GovvieTreasuryMarksReconstitutor.java

  1. package org.drip.feed.transformer;

  3. /*
  4.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  5.  */

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  11.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  12.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  13.  * 
  14.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  15.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  16.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  17.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  18.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  19.  *      and computational support.
  20.  *  
  21.  *      https://lakshmidrip.github.io/DROP/
  22.  *  
  23.  *  DROP is composed of three modules:
  24.  *  
  25.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  26.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  27.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  28.  * 
  29.  *  DROP Product Core implements libraries for the following:
  30.  *  - Fixed Income Analytics
  31.  *  - Loan Analytics
  32.  *  - Transaction Cost Analytics
  33.  * 
  34.  *  DROP Portfolio Core implements libraries for the following:
  35.  *  - Asset Allocation Analytics
  36.  *  - Asset Liability Management Analytics
  37.  *  - Capital Estimation Analytics
  38.  *  - Exposure Analytics
  39.  *  - Margin Analytics
  40.  *  - XVA Analytics
  41.  * 
  42.  *  DROP Computational Core implements libraries for the following:
  43.  *  - Algorithm Support
  44.  *  - Computation Support
  45.  *  - Function Analysis
  46.  *  - Model Validation
  47.  *  - Numerical Analysis
  48.  *  - Numerical Optimizer
  49.  *  - Spline Builder
  50.  *  - Statistical Learning
  51.  * 
  52.  *  Documentation for DROP is Spread Over:
  53.  * 
  54.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  55.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  56.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  57.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  58.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  59.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  60.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  61.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  62.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  63.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  64.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  65.  * 
  66.  *  Licensed under the Apache License, Version 2.0 (the "License");
  67.  *      you may not use this file except in compliance with the License.
  68.  *   
  69.  *  You may obtain a copy of the License at
  70.  *      http://www.apache.org/licenses/LICENSE-2.0
  71.  *  
  72.  *  Unless required by applicable law or agreed to in writing, software
  73.  *      distributed under the License is distributed on an "AS IS" BASIS,
  74.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  75.  *  
  76.  *  See the License for the specific language governing permissions and
  77.  *      limitations under the License.
  78.  */

  80. /**
  81.  * <i>GovvieTreasuryMarksReconstitutor</i> transforms the Treasury Marks (e.g., Yield) Feed Inputs into
  82.  * Formats appropriate for Govvie Curve Construction and Measure Generation.
  83.  *
  84.  *  <br><br>
  85.  *  <ul>
  86.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  87.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationSupportLibrary.md">Computation Support</a></li>
  88.  *      <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>
  89.  *      <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>
  90.  *  </ul>
  91.  * 
  92.  * @author Lakshmi Krishnamurthy
  93.  */

  95. public class GovvieTreasuryMarksReconstitutor {

  97.     /**
  98.      * The Standard Treasury Input Calibration Manifest Measure
  99.      */

  101.     public static final java.lang.String s_strCalibrationMeasure = "Yield";

  103.     /**
  104.      * The Standard Treasury Input Calibration Manifest Measure Scaler
  105.      */

  107.     public static final double s_dblScaler = 0.01;

  109.     /**
  110.      * The Standard Treasury Market Yield Re-constitution Benchmark Tenors
  111.      */

  113.     public static final java.lang.String[] s_astrOutputBenchmarkTenor = new java.lang.String[] {
  114.         "2Y", "3Y", "4Y", "5Y", "7Y", "10Y", "20Y", "30Y"
  115.     };

  117.     /**
  118.      * Re-constitute the Horizon Benchmark Marks
  119.      * 
  120.      * @param strTreasuryType The Treasury Type
  121.      * @param mapClosingMarks Map of the Dates Closing Marks
  122.      * @param strManifestMeasure The Govvie Curve Calibration Manifest Measure
  123.      * @param astrOutputBenchmarkTenor Tenors of the Output Benchmark Desired
  124.      * 
  125.      * @return The Transformed Horizon Benchmark Yield
  126.      */

  128.     public static final boolean RegularizeBenchmarkMarks (
  129.         final java.lang.String strTreasuryType,
  130.         final java.util.Map<org.drip.analytics.date.JulianDate, java.util.Map<java.lang.Double,
  131.             java.lang.Double>> mapClosingMarks,
  132.         final java.lang.String strManifestMeasure,
  133.         final java.lang.String[] astrOutputBenchmarkTenor)
  134.     {
  135.         if (null == mapClosingMarks || 0 == mapClosingMarks.size() || null == astrOutputBenchmarkTenor)
  136.             return false;

  138.         java.lang.String strHeader = "Date";
  139.         int iNumOutputBenchmark = astrOutputBenchmarkTenor.length;

  141.         if (0 == iNumOutputBenchmark) return false;

  143.         for (int i = 0; i < iNumOutputBenchmark; ++i)
  144.             strHeader += "," + astrOutputBenchmarkTenor[i];

  146.         for (int i = 0; i < iNumOutputBenchmark; ++i)
  147.             strHeader += ",<<INPUT::" + astrOutputBenchmarkTenor[i] + ">>";

  149.         System.out.println (strHeader);

  151.         for (java.util.Map.Entry<org.drip.analytics.date.JulianDate, java.util.Map<java.lang.Double,
  152.             java.lang.Double>> meClosingMarks : mapClosingMarks.entrySet()) {
  153.             org.drip.analytics.date.JulianDate dtSpot = meClosingMarks.getKey();

