FixFloatExplainProcessor.java

  1. package org.drip.historical.engine;

  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>FixFloatExplainProcessor</i> contains the Functionality associated with the Horizon Analysis of the Fix
  82.  * Float Swap.
  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/historical/README.md">Historical State Processing Utilities</a></li>
  89.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/historical/engine/README.md">Product Horizon Change Explain Engine</a></li>
  90.  *  </ul>
  91.  * 
  92.  * @author Lakshmi Krishnamurthy
  93.  */

  95. public class FixFloatExplainProcessor extends org.drip.historical.engine.HorizonChangeExplainProcessor {

  97.     /**
  98.      * FixFloatExplainProcessor Constructor
  99.      * 
  100.      * @param ffc The Fix Float Component
  101.      * @param iSettleLag The Component's Settle Lag
  102.      * @param strMarketMeasureName The Market Measure Name
  103.      * @param dblMarketMeasureValue The Market Measure Value
  104.      * @param dtFirst First Date
  105.      * @param dtSecond Second Date
  106.      * @param csqcFirst First Market Parameters
  107.      * @param csqcSecond Second Market Parameters
  108.      * @param mapCSQCRollDown Map of the Roll Down Market Parameters
  109.      * 
  110.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  111.      */

  113.     public FixFloatExplainProcessor (
  114.         final org.drip.product.rates.FixFloatComponent ffc,
  115.         final int iSettleLag,
  116.         final java.lang.String strMarketMeasureName,
  117.         final double dblMarketMeasureValue,
  118.         final org.drip.analytics.date.JulianDate dtFirst,
  119.         final org.drip.analytics.date.JulianDate dtSecond,
  120.         final org.drip.param.market.CurveSurfaceQuoteContainer csqcFirst,
  121.         final org.drip.param.market.CurveSurfaceQuoteContainer csqcSecond,
  122.         final
  123.             org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.param.market.CurveSurfaceQuoteContainer>
  124.             mapCSQCRollDown)
  125.         throws java.lang.Exception
  126.     {
  127.         super (ffc, iSettleLag, strMarketMeasureName, dblMarketMeasureValue, dtFirst, dtSecond, csqcFirst,
  128.             csqcSecond, mapCSQCRollDown);
  129.     }

  131.     @Override public org.drip.historical.attribution.PositionMarketSnap snapFirstMarketValue()
  132.     {
  133.         org.drip.analytics.date.JulianDate dtFirst = firstDate();

  135.         org.drip.product.rates.FixFloatComponent ffc = (org.drip.product.rates.FixFloatComponent)
  136.             component();

  138.         java.lang.String strPayCurrency = ffc.payCurrency();

  140.         java.util.Map<java.lang.String, java.lang.Double> mapFixFloat = ffc.value
  141.             (org.drip.param.valuation.ValuationParams.Spot (dtFirst.addBusDays (settleLag(),
  142.                 strPayCurrency).julian()), null, firstMarketParameters(), null);

  144.         if (null == mapFixFloat || !mapFixFloat.containsKey ("Accrued") || !mapFixFloat.containsKey
  145.             ("CleanFixedDV01") || !mapFixFloat.containsKey ("CleanFloatingDV01") || !mapFixFloat.containsKey
  146.                 ("CleanPV") || !mapFixFloat.containsKey ("CumulativeCouponAmount") ||
  147.                     !mapFixFloat.containsKey ("CumulativeCouponDCF") || !mapFixFloat.containsKey
  148.                         ("DerivedCleanPV") || !mapFixFloat.containsKey ("DerivedCumulativeCouponAmount") ||
  149.                             !mapFixFloat.containsKey ("DerivedCumulativeCouponDCF") ||
  150.                                 !mapFixFloat.containsKey ("ReferenceCleanPV") || !mapFixFloat.containsKey
  151.                                     ("ReferenceCumulativeCouponAmount") || !mapFixFloat.containsKey
  152.                                         ("ReferenceCumulativeCouponDCF") || !mapFixFloat.containsKey
  153.                                             ("SwapRate"))
  154.             return null;

  156.         double dblCleanPV = mapFixFloat.get ("CleanPV");

  158.         double dblSwapRate = mapFixFloat.get ("SwapRate");

  160.         double dblSwapRateSensitivity = 10000. * mapFixFloat.get ("CleanFixedDV01");

  162.         org.drip.state.identifier.ForwardLabel forwardLabel = ffc.derivedStream().forwardLabel();

  164.         org.drip.historical.engine.MarketMeasureRollDown mmrd = rollDownMeasureMap();

  166.         if (null == mmrd) return null;

  168.         double dblRollDownInnate = mmrd.innate();

