TreasuryBondPnLAttributor.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>TreasuryBondPnLAttributor</i> generates the Date Valuation and Position Change PnL Explain Attributions
 * for the Specified Treasury Bond.
 *
 *  <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 TreasuryBondPnLAttributor {

    /**
     * Generate the Explain Components for the specified Treasury Bond
     * 
     * @param strMaturityTenor Treasury Bond Maturity Tenor
     * @param strCode Treasury Bond Code
     * @param iHorizonGap The Valuation Horizon Gap
     * @param strFeedTranformLocation The Closing Funding Curve Quotes Location
     * @param astrGovvieTreasuryTenor The Govvie Curve Treasury Bond Maturity Tenors
     * @param aiGovvieTreasuryColumn The Govvie Curve Treasury Bond 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 strMaturityTenor,
            final java.lang.String strCode,
            final int iHorizonGap,
            final java.lang.String strFeedTranformLocation,
            final java.lang.String[] astrGovvieTreasuryTenor,
            final int[] aiGovvieTreasuryColumn,
            final java.lang.String[] astrRollDownHorizonTenor)
    {
        if (null == astrGovvieTreasuryTenor || null == aiGovvieTreasuryColumn) return null;

        int iNumGovvieTreasury = astrGovvieTreasuryTenor.length;
        double[][] aadblGovvieTreasuryClose = new double[iNumGovvieTreasury][];

        if (0 == iNumGovvieTreasury || iNumGovvieTreasury != aiGovvieTreasuryColumn.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[][] aadblGovvieTreasuryQuote = new double[iNumClose][iNumGovvieTreasury];
        org.drip.analytics.date.JulianDate[] adtSpot = new org.drip.analytics.date.JulianDate[iNumClose];

        for (int i = 0; i < iNumGovvieTreasury; ++i)
            aadblGovvieTreasuryClose[i] = csvGrid.doubleArrayAtColumn (aiGovvieTreasuryColumn[i]);

        for (int i = 0; i < iNumClose; ++i) {
            adtSpot[i] = adtClose[i];

            for (int j = 0; j < iNumGovvieTreasury; ++j)
                aadblGovvieTreasuryQuote[i][j] = aadblGovvieTreasuryClose[j][i];
        }

        return org.drip.service.product.TreasuryAPI.HorizonChangeAttribution (adtSpot, iHorizonGap,
            astrGovvieTreasuryTenor, aadblGovvieTreasuryQuote, strMaturityTenor, strCode,
                astrRollDownHorizonTenor,
                    org.drip.service.template.LatentMarketStateBuilder.SHAPE_PRESERVING);
    }

    /**
     * Generate the Tenor Horizon Explain Components
     * 
     * @param astrMaturityTenor Array of Treasury Bond Maturity Tenors
     * @param strCode Treasury Bond Code
     * @param aiHorizonGap Array of the Valuation Horizon Gaps
     * @param strFeedTranformLocation The Closing Funding Curve Quotes Location
     * @param astrGovvieTreasuryTenor The Govvie Curve Treasury Bond Maturity Tenors
     * @param aiGovvieTreasuryColumn The Govvie Curve Treasury Bond Maturity Columns
     * @param astrRollDownHorizonTenor Array of the Roll Down Horizon Tenors
     * 
     * @return TRUE - The Treasury Bond Tenor Explain Components Successfully generated
     */

    public static final boolean TenorHorizonExplainComponents (
        final java.lang.String[] astrMaturityTenor,
        final java.lang.String strCode,
        final int[] aiHorizonGap,
        final java.lang.String strFeedTranformLocation,
        final java.lang.String[] astrGovvieTreasuryTenor,
        final int[] aiGovvieTreasuryColumn,
        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.TreasuryBondPnLAttributor.TenorHorizonExplainComponents
                        (strMaturityTenor, strCode, iHorizonGap, strFeedTranformLocation,
                            astrGovvieTreasuryTenor, aiGovvieTreasuryColumn, 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;
    }
}