FundingFixFloatMarksReconstitutor.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>FundingFixFloatMarksReconstitutor</i> transforms the Funding Instrument Manifest Measures (e.g.,
* Forward Rate for Deposits, Forward Rate for Futures, and Swap Rates for Fix/Float Swap) Feed Inputs into
* Formats appropriate for Funding Curve Construction and Measure 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 FundingFixFloatMarksReconstitutor {
/**
* The Standard Funding Input Calibration Manifest Measure Scaler
*/
public static final double s_dblScaler = 0.01;
/**
* The Standard Deposit Maturity Tenors
*/
public static final java.lang.String[] s_astrDepositTenor = new java.lang.String[] {"1M", "2M", "3M",
"4M", "5M", "6M"};
/**
* The Standard Fix Float Maturity Tenors
*/
public static final java.lang.String[] s_astrFixFloatTenor = new java.lang.String[] {"1Y", "2Y", "3Y",
"4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "11Y", "12Y", "15Y", "20Y", "25Y", "30Y", "40Y", "50Y"};
/**
* Dump the Regularized Marks of the ISTQ Map
*
* @param strCurrency Currency
* @param mapISTQ The ISTQ Map
* @param iLatentStateType SHAPE PRESERVING/SMOOTH
*
* @return TRUE - The Regularized ISTQ Map Successfully Dumped
*/
public static final boolean RegularizeMarks (
final java.lang.String strCurrency,
final java.util.Map<org.drip.analytics.date.JulianDate, org.drip.feed.loader.InstrumentSetTenorQuote>
mapISTQ,
final int iLatentStateType)
{
if (null == mapISTQ || 0 == mapISTQ.size()) return false;
java.lang.String strHeader = "Date,";
for (java.lang.String strMaturityTenor : s_astrDepositTenor)
strHeader += "DEPOSITPROC:" + strMaturityTenor + ",";
for (java.lang.String strMaturityTenor : s_astrFixFloatTenor)
strHeader += "FIXFLOATPROC:" + strMaturityTenor + ",";
for (java.lang.String strMaturityTenor : s_astrDepositTenor)
strHeader += "<<DEPOSITRAW:" + strMaturityTenor + ">>,";
for (java.lang.String strMaturityTenor : s_astrFixFloatTenor)
strHeader += "<<FIXFLOATRAW:" + strMaturityTenor + ">>,";
System.out.println (strHeader);
for (java.util.Map.Entry<org.drip.analytics.date.JulianDate,
org.drip.feed.loader.InstrumentSetTenorQuote> meISTQ : mapISTQ.entrySet()) {
if (null == meISTQ) continue;
org.drip.analytics.date.JulianDate dtSpot = meISTQ.getKey();
org.drip.feed.loader.InstrumentSetTenorQuote istq = meISTQ.getValue();
if (null == dtSpot || null == istq) continue;
java.lang.String strDump = dtSpot.toString() + ",";
double[] adblDepositQuote = istq.instrumentQuote ("DEPOSIT");
java.lang.String[] astrDepositMaturityTenor = istq.instrumentTenor ("DEPOSIT");
double[] adblFixFloatQuote = istq.instrumentQuote ("FIXFLOAT");
java.lang.String[] astrFixFloatMaturityTenor = istq.instrumentTenor ("FIXFLOAT");
int iNumDepositQuote = null == adblDepositQuote ? 0 : adblDepositQuote.length;
int iNumFixFloatQuote = null == adblFixFloatQuote ? 0 : adblFixFloatQuote.length;
int iNumDepositTenor = null == astrDepositMaturityTenor ? 0 : astrDepositMaturityTenor.length;
int iNumFixFloatTenor = null == astrFixFloatMaturityTenor ? 0 : astrFixFloatMaturityTenor.length;
if (0 == iNumFixFloatQuote || iNumDepositQuote != iNumDepositTenor || iNumFixFloatQuote !=
iNumFixFloatTenor)
continue;
org.drip.state.discount.MergedDiscountForwardCurve dcFunding =
org.drip.service.template.LatentMarketStateBuilder.FundingCurve (dtSpot, strCurrency,
astrDepositMaturityTenor, adblDepositQuote, "ForwardRate", null, "ForwardRate",
astrFixFloatMaturityTenor, adblFixFloatQuote, "SwapRate", iLatentStateType);
org.drip.param.market.CurveSurfaceQuoteContainer csqc = new
org.drip.param.market.CurveSurfaceQuoteContainer();
if (!csqc.setFundingState (dcFunding)) continue;
org.drip.param.valuation.ValuationParams valParams =
org.drip.param.valuation.ValuationParams.Spot (dtSpot.julian());
org.drip.product.rates.SingleStreamComponent[] aSSCDeposit =
org.drip.service.template.OTCInstrumentBuilder.FundingDeposit (dtSpot, strCurrency,
s_astrDepositTenor);
for (org.drip.product.rates.SingleStreamComponent sscDeposit : aSSCDeposit) {
try {
strDump += org.drip.numerical.common.FormatUtil.FormatDouble (sscDeposit.measureValue
(valParams, null, csqc, null, "ForwardRate"), 1, 6, 1.) + ",";
} catch (java.lang.Exception e) {
e.printStackTrace();
continue;
}
}
org.drip.product.rates.FixFloatComponent[] aFixFloat =
org.drip.service.template.OTCInstrumentBuilder.FixFloatStandard (dtSpot, strCurrency, "ALL",
s_astrFixFloatTenor, "MAIN", 0.);
for (org.drip.product.rates.FixFloatComponent ffc : aFixFloat) {
try {
strDump += org.drip.numerical.common.FormatUtil.FormatDouble (ffc.measureValue (valParams,
null, csqc, null, "SwapRate"), 1, 6, 1.) + ",";
} catch (java.lang.Exception e) {
e.printStackTrace();
continue;
}
}
for (int i = 0; i < iNumFixFloatQuote; ++i)
strDump += org.drip.numerical.common.FormatUtil.FormatDouble (adblFixFloatQuote[i], 1, 6, 1.) +
",";
System.out.println (strDump);
}
return true;
}
/**
* Re-constitute the Horizon Quote Marks Using a Shape Preserving Re-constructor
*
* @param strCurrency Currency
* @param strMarksLocation The Location of the CSV Marks File
*
* @return The Transformed Horizon Quote Marks
*/
public static final boolean ShapePreservingRegularization (
final java.lang.String strCurrency,
final java.lang.String strMarksLocation)
{
org.drip.feed.loader.CSVGrid csvGrid = org.drip.feed.loader.CSVParser.StringGrid (strMarksLocation,
false);
return null == csvGrid ? false : RegularizeMarks (strCurrency, csvGrid.groupedOrderedDouble
(s_dblScaler), org.drip.service.template.LatentMarketStateBuilder.SHAPE_PRESERVING);
}
/**
* Re-constitute the Horizon Quote Marks Using a Smooth Re-constructor
*
* @param strCurrency Currency
* @param strMarksLocation The Location of the CSV Marks File
*
* @return The Transformed Horizon Quote Marks
*/
public static final boolean SmoothRegularization (
final java.lang.String strCurrency,
final java.lang.String strMarksLocation)
{
org.drip.feed.loader.CSVGrid csvGrid = org.drip.feed.loader.CSVParser.StringGrid (strMarksLocation,
false);
return null == csvGrid ? false : RegularizeMarks (strCurrency, csvGrid.groupedOrderedDouble
(s_dblScaler), org.drip.service.template.LatentMarketStateBuilder.SMOOTH);
}
}