LognormalLIBORCurveEvolver.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>LognormalLIBORCurveEvolver</i> sets up and implements the Multi-Factor No-arbitrage Dynamics of the
  83.  * full Curve Rates State Quantifiers 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 LognormalLIBORCurveEvolver implements org.drip.dynamics.evolution.CurveStateEvolver {
  113.     private int _iNumForwardTenor = -1;
  114.     private org.drip.state.identifier.ForwardLabel _lslForward = null;
  115.     private org.drip.state.identifier.FundingLabel _lslFunding = null;
  116.     private org.drip.spline.params.SegmentCustomBuilderControl[] _aSCBCLIBOR = null;
  117.     private org.drip.spline.params.SegmentCustomBuilderControl[] _aSCBCDiscountFactor = null;
  118.     private org.drip.spline.params.SegmentCustomBuilderControl[] _aSCBCLIBORIncrement = null;
  119.     private org.drip.spline.params.SegmentCustomBuilderControl[] _aSCBCSpotRateIncrement = null;
  120.     private org.drip.spline.params.SegmentCustomBuilderControl[] _aSCBCDiscountFactorIncrement = null;
  121.     private org.drip.spline.params.SegmentCustomBuilderControl[] _aSCBCContinuousForwardIncrement = null;
  122.     private org.drip.spline.params.SegmentCustomBuilderControl[] _aSCBCInstantaneousNominalForward = null;
  123.     private org.drip.spline.params.SegmentCustomBuilderControl[] _aSCBCInstantaneousEffectiveForward = null;

  125.     /**
  126.      * Create a LognormalLIBORCurveEvolver Instance
  127.      * 
  128.      * @param lslFunding The Funding Latent State Label
  129.      * @param lslForward The Forward Latent State Label
  130.      * @param iNumForwardTenor Number of Forward Tenors to Build the Span
  131.      * @param scbc The Common Span Segment Custom Builder Control Instance
  132.      * 
  133.      * @return The LognormalLIBORCurveEvolver Instance
  134.      */

  136.     public static final LognormalLIBORCurveEvolver Create (
  137.         final org.drip.state.identifier.FundingLabel lslFunding,
  138.         final org.drip.state.identifier.ForwardLabel lslForward,
  139.         final int iNumForwardTenor,
  140.         final org.drip.spline.params.SegmentCustomBuilderControl scbc)
  141.     {
  142.         try {
  143.             return new LognormalLIBORCurveEvolver (lslFunding, lslForward, iNumForwardTenor, scbc, scbc,
  144.                 scbc, scbc, scbc, scbc, scbc, scbc);
  145.         } catch (java.lang.Exception e) {
  146.             e.printStackTrace();
  147.         }

  149.         return null;
  150.     }

  152.     private double forwardDerivative (
  153.         final org.drip.state.forward.ForwardCurve fc,
  154.         final int iTargetPointDate)
  155.         throws java.lang.Exception
  156.     {
  157.         org.drip.function.definition.R1ToR1 freR1ToR1 = new org.drip.function.definition.R1ToR1 (null) {
  158.             @Override public double evaluate (
  159.                 final double dblDate)
  160.                 throws java.lang.Exception
  161.             {
  162.                 return fc.forward ((int) dblDate);
  163.             }
  164.         };

  166.         return freR1ToR1.derivative (iTargetPointDate, 1);
  167.     }

  169.     private double continuousForwardRateIncrement (
  170.         final int iViewDate,
  171.         final double dblAnnualizedIncrement,
  172.         final double dblAnnualizedIncrementSQRT,
  173.         final org.drip.state.forward.ForwardCurve fc,
  174.         final double[] adblMultivariateRandom,
  175.         final org.drip.dynamics.lmm.LognormalLIBORVolatility llv)
  176.         throws java.lang.Exception
  177.     {
  178.         final int iNumFactor = adblMultivariateRandom.length;

  180.         org.drip.function.definition.R1ToR1 continuousForwardRateR1ToR1 = new
  181.             org.drip.function.definition.R1ToR1 (null) {
  182.             @Override public double evaluate (
  183.                 final double dblDate)
  184.                 throws java.lang.Exception
  185.             {
  186.                 double dblForwardPointVolatilityModulus = 0.;
  187.                 double dblPointVolatilityMultifactorRandom = 0.;

  189.                 double[] adblContinuousForwardVolatility = llv.continuousForwardVolatility ((int) dblDate,
  190.                     fc);

  192.                 if (null != adblContinuousForwardVolatility) {
  193.                     for (int i = 0; i < iNumFactor; ++i) {
  194.                         dblForwardPointVolatilityModulus += adblContinuousForwardVolatility[i] *
  195.                             adblContinuousForwardVolatility[i];
  196.                         dblPointVolatilityMultifactorRandom += adblContinuousForwardVolatility[i] *
  197.                             adblMultivariateRandom[i];
  198.                     }
  199.                 }

  201.                 return (fc.forward ((int) dblDate) + 0.5 * dblForwardPointVolatilityModulus) *
  202.                     dblAnnualizedIncrement + dblPointVolatilityMultifactorRandom *
  203.                         dblAnnualizedIncrementSQRT;
  204.             }
  205.         };

  207.         return continuousForwardRateR1ToR1.derivative (iViewDate, 1);
  208.     }

