MarketParamsBuilder.java
package org.drip.param.creator;
/*
* -*- 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
* Copyright (C) 2015 Lakshmi Krishnamurthy
* Copyright (C) 2014 Lakshmi Krishnamurthy
* Copyright (C) 2013 Lakshmi Krishnamurthy
* Copyright (C) 2012 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>MarketParamsBuilder</i> implements the various ways of constructing, de-serializing, and building the
* Market Parameters.
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
* <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>
* <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>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class MarketParamsBuilder {
/**
* Create a Market Parameters instance with the funding discount curve, the forward discount curve, the
* govvie curve, the credit curve, the component quote, the map of treasury benchmark quotes, and the
* Latent State Fixings Instance.
*
* @param dcFunding Funding Curve
* @param fc Forward Curve
* @param gc Govvie Curve
* @param cc Credit Curve
* @param strComponentCode Component Code
* @param compQuote Component quote
* @param mTSYQuotes Map of Treasury Benchmark Quotes
* @param lsfc The Latent State Fixings Instance
*
* @return Market Parameters Instance
*/
public static final org.drip.param.market.CurveSurfaceQuoteContainer Create (
final org.drip.state.discount.MergedDiscountForwardCurve dcFunding,
final org.drip.state.forward.ForwardCurve fc,
final org.drip.state.govvie.GovvieCurve gc,
final org.drip.state.credit.CreditCurve cc,
final java.lang.String strComponentCode,
final org.drip.param.definition.ProductQuote compQuote,
final org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.definition.ProductQuote>
mTSYQuotes,
final org.drip.param.market.LatentStateFixingsContainer lsfc)
{
org.drip.param.market.CurveSurfaceQuoteContainer csqs = new
org.drip.param.market.CurveSurfaceQuoteContainer();
if (null != cc && !csqs.setCreditState (cc)) return null;
if (null != gc && !csqs.setGovvieState (gc)) return null;
if (null != lsfc && !csqs.setFixings (lsfc)) return null;
if (null != dcFunding && !csqs.setFundingState (dcFunding)) return null;
if (null != mTSYQuotes && !csqs.setQuoteMap (mTSYQuotes)) return null;
if (null != compQuote && null != strComponentCode && !strComponentCode.isEmpty() &&
!csqs.setProductQuote (strComponentCode, compQuote))
return null;
if (null != fc && !csqs.setForwardState (fc)) return null;
return csqs;
}
/**
* Create a Market Parameters instance with the Funding Curve alone
*
* @param dcFunding Funding Curve
*
* @return Market Parameters instance
*/
public static final org.drip.param.market.CurveSurfaceQuoteContainer Discount (
final org.drip.state.discount.MergedDiscountForwardCurve dcFunding)
{
return Create (dcFunding, null, null, null, "", null, null, null);
}
/**
* Create a Market Parameters instance with the Funding Curve and the forward Curve
*
* @param dcFunding Funding Curve
* @param fc Forward Curve
*
* @return Market Parameters instance
*/
public static final org.drip.param.market.CurveSurfaceQuoteContainer DiscountForward (
final org.drip.state.discount.MergedDiscountForwardCurve dcFunding,
final org.drip.state.forward.ForwardCurve fc)
{
return Create (dcFunding, fc, null, null, "", null, null, null);
}
/**
* Create a Market Parameters instance with the rates discount curve and the treasury discount curve alone
*
* @param dcFunding Funding Curve
* @param gc Govvie Curve
*
* @return Market Parameters instance
*/
public static final org.drip.param.market.CurveSurfaceQuoteContainer Govvie (
final org.drip.state.discount.MergedDiscountForwardCurve dcFunding,
final org.drip.state.govvie.GovvieCurve gc)
{
return Create (dcFunding, null, gc, null, "", null, null, null);
}
/**
* Create a Market Parameters Instance with the Funding Curve and the credit curve
*
* @param dcFunding Funding Curve
* @param cc Credit Curve
*
* @return The Market Parameters Instance
*/
public static final org.drip.param.market.CurveSurfaceQuoteContainer Credit (
final org.drip.state.discount.MergedDiscountForwardCurve dcFunding,
final org.drip.state.credit.CreditCurve cc)
{
return Create (dcFunding, null, null, cc, "", null, null, null);
}
/**
* Create a Market Parameters Instance with the Funding Curve, the Govvie Curve, the Credit Curve, the
* component quote, the map of treasury benchmark quotes, and the Latent State Fixings Container
*
* @param dcFunding Funding Curve
* @param gc Govvie Curve
* @param cc Credit Curve
* @param strComponentCode Component Code
* @param compQuote Component quote
* @param mTSYQuotes Map of Treasury Benchmark Quotes
* @param lsfc Latent State Fixings Container
*
* @return Market Parameters Instance
*/
public static final org.drip.param.market.CurveSurfaceQuoteContainer Create (
final org.drip.state.discount.MergedDiscountForwardCurve dcFunding,
final org.drip.state.govvie.GovvieCurve gc,
final org.drip.state.credit.CreditCurve cc,
final java.lang.String strComponentCode,
final org.drip.param.definition.ProductQuote compQuote,
final org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.definition.ProductQuote>
mTSYQuotes,
final org.drip.param.market.LatentStateFixingsContainer lsfc)
{
return Create (dcFunding, null, gc, cc, strComponentCode, compQuote, mTSYQuotes, lsfc);
}
/**
* Create MarketParams from the array of calibration instruments
*
* @return MarketParams object
*/
public static final org.drip.param.definition.ScenarioMarketParams CreateMarketParams()
{
try {
return new org.drip.param.market.CurveSurfaceScenarioContainer();
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
}