GovvieTreasuryMarksReconstitutor.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>GovvieTreasuryMarksReconstitutor</i> transforms the Treasury Marks (e.g., Yield) Feed Inputs into
* Formats appropriate for Govvie 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 GovvieTreasuryMarksReconstitutor {
/**
* The Standard Treasury Input Calibration Manifest Measure
*/
public static final java.lang.String s_strCalibrationMeasure = "Yield";
/**
* The Standard Treasury Input Calibration Manifest Measure Scaler
*/
public static final double s_dblScaler = 0.01;
/**
* The Standard Treasury Market Yield Re-constitution Benchmark Tenors
*/
public static final java.lang.String[] s_astrOutputBenchmarkTenor = new java.lang.String[] {
"2Y", "3Y", "4Y", "5Y", "7Y", "10Y", "20Y", "30Y"
};
/**
* Re-constitute the Horizon Benchmark Marks
*
* @param strTreasuryType The Treasury Type
* @param mapClosingMarks Map of the Dates Closing Marks
* @param strManifestMeasure The Govvie Curve Calibration Manifest Measure
* @param astrOutputBenchmarkTenor Tenors of the Output Benchmark Desired
*
* @return The Transformed Horizon Benchmark Yield
*/
public static final boolean RegularizeBenchmarkMarks (
final java.lang.String strTreasuryType,
final java.util.Map<org.drip.analytics.date.JulianDate, java.util.Map<java.lang.Double,
java.lang.Double>> mapClosingMarks,
final java.lang.String strManifestMeasure,
final java.lang.String[] astrOutputBenchmarkTenor)
{
if (null == mapClosingMarks || 0 == mapClosingMarks.size() || null == astrOutputBenchmarkTenor)
return false;
java.lang.String strHeader = "Date";
int iNumOutputBenchmark = astrOutputBenchmarkTenor.length;
if (0 == iNumOutputBenchmark) return false;
for (int i = 0; i < iNumOutputBenchmark; ++i)
strHeader += "," + astrOutputBenchmarkTenor[i];
for (int i = 0; i < iNumOutputBenchmark; ++i)
strHeader += ",<<INPUT::" + astrOutputBenchmarkTenor[i] + ">>";
System.out.println (strHeader);
for (java.util.Map.Entry<org.drip.analytics.date.JulianDate, java.util.Map<java.lang.Double,
java.lang.Double>> meClosingMarks : mapClosingMarks.entrySet()) {
org.drip.analytics.date.JulianDate dtSpot = meClosingMarks.getKey();
java.util.Map<java.lang.Double, java.lang.Double> mapKeyMarks = meClosingMarks.getValue();
int iNumInputBenchmark = mapKeyMarks.size();
int i = 0;
double[] adblInputTreasuryYield = new double[iNumInputBenchmark];
org.drip.analytics.date.JulianDate[] adtInputTreasuryMaturity = new
org.drip.analytics.date.JulianDate[iNumInputBenchmark];
org.drip.analytics.date.JulianDate[] adtInputTreasuryEffective = new
org.drip.analytics.date.JulianDate[iNumInputBenchmark];
org.drip.product.credit.BondComponent[] aInputBenchmarkTreasury = new
org.drip.product.credit.BondComponent[iNumInputBenchmark];
org.drip.product.credit.BondComponent[] aOutputBenchmarkTreasury = new
org.drip.product.credit.BondComponent[iNumOutputBenchmark];
for (java.util.Map.Entry<java.lang.Double, java.lang.Double> meKeyMarks : mapKeyMarks.entrySet())
{
double dblYear = meKeyMarks.getKey();
if (null == (aInputBenchmarkTreasury[i] = org.drip.service.template.TreasuryBuilder.FromCode
(strTreasuryType, adtInputTreasuryEffective[i] = dtSpot, adtInputTreasuryMaturity[i] =
dtSpot.addYears ((int) dblYear), adblInputTreasuryYield[i] = meKeyMarks.getValue())))
return false;
++i;
}
for (int j = 0; j < iNumOutputBenchmark; ++j) {
if (null == (aOutputBenchmarkTreasury[j] = org.drip.service.template.TreasuryBuilder.FromCode
(strTreasuryType, dtSpot, dtSpot.addTenor (astrOutputBenchmarkTenor[j]), 0.01)))
return false;
}
org.drip.state.govvie.GovvieCurve gc =
org.drip.service.template.LatentMarketStateBuilder.ShapePreservingGovvieCurve
(strTreasuryType, dtSpot, adtInputTreasuryEffective, adtInputTreasuryMaturity,
adblInputTreasuryYield, adblInputTreasuryYield, strManifestMeasure);
java.lang.String strCleansedInput = "" + dtSpot;
org.drip.param.valuation.ValuationParams valParamsSpot =
org.drip.param.valuation.ValuationParams.Spot (dtSpot.julian());
for (int j = 0; j < iNumOutputBenchmark; ++j) {
try {
strCleansedInput += "," + org.drip.numerical.common.FormatUtil.FormatDouble
(aOutputBenchmarkTreasury[j].yieldFromPrice (valParamsSpot, null, null,
aOutputBenchmarkTreasury[j].priceFromYield (valParamsSpot, null, null, gc.yield
(aOutputBenchmarkTreasury[j].maturityDate()))), 1, 6, 1.);
} catch (java.lang.Exception e) {
// e.printStackTrace();
continue;
}
}
for (int j = 0; j < iNumInputBenchmark; ++j)
strCleansedInput += "," + org.drip.numerical.common.FormatUtil.FormatDouble
(adblInputTreasuryYield[j], 1, 6, 1.);
System.out.println (strCleansedInput);
}
return true;
}
/**
* Re-constitute the Horizon Benchmark Marks
*
* @param strTreasuryType The Treasury Type
* @param mapClosingMarks Map of the Dates Closing Marks
*
* @return The Transformed Horizon Benchmark Yield
*/
public static final boolean RegularizeBenchmarkMarks (
final java.lang.String strTreasuryType,
final java.util.Map<org.drip.analytics.date.JulianDate, java.util.Map<java.lang.Double,
java.lang.Double>> mapClosingMarks)
{
return RegularizeBenchmarkMarks (strTreasuryType, mapClosingMarks, s_strCalibrationMeasure,
s_astrOutputBenchmarkTenor);
}
/**
* Re-constitute the Horizon Benchmark Marks
*
* @param strMarksLocation The Location of the CSV Marks File
* @param strTreasuryType The Treasury Type
*
* @return The Transformed Horizon Benchmark Yield
*/
public static final boolean RegularizeBenchmarkMarks (
final java.lang.String strMarksLocation,
final java.lang.String strTreasuryType)
{
org.drip.feed.loader.CSVGrid csvGrid = org.drip.feed.loader.CSVParser.StringGrid (strMarksLocation,
false);
return null == csvGrid ? false : RegularizeBenchmarkMarks (strTreasuryType, csvGrid.doubleMap
(s_dblScaler), s_strCalibrationMeasure, s_astrOutputBenchmarkTenor);
}
}