  210.     private double spotRateIncrement (
  211.         final int iViewDate,
  212.         final double dblAnnualizedIncrement,
  213.         final double dblAnnualizedIncrementSQRT,
  214.         final org.drip.state.discount.MergedDiscountForwardCurve dc,
  215.         final double[] adblMultivariateRandom,
  216.         final org.drip.dynamics.lmm.LognormalLIBORVolatility llv)
  217.         throws java.lang.Exception
  218.     {
  219.         final int iNumFactor = adblMultivariateRandom.length;

  221.         org.drip.function.definition.R1ToR1 spotRateR1ToR1 = new org.drip.function.definition.R1ToR1 (null) {
  222.             @Override public double evaluate (
  223.                 final double dblDate)
  224.                 throws java.lang.Exception
  225.             {
  226.                 int iDate = (int) dblDate;
  227.                 double dblPointVolatilityMultifactorRandom = 0.;

  229.                 double[] adblContinuousForwardVolatility = llv.continuousForwardVolatility (iDate, dc);

  231.                 if (null != adblContinuousForwardVolatility) {
  232.                     for (int i = 0; i < iNumFactor; ++i)
  233.                         dblPointVolatilityMultifactorRandom += adblContinuousForwardVolatility[i] *
  234.                             adblMultivariateRandom[i];
  235.                 }

  237.                 return dc.forward (iDate, iDate + 1) * dblAnnualizedIncrement +
  238.                     dblPointVolatilityMultifactorRandom * dblAnnualizedIncrementSQRT;
  239.             }
  240.         };

  242.         return spotRateR1ToR1.derivative (iViewDate, 1);
  243.     }

  245.     private org.drip.dynamics.lmm.BGMForwardTenorSnap timeSnap (
  246.         final int iSpotDate,
  247.         final int iTargetPointDate,
  248.         final double dblAnnualizedIncrement,
  249.         final double dblAnnualizedIncrementSQRT,
  250.         final java.lang.String strForwardTenor,
  251.         final org.drip.state.forward.ForwardCurve fc,
  252.         final org.drip.state.discount.MergedDiscountForwardCurve dc,
  253.         final org.drip.dynamics.lmm.LognormalLIBORVolatility llv)
  254.     {
  255.         double[] adblLognormalFactorPointVolatility = llv.factorPointVolatility (iSpotDate,
  256.             iTargetPointDate);

  258.         double[] adblContinuousForwardVolatility = llv.continuousForwardVolatility (iTargetPointDate, fc);

  260.         double[] adblMultivariateRandom = llv.msg().random();

  262.         double dblCrossVolatilityDotProduct = 0.;
  263.         double dblLognormalPointVolatilityModulus = 0.;
  264.         double dblLIBORVolatilityMultiFactorRandom = 0.;
  265.         double dblContinuousForwardVolatilityModulus = 0.;
  266.         double dblForwardVolatilityMultiFactorRandom = 0.;
  267.         int iNumFactor = adblLognormalFactorPointVolatility.length;

  269.         for (int i = 0; i < iNumFactor; ++i) {
  270.             dblLognormalPointVolatilityModulus += adblLognormalFactorPointVolatility[i] *
  271.                 adblLognormalFactorPointVolatility[i];
  272.             dblCrossVolatilityDotProduct += adblLognormalFactorPointVolatility[i] *
  273.                 adblContinuousForwardVolatility[i];
  274.             dblLIBORVolatilityMultiFactorRandom += adblLognormalFactorPointVolatility[i] *
  275.                 adblMultivariateRandom[i] * dblAnnualizedIncrementSQRT;
  276.             dblContinuousForwardVolatilityModulus += adblContinuousForwardVolatility[i] *
  277.                 adblContinuousForwardVolatility[i];
  278.             dblForwardVolatilityMultiFactorRandom += adblContinuousForwardVolatility[i] *
  279.                 adblMultivariateRandom[i] * dblAnnualizedIncrementSQRT;
  280.         }

  282.         try {
  283.             double dblLIBOR = fc.forward (iTargetPointDate);

  285.             double dblDiscountFactor = dc.df (iTargetPointDate);

  287.             double dblSpotRate = dc.forward (iSpotDate, iSpotDate + 1);

  289.             double dblContinuousForwardRate = fc.forward (iTargetPointDate);

  291.             double dblDCF = org.drip.analytics.support.Helper.TenorToYearFraction (strForwardTenor);

  293.             double dblLIBORDCF = dblDCF * dblLIBOR;

  295.             double dblLIBORIncrement = dblAnnualizedIncrement * (forwardDerivative (fc, iTargetPointDate) +
  296.                 dblLIBOR * dblCrossVolatilityDotProduct + (dblLognormalPointVolatilityModulus * dblLIBOR *
  297.                     dblLIBORDCF / (1. + dblLIBORDCF))) + dblLIBOR * dblLIBORVolatilityMultiFactorRandom;

  299.             double dblDiscountFactorIncrement = dblDiscountFactor * (dblSpotRate - dblContinuousForwardRate)
  300.                 * dblAnnualizedIncrement - dblForwardVolatilityMultiFactorRandom;

