ProductQuoteSet.java

  1. package org.drip.product.calib;

  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>ProductQuoteSet</i> implements the Calibratable type-free Product Quote Shell. The derived calibration
  84.  * sets provide custom accessors.
  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/product/README.md">Product Components/Baskets for Credit, FRA, FX, Govvie, Rates, and Option AssetClasses</a></li>
  91.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/product/calib/README.md">Curve/Surface Calibration Quote Sets</a></li>
  92.  *  </ul>
  93.  * <br><br>
  94.  * 
  95.  * @author Lakshmi Krishnamurthy
  96.  */

  98. public class ProductQuoteSet {
  99.     private org.drip.state.representation.LatentStateSpecification[] _aLSS = null;

  101.     private org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> _mapQuote = new
  102.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>();

  104.     /**
  105.      * Product Quote Set Constructor
  106.      * 
  107.      * @param aLSS Array of Latent State Specifications
  108.      * 
  109.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  110.      */

  112.     public ProductQuoteSet (
  113.         final org.drip.state.representation.LatentStateSpecification[] aLSS)
  114.         throws java.lang.Exception
  115.     {
  116.         if (null == (_aLSS = aLSS)) throw new java.lang.Exception ("ProductQuoteSet ctr: Invalid Inputs");

  118.         int iNumLSS = _aLSS.length;

  120.         if (0 == iNumLSS) throw new java.lang.Exception ("ProductQuoteSet ctr: Invalid Inputs");

  122.         for (int i = 0; i < iNumLSS; ++i) {
  123.             if (null == _aLSS[i]) throw new java.lang.Exception ("ProductQuoteSet ctr: Invalid Inputs");
  124.         }
  125.     }

  127.     /**
  128.      * Retrieve the Array of Latent State Specification
  129.      * 
  130.      * @return The Array of Latent State Specification
  131.      */

  133.     public org.drip.state.representation.LatentStateSpecification[] lss()
  134.     {
  135.         return _aLSS;
  136.     }

  138.     /**
  139.      * Indicate if the requested Latent State Type is contained in the Quote Set
  140.      * 
  141.      * @param strLatentStateType The Requested Latent State Type
  142.      * 
  143.      * @return TRUE - The requested Latent State Type is contained in the Quote Set
  144.      */

  146.     public boolean containsLatentStateType (
  147.         final java.lang.String strLatentStateType)
  148.     {
  149.         if (null == strLatentStateType || strLatentStateType.isEmpty()) return false;

  151.         for (org.drip.state.representation.LatentStateSpecification lss : _aLSS) {
  152.             if (lss.latentState().equalsIgnoreCase (strLatentStateType)) return true;
  153.         }

  155.         return false;
  156.     }

  158.     /**
  159.      * Retrieve the Forward Latent State Label, if it exists
  160.      * 
  161.      * @return The Forward Latent State Label
  162.      */

  164.     public org.drip.state.identifier.ForwardLabel forwardLabel()
  165.     {
  166.         for (org.drip.state.representation.LatentStateSpecification lss : _aLSS) {
  167.             if (lss.latentState().equalsIgnoreCase
  168.                 (org.drip.analytics.definition.LatentStateStatic.LATENT_STATE_FORWARD))
  169.                 return (org.drip.state.identifier.ForwardLabel) lss.label();
  170.         }

  172.         return null;
  173.     }

  175.     /**
  176.      * Retrieve the Funding Latent State Label, if it exists
  177.      * 
  178.      * @return The Funding Latent State Label
  179.      */

  181.     public org.drip.state.identifier.FundingLabel fundingLabel()
  182.     {
  183.         for (org.drip.state.representation.LatentStateSpecification lss : _aLSS) {
  184.             if (lss.latentState().equalsIgnoreCase
  185.                 (org.drip.analytics.definition.LatentStateStatic.LATENT_STATE_FUNDING))
  186.                 return (org.drip.state.identifier.FundingLabel) lss.label();
  187.         }

  189.         return null;
  190.     }

  192.     /**
  193.      * Retrieve the FX Latent State Label, if it exists
  194.      * 
  195.      * @return The FX Latent State Label
  196.      */

  198.     public org.drip.state.identifier.FXLabel fxLabel()
  199.     {
  200.         for (org.drip.state.representation.LatentStateSpecification lss : _aLSS) {
  201.             if (lss.latentState().equalsIgnoreCase
  202.                 (org.drip.analytics.definition.LatentStateStatic.LATENT_STATE_FX))
  203.                 return (org.drip.state.identifier.FXLabel) lss.label();
  204.         }

  206.         return null;
  207.     }

  209.     /**
  210.      * Retrieve the Govvie Latent State Label, if it exists
  211.      * 
  212.      * @return The Govvie Latent State Label
  213.      */

  215.     public org.drip.state.identifier.GovvieLabel govvieLabel()
  216.     {
  217.         for (org.drip.state.representation.LatentStateSpecification lss : _aLSS) {
  218.             if (lss.latentState().equalsIgnoreCase
  219.                 (org.drip.analytics.definition.LatentStateStatic.LATENT_STATE_GOVVIE))
  220.                 return (org.drip.state.identifier.GovvieLabel) lss.label();
  221.         }

