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

  82. /**
  83.  * <i>LatentStateFixingsContainer</i> holds the explicit fixings for a specified Latent State Quantification
  84.  * along the date ordinate.
  85.  *
  86.  *  <br><br>
  87.  *  <ul>
  88.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  89.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  90.  *      <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>
  91.  *      <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>
  92.  *  </ul>
  93.  *
  94.  * @author Lakshmi Krishnamurthy
  95.  */

  97. public class LatentStateFixingsContainer {
  98.     private java.util.Map<org.drip.analytics.date.JulianDate,
  99.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>> _mmForwardFixing = new
  100.             java.util.TreeMap<org.drip.analytics.date.JulianDate,
  101.                 org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>();

  103.     private java.util.Map<org.drip.analytics.date.JulianDate,
  104.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>> _mmOTCFixFloatFixing = new
  105.             java.util.TreeMap<org.drip.analytics.date.JulianDate,
  106.                 org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>();

  108.     private java.util.Map<org.drip.analytics.date.JulianDate,
  109.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>> _mmFXFixing = new
  110.             java.util.TreeMap<org.drip.analytics.date.JulianDate,
  111.                 org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>();

  113.     /**
  114.      * Empty LatentStateFixingsContainer Instance Constructor
  115.      */

  117.     public LatentStateFixingsContainer()
  118.     {
  119.     }

  121.     /**
  122.      * Add the Fixing corresponding to the Date/Label Pair
  123.      * 
  124.      * @param dt The Fixing Date
  125.      * @param lsl The Latent State Label
  126.      * @param dblFixing The Fixing Amount
  127.      * 
  128.      * @return TRUE - Entry successfully added
  129.      */

  131.     public boolean add (
  132.         final org.drip.analytics.date.JulianDate dt,
  133.         final org.drip.state.identifier.LatentStateLabel lsl,
  134.         final double dblFixing)
  135.     {
  136.         if (null == dt || null == lsl || !org.drip.numerical.common.NumberUtil.IsValid (dblFixing)) return false;

  138.         if (lsl instanceof org.drip.state.identifier.OTCFixFloatLabel) {
  139.             if (!_mmOTCFixFloatFixing.containsKey (dt))
  140.                 _mmOTCFixFloatFixing.put (dt, new
  141.                     org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>());

  143.             org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapOTCFixFloatFixing =
  144.                 _mmOTCFixFloatFixing.get (dt);

  146.             mapOTCFixFloatFixing.put (lsl.fullyQualifiedName(), dblFixing);

  148.             return true;
  149.         }

  151.         if (lsl instanceof org.drip.state.identifier.ForwardLabel) {
  152.             if (!_mmForwardFixing.containsKey (dt))
  153.                 _mmForwardFixing.put (dt, new
  154.                     org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>());

  156.             org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapForwardFixing =
  157.                 _mmForwardFixing.get (dt);

  159.             mapForwardFixing.put (lsl.fullyQualifiedName(), dblFixing);

  161.             return true;
  162.         }

  164.         if (lsl instanceof org.drip.state.identifier.FXLabel) {
  165.             if (!_mmFXFixing.containsKey (dt))
  166.                 _mmFXFixing.put (dt, new
  167.                     org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>());

  169.             org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapFXFixing = _mmFXFixing.get
  170.                 (dt);

  172.             mapFXFixing.put (lsl.fullyQualifiedName(), dblFixing);

  174.             return true;
  175.         }

  177.         return false;
  178.     }

  180.     /**
  181.      * Add the Latent State Fixing corresponding to the Date/Label Pair
  182.      * 
  183.      * @param iDate The Fixing Date
  184.      * @param lsl The Latent State Fixing Label
  185.      * @param dblFixing The Fixing Amount
  186.      * 
  187.      * @return TRUE - Entry successfully added
  188.      */

  190.     public boolean add (
  191.         final int iDate,
  192.         final org.drip.state.identifier.LatentStateLabel lsl,
  193.         final double dblFixing)
  194.     {
  195.         return add (new org.drip.analytics.date.JulianDate (iDate), lsl, dblFixing);
  196.     }

