BGMTenorNodeSequence.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>BGMTenorNodeSequence</i> contains the Point Nodes of the Latent State Quantifiers and their Increments
* present in the specified BGMForwardTenorSnap Instance. The References are:
*
* <br><br>
* <ul>
* <li>
* Goldys, B., M. Musiela, and D. Sondermann (1994): <i>Log-normality of Rates and Term Structure
* Models</i> <b>The University of New South Wales</b>
* </li>
* <li>
* Musiela, M. (1994): <i>Nominal Annual Rates and Log-normal Volatility Structure</i> <b>The
* University of New South Wales</b>
* </li>
* <li>
* Brace, A., D. Gatarek, and M. Musiela (1997): The Market Model of Interest Rate Dynamics
* <i>Mathematical Finance</i> <b>7 (2)</b> 127-155
* </li>
* </ul>
*
* <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 BGMTenorNodeSequence {
private int[] _aiDate = null;
private double[] _adblLIBOR = null;
private double[] _adblLIBORIncrement = null;
private double[] _adblDiscountFactor = null;
private double[] _adblSpotRateIncrement = null;
private double[] _adblDiscountFactorIncrement = null;
private double[] _adblContinuousForwardRateIncrement = null;
private double[] _adblInstantaneousNominalForwardRate = null;
private double[] _adblInstantaneousEffectiveForwardRate = null;
/**
* BGMTenorNodeSequence Constructor
*
* @param aBFTS Array of the BGM Forward Tenor Snap Instances
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public BGMTenorNodeSequence (
final org.drip.dynamics.lmm.BGMForwardTenorSnap[] aBFTS)
throws java.lang.Exception
{
if (null == aBFTS) throw new java.lang.Exception ("BGMTenorNodeSequence ctr: Invalid Inputs!");
int iNumSnap = aBFTS.length;
_aiDate = new int[iNumSnap];
_adblLIBOR = new double[iNumSnap];
_adblLIBORIncrement = new double[iNumSnap];
_adblDiscountFactor = new double[iNumSnap];
_adblSpotRateIncrement = new double[iNumSnap];
_adblDiscountFactorIncrement = new double[iNumSnap];
_adblContinuousForwardRateIncrement = new double[iNumSnap];
_adblInstantaneousNominalForwardRate = new double[iNumSnap];
_adblInstantaneousEffectiveForwardRate = new double[iNumSnap];
if (0 == iNumSnap) throw new java.lang.Exception ("BGMTenorNodeSequence ctr: Invalid Inputs!");
for (int i = 0; i < iNumSnap; ++i) {
_aiDate[i] = aBFTS[i].date();
_adblLIBOR[i] = aBFTS[i].libor();
_adblLIBORIncrement[i] = aBFTS[i].liborIncrement();
_adblDiscountFactor[i] = aBFTS[i].discountFactor();
_adblSpotRateIncrement[i] = aBFTS[i].spotRateIncrement();
_adblDiscountFactorIncrement[i] = aBFTS[i].discountFactorIncrement();
_adblInstantaneousNominalForwardRate[i] = aBFTS[i].instantaneousNominalForwardRate();
_adblInstantaneousEffectiveForwardRate[i] = aBFTS[i].instantaneousEffectiveForwardRate();
_adblContinuousForwardRateIncrement[i] = aBFTS[i].continuouslyCompoundedForwardIncrement();
}
}
/**
* Retrieve the Array of Tenor Dates
*
* @return The Array of Tenor Dates
*/
public int[] dates()
{
return _aiDate;
}
/**
* Retrieve the Array of Tenor LIBOR Rates
*
* @return The Array of Tenor LIBOR Rates
*/
public double[] liborRates()
{
return _adblLIBOR;
}
/**
* Retrieve the Array of Tenor LIBOR Rate Increments
*
* @return The Array of Tenor LIBOR Rate Increments
*/
public double[] liborRateIncrements()
{
return _adblLIBORIncrement;
}
/**
* Retrieve the Array of Tenor Discount Factors
*
* @return The Array of Tenor Discount Factors
*/
public double[] discountFactors()
{
return _adblDiscountFactor;
}
/**