  170.         org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double> mapHorizonMetric =
  171.             mmrd.horizon();

  173.         try {
  174.             org.drip.historical.attribution.PositionMarketSnap pms = new
  175.                 org.drip.historical.attribution.PositionMarketSnap (dtFirst, dblCleanPV);

  177.             if (!pms.setR1 ("Accrued", mapFixFloat.get ("Accrued"))) return null;

  179.             if (!pms.setR1 ("CleanFixedDV01", dblSwapRateSensitivity)) return null;

  181.             if (!pms.setR1 ("CleanFloatingDV01", 10000. * mapFixFloat.get ("CleanFloatingDV01")))
  182.                 return null;

  184.             if (!pms.setC1 ("CouponCurrency", forwardLabel.currency())) return null;

  186.             if (!pms.setR1 ("CumulativeCouponAmount", mapFixFloat.get ("CumulativeCouponAmount")))
  187.                 return null;

  189.             if (!pms.setR1 ("CumulativeCouponDCF", mapFixFloat.get ("CumulativeCouponDCF"))) return null;

  191.             if (!pms.setR1 ("DerivedCleanPV", mapFixFloat.get ("DerivedCleanPV"))) return null;

  193.             if (!pms.setDate ("EffectiveDate", ffc.effectiveDate())) return null;

  195.             if (!pms.setC1 ("FixedAccrualDayCount", ffc.referenceStream().accrualDC())) return null;

  197.             if (!pms.setR1 ("FixedCoupon", dblSwapRate)) return null;

  199.             if (!pms.setR1 ("FixedCumulativeCouponAmount", mapFixFloat.get
  200.                 ("ReferenceCumulativeCouponAmount")))
  201.                 return null;

  203.             if (!pms.setR1 ("FixedCumulativeCouponDCF", mapFixFloat.get ("ReferenceCumulativeCouponDCF")))
  204.                 return null;

  206.             if (!pms.setC1 ("FloatAccrualDayCount", forwardLabel.floaterIndex().dayCount())) return null;

  208.             if (!pms.setR1 ("FloatCumulativeCouponAmount", mapFixFloat.get
  209.                 ("DerivedCumulativeCouponAmount")))
  210.                 return null;

  212.             if (!pms.setR1 ("FloatCumulativeCouponDCF", mapFixFloat.get ("DerivedCumulativeCouponDCF")))
  213.                 return null;

  215.             if (!pms.setC1 ("FloaterLabel", forwardLabel.fullyQualifiedName())) return null;

  217.             if (!pms.setDate ("MaturityDate", ffc.maturityDate())) return null;

  219.             if (!pms.setC1 ("MaturityTenor", ffc.tenor())) return null;

  221.             if (!pms.setC1 ("PayCurrency", strPayCurrency)) return null;

  223.             if (!pms.setR1 ("ReferenceCleanPV", mapFixFloat.get ("ReferenceCleanPV"))) return null;

  225.             if (!pms.setR1 ("SwapRate", dblSwapRate)) return null;

  227.             if (!pms.setR1 ("SwapRateRollDown", dblRollDownInnate)) return null;

  229.             for (java.lang.String strRollDownTenor : mapHorizonMetric.keySet()) {
  230.                 if (!pms.setR1 ("SwapRateRollDown" + strRollDownTenor, mapHorizonMetric.get
  231.                     (strRollDownTenor)))
  232.                     return null;
  233.             }

  235.             if (!pms.addManifestMeasureSnap ("SwapRate", dblSwapRate, -1. * dblSwapRateSensitivity,
  236.                 dblRollDownInnate))
  237.                 return null;

  239.             return pms;
  240.         } catch (java.lang.Exception e) {
  241.             e.printStackTrace();
  242.         }

  244.         return null;
  245.     }

  247.     @Override public boolean updateFixings()
  248.     {
  249.         org.drip.product.rates.FixFloatComponent ffc = (org.drip.product.rates.FixFloatComponent)
  250.             component();

  252.         org.drip.product.rates.Stream floatingStream = ffc.derivedStream();

  254.         int iDate = secondDate().julian();

  256.         if (iDate > ffc.maturityDate().julian()) return false;

  258.         int iEffectiveDate = ffc.effectiveDate().julian();

  260.         if (iDate <= iEffectiveDate) iDate = iEffectiveDate;

  262.         org.drip.analytics.cashflow.CompositePeriod cpFixing = floatingStream.containingPeriod (iDate);

  264.         if (null == cpFixing) return false;

  266.         org.drip.analytics.cashflow.ComposableUnitPeriod cupEnclosing = cpFixing.enclosingCUP (iDate);

