MarketParamsBuilder.java

  1. package org.drip.param.creator;

  3. /*
  4.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  5.  */

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  11.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  12.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  13.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  14.  * Copyright (C) 2014 Lakshmi Krishnamurthy
  15.  * Copyright (C) 2013 Lakshmi Krishnamurthy
  16.  * Copyright (C) 2012 Lakshmi Krishnamurthy
  17.  * 
  18.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  19.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  20.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  21.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  22.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  23.  *      and computational support.
  24.  *  
  25.  *      https://lakshmidrip.github.io/DROP/
  26.  *  
  27.  *  DROP is composed of three modules:
  28.  *  
  29.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  30.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  31.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  32.  * 
  33.  *  DROP Product Core implements libraries for the following:
  34.  *  - Fixed Income Analytics
  35.  *  - Loan Analytics
  36.  *  - Transaction Cost Analytics
  37.  * 
  38.  *  DROP Portfolio Core implements libraries for the following:
  39.  *  - Asset Allocation Analytics
  40.  *  - Asset Liability Management Analytics
  41.  *  - Capital Estimation Analytics
  42.  *  - Exposure Analytics
  43.  *  - Margin Analytics
  44.  *  - XVA Analytics
  45.  * 
  46.  *  DROP Computational Core implements libraries for the following:
  47.  *  - Algorithm Support
  48.  *  - Computation Support
  49.  *  - Function Analysis
  50.  *  - Model Validation
  51.  *  - Numerical Analysis
  52.  *  - Numerical Optimizer
  53.  *  - Spline Builder
  54.  *  - Statistical Learning
  55.  * 
  56.  *  Documentation for DROP is Spread Over:
  57.  * 
  58.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  59.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  60.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  61.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  62.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  63.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  64.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  65.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  66.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  67.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  68.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  69.  * 
  70.  *  Licensed under the Apache License, Version 2.0 (the "License");
  71.  *      you may not use this file except in compliance with the License.
  72.  *   
  73.  *  You may obtain a copy of the License at
  74.  *      http://www.apache.org/licenses/LICENSE-2.0
  75.  *  
  76.  *  Unless required by applicable law or agreed to in writing, software
  77.  *      distributed under the License is distributed on an "AS IS" BASIS,
  78.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  79.  *  
  80.  *  See the License for the specific language governing permissions and
  81.  *      limitations under the License.
  82.  */

  84. /**
  85.  * <i>MarketParamsBuilder</i> implements the various ways of constructing, de-serializing, and building the
  86.  * Market Parameters.
  87.  *
  88.  *  <br><br>
  89.  *  <ul>
  90.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  91.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  92.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/param/README.md">Product Cash Flow, Valuation, Market, Pricing, and Quoting Parameters</a></li>
  93.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/param/creator">Market Curves Surfaces Quotes Builder</a></li>
  94.  *  </ul>
  95.  * 
  96.  * @author Lakshmi Krishnamurthy
  97.  */

  99. public class MarketParamsBuilder {

  101.     /**
  102.      * Create a Market Parameters instance with the funding discount curve, the forward discount curve, the
  103.      *  govvie curve, the credit curve, the component quote, the map of treasury benchmark quotes, and the
  104.      *  Latent State Fixings Instance.
  105.      * 
  106.      * @param dcFunding Funding Curve
  107.      * @param fc Forward Curve
  108.      * @param gc Govvie Curve
  109.      * @param cc Credit Curve
  110.      * @param strComponentCode Component Code
  111.      * @param compQuote Component quote
  112.      * @param mTSYQuotes Map of Treasury Benchmark Quotes
  113.      * @param lsfc The Latent State Fixings Instance
  114.      * 
  115.      * @return Market Parameters Instance
  116.      */

  118.     public static final org.drip.param.market.CurveSurfaceQuoteContainer Create (
  119.         final org.drip.state.discount.MergedDiscountForwardCurve dcFunding,
  120.         final org.drip.state.forward.ForwardCurve fc,
  121.         final org.drip.state.govvie.GovvieCurve gc,
  122.         final org.drip.state.credit.CreditCurve cc,
  123.         final java.lang.String strComponentCode,
  124.         final org.drip.param.definition.ProductQuote compQuote,
  125.         final org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.definition.ProductQuote>
  126.             mTSYQuotes,
  127.         final org.drip.param.market.LatentStateFixingsContainer lsfc)
  128.     {
  129.         org.drip.param.market.CurveSurfaceQuoteContainer csqs = new
  130.             org.drip.param.market.CurveSurfaceQuoteContainer();

  132.         if (null != cc && !csqs.setCreditState (cc)) return null;

  134.         if (null != gc && !csqs.setGovvieState (gc)) return null;

  136.         if (null != lsfc && !csqs.setFixings (lsfc)) return null;

