CreditCDSIndexMarksReconstitutor.java

package org.drip.feed.transformer;

/*
 * -*- 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>CreditCDSIndexMarksReconstitutor</i> transforms the Credit CDS Index Closes - Feed Inputs into Formats
 * suitable for Valuation Metrics and Sensitivities Generation.
 *
 *  <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/transformer/README.md">Market Data Reconstitutive Feed Transformer</a></li>
 *  </ul>
 * 
 * @author Lakshmi Krishnamurthy
 */

public class CreditCDSIndexMarksReconstitutor {

    private static final double[] FundingFixingMarksIndex (
        final org.drip.feed.loader.CSVGrid csvGridFundingFixingMarks,
        final org.drip.analytics.date.JulianDate[] adtFundingFixingSpot,
        final org.drip.analytics.date.JulianDate dtCreditIndexSpot)
    {
        int iNumFundingFixingSpot = adtFundingFixingSpot.length;
        int iNumFundingFixingMaturityTenor =
            org.drip.feed.transformer.FundingFixFloatMarksReconstitutor.s_astrFixFloatTenor.length;

        for (int i = 0; i < iNumFundingFixingSpot; ++i) {
            if (dtCreditIndexSpot.julian() == adtFundingFixingSpot[i].julian()) {
                double[] adblFundingFixingFixFloatQuote = new double[iNumFundingFixingMaturityTenor];

                for (int j = 0; j < iNumFundingFixingMaturityTenor; ++j)
                    adblFundingFixingFixFloatQuote[j] = csvGridFundingFixingMarks.doubleArrayAtColumn
                        (j + 1)[i];

                return adblFundingFixingFixFloatQuote;
            }
        }

        return null;
    }

    /**
     * Regularize the Credit Index Feed Marks
     * 
     * @param strFundingFixingMarksLocation The Funding Fixing Marks Location
     * @param strCreditIndexMarksLocation The Credit Index Marks Location
     * @param strIndexFullName Full Name of the Index
     * @param iSpotDateIndex Spot Date Column Index
     * @param iQuotedSpreadIndex Quoted Spread Column Index
     * 
     * @return TRUE - The Regularization is Successful
     */

    public static final boolean RegularizeCloses (
        final java.lang.String strFundingFixingMarksLocation,
        final java.lang.String strCreditIndexMarksLocation,
        final java.lang.String strIndexFullName,
        final int iSpotDateIndex,
        final int iQuotedSpreadIndex)
    {
        org.drip.feed.loader.CSVGrid csvGridFundingFixingMarks = org.drip.feed.loader.CSVParser.StringGrid
            (strFundingFixingMarksLocation, true);

        if (null == csvGridFundingFixingMarks) return false;

        org.drip.analytics.date.JulianDate[] adtFundingFixingMarksSpot =
            csvGridFundingFixingMarks.dateArrayAtColumn (0);

        if (null == adtFundingFixingMarksSpot || 0 == adtFundingFixingMarksSpot.length) return false;

        org.drip.feed.loader.CSVGrid csvGridCreditIndexMarks = org.drip.feed.loader.CSVParser.StringGrid
            (strCreditIndexMarksLocation, true);

        if (null == csvGridCreditIndexMarks) return false;

        org.drip.analytics.date.JulianDate[] adtCreditIndexMarksSpot =
            csvGridCreditIndexMarks.dateArrayAtColumn (iSpotDateIndex);

        if (null == adtCreditIndexMarksSpot) return false;

        int iNumClose = adtCreditIndexMarksSpot.length;
        int iNumFundingFixingMaturityTenor =
            org.drip.feed.transformer.FundingFixFloatMarksReconstitutor.s_astrFixFloatTenor.length;

        if (0 == iNumClose) return false;

        double[] adblQuotedSpread = csvGridCreditIndexMarks.doubleArrayAtColumn (iQuotedSpreadIndex);

        if (null == adblQuotedSpread || iNumClose != adblQuotedSpread.length) return false;

        java.lang.String strDump = "CloseDate";

        for (int j = 0; j < iNumFundingFixingMaturityTenor; ++j)
            strDump += "," +
                org.drip.feed.transformer.FundingFixFloatMarksReconstitutor.s_astrFixFloatTenor[j];

        System.out.println (strDump + ",CreditIndexName,QuotedSpread");

        for (int i = 0; i < iNumClose; ++i) {
            double[] adblFundingFixingFixFloatQuote = FundingFixingMarksIndex (csvGridFundingFixingMarks,
                adtFundingFixingMarksSpot, adtCreditIndexMarksSpot[i]);

            if (null == adblFundingFixingFixFloatQuote) continue;

            strDump = "";

            for (int j = 0; j < iNumFundingFixingMaturityTenor; ++j)
                strDump += "," + adblFundingFixingFixFloatQuote[j];

            System.out.println (adtCreditIndexMarksSpot[i] + strDump + "," + strIndexFullName + "," + (0.0001
                * adblQuotedSpread[i]));
        }

        return true;
    }
}