FundingCurveMetrics.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>FundingCurveMetrics</i> holds the computed Metrics associated the Funding 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 FundingCurveMetrics {
    private org.drip.analytics.date.JulianDate _dtClose = null;

    private
        org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>>
            _mapInForNativeLIBOR = new
                org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>>();

    /**
     * FundingCurveMetrics Constructor
     * 
     * @param dtClose The Closing Date
     * 
     * @throws java.lang.Exception Thrown if Inputs are Invalid
     */

    public FundingCurveMetrics (
        final org.drip.analytics.date.JulianDate dtClose)
        throws java.lang.Exception
    {
        if (null == (_dtClose = dtClose))
            throw new java.lang.Exception ("FundingCurveMetrics Constructor => Invalid Inputs");
    }

    /**
     * Retrieve the Closing Date
     * 
     * @return The Closing Date
     */

    public org.drip.analytics.date.JulianDate close()
    {
        return _dtClose;
    }

    /**
     * Add the Native Forward Rate for the specified In/For Start/Forward Tenors
     * 
     * @param strInTenor "In" Start Tenor
     * @param strForTenor "For" Forward Tenor
     * @param dblForwardRate Forward Rate
     * 
     * @return TRUE - The Native Forward Rate successfully added
     */

    public boolean addNativeForwardRate (
        final java.lang.String strInTenor,
        final java.lang.String strForTenor,
        final double dblForwardRate)
    {
        if (null == strInTenor || strInTenor.isEmpty() || null == strForTenor || strForTenor.isEmpty() ||
            !org.drip.numerical.common.NumberUtil.IsValid (dblForwardRate))
            return false;

        if (!_mapInForNativeLIBOR.containsKey (strInTenor)) {
            org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double> mapForwardRate = new
                org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();

            mapForwardRate.put (strForTenor, dblForwardRate);

            _mapInForNativeLIBOR.put (strInTenor, mapForwardRate);
        } else
            _mapInForNativeLIBOR.get (strInTenor).put (strForTenor, dblForwardRate);

        return true;
    }

    /**
     * Retrieve the Native Forward Rate given the In/For Tenors
     * 
     * @param strInTenor "In" Start Tenor
     * @param strForTenor "For" Forward Tenor
     * 
     * @return The Native Forward Rate
     * 
     * @throws java.lang.Exception Thrown if the Inputs are Invalid
     */

    public double nativeForwardRate (
        final java.lang.String strInTenor,
        final java.lang.String strForTenor)
        throws java.lang.Exception
    {
        if (null == strInTenor || strInTenor.isEmpty() || null == strForTenor || strForTenor.isEmpty() ||
            !_mapInForNativeLIBOR.containsKey (strInTenor))
            throw new java.lang.Exception ("FundingCurveMetrics::forwardRate => Invalid Inputs");

        org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double> mapForwardRate =
            _mapInForNativeLIBOR.get (strInTenor);

        if (null == mapForwardRate || !mapForwardRate.containsKey (strForTenor))
            throw new java.lang.Exception ("FundingCurveMetrics::forwardRate => Invalid Inputs");

        return mapForwardRate.get (strForTenor);
    }
}