FixFloatPnLAttributor.java
- package org.drip.feed.metric;
- /*
- * -*- 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
- *
- * 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>FixFloatPnLAttributor</i> generates the Date Valuation and Position Change PnL Explain Attributions for
- * the Standard OTC Fix Float Swap.
- *
- * <br><br>
- * <ul>
- * <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
- * <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationSupportLibrary.md">Computation Support</a></li>
- * <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/feed/README.md">Load, Transform, and compute Target Metrics across Feeds</a></li>
- * <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/feed/metric/README.md">Feed Horizon - PnL Explain/Attribution</a></li>
- * </ul>
- *
- * @author Lakshmi Krishnamurthy
- */
- public class FixFloatPnLAttributor {
- /**
- * Generate the Explain Components for the specified Fix Float Product
- *
- * @param strCurrency The Fix-Float Swap Currency
- * @param strMaturityTenor The Fix-Float Swap Maturity Tenor
- * @param iHorizonGap The Valuation Horizon Gap
- * @param strFeedTranformLocation The Closing Funding Curve Quotes Location
- * @param astrFundingDepositTenor The Funding Curve Deposit Instrument Maturity Tenors
- * @param aiFundingDepositColumn The Funding Curve Deposit Instrument Quote Columns
- * @param astrFundingFixFloatTenor The Funding Curve Fix Float Swap Instrument Maturity Tenors
- * @param aiFundingFixFloatColumn The Funding Curve Fix Float Swap Instrument Quote Columns
- * @param astrRollDownHorizonTenor Array of the Roll Down Horizon Tenors
- *
- * @return List of the Position Change Components
- */
- public static final java.util.List<org.drip.historical.attribution.PositionChangeComponents>
- TenorHorizonExplainComponents (
- final java.lang.String strCurrency,
- final java.lang.String strMaturityTenor,
- final int iHorizonGap,
- final java.lang.String strFeedTranformLocation,
- final java.lang.String[] astrFundingDepositTenor,
- final int[] aiFundingDepositColumn,
- final java.lang.String[] astrFundingFixFloatTenor,
- final int[] aiFundingFixFloatColumn,
- final java.lang.String[] astrRollDownHorizonTenor)
- {
- if (null == astrFundingDepositTenor || null == aiFundingDepositColumn || null ==
- astrFundingFixFloatTenor || null == aiFundingFixFloatColumn)
- return null;
- int iNumFundingDeposit = astrFundingDepositTenor.length;
- int iNumFundingFixFloat = astrFundingFixFloatTenor.length;
- double[][] aadblFundingDepositClose = new double[iNumFundingDeposit][];
- double[][] aadblFundingFixFloatClose = new double[iNumFundingFixFloat][];
- if (0 == iNumFundingDeposit || iNumFundingDeposit != aiFundingDepositColumn.length || 0 ==
- iNumFundingFixFloat || iNumFundingFixFloat != aiFundingFixFloatColumn.length)
- return null;
- org.drip.feed.loader.CSVGrid csvGrid = org.drip.feed.loader.CSVParser.StringGrid
- (strFeedTranformLocation, true);
- if (null == csvGrid) return null;
- org.drip.analytics.date.JulianDate[] adtClose = csvGrid.dateArrayAtColumn (0);
- int iNumClose = adtClose.length;
- double[][] aadblFundingDepositQuote = new double[iNumClose][iNumFundingDeposit];
- double[][] aadblFundingFixFloatQuote = new double[iNumClose][iNumFundingFixFloat];
- org.drip.analytics.date.JulianDate[] adtSpot = new org.drip.analytics.date.JulianDate[iNumClose];
- for (int i = 0; i < iNumFundingDeposit; ++i)
- aadblFundingDepositClose[i] = csvGrid.doubleArrayAtColumn (aiFundingDepositColumn[i]);
- for (int i = 0; i < iNumFundingFixFloat; ++i)
- aadblFundingFixFloatClose[i] = csvGrid.doubleArrayAtColumn (aiFundingFixFloatColumn[i]);
- for (int i = 0; i < iNumClose; ++i) {
- adtSpot[i] = adtClose[i];
- for (int j = 0; j < iNumFundingDeposit; ++j)
- aadblFundingDepositQuote[i][j] = aadblFundingDepositClose[j][i];
- for (int j = 0; j < iNumFundingFixFloat; ++j)
- aadblFundingFixFloatQuote[i][j] = aadblFundingFixFloatClose[j][i];
- }
- return org.drip.service.product.FixFloatAPI.HorizonChangeAttribution (adtSpot, iHorizonGap,
- astrFundingDepositTenor, aadblFundingDepositQuote, astrFundingFixFloatTenor,
- aadblFundingFixFloatQuote, strCurrency, strMaturityTenor, astrRollDownHorizonTenor,
- org.drip.service.template.LatentMarketStateBuilder.SHAPE_PRESERVING);
- }
- /**
- * Generate the Tenor Horizon Explain Components
- *
- * @param strCurrency The Fix-Float Swap Currency
- * @param astrMaturityTenor Array of Fix-Float Swap Maturity Tenors
- * @param aiHorizonGap Array of the Valuation Horizon Gaps
- * @param strFeedTranformLocation The Closing Funding Curve Quotes Location
- * @param astrFundingDepositTenor The Funding Curve Deposit Instrument Maturity Tenors
- * @param aiFundingDepositColumn The Funding Curve Deposit Instrument Quote Columns
- * @param astrFundingFixFloatTenor The Funding Curve Fix Float Swap Instrument Maturity Tenors
- * @param aiFundingFixFloatColumn The Funding Curve Fix Float Swap Instrument Quote Columns
- * @param astrRollDownHorizonTenor Array of the Roll Down Horizon Tenors
- *
- * @return List of the Position Change Components
- */
- public static final boolean TenorHorizonExplainComponents (
- final java.lang.String strCurrency,
- final java.lang.String[] astrMaturityTenor,
- final int[] aiHorizonGap,
- final java.lang.String strFeedTranformLocation,
- final java.lang.String[] astrFundingDepositTenor,
- final int[] aiFundingDepositColumn,
- final java.lang.String[] astrFundingFixFloatTenor,
- final int[] aiFundingFixFloatColumn,
- final java.lang.String[] astrRollDownHorizonTenor)
- {
- boolean bFirstRun = true;
- for (java.lang.String strMaturityTenor : astrMaturityTenor) {
- for (int iHorizonGap : aiHorizonGap) {
- java.util.List<org.drip.historical.attribution.PositionChangeComponents> lsPCC =
- org.drip.feed.metric.FixFloatPnLAttributor.TenorHorizonExplainComponents (strCurrency,
- strMaturityTenor, iHorizonGap, strFeedTranformLocation, astrFundingDepositTenor,
- aiFundingDepositColumn, astrFundingFixFloatTenor, aiFundingFixFloatColumn,
- astrRollDownHorizonTenor);
- if (null != lsPCC) {
- java.lang.String strHorizonTenor = 1 == iHorizonGap ? "1D" : ((iHorizonGap / 22) + "M");
- for (org.drip.historical.attribution.PositionChangeComponents pcc : lsPCC) {
- if (null != pcc) {
- if (bFirstRun) {
- System.out.println (pcc.header() + "horizontenor,");
- bFirstRun = false;
- }
- System.out.println (pcc.content() + strHorizonTenor + ",");
- }
- }
- }
- }
- }
- return true;
- }
- }