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;
}
}