* Retrieve the Array of Tenor Discount Factor Increments
*
* @return The Array of Tenor Discount Factor Increments
*/
public double[] discountFactorIncrements()
{
return _adblDiscountFactorIncrement;
}
/**
* Retrieve the Array of Tenor Instantaneous Effective Annual Forward Rate
*
* @return The Array of Tenor Instantaneous Effective Annual Forward Rate
*/
public double[] instantaneousEffectiveForwardRates()
{
return _adblInstantaneousEffectiveForwardRate;
}
/**
* Retrieve the Array of Tenor Instantaneous Nominal Annual Forward Rate
*
* @return The Array of Tenor Instantaneous Nominal Annual Forward Rate
*/
public double[] instantaneousNominalForwardRates()
{
return _adblInstantaneousNominalForwardRate;
}
/**
* Retrieve the Array of Tenor Instantaneous Continuously Compounded Forward Rate Increments
*
* @return The Array of Tenor Instantaneous Continuously Compounded Forward Rate Increments
*/
public double[] continuousForwardRateIncrements()
{
return _adblContinuousForwardRateIncrement;
}
/**
* Retrieve the Array of Tenor Spot Rate Increments
*
* @return The Array of Tenor Spot Rate Increments
*/
public double[] spotRateIncrements()
{
return _adblSpotRateIncrement;
}
@Override public java.lang.String toString()
{
int iNumTenor = _aiDate.length;
java.lang.String strDateDump = "\t |";
java.lang.String strPartition = "\t |";
java.lang.String strLIBORDump = "\t |";
java.lang.String strLIBORIncrementDump = "\t |";
java.lang.String strDiscountFactorDump = "\t |";
java.lang.String strSpotRateIncrementDump = "\t |";
java.lang.String strDiscountFactorIncrementDump = "\t |";
java.lang.String strContinuousForwardIncrementDump = "\t |";
java.lang.String strInstantaneousNominalForwardDump = "\t |";
java.lang.String strInstantaneousEffectiveForwardDump = "\t |";
for (int i = 0; i < iNumTenor; ++i) {
strPartition += "-------------";
strDateDump += " " + new org.drip.analytics.date.JulianDate (_aiDate[i]) + " |";
strLIBORDump += " " + org.drip.numerical.common.FormatUtil.FormatDouble (_adblLIBOR[i], 1, 3, 100.)
+ "% |";
strLIBORIncrementDump += " " + org.drip.numerical.common.FormatUtil.FormatDouble
(_adblLIBORIncrement[i], 2, 0, 10000.) + " |";
strDiscountFactorDump += " " + org.drip.numerical.common.FormatUtil.FormatDouble
(_adblDiscountFactor[i], 2, 3, 100.) + " |";
strDiscountFactorIncrementDump += " " + org.drip.numerical.common.FormatUtil.FormatDouble
(_adblDiscountFactorIncrement[i], 2, 0, 10000.) + " |";
strContinuousForwardIncrementDump += " " + org.drip.numerical.common.FormatUtil.FormatDouble
(_adblContinuousForwardRateIncrement[i], 2, 0, 10000.) + " |";
strSpotRateIncrementDump += " " + org.drip.numerical.common.FormatUtil.FormatDouble
(_adblSpotRateIncrement[i], 2, 0, 10000.) + " |";
strInstantaneousEffectiveForwardDump += " " + org.drip.numerical.common.FormatUtil.FormatDouble
(_adblInstantaneousEffectiveForwardRate[i], 2, 0, 10000.) + " |";
strInstantaneousNominalForwardDump += " " + org.drip.numerical.common.FormatUtil.FormatDouble
(_adblInstantaneousNominalForwardRate[i], 2, 0, 10000.) + " |";
}
return "\n" + strPartition + "|\n" + strDateDump + "|\n" + strPartition + "|\n" + strLIBORDump +
"|\n" + strLIBORIncrementDump + "|\n" + strDiscountFactorDump + "|\n" +
strDiscountFactorIncrementDump + "|\n" + strContinuousForwardIncrementDump + "|\n" +
strSpotRateIncrementDump + "|\n" + strInstantaneousEffectiveForwardDump + "|\n" +
strInstantaneousNominalForwardDump + "|\n" + strPartition + "|\n";
}
}