CDSBasketBuilder.java

  1. package org.drip.product.creator;

  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>CDSBasketBuilder</i> contains the suite of helper functions for creating the CDS Basket Product from
  87.  * different kinds of inputs and byte streams.
  88.  *
  89.  *  <br><br>
  90.  *  <ul>
  91.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  92.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  93.  *      <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>
  94.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/product/creator/README.md">Streams and Products Construction Utilities</a></li>
  95.  *  </ul>
  96.  * <br><br>
  97.  * 
  98.  * @author Lakshmi Krishnamurthy
  99.  */

  101. public class CDSBasketBuilder {

  103.     /**
  104.      * Create the named CDX from effective, maturity, coupon, IR curve name, credit curve name set, and their
  105.      *  weights.
  106.      * 
  107.      * @param dtEffective JulianDate Effective
  108.      * @param dtMaturity JulianDate Maturity
  109.      * @param dblCoupon Coupon
  110.      * @param strIR IR curve name
  111.      * @param astrCC credit curve name
  112.      * @param adblWeight Credit Component Weights
  113.      * @param strName CDX name
  114.      * 
  115.      * @return BasketDefaultSwap
  116.      */

  118.     public static final org.drip.product.definition.BasketProduct MakeCDX (
  119.         final org.drip.analytics.date.JulianDate dtEffective,
  120.         final org.drip.analytics.date.JulianDate dtMaturity,
  121.         final double dblCoupon,
  122.         final java.lang.String strIR,
  123.         final java.lang.String[] astrCC,
  124.         final double[] adblWeight,
  125.         final java.lang.String strName)
  126.     {
  127.         if (null == dtEffective || null == dtMaturity || !org.drip.numerical.common.NumberUtil.IsValid (dblCoupon)
  128.             || null == strIR || strIR.isEmpty() || null == strName || strName.isEmpty() || null == astrCC ||
  129.                 0 == astrCC.length || null == adblWeight || 0 == adblWeight.length || adblWeight.length !=
  130.                     astrCC.length)
  131.             return null;

  133.         org.drip.product.definition.CreditDefaultSwap aCDS[] = new
  134.             org.drip.product.definition.CreditDefaultSwap[astrCC.length];

  136.         for (int i = 0; i < astrCC.length; ++i) {
  137.             try {
  138.                 aCDS[i] = org.drip.product.creator.CDSBuilder.CreateCDS (dtEffective, dtMaturity, dblCoupon,
  139.                     strIR, 0.40, astrCC[i], strIR, true);
  140.             } catch (java.lang.Exception e) {
  141.                 e.printStackTrace();

  143.                 return null;
  144.             }
  145.         }

  147.         try {
  148.             return new org.drip.product.credit.CDSBasket (aCDS, adblWeight, strName);
  149.         } catch (java.lang.Exception e) {
  150.             e.printStackTrace();
  151.         }

  153.         return null;
  154.     }

  156.     /**
  157.      * Create the named CDX from effective, maturity, coupon, IR curve name, credit curve name set.
  158.      * 
  159.      * @param dtEffective JulianDate Effective
  160.      * @param dtMaturity JulianDate Maturity
  161.      * @param dblCoupon Coupon
  162.      * @param strIR IR curve name
  163.      * @param astrCC credit curve name
  164.      * @param strName CDX name
  165.      * 
  166.      * @return BasketDefaultSwap
  167.      */

  169.     public static final org.drip.product.definition.BasketProduct MakeCDX (
  170.         final org.drip.analytics.date.JulianDate dtEffective,
  171.         final org.drip.analytics.date.JulianDate dtMaturity,
  172.         final double dblCoupon,
  173.         final java.lang.String strIR,
  174.         final java.lang.String[] astrCC,
  175.         final java.lang.String strName)
  176.     {
  177.         if (null == dtEffective || null == dtMaturity || !org.drip.numerical.common.NumberUtil.IsValid (dblCoupon)
  178.             || null == strIR || strIR.isEmpty() || null == strName || strName.isEmpty() || null == astrCC ||
  179.                 0 == astrCC.length)
  180.             return null;

  182.         org.drip.product.definition.CreditDefaultSwap aCDS[] = new
  183.             org.drip.product.definition.CreditDefaultSwap[astrCC.length];

  185.         for (int i = 0; i < astrCC.length; ++i) {
  186.             try {
  187.                 aCDS[i] = org.drip.product.creator.CDSBuilder.CreateCDS (dtEffective, dtMaturity, dblCoupon,
  188.                     strIR, 0.40, astrCC[i], strIR, true);
  189.             } catch (java.lang.Exception e) {
  190.                 e.printStackTrace();

  192.                 return null;
  193.             }
  194.         }

  196.         try {
  197.             double adblWeight[] = new double[aCDS.length];

  199.             for (int i = 0; i < aCDS.length; ++i)
  200.                 adblWeight[i] = 1.;

  202.             return new org.drip.product.credit.CDSBasket (aCDS, adblWeight, strName);
  203.         } catch (java.lang.Exception e) {
  204.             e.printStackTrace();
  205.         }

  207.         return null;
  208.     }

  210.     /**
  211.      * Create the basket default swap from an array of the credit components.
  212.      * 
  213.      * @param aComp Array of the credit components
  214.      * 
  215.      * @return BasketDefaultSwap object
  216.      */

  218.     public static final org.drip.product.definition.BasketProduct MakeBasketDefaultSwap (
  219.         final org.drip.product.definition.Component[] aComp)
  220.     {
  221.         try {
  222.             double adblWeight[] = new double[aComp.length];

  224.             for (int i = 0; i < aComp.length; ++i)
  225.                 adblWeight[i] = 1.;

  227.             return new org.drip.product.credit.CDSBasket (aComp, adblWeight, "");
  228.         } catch (java.lang.Exception e) {
  229.             e.printStackTrace();
  230.         }

  232.         return null;
  233.     }
  234. }
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