  198.     /**
  199.      * Remove the Latent State Fixing corresponding to the Date/Label Pair it if exists
  200.      * 
  201.      * @param dt The Fixing Date
  202.      * @param lsl The Latent State Fixing Label
  203.      * 
  204.      * @return TRUE - Entry successfully removed if it existed
  205.      */

  207.     public boolean remove (
  208.         final org.drip.analytics.date.JulianDate dt,
  209.         final org.drip.state.identifier.LatentStateLabel lsl)
  210.     {
  211.         if (null == dt || null == lsl) return false;

  213.         if (lsl instanceof org.drip.state.identifier.OTCFixFloatLabel) {
  214.             if (!_mmOTCFixFloatFixing.containsKey (dt)) return true;

  216.             _mmOTCFixFloatFixing.get (dt).remove (lsl.fullyQualifiedName());

  218.             return true;
  219.         }

  221.         if (lsl instanceof org.drip.state.identifier.ForwardLabel) {
  222.             if (!_mmForwardFixing.containsKey (dt)) return true;

  224.             _mmForwardFixing.get (dt).remove (lsl.fullyQualifiedName());

  226.             return true;
  227.         }

  229.         if (lsl instanceof org.drip.state.identifier.FXLabel) {
  230.             if (!_mmFXFixing.containsKey (dt)) return true;

  232.             _mmFXFixing.get (dt).remove (lsl.fullyQualifiedName());

  234.             return true;
  235.         }

  237.         return false;
  238.     }

  240.     /**
  241.      * Remove the Latent State Fixing corresponding to the Date/Label Pair it if exists
  242.      * 
  243.      * @param iDate The Fixing Date
  244.      * @param lsl The Latent State Fixing Label
  245.      * 
  246.      * @return TRUE - Entry successfully removed if it existed
  247.      */

  249.     public boolean remove (
  250.         final int iDate,
  251.         final org.drip.state.identifier.LatentStateLabel lsl)
  252.     {
  253.         return remove (new org.drip.analytics.date.JulianDate (iDate), lsl);
  254.     }

  256.     /**
  257.      * Retrieve the Latent State Fixing for the Specified Date/LSL Combination
  258.      * 
  259.      * @param dt Date
  260.      * @param lsl The Latent State Latent State Label
  261.      * 
  262.      * @return The Latent State Fixing for the Specified Date
  263.      * 
  264.      * @throws java.lang.Exception Thrown if the Fixing cannot be found
  265.      */

  267.     public double fixing (
  268.         final org.drip.analytics.date.JulianDate dt,
  269.         final org.drip.state.identifier.LatentStateLabel lsl)
  270.         throws java.lang.Exception
  271.     {
  272.         if (null == dt || null == lsl)
  273.             throw new java.lang.Exception
  274.                 ("LatentStateFixingsContainer::fixing => Cannot locate Latent State Fixing for the Date");

  276.         if (lsl instanceof org.drip.state.identifier.OTCFixFloatLabel) {
  277.             if (!_mmOTCFixFloatFixing.containsKey (dt))
  278.                 throw new java.lang.Exception
  279.                     ("LatentStateFixingsContainer::fixing => Cannot locate OTC Fix/Float Fixing for the Date");

  281.             org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapOTCFixFloatFixing =
  282.                 _mmOTCFixFloatFixing.get (dt);

  284.             java.lang.String strLabel = lsl.fullyQualifiedName();

  286.             if (!mapOTCFixFloatFixing.containsKey (strLabel))
  287.                 throw new java.lang.Exception
  288.                     ("LatentStateFixingsContainer::fixing => Cannot locate the OTC Fix/Float Label Entry for the Date!");

  290.             return mapOTCFixFloatFixing.get (strLabel);
  291.         }

  293.         if (lsl instanceof org.drip.state.identifier.ForwardLabel) {
  294.             if (!_mmForwardFixing.containsKey (dt))
  295.                 throw new java.lang.Exception
  296.                     ("LatentStateFixingsContainer::fixing => Cannot locate Forward Fixing for the Date");

