffectiveForwardDump += "    " + org.drip.numerical.common.FormatUtil.FormatDouble
  308.                 (_adblInstantaneousEffectiveForwardRate[i], 2, 0, 10000.) + "     |";

  310.             strInstantaneousNominalForwardDump += "    " + org.drip.numerical.common.FormatUtil.FormatDouble
  311.                 (_adblInstantaneousNominalForwardRate[i], 2, 0, 10000.) + "     |";
  312.         }

  314.         return "\n" + strPartition + "|\n" + strDateDump + "|\n" + strPartition + "|\n" + strLIBORDump +
  315.             "|\n" + strLIBORIncrementDump + "|\n" + strDiscountFactorDump + "|\n" +
  316.                 strDiscountFactorIncrementDump + "|\n" + strContinuousForwardIncrementDump + "|\n" +
  317.                     strSpotRateIncrementDump + "|\n" + strInstantaneousEffectiveForwardDump + "|\n" +
  318.                         strInstantaneousNominalForwardDump + "|\n" + strPartition + "|\n";
  319.     }
  320. }
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