  302.             double dblContinuousForwardRateIncrement = continuousForwardRateIncrement (iTargetPointDate,
  303.                 dblAnnualizedIncrement, dblAnnualizedIncrementSQRT, fc, adblMultivariateRandom, llv);

  305.             double dblSpotRateIncrement = spotRateIncrement (iTargetPointDate, dblAnnualizedIncrement,
  306.                 dblAnnualizedIncrementSQRT, dc, adblMultivariateRandom, llv);

  308.             double dblContinuousForwardRateEvolved = dblContinuousForwardRate +
  309.                 dblContinuousForwardRateIncrement;

  311.             return new org.drip.dynamics.lmm.BGMForwardTenorSnap (iTargetPointDate, dblLIBOR +
  312.                 dblLIBORIncrement, dblLIBORIncrement, dblDiscountFactor + dblDiscountFactorIncrement,
  313.                     dblDiscountFactorIncrement, dblContinuousForwardRateIncrement, dblSpotRateIncrement,
  314.                         java.lang.Math.exp (dblContinuousForwardRateEvolved) - 1., (java.lang.Math.exp
  315.                             (dblDCF * dblContinuousForwardRateEvolved) - 1.) / dblDCF, java.lang.Math.sqrt
  316.                                 (dblLognormalPointVolatilityModulus), java.lang.Math.sqrt
  317.                                     (dblContinuousForwardVolatilityModulus));
  318.         } catch (java.lang.Exception e) {
  319.             e.printStackTrace();
  320.         }

  322.         return null;
  323.     }

  325.     private org.drip.dynamics.lmm.PathwiseQMRealization simulateLIBOR (
  326.         final int iEvolutionDate,
  327.         final int iViewDate,
  328.         final double dblAnnualizedIncrement,
  329.         final double dblAnnualizedIncrementSQRT,
  330.         final org.drip.state.forward.ForwardCurve fc,
  331.         final java.lang.String strForwardTenor,
  332.         final double dblForwardDCF,
  333.         final org.drip.dynamics.lmm.LognormalLIBORVolatility llv)
  334.     {
  335.         int[] aiTenorDate = new int[_iNumForwardTenor + 1];
  336.         double[] adblLIBOR = new double[_iNumForwardTenor + 1];

  338.         double[] adblMultivariateRandom = llv.msg().random();

  340.         org.drip.analytics.date.JulianDate dtTargetPoint = new org.drip.analytics.date.JulianDate
  341.             (iViewDate);

  343.         try {
  344.             for (int i = 0; i <= _iNumForwardTenor; ++i) {
  345.                 int iTargetPointDate = dtTargetPoint.julian();

  347.                 double[] adblLognormalFactorPointVolatility = llv.factorPointVolatility (iEvolutionDate,
  348.                     iTargetPointDate);

  350.                 double[] adblContinuousForwardVolatility = llv.continuousForwardVolatility (iTargetPointDate,
  351.                     fc);

  353.                 double dblLIBOR = fc.forward (iTargetPointDate);

  355.                 aiTenorDate[i] = iTargetPointDate;
  356.                 double dblCrossVolatilityDotProduct = 0.;
  357.                 double dblLIBORDCF = dblForwardDCF * dblLIBOR;
  358.                 double dblLognormalPointVolatilityModulus = 0.;
  359.                 double dblLIBORVolatilityMultiFactorRandom = 0.;
  360.                 int iNumFactor = adblLognormalFactorPointVolatility.length;

  362.                 for (int j = 0; j < iNumFactor; ++j) {
  363.                     dblLognormalPointVolatilityModulus += adblLognormalFactorPointVolatility[j] *
  364.                         adblLognormalFactorPointVolatility[j];
  365.                     dblCrossVolatilityDotProduct += adblLognormalFactorPointVolatility[j] *
  366.                         adblContinuousForwardVolatility[j];
  367.                     dblLIBORVolatilityMultiFactorRandom += adblLognormalFactorPointVolatility[j] *
  368.                         adblMultivariateRandom[j] * dblAnnualizedIncrementSQRT;
  369.                 }

  371.                 adblLIBOR[i] = dblLIBOR + dblAnnualizedIncrement * (forwardDerivative (fc, iTargetPointDate)
  372.                     + dblLIBOR * dblCrossVolatilityDotProduct + (dblLognormalPointVolatilityModulus *
  373.                         dblLIBOR * dblLIBORDCF / (1. + dblLIBORDCF))) + dblLIBOR *
  374.                             dblLIBORVolatilityMultiFactorRandom;

  376.                 dtTargetPoint = dtTargetPoint.addTenor (strForwardTenor);
  377.             }

  379.             return new org.drip.dynamics.lmm.PathwiseQMRealization (aiTenorDate, adblLIBOR);
  380.         } catch (java.lang.Exception e) {
  381.             e.printStackTrace();
  382.         }

