TenorDurationNodeMetrics.java
package org.drip.historical.sensitivity;
/*
* -*- 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>TenorDurationNodeMetrics</i> holds the KRD Duration Nodes and associated Metrics.
*
* <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/sensitivity/README.md">Product Horizon Change Tenor Sensitivity</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class TenorDurationNodeMetrics {
private org.drip.analytics.date.JulianDate _dtSnap = null;
private java.util.Map<java.lang.String, java.lang.String> _mapCustomC1 = new
org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.String>();
private java.util.Map<java.lang.String, java.lang.Double> _mapCustomR1 = new
org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();
private org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> _mapKRD = new
org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>();
private java.util.Map<java.lang.String, org.drip.analytics.date.JulianDate> _mapCustomDate = new
org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.analytics.date.JulianDate>();
/**
* TenorDurationNodeMetrics Constructor
*
* @param dtSnap The Date Snap
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public TenorDurationNodeMetrics (
final org.drip.analytics.date.JulianDate dtSnap)
throws java.lang.Exception
{
if (null == (_dtSnap = dtSnap))
throw new java.lang.Exception ("TenorDurationNodeMetrics ctr: Invalid Inputs");
}
/**
* Retrieve the KRD Date Snap
*
* @return The KRD Date Snap
*/
public org.drip.analytics.date.JulianDate dateSnap()
{
return _dtSnap;
}
/**
* Insert a KRD Node
*
* @param strKRDNode KRD Node Key
* @param dblKRDValue KRD Node Value
*
* @return TRUE - The KRD Entry successfully inserted
*/
public boolean addKRDNode (
final java.lang.String strKRDNode,
final double dblKRDValue)
{
if (null == strKRDNode || strKRDNode.isEmpty() || !org.drip.numerical.common.NumberUtil.IsValid
(dblKRDValue))
return false;
_mapKRD.put (strKRDNode, dblKRDValue);
return true;
}
/**
* Retrieve the KRD Map
*
* @return The KRD Map
*/
public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> krdMap()
{
return _mapKRD;
}
/**
* Set the Custom Date Entry corresponding to the Specified Key
*
* @param strKey The Key
* @param dtCustom The Custom Date Entry
*
* @return TRUE - Custom Date successfully set
*/
public boolean setDate (
final java.lang.String strKey,
final org.drip.analytics.date.JulianDate dtCustom)
{
if (null == strKey || strKey.isEmpty() || null == dtCustom) return false;
_mapCustomDate.put (strKey, dtCustom);
return true;
}
/**
* Retrieve the Custom Date Entry corresponding to the Specified Key
*
* @param strKey The Key
*
* @return The Custom Date Entry
*/
public org.drip.analytics.date.JulianDate date (
final java.lang.String strKey)
{
return null == strKey || !_mapCustomDate.containsKey (strKey) ? null : _mapCustomDate.get (strKey);
}
/**
* Set the Custom C^1 Entry corresponding to the Specified Key
*
* @param strKey The Key
* @param strC1 The Custom C^1 Entry
*
* @return TRUE - Custom C^1 Entry successfully set
*/
public boolean setC1 (
final java.lang.String strKey,
final java.lang.String strC1)
{
if (null == strKey || strKey.isEmpty() || null == strC1 || strC1.isEmpty()) return false;
_mapCustomC1.put (strKey, strC1);
return true;
}
/**
* Retrieve the Custom C^1 Entry corresponding to the Specified Key
*
* @param strKey The Key
*
* @return The Custom C^1 Entry
*/
public java.lang.String c1 (
final java.lang.String strKey)
{
return null == strKey || !_mapCustomC1.containsKey (strKey) ? null : _mapCustomC1.get (strKey);
}
/**
* Set the Custom R^1 Entry corresponding to the Specified Key
*
* @param strKey The Key
* @param dblR1 The Custom R^1 Entry
*
* @return TRUE - Custom Number successfully set
*/
public boolean setR1 (
final java.lang.String strKey,
final double dblR1)
{
if (null == strKey || strKey.isEmpty() || !org.drip.numerical.common.NumberUtil.IsValid (dblR1))
return false;
_mapCustomR1.put (strKey, dblR1);
return true;
}
/**
* Retrieve the Custom R^1 Entry corresponding to the Specified Key
*
* @param strKey The Key
*
* @return The Custom R^1 Entry
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public double r1 (
final java.lang.String strKey)
throws java.lang.Exception
{
if (null == strKey || !_mapCustomR1.containsKey (strKey))
throw new java.lang.Exception ("PositionMarketSnap::r1 => Invalid Inputs");
return _mapCustomR1.get (strKey);
}
}