  223.         return null;
  224.     }

  226.     /**
  227.      * Retrieve the Volatility Latent State Label, if it exists
  228.      * 
  229.      * @return The Volatility Latent State Label
  230.      */

  232.     public org.drip.state.identifier.VolatilityLabel volatilityLabel()
  233.     {
  234.         for (org.drip.state.representation.LatentStateSpecification lss : _aLSS) {
  235.             if (lss.latentState().equalsIgnoreCase
  236.                 (org.drip.analytics.definition.LatentStateStatic.LATENT_STATE_VOLATILITY))
  237.                 return (org.drip.state.identifier.VolatilityLabel) lss.label();
  238.         }

  240.         return null;
  241.     }

  243.     /**
  244.      * Indicate if the requested Latent State Quantification Metric is contained in the Quote Set
  245.      * 
  246.      * @param strLatentStateQuantificationMetric The Requested Latent State Quantification Metric
  247.      * 
  248.      * @return TRUE - The requested Latent State Quantification Metric is contained in the Quote Set
  249.      */

  251.     public boolean containsLatentStateQuantificationMetric (
  252.         final java.lang.String strLatentStateQuantificationMetric)
  253.     {
  254.         if (null == strLatentStateQuantificationMetric || strLatentStateQuantificationMetric.isEmpty())
  255.             return false;

  257.         for (org.drip.state.representation.LatentStateSpecification lss : _aLSS) {
  258.             if (lss.latentStateQuantificationMetric().equalsIgnoreCase (strLatentStateQuantificationMetric))
  259.                 return true;
  260.         }

  262.         return false;
  263.     }

  265.     /**
  266.      * Indicate if the Specified External Latent State Specification is contained in the Array
  267.      * 
  268.      * @param strLatentState The Latent State
  269.      * @param strLatentStateQuantificationMetric The Latent State Quantification Metric
  270.      * @param label The Specific Latent State Label
  271.      * 
  272.      * @return TRUE - The Specified External Latent State Specification is contained in the Array
  273.      */

  275.     public boolean contains (
  276.         final java.lang.String strLatentState,
  277.         final java.lang.String strLatentStateQuantificationMetric,
  278.         final org.drip.state.identifier.LatentStateLabel label)
  279.     {
  280.         org.drip.state.representation.LatentStateSpecification lssExternal = null;

  282.         try {
  283.             lssExternal = new org.drip.state.representation.LatentStateSpecification (strLatentState,
  284.                 strLatentStateQuantificationMetric, label);
  285.         } catch (java.lang.Exception e) {
  286.             e.printStackTrace();

  288.             return false;
  289.         }

  291.         for (org.drip.state.representation.LatentStateSpecification lss : _aLSS) {
  292.             if (lss.match (lssExternal)) return true;
  293.         }

  295.         return false;
  296.     }

  298.     /**
  299.      * Set the named Manifest Measure Quote Value
  300.      * 
  301.      * @param strManifestMeasure The Manifest Measure
  302.      * @param dblManifestMeasureQuote The Quote Value
  303.      * 
  304.      * @return TRUE - The Manifest Measure Quote Value successfully set
  305.      */

  307.     public boolean set (
  308.         final java.lang.String strManifestMeasure,
  309.         final double dblManifestMeasureQuote)
  310.     {
  311.         if (null == strManifestMeasure || strManifestMeasure.isEmpty() ||
  312.             !org.drip.numerical.common.NumberUtil.IsValid (dblManifestMeasureQuote))
  313.             return false;

  315.         _mapQuote.put (strManifestMeasure, dblManifestMeasureQuote);

  317.         return true;
  318.     }

  320.     /**
  321.      * Retrieve the Quote corresponding to the Specified Manifest Measure
  322.      * 
  323.      * @param strManifestMeasure The Manifest Measure
  324.      * 
  325.      * @return The Corresponding Quote
  326.      * 
  327.      * @throws java.lang.Exception Thrown if the Quote cannot be extracted
  328.      */

  330.     public double get (
  331.         final java.lang.String strManifestMeasure)
  332.         throws java.lang.Exception
  333.     {
  334.         if (null == strManifestMeasure || strManifestMeasure.isEmpty() || !_mapQuote.containsKey
  335.             (strManifestMeasure))
  336.             throw new java.lang.Exception ("ProductQuoteSet::get - Invalid Inputs");

  338.         return _mapQuote.get (strManifestMeasure);
  339.     }

  341.     /**
  342.      * Indicate if the Manifest Measure is available
  343.      * 
  344.      * @param strManifestMeasure The Manifest Measure
  345.      * 
  346.      * @return TRUE - The Manifest Measure is Available
  347.      */

  349.     public boolean contains (
  350.         final java.lang.String strManifestMeasure)
  351.     {
  352.         return null != strManifestMeasure && !strManifestMeasure.isEmpty() && _mapQuote.containsKey
  353.             (strManifestMeasure);
  354.     }

  356.     /**
  357.      * Return the Set of Fields Available
  358.      * 
  359.      * @return The Set of Fields Available
  360.      */

  362.     public java.util.Set<java.lang.String> fields()
  363.     {
  364.         return _mapQuote.keySet();
  365.     }
  366. }
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