  384.         return null;
  385.     }

  387.     /**
  388.      * LognormalLIBORCurveEvolver Constructor
  389.      * 
  390.      * @param lslFunding The Funding Latent State Label
  391.      * @param lslForward The Forward Latent State Label
  392.      * @param iNumForwardTenor Number of Forward Tenors to Build the Span
  393.      * @param scbcLIBOR LIBOR Span Segment Custom Builder Control Instance
  394.      * @param scbcDiscountFactor Discount Factor Span Segment Custom Builder Control Instance
  395.      * @param scbcLIBORIncrement LIBOR Increment Span Segment Custom Builder Control Instance
  396.      * @param scbcDiscountFactorIncrement Discount Factor Increment Span Segment Custom Builder Control
  397.      *      Instance
  398.      * @param scbcContinuousForwardIncrement Instantaneous Continuously Compounded Forward Rate Increment
  399.      *      Span Segment Custom Builder Control Instance
  400.      * @param scbcSpotRateIncrement Spot Rate Increment Span Segment Custom Builder Control Instance
  401.      * @param scbcInstantaneousEffectiveForward Instantaneous Effective Annual Forward Rate Span Segment
  402.      *      Custom Builder Control Instance
  403.      * @param scbcInstantaneousNominalForward Instantaneous Nominal Annual Forward Rate Span Segment Custom
  404.      *      Builder Control Instance
  405.      * 
  406.      * @throws java.lang.Exception Thrown if Inputs are Invalid
  407.      */

  409.     public LognormalLIBORCurveEvolver (
  410.         final org.drip.state.identifier.FundingLabel lslFunding,
  411.         final org.drip.state.identifier.ForwardLabel lslForward,
  412.         final int iNumForwardTenor,
  413.         final org.drip.spline.params.SegmentCustomBuilderControl scbcLIBOR,
  414.         final org.drip.spline.params.SegmentCustomBuilderControl scbcDiscountFactor,
  415.         final org.drip.spline.params.SegmentCustomBuilderControl scbcLIBORIncrement,
  416.         final org.drip.spline.params.SegmentCustomBuilderControl scbcDiscountFactorIncrement,
  417.         final org.drip.spline.params.SegmentCustomBuilderControl scbcContinuousForwardIncrement,
  418.         final org.drip.spline.params.SegmentCustomBuilderControl scbcSpotRateIncrement,
  419.         final org.drip.spline.params.SegmentCustomBuilderControl scbcInstantaneousEffectiveForward,
  420.         final org.drip.spline.params.SegmentCustomBuilderControl scbcInstantaneousNominalForward)
  421.         throws java.lang.Exception
  422.     {
  423.         if (null == (_lslFunding = lslFunding) || null == (_lslForward = lslForward) || 1 >=
  424.             (_iNumForwardTenor = iNumForwardTenor) || null == scbcLIBOR || null == scbcLIBORIncrement || null
  425.                 == scbcDiscountFactor || null == scbcDiscountFactorIncrement || null ==
  426.                     scbcContinuousForwardIncrement || null == scbcSpotRateIncrement || null ==
  427.                         scbcInstantaneousEffectiveForward)
  428.             throw new java.lang.Exception ("LognormalLIBORCurveEvolver ctr: Invalid Inputs");

  430.         _aSCBCLIBOR = new org.drip.spline.params.SegmentCustomBuilderControl[iNumForwardTenor];
  431.         _aSCBCDiscountFactor = new org.drip.spline.params.SegmentCustomBuilderControl[iNumForwardTenor];
  432.         _aSCBCLIBORIncrement = new org.drip.spline.params.SegmentCustomBuilderControl[iNumForwardTenor];
  433.         _aSCBCDiscountFactorIncrement = new
  434.             org.drip.spline.params.SegmentCustomBuilderControl[iNumForwardTenor];
  435.         _aSCBCContinuousForwardIncrement = new
  436.             org.drip.spline.params.SegmentCustomBuilderControl[iNumForwardTenor];
  437.         _aSCBCSpotRateIncrement = new org.drip.spline.params.SegmentCustomBuilderControl[iNumForwardTenor];
  438.         _aSCBCInstantaneousNominalForward = new
  439.             org.drip.spline.params.SegmentCustomBuilderControl[iNumForwardTenor];
  440.         _aSCBCInstantaneousEffectiveForward = new
  441.             org.drip.spline.params.SegmentCustomBuilderControl[iNumForwardTenor];

  443.         for (int i = 0; i < iNumForwardTenor; ++i) {
  444.             _aSCBCLIBOR[i] = scbcLIBOR;
  445.             _aSCBCDiscountFactor[i] = scbcDiscountFactor;
  446.             _aSCBCLIBORIncrement[i] = scbcLIBORIncrement;
  447.             _aSCBCDiscountFactorIncrement[i] = scbcDiscountFactorIncrement;
  448.             _aSCBCContinuousForwardIncrement[i] = scbcContinuousForwardIncrement;
  449.             _aSCBCSpotRateIncrement[i] = scbcSpotRateIncrement;
  450.             _aSCBCInstantaneousEffectiveForward[i] = scbcInstantaneousEffectiveForward;
  451.             _aSCBCInstantaneousNominalForward[i] = scbcInstantaneousNominalForward;
  452.         }
  453.     }

  455.     /**
  456.      * Retrieve the Funding Label
  457.      * 
  458.      * @return The Funding Label
  459.      */

  461.     public org.drip.state.identifier.FundingLabel fundingLabel()
  462.     {
  463.         return _lslFunding;
  464.     }

  466.     /**
  467.      * Retrieve the Forward Label
  468.      * 
  469.      * @return The Forward Label
  470.      */

  472.     public org.drip.state.identifier.ForwardLabel forwardLabel()
  473.     {
  474.         return _lslForward;
  475.     }

