ScenarioMarketParams.java

  1. package org.drip.param.definition;

  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>ScenarioMarketParams</i> is the place holder for the comprehensive suite of the market set of curves
  86.  * for the given date. It exports the following functionality:
  87.  * 
  88.  * <br><br>
  89.  *  <ul>
  90.  *      <li>
  91.  *          Add/remove/retrieve scenario discount curve
  92.  *      </li>
  93.  *      <li>
  94.  *          Add/remove/retrieve scenario forward curve
  95.  *      </li>
  96.  *      <li>
  97.  *          Add/remove/retrieve scenario zero curve
  98.  *      </li>
  99.  *      <li>
  100.  *          Add/remove/retrieve scenario credit curve
  101.  *      </li>
  102.  *      <li>
  103.  *          Add/remove/retrieve scenario recovery curve
  104.  *      </li>
  105.  *      <li>
  106.  *          Add/remove/retrieve scenario FXForward curve
  107.  *      </li>
  108.  *      <li>
  109.  *          Add/remove/retrieve scenario FXBasis curve
  110.  *      </li>
  111.  *      <li>
  112.  *          Add/remove/retrieve scenario fixings
  113.  *      </li>
  114.  *      <li>
  115.  *          Add/remove/retrieve Treasury/component quotes
  116.  *      </li>
  117.  *      <li>
  118.  *          Retrieve scenario Market Parameters
  119.  *      </li>
  120.  *      <li>
  121.  *          Retrieve map of flat rates/credit/recovery Market Parameters
  122.  *      </li>
  123.  *      <li>
  124.  *          Retrieve double map of tenor rates/credit/recovery Market Parameters
  125.  *      </li>
  126.  *      <li>
  127.  *          Retrieve rates/credit scenario generator
  128.  *      </li>
  129.  *  </ul>
  130.  *
  131.  *  <br><br>
  132.  *  <ul>
  133.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  134.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  135.  *      <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>
  136.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/param/definition/README.md">Latent State Quantification Metrics Tweak</a></li>
  137.  *  </ul>
  138.  *
  139.  * @author Lakshmi Krishnamurthy
  140.  */

  142. public abstract class ScenarioMarketParams {

  144.     /**
  145.      * Add the named scenario DC
  146.      * 
  147.      * @param strName Name
  148.      * @param dcsc Corresponding DiscountCurveScenarioContainer instance
  149.      * 
  150.      * @return Added successfully (true)
  151.      */

  153.     public abstract boolean addScenarioDiscountCurve (
  154.         final java.lang.String strName,
  155.         final org.drip.param.market.DiscountCurveScenarioContainer dcsc);

  157.     /**
  158.      * Remove the named scenario DC
  159.      * 
  160.      * @param strName Name
  161.      * 
  162.      * @return Removed successfully (true)
  163.      */

  165.     public abstract boolean removeScenarioDiscountCurve (
  166.         final java.lang.String strName);

  168.     /**
  169.      * Add the named scenario CC
  170.      * 
  171.      * @param strName Name
  172.      * @param scc ScenarioCreditCurve Instance
  173.      * 
  174.      * @return Added successfully (true)
  175.      */

  177.     public abstract boolean addScenarioCreditCurve (
  178.         final java.lang.String strName,
  179.         final org.drip.param.market.CreditCurveScenarioContainer scc);

  181.     /**
  182.      * Removes the named scenario CC
  183.      * 
  184.      * @param strName Name
  185.      * 
  186.      * @return Removed successfully (true)
  187.      */

  189.     public abstract boolean removeScenarioCreditCurve (
  190.         final java.lang.String strName);

  192.     /**
  193.      * Add the named Treasury Quote
  194.      * 
  195.      * @param strBenchmark Name
  196.      * @param pqTSY Treasury Quote
  197.      * 
  198.      * @return Added successfully (true)
  199.      */

  201.     public abstract boolean addTSYQuote (
  202.         final java.lang.String strBenchmark,
  203.         final org.drip.param.definition.ProductQuote pqTSY);

  205.     /**
  206.      * Remove the named Treasury Quote
  207.      * 
  208.      * @param strBenchmark Name
  209.      * 
  210.      * @return Removed successfully (true)
  211.      */

  213.     public abstract boolean removeTSYQuote (
  214.         final java.lang.String strBenchmark);

  216.     /**
  217.      * Set the full set of named Treasury Quote Map
  218.      * 
  219.      * @param mapCQTSY Named Treasury Quote Map
  220.      * 
  221.      * @return Set successfully (true)
  222.      */

  224.     public abstract boolean setTSYQuotes (
  225.         final org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.definition.ProductQuote>
  226.             mapCQTSY);

