DiscountCurveScenarioContainer.java
package org.drip.param.market;
/*
* -*- 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
* Copyright (C) 2011 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>DiscountCurveScenarioContainer</i> implements the RatesScenarioCurve abstract class that exposes the
* interface the constructs scenario discount curves. The following curve construction scenarios are
* supported:
*
* <br><br>
* <ul>
* <li>
* Base, flat/tenor up/down by arbitrary bumps
* </li>
* <li>
* Tenor bumped discount curve set - keyed using the tenor
* </li>
* <li>
* NTP-based custom scenario curves
* </li>
* </ul>
*
* <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/market/README.md">Curves Surfaces Quotes Fixings Container</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class DiscountCurveScenarioContainer {
/**
* Base Discount Curve
*/
public static final int DC_BASE = 0;
/**
* Discount Curve Parallel Bump Up
*/
public static final int DC_FLAT_UP = 1;
/**
* Discount Curve Parallel Bump Down
*/
public static final int DC_FLAT_DN = 2;
/**
* Discount Curve Tenor Bump Up
*/
public static final int DC_TENOR_UP = 4;
/**
* Discount Curve Tenor Bump Down
*/
public static final int DC_TENOR_DN = 8;
private org.drip.state.discount.MergedDiscountForwardCurve _dcBase = null;
private org.drip.state.discount.MergedDiscountForwardCurve _dcBumpUp = null;
private org.drip.state.discount.MergedDiscountForwardCurve _dcBumpDn = null;
private org.drip.product.definition.CalibratableComponent[] _aCalibInst = null;
private org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.discount.MergedDiscountForwardCurve>
_mapDCCustom = null;
private org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.discount.MergedDiscountForwardCurve>
_mapDCBumpUp = null;
private org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.discount.MergedDiscountForwardCurve>
_mapDCBumpDn = null;
/**
* Constructs an DiscountCurveScenarioContainer instance from the corresponding
* DiscountCurveScenarioGenerator
*
* @param aCalibInst Array of calibration instruments
*
* @throws java.lang.Exception Thrown if the IRCurveScenarioGenerator instance is invalid
*/
public DiscountCurveScenarioContainer (
final org.drip.product.definition.CalibratableComponent[] aCalibInst)
throws java.lang.Exception
{
if (null == (_aCalibInst = aCalibInst) || 0 == _aCalibInst.length)
throw new java.lang.Exception ("DiscountCurveScenarioContainer ctr => Invalid Inputs");
}
/**
* Generate the set of discount curves from the scenario specified, and the instrument quotes
*
* @param valParams Valuation Parameters
* @param gc The Govvie Curve
* @param adblCalibQuote Matched array of the calibration instrument quotes
* @param astrCalibMeasure Matched array of the calibration instrument measures
* @param dblBump Amount of bump to be applied
* @param lsfc Latent State Fixings Container
* @param vcp Valuation Customization Parameters
* @param iDCMode One of the values in the DC_ enum listed above.
*
* @return Success (true), failure (false)
*/
public boolean cookScenarioDC (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.state.govvie.GovvieCurve gc,
final double[] adblCalibQuote,
final java.lang.String[] astrCalibMeasure,
final double dblBump,
final org.drip.param.market.LatentStateFixingsContainer lsfc,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iDCMode)
{
if (null == (_dcBase = org.drip.state.boot.DiscountCurveScenario.Standard (valParams, _aCalibInst,
adblCalibQuote, astrCalibMeasure, 0., gc, lsfc, vcp)))
return false;
if (0 != (org.drip.param.market.DiscountCurveScenarioContainer.DC_FLAT_UP & iDCMode)) {
if (null == (_dcBumpUp = org.drip.state.boot.DiscountCurveScenario.Standard (valParams,
_aCalibInst, adblCalibQuote, astrCalibMeasure, dblBump, gc, lsfc, vcp)))
return false;
}
if (0 != (org.drip.param.market.DiscountCurveScenarioContainer.DC_FLAT_DN & iDCMode)) {
if (null == (_dcBumpDn = org.drip.state.boot.DiscountCurveScenario.Standard (valParams,
_aCalibInst, adblCalibQuote, astrCalibMeasure, -dblBump, gc, lsfc, vcp)))
return false;
}
if (0 != (org.drip.param.market.DiscountCurveScenarioContainer.DC_TENOR_UP & iDCMode)) {
if (null == (_mapDCBumpUp = org.drip.state.boot.DiscountCurveScenario.TenorMap (valParams,
_aCalibInst, adblCalibQuote, astrCalibMeasure, dblBump, gc, lsfc, vcp)))
return false;
}
if (0 != (org.drip.param.market.DiscountCurveScenarioContainer.DC_TENOR_DN & iDCMode)) {
if (null == (_mapDCBumpDn = org.drip.state.boot.DiscountCurveScenario.TenorMap (valParams,
_aCalibInst, adblCalibQuote, astrCalibMeasure, -dblBump, gc, lsfc, vcp)))
return false;
}
return true;
}
/**
* Return the base Discount Curve
*
* @return The base Discount Curve
*/
public org.drip.state.discount.MergedDiscountForwardCurve base()
{
return _dcBase;
}
/**
* Return the Bump Up Discount Curve
*
* @return The Bump Up Discount Curve
*/
public org.drip.state.discount.MergedDiscountForwardCurve bumpUp()
{
return _dcBumpUp;
}
/**
* Return the Bump Down Discount Curve
*
* @return The Bump Down Discount Curve
*/
public org.drip.state.discount.MergedDiscountForwardCurve bumpDown()
{
return _dcBumpDn;
}
/**
* Return the map of the tenor Bump Up Discount Curve
*
* @return The map of the tenor Bump Up Discount Curve
*/
public org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.discount.MergedDiscountForwardCurve>
tenorBumpUp()
{
return _mapDCBumpUp;
}
/**
* Return the map of the tenor Bump Down Discount Curve
*
* @return The map of the tenor Bump Down Discount Curve
*/
public org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.discount.MergedDiscountForwardCurve>
tenorBumpDown()
{
return _mapDCBumpDn;
}
/**
* Return the Custom Discount curve map
*
* @return The Custom Discount curve Map
*/
public org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.discount.MergedDiscountForwardCurve> custom()
{
return _mapDCCustom;
}
}