  477.     /**
  478.      * Retrieve the Number of Forward Tenors comprising the Span Tenor
  479.      * 
  480.      * @return Number of Forward Tenors comprising the Span Tenor
  481.      */

  483.     public int spanTenor()
  484.     {
  485.         return _iNumForwardTenor;
  486.     }

  488.     /**
  489.      * Retrieve the LIBOR Curve Segment Custom Builder Control Instance
  490.      * 
  491.      * @return The LIBOR Curve Segment Custom Builder Control Instance
  492.      */

  494.     public org.drip.spline.params.SegmentCustomBuilderControl scbcLIBOR()
  495.     {
  496.         return _aSCBCLIBOR[0];
  497.     }

  499.     /**
  500.      * Retrieve the Discount Factor Segment Custom Builder Control Instance
  501.      * 
  502.      * @return The Discount Factor Segment Custom Builder Control Instance
  503.      */

  505.     public org.drip.spline.params.SegmentCustomBuilderControl scbcDiscountFactor()
  506.     {
  507.         return _aSCBCDiscountFactor[0];
  508.     }

  510.     /**
  511.      * Retrieve the LIBOR Increment Segment Custom Builder Control Instance
  512.      * 
  513.      * @return The LIBOR Increment Segment Custom Builder Control Instance
  514.      */

  516.     public org.drip.spline.params.SegmentCustomBuilderControl scbcLIBORIncrement()
  517.     {
  518.         return _aSCBCLIBORIncrement[0];
  519.     }

  521.     /**
  522.      * Retrieve the Discount Factor Increment Segment Custom Builder Control Instance
  523.      * 
  524.      * @return The Discount Factor Increment Segment Custom Builder Control Instance
  525.      */

  527.     public org.drip.spline.params.SegmentCustomBuilderControl scbcDiscountFactorIncrement()
  528.     {
  529.         return _aSCBCDiscountFactorIncrement[0];
  530.     }

  532.     /**
  533.      * Retrieve the Instantaneous Continuously Compounded Forward Rate Increment Segment Custom Builder
  534.      *  Control Instance
  535.      * 
  536.      * @return The Instantaneous Continuously Compounded Forward Rate Increment Segment Custom Builder
  537.      *  Control Instance
  538.      */

  540.     public org.drip.spline.params.SegmentCustomBuilderControl scbcContinuousForwardIncrement()
  541.     {
  542.         return _aSCBCContinuousForwardIncrement[0];
  543.     }

  545.     /**
  546.      * Retrieve the Spot Rate Increment Segment Custom Builder Control Instance
  547.      * 
  548.      * @return The Spot Rate Increment Segment Custom Builder Control Instance
  549.      */

  551.     public org.drip.spline.params.SegmentCustomBuilderControl scbcSpotRateIncrement()
  552.     {
  553.         return _aSCBCSpotRateIncrement[0];
  554.     }

  556.     /**
  557.      * Retrieve the Instantaneous Effective Annual Forward Rate Increment Segment Custom Builder Control
  558.      *  Instance
  559.      * 
  560.      * @return The Instantaneous Effective Annual Forward Rate Increment Segment Custom Builder Control
  561.      *  Instance
  562.      */

  564.     public org.drip.spline.params.SegmentCustomBuilderControl scbcInstantaneousEffectiveForward()
  565.     {
  566.         return _aSCBCInstantaneousEffectiveForward[0];
  567.     }

  569.     /**
  570.      * Retrieve the Instantaneous Nominal Annual Forward Rate Increment Segment Custom Builder Control
  571.      *  Instance
  572.      * 
  573.      * @return The Instantaneous Nominal Annual Forward Rate Increment Segment Custom Builder Control
  574.      *  Instance
  575.      */

  577.     public org.drip.spline.params.SegmentCustomBuilderControl scbcInstantaneousNominalForward()
  578.     {
  579.         return _aSCBCInstantaneousNominalForward[0];
  580.     }

  582.     @Override public org.drip.dynamics.lmm.BGMCurveUpdate evolve (
  583.         final int iSpotDate,
  584.         final int iViewDate,
  585.         final int iSpotTimeIncrement,
  586.         final org.drip.dynamics.evolution.LSQMCurveUpdate lsqmPrev)
  587.     {
  588.         if (iSpotDate > iViewDate || null == lsqmPrev || !(lsqmPrev instanceof
  589.             org.drip.dynamics.lmm.BGMCurveUpdate))
  590.             return null;

  592.         org.drip.dynamics.lmm.BGMCurveUpdate bgmPrev = (org.drip.dynamics.lmm.BGMCurveUpdate) lsqmPrev;
  593.         org.drip.dynamics.lmm.BGMForwardTenorSnap[] aBGMTS = new
  594.             org.drip.dynamics.lmm.BGMForwardTenorSnap[_iNumForwardTenor + 1];
  595.         double dblAnnualizedIncrement = 1. * iSpotTimeIncrement / 365.25;

  597.         double dblAnnualizedIncrementSQRT = java.lang.Math.sqrt (dblAnnualizedIncrement);

  599.         org.drip.state.forward.ForwardCurve fc = bgmPrev.forwardCurve();

  601.         org.drip.state.discount.MergedDiscountForwardCurve dc = bgmPrev.discountCurve();

