HorizonChangeExplainProcessor.java
package org.drip.historical.engine;
/*
* -*- 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>HorizonChangeExplainProcessor</i> holds the Stubs associated with the Computation of the Horizon
* Position Change Components for the given Product.
*
* <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/historical/README.md">Historical State Processing Utilities</a></li>
* <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>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public abstract class HorizonChangeExplainProcessor {
private int _iSettleLag = -1;
private java.lang.String _strMarketMeasureName = "";
private org.drip.product.definition.Component _comp = null;
private org.drip.analytics.date.JulianDate _dtFirst = null;
private org.drip.analytics.date.JulianDate _dtSecond = null;
private double _dblMarketMeasureValue = java.lang.Double.NaN;
private org.drip.param.market.CurveSurfaceQuoteContainer _csqcFirst = null;
private org.drip.param.market.CurveSurfaceQuoteContainer _csqcSecond = null;
private
org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.param.market.CurveSurfaceQuoteContainer>
_mapCSQCRollDown = null;
protected HorizonChangeExplainProcessor (
final org.drip.product.definition.Component comp,
final int iSettleLag,
final java.lang.String strMarketMeasureName,
final double dblMarketMeasureValue,
final org.drip.analytics.date.JulianDate dtFirst,
final org.drip.analytics.date.JulianDate dtSecond,
final org.drip.param.market.CurveSurfaceQuoteContainer csqcFirst,
final org.drip.param.market.CurveSurfaceQuoteContainer csqcSecond,
final
org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.param.market.CurveSurfaceQuoteContainer>
mapCSQCRollDown)
throws java.lang.Exception
{
if (null == (_comp = comp) || 0 > (_iSettleLag = iSettleLag) || null == (_strMarketMeasureName =
strMarketMeasureName) || _strMarketMeasureName.isEmpty() ||
!org.drip.numerical.common.NumberUtil.IsValid (_dblMarketMeasureValue = dblMarketMeasureValue) ||
null == (_dtFirst = dtFirst) || null == (_dtSecond = dtSecond) || _dtSecond.julian() <=
_dtFirst.julian() || null == (_csqcFirst = csqcFirst) || null == (_csqcSecond =
csqcSecond) || null == (_mapCSQCRollDown = mapCSQCRollDown))
throw new java.lang.Exception ("HorizonChangeExplainProcessor Constructor => Invalid Inputs");
}
/**
* Retrieve the Component
*
* @return The Component
*/
public org.drip.product.definition.Component component()
{
return _comp;
}
/**
* Retrieve the Component Settle Lag
*
* @return The Component Settle Lag
*/
public int settleLag()
{
return _iSettleLag;
}
/**
* Retrieve the Component Market Measure Name
*
* @return The Component Market Measure Name
*/
public java.lang.String marketMeasureName()
{
return _strMarketMeasureName;
}
/**
* Retrieve the Component Market Measure Value
*
* @return The Component Market Measure Value
*/
public double marketMeasureValue()
{
return _dblMarketMeasureValue;
}
/**
* Retrieve the First Date of the Horizon Change
*
* @return The First Date of the Horizon Change
*/
public org.drip.analytics.date.JulianDate firstDate()
{
return _dtFirst;
}
/**
* Retrieve the First Date's Market Parameters
*
* @return The First Date's Market Parameters
*/
public org.drip.param.market.CurveSurfaceQuoteContainer firstMarketParameters()
{
return _csqcFirst;
}
/**
* Retrieve the Second Date of the Horizon Change
*
* @return The Second Date of the Horizon Change
*/
public org.drip.analytics.date.JulianDate secondDate()
{
return _dtSecond;
}
/**
* Retrieve the Second Date's Market Parameters
*
* @return The Second Date's Market Parameters
*/
public org.drip.param.market.CurveSurfaceQuoteContainer secondMarketParameters()
{
return _csqcSecond;
}
/**
* Retrieve the Map of the Roll Down Market Parameters
*
* @return Map of the Roll Down Market Parameters
*/
public
org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.param.market.CurveSurfaceQuoteContainer>
rollDownMarketParameters()
{
return _mapCSQCRollDown;
}
/**
* Generate the Map of the Roll Down Market Quote Metrics
*
* @return Map of the Roll Down Market Quote Metrics
*/
public org.drip.historical.engine.MarketMeasureRollDown rollDownMeasureMap()
{
org.drip.param.valuation.ValuationParams valParamsRollDown =
org.drip.param.valuation.ValuationParams.Spot (_dtSecond.addBusDays (_iSettleLag,
_comp.payCurrency()).julian());
java.util.Set<java.lang.String> setstrRollDownTenor = _mapCSQCRollDown.keySet();
org.drip.historical.engine.MarketMeasureRollDown mmrd = null;
for (java.lang.String strRollDownTenor : setstrRollDownTenor) {
java.util.Map<java.lang.String, java.lang.Double> mapCompMeasures = _comp.value
(valParamsRollDown, null, _mapCSQCRollDown.get (strRollDownTenor), null);
if (null == mapCompMeasures || !mapCompMeasures.containsKey (_strMarketMeasureName)) return null;
if ("Native".equalsIgnoreCase (strRollDownTenor)) {
try {
mmrd = new org.drip.historical.engine.MarketMeasureRollDown (mapCompMeasures.get
(_strMarketMeasureName));
} catch (java.lang.Exception e) {
e.printStackTrace();
return null;
}
} else
mmrd.add (strRollDownTenor, mapCompMeasures.get (_strMarketMeasureName));
}
return mmrd;
}
/**
* Generate the Roll Up Version of the Quote Metric
*
* @return The Roll Up Version of the Quote Metric
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public double metricRollUp()
throws java.lang.Exception
{
java.util.Map<java.lang.String, java.lang.Double> mapCompMeasures = _comp.value
(org.drip.param.valuation.ValuationParams.Spot (_dtSecond.addBusDays (_iSettleLag,
_comp.payCurrency()).julian()), null, _csqcFirst, null);
if (null == mapCompMeasures || !mapCompMeasures.containsKey (_strMarketMeasureName))
throw new java.lang.Exception ("HorizonChangeExplainProcessor::metricRollUp => Invalid Inputs");
return mapCompMeasures.get (_strMarketMeasureName);
}
/**
* Generate and Snap Relevant Fields from the First Market Valuation Parameters
*
* @return The First Market Parameters Valuation Snapshot
*/
public abstract org.drip.historical.attribution.PositionMarketSnap snapFirstMarketValue();
/**
* Update the Fixings (if any) to the Second Market Parameters
*
* @return TRUE - The Fixings were successfully updated to the Second Market Parameters
*/
public abstract boolean updateFixings();
/**
* Generate and Snap Relevant Fields from the Second Market Valuation Parameters
*
* @return The Second Market Parameters Valuation Snapshot
*/
public abstract org.drip.historical.attribution.PositionMarketSnap snapSecondMarketValue();
/**
* Generate the Horizon Differential Metrics Map
*
* @param pmsFirst The First Position Market Snap
* @param pmsSecond The Second Position Market Snap
*
* @return The Horizon Differential Metrics Map
*/
public abstract org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>
crossHorizonDifferentialMetrics (
final org.drip.historical.attribution.PositionMarketSnap pmsFirst,
final org.drip.historical.attribution.PositionMarketSnap pmsSecond);
}