  268.         if (null == cupEnclosing || !(cupEnclosing instanceof
  269.             org.drip.analytics.cashflow.ComposableUnitFloatingPeriod))
  270.             return false;

  272.         org.drip.param.market.CurveSurfaceQuoteContainer csqcFirst = firstMarketParameters();

  274.         org.drip.state.identifier.ForwardLabel forwardLabel = floatingStream.forwardLabel();

  276.         int iFixingDate = ((org.drip.analytics.cashflow.ComposableUnitFloatingPeriod)
  277.             cupEnclosing).referenceIndexPeriod().fixingDate();

  279.         try {
  280.             double dblResetFixingRate = cupEnclosing.baseRate (csqcFirst);

  282.             return csqcFirst.setFixing (iFixingDate, forwardLabel, dblResetFixingRate) &&
  283.                 secondMarketParameters().setFixing (iFixingDate, forwardLabel, dblResetFixingRate);
  284.         } catch (java.lang.Exception e) {
  285.             e.printStackTrace();
  286.         }

  288.         return false;
  289.     }

  291.     @Override public org.drip.historical.attribution.PositionMarketSnap snapSecondMarketValue()
  292.     {
  293.         org.drip.analytics.date.JulianDate dtSecond = secondDate();

  295.         org.drip.product.rates.FixFloatComponent ffc = (org.drip.product.rates.FixFloatComponent)
  296.             component();

  298.         java.util.Map<java.lang.String, java.lang.Double> mapFixFloat = ffc.value
  299.             (org.drip.param.valuation.ValuationParams.Spot (dtSecond.addBusDays (settleLag(),
  300.                 ffc.payCurrency()).julian()), null, secondMarketParameters(), null);

  302.         if (null == mapFixFloat || !mapFixFloat.containsKey ("CleanFixedDV01") || !mapFixFloat.containsKey
  303.             ("CleanPV") || !mapFixFloat.containsKey ("CumulativeCouponAmount") || !mapFixFloat.containsKey
  304.                 ("CumulativeCouponDCF") || !mapFixFloat.containsKey ("DerivedCumulativeCouponAmount") ||
  305.                     !mapFixFloat.containsKey ("DerivedCumulativeCouponDCF") || !mapFixFloat.containsKey
  306.                         ("ReferenceCumulativeCouponAmount") || !mapFixFloat.containsKey
  307.                             ("ReferenceCumulativeCouponDCF") || !mapFixFloat.containsKey ("ResetDate") ||
  308.                                 !mapFixFloat.containsKey ("ResetRate") || !mapFixFloat.containsKey
  309.                                     ("SwapRate"))
  310.             return null;

  312.         double dblSwapRate = mapFixFloat.get ("SwapRate");

  314.         try {
  315.             org.drip.historical.attribution.PositionMarketSnap pms = new
  316.                 org.drip.historical.attribution.PositionMarketSnap (dtSecond, mapFixFloat.get ("CleanPV"));

  318.             if (!pms.setR1 ("CumulativeCouponAmount", mapFixFloat.get ("CumulativeCouponAmount")))
  319.                 return null;

  321.             if (!pms.setR1 ("CumulativeCouponDCF", mapFixFloat.get ("CumulativeCouponDCF"))) return null;

  323.             if (!pms.setR1 ("FixedCumulativeCouponAmount", mapFixFloat.get
  324.                 ("ReferenceCumulativeCouponAmount")))
  325.                 return null;

  327.             if (!pms.setR1 ("FixedCumulativeCouponDCF", mapFixFloat.get ("ReferenceCumulativeCouponDCF")))
  328.                 return null;

  330.             if (!pms.setR1 ("FloatCumulativeCouponAmount", mapFixFloat.get
  331.                 ("DerivedCumulativeCouponAmount")))
  332.                 return null;

  334.             if (!pms.setR1 ("FloatCumulativeCouponDCF", mapFixFloat.get ("DerivedCumulativeCouponDCF")))
  335.                 return null;

  337.             if (!pms.setDate ("ResetDate", new org.drip.analytics.date.JulianDate ((int) (double)
  338.                 mapFixFloat.get ("ResetDate"))))
  339.                 return null;

  341.             if (!pms.setR1 ("ResetRate", mapFixFloat.get ("ResetRate"))) return null;

  343.             if (!pms.setR1 ("SwapRate", dblSwapRate)) return null;

  345.             if (!pms.addManifestMeasureSnap ("SwapRate", dblSwapRate, -10000. * mapFixFloat.get
  346.                 ("CleanFixedDV01"), 0.))
  347.                 return null;