  228.     /**
  229.      * Get the named Treasury Quote Map corresponding to the desired benchmark
  230.      * 
  231.      * @param strBenchmark The treasury benchmark
  232.      * 
  233.      * @return Treasury Quote
  234.      */

  236.     public abstract org.drip.param.definition.ProductQuote tsyQuote (
  237.         final java.lang.String strBenchmark);

  239.     /**
  240.      * Get the full set of named Treasury Quote Map
  241.      * 
  242.      * @return Named Treasury Quote Map
  243.      */

  245.     public abstract org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.definition.ProductQuote>
  246.         tsyQuotes();

  248.     /**
  249.      * Add the fixing for the given Latent State Label and the given date
  250.      * 
  251.      * @param dtFix The fixing date
  252.      * @param lsl The Latent State Label
  253.      * @param dblFixing The fixing
  254.      * 
  255.      * @return Added successfully (true)
  256.      */

  258.     public abstract boolean addFixing (
  259.         final org.drip.analytics.date.JulianDate dtFix,
  260.         final org.drip.state.identifier.LatentStateLabel lsl,
  261.         final double dblFixing);

  263.     /**
  264.      * Remove the fixing corresponding to the given date and the Latent State Label
  265.      * 
  266.      * @param dtFix Fixing date
  267.      * @param lsl The Latent State label
  268.      * 
  269.      * @return Successfully removed (true)
  270.      */

  272.     public abstract boolean removeFixing (
  273.         final org.drip.analytics.date.JulianDate dtFix,
  274.         final org.drip.state.identifier.LatentStateLabel lsl);

  276.     /**
  277.      * Retrieve the Latent State Fixings Container
  278.      * 
  279.      * @return The Latent State Fixings Container
  280.      */

  282.     public abstract org.drip.param.market.LatentStateFixingsContainer fixings();

  284.     /**
  285.      * Add the component quote
  286.      * 
  287.      * @param strComponentID Component ID
  288.      * @param cqComponent Component Quote
  289.      * 
  290.      * @return Added successfully (true)
  291.      */

  293.     public abstract boolean addComponentQuote (
  294.         final java.lang.String strComponentID,
  295.         final org.drip.param.definition.ProductQuote cqComponent);

  297.     /**
  298.      * Remove the component quote
  299.      * 
  300.      * @param strComponentID Component ID
  301.      * 
  302.      * @return Removed successfully (true)
  303.      */

  305.     public abstract boolean removeComponentQuote (
  306.         final java.lang.String strComponentID);

  308.     /**
  309.      * Add the full map of component quotes
  310.      * 
  311.      * @param mapComponentQuote Map of Component Quotes
  312.      * 
  313.      * @return Added successfully (true)
  314.      */

  316.     public abstract boolean addComponentQuote (
  317.         final org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.definition.ProductQuote>
  318.             mapComponentQuote);

  320.     /**
  321.      * Retrieve the quote for the given component
  322.      * 
  323.      * @param strComponentID Component ID
  324.      * 
  325.      * @return ComponentQuote
  326.      */

  328.     public abstract org.drip.param.definition.ProductQuote componentQuote (
  329.         final java.lang.String strComponentID);

  331.     /**
  332.      * Retrieve the full map of component quotes
  333.      * 
  334.      * @return The Map of Component Quotes
  335.      */

  337.     public abstract org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.definition.ProductQuote>
  338.         componentQuotes();

  340.     /**
  341.      * Add the named scenario Market Parameters
  342.      * 
  343.      * @param strScenarioName Scenario Name
  344.      * @param csqs Market Parameters
  345.      * 
  346.      * @return True - Added successfully
  347.      */

  349.     public abstract boolean addScenarioMarketParams (
  350.         final java.lang.String strScenarioName,
  351.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs);

  353.     /**
  354.      * Retrieve the Named Scenario Market Parameters
  355.      * 
  356.      * @param strScenarioName Scenario Name
  357.      * 
  358.      * @return Named Market Parameters
  359.      */

  361.     public abstract org.drip.param.market.CurveSurfaceQuoteContainer scenarioMarketParams (
  362.         final java.lang.String strScenarioName);

  364.     /**
  365.      * Get the Market Parameters corresponding to the component and the scenario
  366.      * 
  367.      * @param comp Component
  368.      * @param strScenario Scenario
  369.      * 
  370.      * @return The Market Parameters
  371.      */

  373.     public abstract org.drip.param.market.CurveSurfaceQuoteContainer scenarioMarketParams (
  374.         final org.drip.product.definition.Component comp,
  375.         final java.lang.String strScenario);

