CreditCurveScenarioContainer.java

  1. package org.drip.param.market;

  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.  * Copyright (C) 2011 Lakshmi Krishnamurthy
  18.  * 
  19.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  20.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  21.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  22.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  23.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  24.  *      and computational support.
  25.  *  
  26.  *      https://lakshmidrip.github.io/DROP/
  27.  *  
  28.  *  DROP is composed of three modules:
  29.  *  
  30.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  31.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  32.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  33.  * 
  34.  *  DROP Product Core implements libraries for the following:
  35.  *  - Fixed Income Analytics
  36.  *  - Loan Analytics
  37.  *  - Transaction Cost Analytics
  38.  * 
  39.  *  DROP Portfolio Core implements libraries for the following:
  40.  *  - Asset Allocation Analytics
  41.  *  - Asset Liability Management Analytics
  42.  *  - Capital Estimation Analytics
  43.  *  - Exposure Analytics
  44.  *  - Margin Analytics
  45.  *  - XVA Analytics
  46.  * 
  47.  *  DROP Computational Core implements libraries for the following:
  48.  *  - Algorithm Support
  49.  *  - Computation Support
  50.  *  - Function Analysis
  51.  *  - Model Validation
  52.  *  - Numerical Analysis
  53.  *  - Numerical Optimizer
  54.  *  - Spline Builder
  55.  *  - Statistical Learning
  56.  * 
  57.  *  Documentation for DROP is Spread Over:
  58.  * 
  59.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  60.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  61.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  62.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  63.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  64.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  65.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  66.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  67.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  68.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  69.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  70.  * 
  71.  *  Licensed under the Apache License, Version 2.0 (the "License");
  72.  *      you may not use this file except in compliance with the License.
  73.  *   
  74.  *  You may obtain a copy of the License at
  75.  *      http://www.apache.org/licenses/LICENSE-2.0
  76.  *  
  77.  *  Unless required by applicable law or agreed to in writing, software
  78.  *      distributed under the License is distributed on an "AS IS" BASIS,
  79.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  80.  *  
  81.  *  See the License for the specific language governing permissions and
  82.  *      limitations under the License.
  83.  */

  85. /**
  86.  * <i>CreditCurveScenarioContainer</i> contains the place holder for the bump parameters and the curves for
  87.  * the different credit curve scenarios. Contains the spread and the recovery bumps, and the credit curve
  88.  * scenario generator object that wraps the calibration instruments. It also contains the base credit curve,
  89.  * spread bumped up/down credit curves, recovery bumped up/down credit curves, and the tenor mapped up/down
  90.  * credit curves.
  91.  *
  92.  *  <br><br>
  93.  *  <ul>
  94.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  95.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  96.  *      <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>
  97.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/param/market/README.md">Curves Surfaces Quotes Fixings Container</a></li>
  98.  *  </ul>
  99.  *
  100.  * @author Lakshmi Krishnamurthy
  101.  */

  103. public class CreditCurveScenarioContainer {

  105.     /**
  106.      * CC Scenario Base
  107.      */

  109.     public static final int CC_BASE = 0;

  111.     /**
  112.      * CC Scenario Parallel Up
  113.      */

  115.     public static final int CC_FLAT_UP = 1;

  117.     /**
  118.      * CC Scenario Parallel Down
  119.      */

  121.     public static final int CC_FLAT_DN = 2;

  123.     /**
  124.      * CC Scenario Tenor Up
  125.      */

  127.     public static final int CC_TENOR_UP = 4;

  129.     /**
  130.      * CC Scenario Tenor Down
  131.      */

  133.     public static final int CC_TENOR_DN = 8;

  135.     /**
  136.      * CC Scenario Recovery Parallel Up
  137.      */

  139.     public static final int CC_RR_FLAT_UP = 16;

  141.     /**
  142.      * CC Scenario Recovery Parallel Down
  143.      */

  145.     public static final int CC_RR_FLAT_DN = 32;

