ForwardRateUpdate.java

  1. package org.drip.dynamics.sabr;

  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>ForwardRateUpdate</i> contains the Increment and Snapshot of the Forward Rate Latent State evolved
  83.  * through the SABR 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/sabr/README.md">SABR Based Latent State Evolution</a></li>
  91.  *  </ul>
  92.  *
  93.  * @author Lakshmi Krishnamurthy
  94.  */

  96. public class ForwardRateUpdate extends org.drip.dynamics.evolution.LSQMPointUpdate {
  97.     private org.drip.state.identifier.ForwardLabel _lslForward = null;

  99.     /**
  100.      * ForwardRateUpdate Creator
  101.      * 
  102.      * @param lslForward The Forward Rate Latent State Label
  103.      * @param iInitialDate The Initial Date
  104.      * @param iFinalDate The Final Date
  105.      * @param iTargetPointDate The Target Point Date
  106.      * @param dblForwardRate The Forward Rate
  107.      * @param dblForwardRateIncrement The Forward Rate Increment
  108.      * @param dblForwardRateVolatility The Forward Volatility 
  109.      * @param dblForwardRateVolatilityIncrement The Forward Volatility Rate
  110.      * 
  111.      * @return Instance of ForwardRateUpdate
  112.      */

  114.     public static final ForwardRateUpdate Create (
  115.         final org.drip.state.identifier.ForwardLabel lslForward,
  116.         final int iInitialDate,
  117.         final int iFinalDate,
  118.         final int iTargetPointDate,
  119.         final double dblForwardRate,
  120.         final double dblForwardRateIncrement,
  121.         final double dblForwardRateVolatility,
  122.         final double dblForwardRateVolatilityIncrement)
  123.     {
  124.         org.drip.dynamics.evolution.LSQMPointRecord lrSnapshot = new
  125.             org.drip.dynamics.evolution.LSQMPointRecord();

  127.         if (!lrSnapshot.setQM (lslForward,
  128.             org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_FORWARD_RATE, dblForwardRate))
  129.             return null;

  131.         if (!lrSnapshot.setQM (org.drip.state.identifier.VolatilityLabel.Standard (lslForward),
  132.             org.drip.analytics.definition.LatentStateStatic.VOLATILITY_QM_SABR_VOLATILITY,
  133.                 dblForwardRateVolatility))
  134.             return null;

  136.         org.drip.dynamics.evolution.LSQMPointRecord lrIncrement = new
  137.             org.drip.dynamics.evolution.LSQMPointRecord();

  139.         if (!lrIncrement.setQM (lslForward,
  140.             org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_FORWARD_RATE,
  141.                 dblForwardRateIncrement))
  142.             return null;

  144.         if (!lrIncrement.setQM (org.drip.state.identifier.VolatilityLabel.Standard (lslForward),
  145.             org.drip.analytics.definition.LatentStateStatic.VOLATILITY_QM_SABR_VOLATILITY,
  146.                 dblForwardRateVolatilityIncrement))
  147.             return null;

  149.         try {
  150.             return new ForwardRateUpdate (lslForward, iInitialDate, iFinalDate, iTargetPointDate, lrSnapshot,
  151.                 lrIncrement);
  152.         } catch (java.lang.Exception e) {
  153.             e.printStackTrace();
  154.         }

  156.         return null;
  157.     }

  159.     private ForwardRateUpdate (
  160.         final org.drip.state.identifier.ForwardLabel lslForward,
  161.         final int iInitialDate,
  162.         final int iFinalDate,
  163.         final int iViewDate,
  164.         final org.drip.dynamics.evolution.LSQMPointRecord lrSnapshot,
  165.         final org.drip.dynamics.evolution.LSQMPointRecord lrIncrement)
  166.         throws java.lang.Exception
  167.     {
  168.         super (iInitialDate, iFinalDate, iViewDate, lrSnapshot, lrIncrement);

  170.         if (null == (_lslForward = lslForward))
  171.             throw new java.lang.Exception ("ForwardRateUpdate ctr: Invalid Inputs");
  172.     }

  174.     /**
  175.      * Retrieve the Forward Rate
  176.      * 
  177.      * @return The Forward Rate
  178.      * 
  179.      * @throws java.lang.Exception Thrown if the Forward Rate is not available
  180.      */

  182.     public double forwardRate()
  183.         throws java.lang.Exception
  184.     {
  185.         return snapshot().qm (_lslForward,
  186.             org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_FORWARD_RATE);
  187.     }

  189.     /**
  190.      * Retrieve the Forward Rate Increment
  191.      * 
  192.      * @return The Forward Rate Increment
  193.      * 
  194.      * @throws java.lang.Exception Thrown if the Forward Rate Increment is not available
  195.      */

  197.     public double forwardRateIncrement()
  198.         throws java.lang.Exception
  199.     {
  200.         return increment().qm (_lslForward,
  201.             org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_FORWARD_RATE);
  202.     }

  204.     /**
  205.      * Retrieve the Forward Rate Volatility
  206.      * 
  207.      * @return The Forward Rate Volatility
  208.      * 
  209.      * @throws java.lang.Exception Thrown if the Forward Rate Volatility is not available
  210.      */

  212.     public double forwardRateVolatility()
  213.         throws java.lang.Exception
  214.     {
  215.         return snapshot().qm (org.drip.state.identifier.VolatilityLabel.Standard (_lslForward),
  216.             org.drip.analytics.definition.LatentStateStatic.VOLATILITY_QM_SABR_VOLATILITY);
  217.     }

  219.     /**
  220.      * Retrieve the Forward Rate Volatility Increment
  221.      * 
  222.      * @return The Forward Rate Volatility Increment
  223.      * 
  224.      * @throws java.lang.Exception Thrown if the Forward Rate Volatility Increment is not available
  225.      */

  227.     public double forwardRateVolatilityIncrement()
  228.         throws java.lang.Exception
  229.     {
  230.         return increment().qm (org.drip.state.identifier.VolatilityLabel.Standard (_lslForward),
  231.             org.drip.analytics.definition.LatentStateStatic.VOLATILITY_QM_SABR_VOLATILITY);
  232.     }
  233. }
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