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;
    }
}