  147.     private double _dblCouponBump = java.lang.Double.NaN;
  148.     private double _dblRecoveryBump = java.lang.Double.NaN;
  149.     private org.drip.state.credit.CreditCurve _ccBase = null;
  150.     private org.drip.state.credit.CreditCurve _ccBumpUp = null;
  151.     private org.drip.state.credit.CreditCurve _ccBumpDn = null;
  152.     private org.drip.state.credit.CreditCurve _ccRecoveryUp = null;
  153.     private org.drip.state.credit.CreditCurve _ccRecoveryDn = null;
  154.     private org.drip.product.definition.CalibratableComponent[] _aCalibInst = null;
  155.     private org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.credit.CreditCurve>
  156.         _mapCCCustom = null;
  157.     private org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.credit.CreditCurve>
  158.         _mapCCTenorBumpUp = null;
  159.     private org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.credit.CreditCurve>
  160.         _mapCCTenorBumpDn = null;

  162.     /**
  163.      * Construct CreditCurveScenarioContainer from the array of calibration instruments, the coupon bump
  164.      *  parameter, and the recovery bump parameter
  165.      * 
  166.      * @param aCalibInst Array of calibration instruments
  167.      * @param dblCouponBump Coupon Bump
  168.      * @param dblRecoveryBump Recovery Bump
  169.      * 
  170.      * @throws java.lang.Exception Thrown if inputs are invalid
  171.      */

  173.     public CreditCurveScenarioContainer (
  174.         final org.drip.product.definition.CalibratableComponent[] aCalibInst,
  175.         final double dblCouponBump,
  176.         final double dblRecoveryBump)
  177.         throws java.lang.Exception
  178.     {
  179.         if (null == (_aCalibInst = aCalibInst) || 0 == _aCalibInst.length ||
  180.             !org.drip.numerical.common.NumberUtil.IsValid (_dblCouponBump = dblCouponBump) ||
  181.                 !org.drip.numerical.common.NumberUtil.IsValid (_dblRecoveryBump = dblRecoveryBump))
  182.             throw new java.lang.Exception ("CreditCurveScenarioContainer ctr => Invalid Inputs!");
  183.     }

  185.     /**
  186.      * Cook and save the credit curves corresponding to the scenario specified
  187.      * 
  188.      * @param strName Credit Curve Name
  189.      * @param valParams ValuationParams
  190.      * @param dc Base Discount Curve
  191.      * @param gc Govvie Curve
  192.      * @param astrCalibMeasure Matched array of Calibration measures
  193.      * @param adblQuote Matched array of Quotes
  194.      * @param dblRecovery Curve Recovery
  195.      * @param lsfc Latent State Fixings Container
  196.      * @param vcp Valuation Customization Parameters
  197.      * @param bFlat Whether the calibration is to a flat curve
  198.      * @param iScenario One of the values in the CC_ enum listed above. 
  199.      * 
  200.      * @return Success (true), failure (false)
  201.      */

  203.     public boolean cookScenarioCC (
  204.         final java.lang.String strName,
  205.         final org.drip.param.valuation.ValuationParams valParams,
  206.         final org.drip.state.discount.MergedDiscountForwardCurve dc,
  207.         final org.drip.state.govvie.GovvieCurve gc,
  208.         final java.lang.String[] astrCalibMeasure,
  209.         final double[] adblQuote,
  210.         final double dblRecovery,
  211.         final org.drip.param.market.LatentStateFixingsContainer lsfc,
  212.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  213.         final boolean bFlat,
  214.         final int iScenario)
  215.     {
  216.         if (null == (_ccBase = org.drip.state.boot.CreditCurveScenario.Standard (strName, valParams,
  217.             _aCalibInst, adblQuote, astrCalibMeasure, dblRecovery, bFlat, dc, gc, lsfc, vcp, null)))
  218.             return false;

  220.         if (0 != (org.drip.param.market.CreditCurveScenarioContainer.CC_FLAT_UP & iScenario)) {
  221.             if (null == (_ccBumpUp = org.drip.state.boot.CreditCurveScenario.Standard (strName, valParams,
  222.                 _aCalibInst, org.drip.analytics.support.Helper.BumpQuotes (adblQuote, _dblCouponBump, false),
  223.                     astrCalibMeasure, dblRecovery, bFlat, dc, gc, lsfc, vcp, null)))
  224.                 return false;
  225.         }