  155.             java.util.Map<java.lang.Double, java.lang.Double> mapKeyMarks = meClosingMarks.getValue();

  157.             int iNumInputBenchmark = mapKeyMarks.size();

  159.             int i = 0;
  160.             double[] adblInputTreasuryYield = new double[iNumInputBenchmark];
  161.             org.drip.analytics.date.JulianDate[] adtInputTreasuryMaturity = new
  162.                 org.drip.analytics.date.JulianDate[iNumInputBenchmark];
  163.             org.drip.analytics.date.JulianDate[] adtInputTreasuryEffective = new
  164.                 org.drip.analytics.date.JulianDate[iNumInputBenchmark];
  165.             org.drip.product.credit.BondComponent[] aInputBenchmarkTreasury = new
  166.                 org.drip.product.credit.BondComponent[iNumInputBenchmark];
  167.             org.drip.product.credit.BondComponent[] aOutputBenchmarkTreasury = new
  168.                 org.drip.product.credit.BondComponent[iNumOutputBenchmark];

  170.             for (java.util.Map.Entry<java.lang.Double, java.lang.Double> meKeyMarks : mapKeyMarks.entrySet())
  171.             {
  172.                 double dblYear = meKeyMarks.getKey();

  174.                 if (null == (aInputBenchmarkTreasury[i] = org.drip.service.template.TreasuryBuilder.FromCode
  175.                     (strTreasuryType, adtInputTreasuryEffective[i] = dtSpot, adtInputTreasuryMaturity[i] =
  176.                         dtSpot.addYears ((int) dblYear), adblInputTreasuryYield[i] = meKeyMarks.getValue())))
  177.                     return false;

  179.                 ++i;
  180.             }

  182.             for (int j = 0; j < iNumOutputBenchmark; ++j) {
  183.                 if (null == (aOutputBenchmarkTreasury[j] = org.drip.service.template.TreasuryBuilder.FromCode
  184.                     (strTreasuryType, dtSpot, dtSpot.addTenor (astrOutputBenchmarkTenor[j]), 0.01)))
  185.                     return false;
  186.             }

  188.             org.drip.state.govvie.GovvieCurve gc =
  189.                 org.drip.service.template.LatentMarketStateBuilder.ShapePreservingGovvieCurve
  190.                     (strTreasuryType, dtSpot, adtInputTreasuryEffective, adtInputTreasuryMaturity,
  191.                         adblInputTreasuryYield, adblInputTreasuryYield, strManifestMeasure);

  193.             java.lang.String strCleansedInput = "" + dtSpot;

  195.             org.drip.param.valuation.ValuationParams valParamsSpot =
  196.                 org.drip.param.valuation.ValuationParams.Spot (dtSpot.julian());

  198.             for (int j = 0; j < iNumOutputBenchmark; ++j) {
  199.                 try {
  200.                     strCleansedInput += "," + org.drip.numerical.common.FormatUtil.FormatDouble
  201.                         (aOutputBenchmarkTreasury[j].yieldFromPrice (valParamsSpot, null, null,
  202.                             aOutputBenchmarkTreasury[j].priceFromYield (valParamsSpot, null, null, gc.yield
  203.                                 (aOutputBenchmarkTreasury[j].maturityDate()))), 1, 6, 1.);
  204.                 } catch (java.lang.Exception e) {
  205.                     // e.printStackTrace();

  207.                     continue;
  208.                 }
  209.             }

  211.             for (int j = 0; j < iNumInputBenchmark; ++j)
  212.                 strCleansedInput += "," + org.drip.numerical.common.FormatUtil.FormatDouble
  213.                     (adblInputTreasuryYield[j], 1, 6, 1.);

  215.             System.out.println (strCleansedInput);
  216.         }

  218.         return true;
  219.     }

  221.     /**
  222.      * Re-constitute the Horizon Benchmark Marks
  223.      * 
  224.      * @param strTreasuryType The Treasury Type
  225.      * @param mapClosingMarks Map of the Dates Closing Marks
  226.      * 
  227.      * @return The Transformed Horizon Benchmark Yield
  228.      */

  230.     public static final boolean RegularizeBenchmarkMarks (
  231.         final java.lang.String strTreasuryType,
  232.         final java.util.Map<org.drip.analytics.date.JulianDate, java.util.Map<java.lang.Double,
  233.             java.lang.Double>> mapClosingMarks)
  234.     {
  235.         return RegularizeBenchmarkMarks (strTreasuryType, mapClosingMarks, s_strCalibrationMeasure,
  236.             s_astrOutputBenchmarkTenor);
  237.     }

  239.     /**
  240.      * Re-constitute the Horizon Benchmark Marks
  241.      * 
  242.      * @param strMarksLocation The Location of the CSV Marks File
  243.      * @param strTreasuryType The Treasury Type
  244.      * 
  245.      * @return The Transformed Horizon Benchmark Yield
  246.      */

  248.     public static final boolean RegularizeBenchmarkMarks (
  249.         final java.lang.String strMarksLocation,
  250.         final java.lang.String strTreasuryType)
  251.     {
  252.         org.drip.feed.loader.CSVGrid csvGrid = org.drip.feed.loader.CSVParser.StringGrid (strMarksLocation,
  253.             false);

  255.         return null == csvGrid ? false : RegularizeBenchmarkMarks (strTreasuryType, csvGrid.doubleMap
  256.             (s_dblScaler), s_strCalibrationMeasure, s_astrOutputBenchmarkTenor);
  257.     }
  258. }
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