  603.         org.drip.dynamics.lmm.LognormalLIBORVolatility llv = bgmPrev.lognormalLIBORVolatility();

  605.         java.lang.String strForwardTenor = _lslForward.tenor();

  607.         org.drip.analytics.date.JulianDate dtTargetPoint = new org.drip.analytics.date.JulianDate
  608.             (iViewDate);

  610.         try {
  611.             for (int i = 0; i <= _iNumForwardTenor; ++i) {
  612.                 if (null == (aBGMTS[i] = timeSnap (iSpotDate, dtTargetPoint.julian(), iSpotTimeIncrement,
  613.                     dblAnnualizedIncrementSQRT, strForwardTenor, fc, dc, llv)) || null == (dtTargetPoint =
  614.                         dtTargetPoint.addTenor (strForwardTenor)))
  615.                     return null;
  616.             }

  618.             org.drip.dynamics.lmm.BGMTenorNodeSequence btns = new org.drip.dynamics.lmm.BGMTenorNodeSequence
  619.                 (aBGMTS);

  621.             org.drip.spline.stretch.BoundarySettings bs =
  622.                 org.drip.spline.stretch.BoundarySettings.NaturalStandard();

  624.             java.lang.String strForwardLabelName = _lslForward.fullyQualifiedName();

  626.             java.lang.String strFundingLabelName = _lslFunding.fullyQualifiedName();

  628.             int[] aiTenorDate = btns.dates();

  630.             org.drip.state.curve.BasisSplineForwardRate fcLIBOR = new
  631.                 org.drip.state.curve.BasisSplineForwardRate (_lslForward, new
  632.                     org.drip.spline.grid.OverlappingStretchSpan
  633.                         (org.drip.spline.stretch.MultiSegmentSequenceBuilder.CreateCalibratedStretchEstimator
  634.                             (strForwardLabelName + "_QM_LIBOR", aiTenorDate, btns.liborRates(), _aSCBCLIBOR,
  635.                                 null, bs, org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE)));

  637.             org.drip.state.curve.DiscountFactorDiscountCurve dcDiscountFactor = new
  638.                 org.drip.state.curve.DiscountFactorDiscountCurve (_lslForward.currency(), new
  639.                     org.drip.spline.grid.OverlappingStretchSpan
  640.                         (org.drip.spline.stretch.MultiSegmentSequenceBuilder.CreateCalibratedStretchEstimator
  641.                             (strFundingLabelName + "_QM_DISCOUNTFACTOR", aiTenorDate, btns.discountFactors(),
  642.                                 _aSCBCDiscountFactor, null, bs,
  643.                                     org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE)));

  645.             org.drip.spline.stretch.MultiSegmentSequence mssDiscountFactorIncrement =
  646.                 org.drip.spline.stretch.MultiSegmentSequenceBuilder.CreateCalibratedStretchEstimator
  647.                     (strFundingLabelName + "_INCREMENT", aiTenorDate, btns.discountFactorIncrements(),
  648.                         _aSCBCDiscountFactorIncrement, null, bs,
  649.                             org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE);

  651.             org.drip.spline.stretch.MultiSegmentSequence mssContinuousForwardRateIncrement =
  652.                 org.drip.spline.stretch.MultiSegmentSequenceBuilder.CreateCalibratedStretchEstimator
  653.                     (strForwardLabelName + "_CONT_FWD_INCREMENT", aiTenorDate,
  654.                         btns.continuousForwardRateIncrements(), _aSCBCContinuousForwardIncrement, null, bs,
  655.                             org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE);

  657.             org.drip.spline.stretch.MultiSegmentSequence mssSpotRateIncrement =
  658.                 org.drip.spline.stretch.MultiSegmentSequenceBuilder.CreateCalibratedStretchEstimator
  659.                     (strForwardLabelName + "_SPOT_RATE_INCREMENT", aiTenorDate, btns.spotRateIncrements(),
  660.                         _aSCBCSpotRateIncrement, null, bs,
  661.                             org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE);

  663.             org.drip.spline.stretch.MultiSegmentSequence mssInstantaneousEffectiveForwardRate =
  664.                 org.drip.spline.stretch.MultiSegmentSequenceBuilder.CreateCalibratedStretchEstimator
  665.                     (strForwardLabelName + "_EFFECTIVE_ANNUAL_FORWARD", aiTenorDate,
  666.                         btns.instantaneousEffectiveForwardRates(), _aSCBCInstantaneousEffectiveForward, null,
  667.                             bs, org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE);

  669.             org.drip.spline.stretch.MultiSegmentSequence mssInstantaneousNominalForwardRate =
  670.                 org.drip.spline.stretch.MultiSegmentSequenceBuilder.CreateCalibratedStretchEstimator
  671.                     (strForwardLabelName + "_NOMINAL_ANNUAL_FORWARD", aiTenorDate,
  672.                         btns.instantaneousNominalForwardRates(), _aSCBCInstantaneousNominalForward, null, bs,
  673.                             org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE);