  227.         if (0 != (org.drip.param.market.CreditCurveScenarioContainer.CC_FLAT_DN & iScenario)) {
  228.             if (null == (_ccBumpDn = org.drip.state.boot.CreditCurveScenario.Standard (strName, valParams,
  229.                 _aCalibInst, org.drip.analytics.support.Helper.BumpQuotes (adblQuote, -_dblCouponBump,
  230.                     false), astrCalibMeasure, dblRecovery, bFlat, dc, gc, lsfc, vcp, null)))
  231.                 return false;
  232.         }

  234.         if (0 != (org.drip.param.market.CreditCurveScenarioContainer.CC_TENOR_UP & iScenario)) {
  235.             if (null == (_mapCCTenorBumpUp = org.drip.state.boot.CreditCurveScenario.TenorMap (strName,
  236.                 valParams, _aCalibInst, adblQuote, astrCalibMeasure, dblRecovery, bFlat, _dblCouponBump, dc,
  237.                     gc, lsfc, vcp)))
  238.                 return false;
  239.         }

  241.         if (0 != (org.drip.param.market.CreditCurveScenarioContainer.CC_TENOR_DN & iScenario)) {
  242.             if (null == (_mapCCTenorBumpDn = org.drip.state.boot.CreditCurveScenario.TenorMap (strName,
  243.                 valParams, _aCalibInst, adblQuote, astrCalibMeasure, dblRecovery, bFlat, -_dblCouponBump, dc,
  244.                     gc, lsfc, vcp)))
  245.                 return false;
  246.         }

  248.         if (0 != (org.drip.param.market.CreditCurveScenarioContainer.CC_RR_FLAT_UP & iScenario)) {
  249.             if (null == (_ccRecoveryUp = org.drip.state.boot.CreditCurveScenario.Standard (strName,
  250.                 valParams, _aCalibInst, adblQuote, astrCalibMeasure, dblRecovery + _dblRecoveryBump, bFlat,
  251.                     dc, gc, lsfc, vcp, null)))
  252.                 return false;
  253.         }

  255.         if (0 != (org.drip.param.market.CreditCurveScenarioContainer.CC_RR_FLAT_DN & iScenario)) {
  256.             if (null == (_ccRecoveryDn = org.drip.state.boot.CreditCurveScenario.Standard (strName,
  257.                 valParams, _aCalibInst, adblQuote, astrCalibMeasure, dblRecovery - _dblRecoveryBump, bFlat,
  258.                     dc, gc, lsfc, vcp, null)))
  259.                 return false;
  260.         }

  262.         return true;
  263.     }

  265.     /**
  266.      * Cook the credit curve according to the desired tweak parameters
  267.      * 
  268.      * @param strName Scenario Credit Curve Name
  269.      * @param strCustomName Scenario Name
  270.      * @param valParams Valuation Parameters
  271.      * @param dc Discount Curve
  272.      * @param gc Govvie Curve
  273.      * @param astrCalibMeasure Array of calibration measures
  274.      * @param adblQuote Double array of input quotes
  275.      * @param dblRecovery Recovery Rate
  276.      * @param lsfc Latent State Fixings Container
  277.      * @param vcp Valuation Customization Parameters
  278.      * @param bFlat Whether the calibration is flat
  279.      * @param rvtpDC Node Tweak Parameters for the Base Discount Curve
  280.      * @param rvtpTSY Node Tweak Parameters for the TSY Discount Curve
  281.      * @param rvtpCC Node Tweak Parameters for the Credit Curve
  282.      * 
  283.      * @return True - Credit Curve successfully created
  284.      */

  286.     public boolean cookCustomCC (
  287.         final java.lang.String strName,
  288.         final java.lang.String strCustomName,
  289.         final org.drip.param.valuation.ValuationParams valParams,
  290.         final org.drip.state.discount.MergedDiscountForwardCurve dc,
  291.         final org.drip.state.govvie.GovvieCurve gc,
  292.         final java.lang.String[] astrCalibMeasure,
  293.         final double[] adblQuote,
  294.         final double dblRecovery,
  295.         final org.drip.param.market.LatentStateFixingsContainer lsfc,
  296.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  297.         final boolean bFlat,
  298.         final org.drip.param.definition.ManifestMeasureTweak rvtpDC,
  299.         final org.drip.param.definition.ManifestMeasureTweak rvtpTSY,
  300.         final org.drip.param.definition.ManifestMeasureTweak rvtpCC)
  301.     {
  302.         if (null == dc) return false;