  138.         if (null != dcFunding && !csqs.setFundingState (dcFunding)) return null;

  140.         if (null != mTSYQuotes && !csqs.setQuoteMap (mTSYQuotes)) return null;

  142.         if (null != compQuote && null != strComponentCode && !strComponentCode.isEmpty() &&
  143.             !csqs.setProductQuote (strComponentCode, compQuote))
  144.             return null;

  146.         if (null != fc && !csqs.setForwardState (fc)) return null;

  148.         return csqs;
  149.     }

  151.     /**
  152.      * Create a Market Parameters instance with the Funding Curve alone
  153.      * 
  154.      * @param dcFunding Funding Curve
  155.      * 
  156.      * @return Market Parameters instance
  157.      */

  159.     public static final org.drip.param.market.CurveSurfaceQuoteContainer Discount (
  160.         final org.drip.state.discount.MergedDiscountForwardCurve dcFunding)
  161.     {
  162.         return Create (dcFunding, null, null, null, "", null, null, null);
  163.     }

  165.     /**
  166.      * Create a Market Parameters instance with the Funding Curve and the forward Curve
  167.      * 
  168.      * @param dcFunding Funding Curve
  169.      * @param fc Forward Curve
  170.      * 
  171.      * @return Market Parameters instance
  172.      */

  174.     public static final org.drip.param.market.CurveSurfaceQuoteContainer DiscountForward (
  175.         final org.drip.state.discount.MergedDiscountForwardCurve dcFunding,
  176.         final org.drip.state.forward.ForwardCurve fc)
  177.     {
  178.         return Create (dcFunding, fc, null, null, "", null, null, null);
  179.     }

  181.     /**
  182.      * Create a Market Parameters instance with the rates discount curve and the treasury discount curve alone
  183.      * 
  184.      * @param dcFunding Funding Curve
  185.      * @param gc Govvie Curve
  186.      * 
  187.      * @return Market Parameters instance
  188.      */

  190.     public static final org.drip.param.market.CurveSurfaceQuoteContainer Govvie (
  191.         final org.drip.state.discount.MergedDiscountForwardCurve dcFunding,
  192.         final org.drip.state.govvie.GovvieCurve gc)
  193.     {
  194.         return Create (dcFunding, null, gc, null, "", null, null, null);
  195.     }

  197.     /**
  198.      * Create a Market Parameters Instance with the Funding Curve and the credit curve
  199.      * 
  200.      * @param dcFunding Funding Curve
  201.      * @param cc Credit Curve
  202.      * 
  203.      * @return The Market Parameters Instance
  204.      */

  206.     public static final org.drip.param.market.CurveSurfaceQuoteContainer Credit (
  207.         final org.drip.state.discount.MergedDiscountForwardCurve dcFunding,
  208.         final org.drip.state.credit.CreditCurve cc)
  209.     {
  210.         return Create (dcFunding, null, null, cc, "", null, null, null);
  211.     }

  213.     /**
  214.      * Create a Market Parameters Instance with the Funding Curve, the Govvie Curve, the Credit Curve, the
  215.      *  component quote, the map of treasury benchmark quotes, and the Latent State Fixings Container
  216.      * 
  217.      * @param dcFunding Funding Curve
  218.      * @param gc Govvie Curve
  219.      * @param cc Credit Curve
  220.      * @param strComponentCode Component Code
  221.      * @param compQuote Component quote
  222.      * @param mTSYQuotes Map of Treasury Benchmark Quotes
  223.      * @param lsfc Latent State Fixings Container
  224.      * 
  225.      * @return Market Parameters Instance
  226.      */

  228.     public static final org.drip.param.market.CurveSurfaceQuoteContainer Create (
  229.         final org.drip.state.discount.MergedDiscountForwardCurve dcFunding,
  230.         final org.drip.state.govvie.GovvieCurve gc,
  231.         final org.drip.state.credit.CreditCurve cc,
  232.         final java.lang.String strComponentCode,
  233.         final org.drip.param.definition.ProductQuote compQuote,
  234.         final org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.definition.ProductQuote>
  235.             mTSYQuotes,
  236.         final org.drip.param.market.LatentStateFixingsContainer lsfc)
  237.     {
  238.         return Create (dcFunding, null, gc, cc, strComponentCode, compQuote, mTSYQuotes, lsfc);
  239.     }

  241.     /**
  242.      * Create MarketParams from the array of calibration instruments
  243.      * 
  244.      * @return MarketParams object
  245.      */

  247.     public static final org.drip.param.definition.ScenarioMarketParams CreateMarketParams()
  248.     {
  249.         try {
  250.             return new org.drip.param.market.CurveSurfaceScenarioContainer();
  251.         } catch (java.lang.Exception e) {
  252.             e.printStackTrace();
  253.         }

  255.         return null;
  256.     }
  257. }
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