ForwardRateUpdate.java
package org.drip.dynamics.sabr;
/*
* -*- 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>ForwardRateUpdate</i> contains the Increment and Snapshot of the Forward Rate Latent State evolved
* through the SABR Dynamics.
*
* <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/sabr/README.md">SABR Based Latent State Evolution</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class ForwardRateUpdate extends org.drip.dynamics.evolution.LSQMPointUpdate {
private org.drip.state.identifier.ForwardLabel _lslForward = null;
/**
* ForwardRateUpdate Creator
*
* @param lslForward The Forward Rate Latent State Label
* @param iInitialDate The Initial Date
* @param iFinalDate The Final Date
* @param iTargetPointDate The Target Point Date
* @param dblForwardRate The Forward Rate
* @param dblForwardRateIncrement The Forward Rate Increment
* @param dblForwardRateVolatility The Forward Volatility
* @param dblForwardRateVolatilityIncrement The Forward Volatility Rate
*
* @return Instance of ForwardRateUpdate
*/
public static final ForwardRateUpdate Create (
final org.drip.state.identifier.ForwardLabel lslForward,
final int iInitialDate,
final int iFinalDate,
final int iTargetPointDate,
final double dblForwardRate,
final double dblForwardRateIncrement,
final double dblForwardRateVolatility,
final double dblForwardRateVolatilityIncrement)
{
org.drip.dynamics.evolution.LSQMPointRecord lrSnapshot = new
org.drip.dynamics.evolution.LSQMPointRecord();
if (!lrSnapshot.setQM (lslForward,
org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_FORWARD_RATE, dblForwardRate))
return null;
if (!lrSnapshot.setQM (org.drip.state.identifier.VolatilityLabel.Standard (lslForward),
org.drip.analytics.definition.LatentStateStatic.VOLATILITY_QM_SABR_VOLATILITY,
dblForwardRateVolatility))
return null;
org.drip.dynamics.evolution.LSQMPointRecord lrIncrement = new
org.drip.dynamics.evolution.LSQMPointRecord();
if (!lrIncrement.setQM (lslForward,
org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_FORWARD_RATE,
dblForwardRateIncrement))
return null;
if (!lrIncrement.setQM (org.drip.state.identifier.VolatilityLabel.Standard (lslForward),
org.drip.analytics.definition.LatentStateStatic.VOLATILITY_QM_SABR_VOLATILITY,
dblForwardRateVolatilityIncrement))
return null;
try {
return new ForwardRateUpdate (lslForward, iInitialDate, iFinalDate, iTargetPointDate, lrSnapshot,
lrIncrement);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
private ForwardRateUpdate (
final org.drip.state.identifier.ForwardLabel lslForward,
final int iInitialDate,
final int iFinalDate,
final int iViewDate,
final org.drip.dynamics.evolution.LSQMPointRecord lrSnapshot,
final org.drip.dynamics.evolution.LSQMPointRecord lrIncrement)
throws java.lang.Exception
{
super (iInitialDate, iFinalDate, iViewDate, lrSnapshot, lrIncrement);
if (null == (_lslForward = lslForward))
throw new java.lang.Exception ("ForwardRateUpdate ctr: Invalid Inputs");
}
/**
* Retrieve the Forward Rate
*
* @return The Forward Rate
*
* @throws java.lang.Exception Thrown if the Forward Rate is not available
*/
public double forwardRate()
throws java.lang.Exception
{
return snapshot().qm (_lslForward,
org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_FORWARD_RATE);
}
/**
* Retrieve the Forward Rate Increment
*
* @return The Forward Rate Increment
*
* @throws java.lang.Exception Thrown if the Forward Rate Increment is not available
*/
public double forwardRateIncrement()
throws java.lang.Exception
{
return increment().qm (_lslForward,
org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_FORWARD_RATE);
}
/**
* Retrieve the Forward Rate Volatility
*
* @return The Forward Rate Volatility
*
* @throws java.lang.Exception Thrown if the Forward Rate Volatility is not available
*/
public double forwardRateVolatility()
throws java.lang.Exception
{
return snapshot().qm (org.drip.state.identifier.VolatilityLabel.Standard (_lslForward),
org.drip.analytics.definition.LatentStateStatic.VOLATILITY_QM_SABR_VOLATILITY);
}
/**
* Retrieve the Forward Rate Volatility Increment
*
* @return The Forward Rate Volatility Increment
*
* @throws java.lang.Exception Thrown if the Forward Rate Volatility Increment is not available
*/
public double forwardRateVolatilityIncrement()
throws java.lang.Exception
{
return increment().qm (org.drip.state.identifier.VolatilityLabel.Standard (_lslForward),
org.drip.analytics.definition.LatentStateStatic.VOLATILITY_QM_SABR_VOLATILITY);
}
}