  675.             return org.drip.dynamics.lmm.BGMCurveUpdate.Create (_lslFunding, _lslForward, iSpotDate,
  676.                 iSpotDate + iSpotTimeIncrement, fcLIBOR, new org.drip.spline.grid.OverlappingStretchSpan
  677.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.CreateCalibratedStretchEstimator
  678.                         (strForwardLabelName + "_INCREMENT", aiTenorDate, btns.liborRateIncrements(),
  679.                             _aSCBCLIBORIncrement, null, bs,
  680.                                 org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE)), dcDiscountFactor,
  681.                                     new org.drip.spline.grid.OverlappingStretchSpan
  682.                                         (mssDiscountFactorIncrement), new
  683.                                             org.drip.spline.grid.OverlappingStretchSpan
  684.                                                 (mssContinuousForwardRateIncrement), new
  685.                                                     org.drip.spline.grid.OverlappingStretchSpan
  686.                                                         (mssSpotRateIncrement), new
  687.                                                             org.drip.spline.grid.OverlappingStretchSpan
  688.                                                                 (mssInstantaneousEffectiveForwardRate), new
  689.                                                                     org.drip.spline.grid.OverlappingStretchSpan
  690.                 (mssInstantaneousNominalForwardRate), bgmPrev.lognormalLIBORVolatility());
  691.         } catch (java.lang.Exception e) {
  692.             e.printStackTrace();
  693.         }

  695.         return null;
  696.     }

  698.     @Override public double[][] simulatePrincipalMetric (
  699.         final int iEvolutionStartDate,
  700.         final int iEvolutionFinishDate,
  701.         final int iEvolutionIncrement,
  702.         final int iViewDate,
  703.         final org.drip.dynamics.evolution.LSQMCurveUpdate lsqmStart,
  704.         final int iNumSimulation)
  705.     {
  706.         if (iEvolutionStartDate > iViewDate || iEvolutionFinishDate <= iEvolutionStartDate ||
  707.             iEvolutionFinishDate > iViewDate || iEvolutionIncrement <= 0. || null == lsqmStart || !(lsqmStart
  708.                 instanceof org.drip.dynamics.lmm.BGMCurveUpdate) || 1 >= iNumSimulation)
  709.             return null;

  711.         org.drip.dynamics.lmm.BGMCurveUpdate bgmMetrics = (org.drip.dynamics.lmm.BGMCurveUpdate) lsqmStart;

  713.         org.drip.dynamics.lmm.LognormalLIBORVolatility llv = bgmMetrics.lognormalLIBORVolatility();

  715.         java.lang.String strForwardLabel = _lslForward.fullyQualifiedName() + "_QM_LIBOR";

  717.         org.drip.state.forward.ForwardCurve fc = bgmMetrics.forwardCurve();

  719.         java.lang.String strForwardTenor = _lslForward.tenor();

  721.         int iNumTimeStep = ((iEvolutionFinishDate - iEvolutionStartDate) / iEvolutionIncrement) + 1;
  722.         double[][] aadblTenorLIBOR = new double[iNumTimeStep][_iNumForwardTenor + 1];
  723.         double dblAnnualizedIncrement = 1. * iEvolutionIncrement / 365.25;
  724.         double dblForwardDCF = java.lang.Double.NaN;

  726.         double dblAnnualizedIncrementSQRT = java.lang.Math.sqrt (dblAnnualizedIncrement);

  728.         org.drip.spline.stretch.BoundarySettings bs =
  729.             org.drip.spline.stretch.BoundarySettings.NaturalStandard();

  731.         try {
  732.             dblForwardDCF = org.drip.analytics.support.Helper.TenorToYearFraction (strForwardTenor);
  733.         } catch (java.lang.Exception e) {
  734.             e.printStackTrace();

  736.             return null;
  737.         }

  739.         for (int i = 0 ; i < iNumTimeStep; ++i) {
  740.             for (int j = 0 ; j <= _iNumForwardTenor; ++j)
  741.                 aadblTenorLIBOR[i][j] = 0.;
  742.         }

  744.         for (int iSimulationIndex = 0; iSimulationIndex < iNumSimulation; ++iSimulationIndex) {
  745.             int iEvolutionTimeIndex = 0;
  746.             org.drip.state.forward.ForwardCurve fcLIBOR = fc;

  748.             for (int iEvolutionDate = iEvolutionStartDate; iEvolutionDate <= iEvolutionFinishDate;
  749.                 iEvolutionDate += iEvolutionIncrement) {
  750.                 org.drip.dynamics.lmm.PathwiseQMRealization pqmr = simulateLIBOR (iEvolutionDate, iViewDate,
  751.                     dblAnnualizedIncrement, dblAnnualizedIncrementSQRT, fcLIBOR, strForwardTenor,
  752.                         dblForwardDCF, llv);

  754.                 if (null == pqmr) return null;

  756.                 double[] adblSimulatedLIBOR = pqmr.realizedQM();

  758.                 try {
  759.                     fcLIBOR = new org.drip.state.curve.BasisSplineForwardRate (_lslForward, new
  760.                         org.drip.spline.grid.OverlappingStretchSpan
  761.                             (org.drip.spline.stretch.MultiSegmentSequenceBuilder.CreateCalibratedStretchEstimator
  762.                         (strForwardLabel + "_QM_LIBOR", pqmr.targetDate(), adblSimulatedLIBOR, _aSCBCLIBOR,
  763.                             null, bs, org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE)));
  764.                 } catch (java.lang.Exception e) {
  765.                     e.printStackTrace();