  304.         org.drip.state.discount.MergedDiscountForwardCurve dcAdj = (org.drip.state.discount.MergedDiscountForwardCurve)
  305.             dc.customTweakManifestMeasure ("Rate", rvtpDC);

  307.         org.drip.state.govvie.GovvieCurve gcAdj = (org.drip.state.govvie.GovvieCurve)
  308.             gc.customTweakManifestMeasure ("Rate", rvtpTSY);

  310.         org.drip.state.credit.CreditCurve ccBaseCustom = org.drip.state.boot.CreditCurveScenario.Standard
  311.             (strName, valParams, _aCalibInst, adblQuote, astrCalibMeasure, dblRecovery, bFlat, null == dcAdj
  312.                 ? dc : dcAdj, null == gcAdj ? gc : gcAdj, lsfc, vcp, null);

  314.         if (null == ccBaseCustom) return false;

  316.         if (null == _mapCCCustom)
  317.             _mapCCCustom = new
  318.                 org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.credit.CreditCurve>();

  320.         org.drip.state.credit.CreditCurve ccCustom = (org.drip.state.credit.CreditCurve)
  321.             ccBaseCustom.customTweakManifestMeasure ("Rate", rvtpCC);

  323.         if (null == ccCustom)
  324.             _mapCCCustom.put (strCustomName, ccBaseCustom);
  325.         else
  326.             _mapCCCustom.put (strCustomName, ccCustom);

  328.         return true;
  329.     }

  331.     /**
  332.      * Return the base credit curve
  333.      * 
  334.      * @return The base credit curve
  335.      */

  337.     public org.drip.state.credit.CreditCurve base()
  338.     {
  339.         return _ccBase;
  340.     }

  342.     /**
  343.      * Return the bump up credit curve
  344.      * 
  345.      * @return The Bumped up credit curve
  346.      */

  348.     public org.drip.state.credit.CreditCurve bumpUp()
  349.     {
  350.         return _ccBumpUp;
  351.     }

  353.     /**
  354.      * Return the bump Down credit curve
  355.      * 
  356.      * @return The Bumped Down credit curve
  357.      */

  359.     public org.drip.state.credit.CreditCurve bumpDown()
  360.     {
  361.         return _ccBumpDn;
  362.     }

  364.     /**
  365.      * Return the recovery bump up credit curve
  366.      * 
  367.      * @return The Recovery Bumped up credit curve
  368.      */

  370.     public org.drip.state.credit.CreditCurve bumpRecoveryUp()
  371.     {
  372.         return _ccRecoveryUp;
  373.     }

  375.     /**
  376.      * Return the recovery bump Down credit curve
  377.      * 
  378.      * @return The Recovery Bumped Down credit curve
  379.      */

  381.     public org.drip.state.credit.CreditCurve bumpRecoveryDown()
  382.     {
  383.         return _ccRecoveryDn;
  384.     }

  386.     /**
  387.      * Return the tenor bump up credit curve map
  388.      * 
  389.      * @return The Tenor Bumped up credit curve Map
  390.      */

  392.     public org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.credit.CreditCurve> tenorBumpUp()
  393.     {
  394.         return _mapCCTenorBumpUp;
  395.     }

  397.     /**
  398.      * Return the tenor bump Down credit curve map
  399.      * 
  400.      * @return The Tenor Bumped Down credit curve Map
  401.      */

  403.     public org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.credit.CreditCurve>
  404.         tenorBumpDown()
  405.     {
  406.         return _mapCCTenorBumpDn;
  407.     }

  409.     /**
  410.      * Return the Custom credit curve map
  411.      * 
  412.      * @return The Custom credit curve Map
  413.      */

  415.     public org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.credit.CreditCurve> custom()
  416.     {
  417.         return _mapCCCustom;
  418.     }
  419. }
Created with JaCoCo 0.7.9.201702052155