CreditCurveMetrics.java
package org.drip.historical.state;
/*
* -*- 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>CreditCurveMetrics</i> holds the computed Metrics associated the Credit Curve State.
*
* <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/state/README.md">Historical Implied Curve Node Metrics</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class CreditCurveMetrics {
private org.drip.analytics.date.JulianDate _dtClose = null;
private java.util.TreeMap<org.drip.analytics.date.JulianDate, java.lang.Double> _mapSurvivalProbability =
new java.util.TreeMap<org.drip.analytics.date.JulianDate, java.lang.Double>();
private java.util.TreeMap<org.drip.analytics.date.JulianDate, java.lang.Double> _mapRecoveryRate = new
java.util.TreeMap<org.drip.analytics.date.JulianDate, java.lang.Double>();
/**
* CreditCurveMetrics Constructor
*
* @param dtClose The Closing Date
*
* @throws java.lang.Exception Thrown if Inputs are Invalid
*/
public CreditCurveMetrics (
final org.drip.analytics.date.JulianDate dtClose)
throws java.lang.Exception
{
if (null == (_dtClose = dtClose))
throw new java.lang.Exception ("CreditCurveMetrics Constructor => Invalid Inputs");
}
/**
* Retrieve the Closing Date
*
* @return The Closing Date
*/
public org.drip.analytics.date.JulianDate close()
{
return _dtClose;
}
/**
* Add the Survival Probability corresponding to the specified Date
*
* @param dt The Date
* @param dblSurvivalProbability The Survival Probability
*
* @return TRUE - The Dated Survival Probability successfully added
*/
public boolean addSurvivalProbability (
final org.drip.analytics.date.JulianDate dt,
final double dblSurvivalProbability)
{
if (null == dt || !org.drip.numerical.common.NumberUtil.IsValid (dblSurvivalProbability)) return false;
_mapSurvivalProbability.put (dt, dblSurvivalProbability);
return true;
}
/**
* Add the Recovery Rate corresponding to the specified Date
*
* @param dt The Date
* @param dblRecoveryRate The Recovery Rate
*
* @return TRUE - The Dated Recovery Rate successfully added
*/
public boolean addRecoveryRate (
final org.drip.analytics.date.JulianDate dt,
final double dblRecoveryRate)
{
if (null == dt || !org.drip.numerical.common.NumberUtil.IsValid (dblRecoveryRate)) return false;
_mapRecoveryRate.put (dt, dblRecoveryRate);
return true;
}
/**
* Retrieve the Survival Probability corresponding to the specified Date
*
* @param dt The Specified Date
*
* @return The corresponding Survival Probability
*
* @throws java.lang.Exception Thrown if the Survival Probability cannot be retrieved
*/
public double survivalProbability (
final org.drip.analytics.date.JulianDate dt)
throws java.lang.Exception
{
if (null == dt || !_mapSurvivalProbability.containsKey (dt))
throw new java.lang.Exception ("CreditCurveMetrics::survivalProbability => Invalid Inputs");
return _mapSurvivalProbability.get (dt);
}
/**
* Retrieve the Recovery Rate corresponding to the specified Date
*
* @param dt The Specified Date
*
* @return The corresponding Recovery Rate
*
* @throws java.lang.Exception Thrown if the Recovery Rate cannot be retrieved
*/
public double recoveryRate (
final org.drip.analytics.date.JulianDate dt)
throws java.lang.Exception
{
if (null == dt || !_mapRecoveryRate.containsKey (dt))
throw new java.lang.Exception ("CreditCurveMetrics::recoveryRate => Invalid Inputs");
return _mapRecoveryRate.get (dt);
}
}