  767.                     return null;
  768.                 }

  770.                 for (int j = 0 ; j <= _iNumForwardTenor; ++j)
  771.                     aadblTenorLIBOR[iEvolutionTimeIndex][j] += adblSimulatedLIBOR[j];

  773.                 iEvolutionTimeIndex++;
  774.             }
  775.         }

  777.         for (int i = 0 ; i < iNumTimeStep; ++i) {
  778.             for (int j = 0 ; j <= _iNumForwardTenor; ++j)
  779.                 aadblTenorLIBOR[i][j] /= iNumSimulation;
  780.         }

  782.         return aadblTenorLIBOR;
  783.     }

  785.     /**
  786.      * Construct an Array of Forward Curves that Result from the Simulation
  787.      * 
  788.      * @param iEvolutionStartDate The Start Date of the Simulation
  789.      * @param iEvolutionFinishDate The Finish Date of the Simulation
  790.      * @param iEvolutionIncrement The Simulation Evolution Increment
  791.      * @param iViewDate The Forward View Date
  792.      * @param lsqmStart The Initial/Starting LSQM State
  793.      * @param iNumSimulation Number of Simulations
  794.      * 
  795.      * @return The Array of Forward Curves that Result from the Simulation
  796.      */

  798.     public org.drip.state.forward.ForwardCurve[] simulateTerminalLatentState (
  799.         final int iEvolutionStartDate,
  800.         final int iEvolutionFinishDate,
  801.         final int iEvolutionIncrement,
  802.         final int iViewDate,
  803.         final org.drip.dynamics.evolution.LSQMCurveUpdate lsqmStart,
  804.         final int iNumSimulation)
  805.     {
  806.         if (iEvolutionStartDate > iViewDate || iEvolutionFinishDate <= iEvolutionStartDate ||
  807.             iEvolutionFinishDate > iViewDate || iEvolutionIncrement <= 0. || null == lsqmStart || !(lsqmStart
  808.                 instanceof org.drip.dynamics.lmm.BGMCurveUpdate) || 1 >= iNumSimulation)
  809.             return null;

  811.         org.drip.dynamics.lmm.BGMCurveUpdate bgmMetrics = (org.drip.dynamics.lmm.BGMCurveUpdate) lsqmStart;

  813.         org.drip.dynamics.lmm.LognormalLIBORVolatility llv = bgmMetrics.lognormalLIBORVolatility();

  815.         java.lang.String strForwardLabel = _lslForward.fullyQualifiedName() + "_QM_LIBOR";

  817.         org.drip.state.forward.ForwardCurve fc = bgmMetrics.forwardCurve();

  819.         java.lang.String strForwardTenor = _lslForward.tenor();

  821.         org.drip.state.forward.ForwardCurve[] aFCLIBOR = new
  822.             org.drip.state.forward.ForwardCurve[iNumSimulation];
  823.         double dblAnnualizedIncrement = 1. * iEvolutionIncrement / 365.25;
  824.         double dblForwardDCF = java.lang.Double.NaN;

  826.         double dblAnnualizedIncrementSQRT = java.lang.Math.sqrt (dblAnnualizedIncrement);

  828.         org.drip.spline.stretch.BoundarySettings bs =
  829.             org.drip.spline.stretch.BoundarySettings.NaturalStandard();

  831.         try {
  832.             dblForwardDCF = org.drip.analytics.support.Helper.TenorToYearFraction (strForwardTenor);
  833.         } catch (java.lang.Exception e) {
  834.             e.printStackTrace();

  836.             return null;
  837.         }

  839.         for (int iSimulationIndex = 0; iSimulationIndex < iNumSimulation; ++iSimulationIndex) {
  840.             System.out.println ("\t\tSimulation #" + (iSimulationIndex + 1));

  842.             org.drip.state.forward.ForwardCurve fcLIBOR = fc;

  844.             for (int iEvolutionDate = iEvolutionStartDate; iEvolutionDate <= iEvolutionFinishDate;
  845.                 iEvolutionDate += iEvolutionIncrement) {
  846.                 org.drip.dynamics.lmm.PathwiseQMRealization pqmr = simulateLIBOR (iEvolutionDate, iViewDate,
  847.                     dblAnnualizedIncrement, dblAnnualizedIncrementSQRT, fcLIBOR, strForwardTenor,
  848.                         dblForwardDCF, llv);

  850.                 if (null == pqmr) return null;

  852.                 try {
  853.                     fcLIBOR = new org.drip.state.curve.BasisSplineForwardRate (_lslForward, new
  854.                         org.drip.spline.grid.OverlappingStretchSpan
  855.                             (org.drip.spline.stretch.MultiSegmentSequenceBuilder.CreateCalibratedStretchEstimator
  856.                         (strForwardLabel + "_QM_LIBOR", pqmr.targetDate(), pqmr.realizedQM(), _aSCBCLIBOR,
  857.                             null, bs, org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE)));
  858.                 } catch (java.lang.Exception e) {
  859.                     e.printStackTrace();

  861.                     return null;
  862.                 }
  863.             }

  865.             aFCLIBOR[iSimulationIndex] = fcLIBOR;
  866.         }

  868.         return aFCLIBOR;
  869.     }
  870. }
Created with JaCoCo 0.7.9.201702052155