CalibratableComponent.java

  1. package org.drip.product.definition;

  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>CalibratableComponent</i> abstract class provides implementation of Component's calibration interface.
  87.  * It exposes stubs for getting/setting the component’s calibration code, generate calibrated measure values
  88.  * from the market inputs, and compute micro-Jacobians (QuoteDF and PVDF micro-Jacks).
  89.  *
  90.  *  <br><br>
  91.  *  <ul>
  92.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  93.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  94.  *      <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>
  95.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/product/credit/README.md">Fixed Income Components/Baskets Definitions</a></li>
  96.  *  </ul>
  97.  * <br><br>
  98.  * 
  99.  * @author Lakshmi Krishnamurthy
  100.  */

  102. public abstract class CalibratableComponent extends org.drip.product.definition.Component {

  104.     /**
  105.      * Return the primary code
  106.      * 
  107.      * @return Primary Code
  108.      */

  110.     public abstract java.lang.String primaryCode();

  112.     /**
  113.      * Set the component's primary code
  114.      * 
  115.      * @param strCode Primary Code
  116.      */

  118.     public abstract void setPrimaryCode (
  119.         final java.lang.String strCode);

  121.     /**
  122.      * Get the component's secondary codes
  123.      * 
  124.      * @return Array of strings containing the secondary codes
  125.      */

  127.     public java.lang.String[] secondaryCode()
  128.     {
  129.         return new java.lang.String[] {primaryCode()};
  130.     }

  132.     /**
  133.      * Generate the Product Specific Calibration Quote Set
  134.      * 
  135.      * @param aLSS Array of Latent State Specification
  136.      * 
  137.      * @return The Product Specific Calibration Quote Set
  138.      */

  140.     public abstract org.drip.product.calib.ProductQuoteSet calibQuoteSet (
  141.         final org.drip.state.representation.LatentStateSpecification[] aLSS);

  143.     /**
  144.      * Generate a Map of the Calibration Measures
  145.      * 
  146.      * @param valParams Valuation Parameters
  147.      * @param pricerParams Pricer Parameters
  148.      * @param csqs Market Parameters
  149.      * @param vcp Valuation Customization Parameters
  150.      * 
  151.      * @return Map of the Calibration Measures
  152.      */

  154.     public abstract org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> calibMeasures (
  155.         final org.drip.param.valuation.ValuationParams valParams,
  156.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  157.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  158.         final org.drip.param.valuation.ValuationCustomizationParams vcp);

  160.     /**
  161.      * Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Funding
  162.      *  Curve Discount Factor Latent State from the Component's Cash Flows. The Constraints here typically
  163.      *  correspond to Date/Cash Flow pairs and the corresponding leading PV.
  164.      * 
  165.      * @param valParams Valuation Parameters
  166.      * @param pricerParams Pricer Parameters
  167.      * @param csqs Component Market Parameters
  168.      * @param vcp Valuation Customization Parameters
  169.      * @param pqs Product Quote Set
  170.      * 
  171.      * @return The Calibratable Linearized Predictor/Response Constraints (Date/Cash Flow pairs and the
  172.      *  corresponding PV)
  173.      */

  175.     public abstract org.drip.state.estimator.PredictorResponseWeightConstraint fundingPRWC (
  176.         final org.drip.param.valuation.ValuationParams valParams,
  177.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  178.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  179.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  180.         final org.drip.product.calib.ProductQuoteSet pqs);

  182.     /**
  183.      * Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Forward
  184.      *  Factor Latent State from the Component's Cash Flows. The Constraints here typically correspond to
  185.      *  Date/Cash Flow pairs and the corresponding leading PV.
  186.      * 
  187.      * @param valParams Valuation Parameters
  188.      * @param pricerParams Pricer Parameters
  189.      * @param csqs Component Market Parameters
  190.      * @param vcp Valuation Customization Parameters
  191.      * @param pqs Product Quote Set
  192.      * 
  193.      * @return The Calibratable Linearized Predictor/Response Constraints (Date/Cash Flow pairs and the
  194.      *  corresponding PV)
  195.      */