  349.             return pms;
  350.         } catch (java.lang.Exception e) {
  351.             e.printStackTrace();
  352.         }

  354.         return null;
  355.     }

  357.     @Override public org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>
  358.         crossHorizonDifferentialMetrics (
  359.             final org.drip.historical.attribution.PositionMarketSnap pmsFirst,
  360.             final org.drip.historical.attribution.PositionMarketSnap pmsSecond)
  361.     {
  362.         if (null == pmsFirst || null == pmsSecond) return null;

  364.         org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double> mapDifferentialMetric = new
  365.             org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();

  367.         org.drip.analytics.date.JulianDate dtEffective = pmsFirst.date ("EffectiveDate");

  369.         java.lang.String strFixedAccrualDayCount = pmsFirst.c1 ("FixedAccrualDayCount");

  371.         java.lang.String strFloatAccrualDayCount = pmsFirst.c1 ("FloatAccrualDayCount");

  373.         java.lang.String strCalendar = pmsFirst.c1 ("PayCurrency");

  375.         int iDate1M = dtEffective.addTenor ("1M").julian();

  377.         int iDate3M = dtEffective.addTenor ("3M").julian();

  379.         int iEffectiveDate = dtEffective.julian();

  381.         try {
  382.             double dblFixedCumulativeCouponAmount = pmsSecond.r1 ("FixedCumulativeCouponAmount") -
  383.                 pmsFirst.r1 ("FixedCumulativeCouponAmount");

  385.             double dblFixedCumulativeCouponDCF = pmsSecond.r1 ("FixedCumulativeCouponDCF") - pmsFirst.r1
  386.                 ("FixedCumulativeCouponDCF");

  388.             double dblFloatCumulativeCouponAmount = pmsSecond.r1 ("FloatCumulativeCouponAmount") -
  389.                 pmsFirst.r1 ("FloatCumulativeCouponAmount");

  391.             double dblFloatCumulativeCouponDCF = pmsSecond.r1 ("FloatCumulativeCouponDCF") - pmsFirst.r1
  392.                 ("FloatCumulativeCouponDCF");

  394.             mapDifferentialMetric.put ("CumulativeCouponAmount", pmsSecond.r1 ("CumulativeCouponAmount") -
  395.                 pmsFirst.r1 ("CumulativeCouponAmount"));

  397.             mapDifferentialMetric.put ("CumulativeCouponDCF", pmsSecond.r1 ("CumulativeCouponDCF") -
  398.                 pmsFirst.r1 ("CumulativeCouponDCF"));

  400.             mapDifferentialMetric.put ("EffectiveFixedCouponRate", dblFixedCumulativeCouponAmount /
  401.                 dblFixedCumulativeCouponDCF);

  403.             mapDifferentialMetric.put ("EffectiveFloatCouponRate", dblFloatCumulativeCouponAmount /
  404.                 dblFloatCumulativeCouponDCF);

  406.             mapDifferentialMetric.put ("FixedAccrualDCF1M",
  407.                 org.drip.analytics.daycount.Convention.YearFraction (iEffectiveDate, iDate1M,
  408.                     strFixedAccrualDayCount, false, null, strCalendar));

  410.             mapDifferentialMetric.put ("FixedAccrualDCF3M",
  411.                 org.drip.analytics.daycount.Convention.YearFraction (iEffectiveDate, iDate3M,
  412.                     strFixedAccrualDayCount, false, null, strCalendar));

  414.             mapDifferentialMetric.put ("FixedCumulativeCouponAmount", dblFixedCumulativeCouponAmount);

  416.             mapDifferentialMetric.put ("FixedCumulativeCouponDCF", dblFixedCumulativeCouponDCF);

  418.             mapDifferentialMetric.put ("FloatAccrualDCF1M",
  419.                 org.drip.analytics.daycount.Convention.YearFraction (iEffectiveDate, iDate1M,
  420.                     strFloatAccrualDayCount, false, null, strCalendar));

  422.             mapDifferentialMetric.put ("FloatAccrualDCF3M",
  423.                 org.drip.analytics.daycount.Convention.YearFraction (iEffectiveDate, iDate3M,
  424.                     strFloatAccrualDayCount, false, null, strCalendar));

  426.             mapDifferentialMetric.put ("FloatCumulativeCouponAmount", dblFloatCumulativeCouponAmount);

  428.             mapDifferentialMetric.put ("FloatCumulativeCouponDCF", dblFloatCumulativeCouponDCF);

  430.             return mapDifferentialMetric;
  431.         } catch (java.lang.Exception e) {
  432.             e.printStackTrace();
  433.         }

  435.         return null;
  436.     }
  437. }
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