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);
}