  298.             org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapForwardFixing =
  299.                 _mmForwardFixing.get (dt);

  301.             java.lang.String strLabel = lsl.fullyQualifiedName();

  303.             if (!mapForwardFixing.containsKey (strLabel))
  304.                 throw new java.lang.Exception
  305.                     ("LatentStateFixingsContainer::fixing => Cannot locate the Forward Label Entry for the Date!");

  307.             return mapForwardFixing.get (strLabel);
  308.         }

  310.         if (lsl instanceof org.drip.state.identifier.FXLabel) {
  311.             if (!_mmFXFixing.containsKey (dt))
  312.                 throw new java.lang.Exception
  313.                     ("LatentStateFixingsContainer::fixing => Cannot locate FX Fixing for the Date");

  315.             org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapFXFixing = _mmFXFixing.get
  316.                 (dt);

  318.             java.lang.String strLabel = lsl.fullyQualifiedName();

  320.             if (!mapFXFixing.containsKey (strLabel))
  321.                 throw new java.lang.Exception
  322.                     ("LatentStateFixingsContainer::fixing => Cannot locate the FX Label Entry for the Date!");

  324.             return mapFXFixing.get (strLabel);
  325.         }

  327.         throw new java.lang.Exception
  328.             ("LatentStateFixingsContainer::fixing => No Fixings available for the Latent State");
  329.     }

  331.     /**
  332.      * Retrieve the Latent State Fixing for the Specified Date
  333.      * 
  334.      * @param iDate Date
  335.      * @param lsl The Latent State Label
  336.      * 
  337.      * @return The Fixing for the Specified Date
  338.      * 
  339.      * @throws java.lang.Exception Thrown if the Fixing cannot be found
  340.      */

  342.     public double fixing (
  343.         final int iDate,
  344.         final org.drip.state.identifier.LatentStateLabel lsl)
  345.         throws java.lang.Exception
  346.     {
  347.         return fixing (new org.drip.analytics.date.JulianDate (iDate), lsl);
  348.     }

  350.     /**
  351.      * Indicate the Availability of the Fixing for the Specified LSL Label on the specified Date
  352.      * 
  353.      * @param dt The Date
  354.      * @param lsl The Label
  355.      * 
  356.      * @return TRUE - The Fixing for the Specified LSL Label on the specified Date 
  357.      */

  359.     public boolean available (
  360.         final org.drip.analytics.date.JulianDate dt,
  361.         final org.drip.state.identifier.LatentStateLabel lsl)
  362.     {
  363.         if (null == dt || null == lsl) return false;

  365.         if (lsl instanceof org.drip.state.identifier.OTCFixFloatLabel) {
  366.             if (!_mmOTCFixFloatFixing.containsKey (dt)) return false;

  368.             return _mmOTCFixFloatFixing.get (dt).containsKey (lsl.fullyQualifiedName());
  369.         }

  371.         if (lsl instanceof org.drip.state.identifier.ForwardLabel) {
  372.             if (!_mmForwardFixing.containsKey (dt)) return false;

  374.             return _mmForwardFixing.get (dt).containsKey (lsl.fullyQualifiedName());
  375.         }

  377.         if (lsl instanceof org.drip.state.identifier.FXLabel) {
  378.             if (!_mmFXFixing.containsKey (dt)) return false;

  380.             return _mmFXFixing.get (dt).containsKey (lsl.fullyQualifiedName());
  381.         }

  383.         return false;
  384.     }

  386.     /**
  387.      * Indicate the Availability of the Fixing for the Specified LSL on the specified Date
  388.      * 
  389.      * @param iDate The Date
  390.      * @param lsl The Label
  391.      * 
  392.      * @return TRUE - The Fixing for the Specified LSL on the specified Date 
  393.      */

  395.     public boolean available (
  396.         final int iDate,
  397.         final org.drip.state.identifier.LatentStateLabel lsl)
  398.     {
  399.         return available (new org.drip.analytics.date.JulianDate (iDate), lsl);
  400.     }
  401. }
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