  377.     /**
  378.      * Get the Map of Funding Tenor Bumped Market Parameters corresponding to the Component
  379.      * 
  380.      * @param comp Component
  381.      * @param bBumpUp TRUE - Bump Up
  382.      * 
  383.      * @return Map of the Funding Tenor Bumped Market Parameters
  384.      */

  386.     public abstract
  387.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>
  388.             fundingTenorMarketParams (
  389.                 final org.drip.product.definition.Component comp,
  390.                 final boolean bBumpUp);

  392.     /**
  393.      * Get the map of tenor credit bumped Market Parameters corresponding to the component
  394.      *  
  395.      * @param comp Component
  396.      * @param bBumpUp Bump up (True)
  397.      * 
  398.      * @return Map of the tenor credit bumped Market Parameters
  399.      */

  401.     public abstract
  402.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>
  403.             creditTenorMarketParams (
  404.                 final org.drip.product.definition.Component comp,
  405.                 final boolean bBumpUp);

  407.     /**
  408.      * Get the Market Parameters for the given basket product and the scenario
  409.      * 
  410.      * @param bp BasketProduct
  411.      * @param strScenario Named Scenario
  412.      * 
  413.      * @return Market Parameters Instance
  414.      */

  416.     public abstract org.drip.param.market.CurveSurfaceQuoteContainer scenarioMarketParams (
  417.         final org.drip.product.definition.BasketProduct bp,
  418.         final java.lang.String strScenario);

  420.     /**
  421.      * Get the Map of Funding Parallel Bumped Curves for the given Basket Product
  422.      * 
  423.      * @param bp BasketProduct
  424.      * @param bBump True (Bump Up), False (Bump Down)
  425.      * 
  426.      * @return Map of the Funding Parallel Bumped curves
  427.      */

  429.     public abstract
  430.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>
  431.             fundingFlatBump (
  432.                 final org.drip.product.definition.BasketProduct bp,
  433.                 final boolean bBump);

  435.     /**
  436.      * Get the Map of credit Flat Bumped Curves for the given Basket Product
  437.      * 
  438.      * @param bp BasketProduct
  439.      * @param bBump True (Bump Up), False (Bump Down)
  440.      * 
  441.      * @return Map of the Credit Flat Bumped Curves
  442.      */

  444.     public abstract
  445.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>
  446.             creditFlatBump (
  447.                 final org.drip.product.definition.BasketProduct bp,
  448.                 final boolean bBump);

  450.     /**
  451.      * Get the map of Recovery Flat Bumped Curves for the given Basket Product
  452.      * 
  453.      * @param bp BasketProduct
  454.      * @param bBump True (Bump Up), False (Bump Down)
  455.      * 
  456.      * @return Map of the Recovery Flat Bumped Curves
  457.      */

  459.     public abstract
  460.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>
  461.             recoveryFlatBump (
  462.                 final org.drip.product.definition.BasketProduct bp,
  463.                 final boolean bBump);

  465.     /**
  466.      * Get the Double Map of Funding Tenor Bumped Curves for each Funding Curve for the given Basket Product
  467.      * 
  468.      * @param bp BasketProduct
  469.      * @param bBump True (Bump Up), False (Bump Down)
  470.      * 
  471.      * @return Double Map of the Funding Tenor Bumped Market Parameters
  472.      */

  474.     public abstract
  475.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>>
  476.             fundingTenorBump (
  477.                 final org.drip.product.definition.BasketProduct bp,
  478.                 final boolean bBump);

  480.     /**
  481.      * Get the double map of credit Tenor bumped curves for each credit curve for the given Basket Product
  482.      * 
  483.      * @param bp BasketProduct
  484.      * @param bBump True (Bump Up), False (Bump Down)
  485.      * 
  486.      * @return Double Map of the credit Tenor bumped Market Parameters
  487.      */

  489.     public abstract
  490.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>>
  491.             creditTenorBump (
  492.                 final org.drip.product.definition.BasketProduct bp,
  493.                 final boolean bBump);

  495.     /**
  496.      * Retrieve the Map of DiscountCurveScenarioContainer Instances
  497.      * 
  498.      * @return Map of DiscountCurveScenarioContainer Instances
  499.      */

  501.     public abstract
  502.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.DiscountCurveScenarioContainer>
  503.             scenarioDiscountCurveMap();

  505.     /**
  506.      * Retrieve the Map of ScenarioCreditCurve Instances
  507.      * 
  508.      * @return Map of ScenarioCreditCurve Instances
  509.      */

  511.     public abstract
  512.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CreditCurveScenarioContainer>
  513.             scenarioCreditCurveMap();
  514. }
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