  197.     public abstract org.drip.state.estimator.PredictorResponseWeightConstraint forwardPRWC (
  198.         final org.drip.param.valuation.ValuationParams valParams,
  199.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  200.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  201.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  202.         final org.drip.product.calib.ProductQuoteSet pqs);

  204.     /**
  205.      * Generate the Calibratable Linearized Predictor/Response Constraint Weights for the merged Funding and
  206.      *  Forward Latent States from the Component's Cash Flows. The Constraints here typically correspond to
  207.      *  Date/Cash Flow pairs and the corresponding leading PV.
  208.      * 
  209.      * @param valParams Valuation Parameters
  210.      * @param pricerParams Pricer Parameters
  211.      * @param csqs Component Market Parameters
  212.      * @param vcp Valuation Customization Parameters
  213.      * @param pqs Product Quote Set
  214.      * 
  215.      * @return The Calibratable Linearized Predictor/Response Constraints (Date/Cash Flow pairs and the
  216.      *  corresponding PV)
  217.      */

  219.     public abstract org.drip.state.estimator.PredictorResponseWeightConstraint fundingForwardPRWC (
  220.         final org.drip.param.valuation.ValuationParams valParams,
  221.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  222.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  223.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  224.         final org.drip.product.calib.ProductQuoteSet pqs);

  226.     /**
  227.      * Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged FX Curve
  228.      *  FX Forward Latent State from the Component's Cash Flows. The Constraints here typically correspond to
  229.      *  Date/Cash Flow pairs and the corresponding leading PV.
  230.      * 
  231.      * @param valParams Valuation Parameters
  232.      * @param pricerParams Pricer Parameters
  233.      * @param csqs Component Market Parameters
  234.      * @param vcp Valuation Customization Parameters
  235.      * @param pqs Product Quote Set
  236.      * 
  237.      * @return The Calibratable Linearized Predictor/Response Constraints (Date/Cash Flow pairs and the
  238.      *  corresponding FX Forward)
  239.      */

  241.     public abstract org.drip.state.estimator.PredictorResponseWeightConstraint fxPRWC (
  242.         final org.drip.param.valuation.ValuationParams valParams,
  243.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  244.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  245.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  246.         final org.drip.product.calib.ProductQuoteSet pqs);

  248.     /**
  249.      * Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Govvie
  250.      *  Curve FX Forward Latent State from the Component's Cash Flows. The Constraints here typically
  251.      *  correspond to Date/Cash Flow pairs and the corresponding leading PV.
  252.      * 
  253.      * @param valParams Valuation Parameters
  254.      * @param pricerParams Pricer Parameters
  255.      * @param csqs Component Market Parameters
  256.      * @param vcp Valuation Customization Parameters
  257.      * @param pqs Product Quote Set
  258.      * 
  259.      * @return The Calibratable Linearized Predictor/Response Constraints (Date/Cash Flow pairs and the
  260.      *  corresponding Govvie Forward)
  261.      */

  263.     public abstract org.drip.state.estimator.PredictorResponseWeightConstraint govviePRWC (
  264.         final org.drip.param.valuation.ValuationParams valParams,
  265.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  266.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  267.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  268.         final org.drip.product.calib.ProductQuoteSet pqs);

  270.     /**
  271.      * Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged
  272.      *  Volatility Latent State from the Component's Cash Flows. The Constraints here typically correspond to
  273.      *  Date/Cash Flow pairs and the corresponding leading PV.
  274.      * 
  275.      * @param valParams Valuation Parameters
  276.      * @param pricerParams Pricer Parameters
  277.      * @param csqs Component Market Parameters
  278.      * @param vcp Valuation Customization Parameters
  279.      * @param pqs Product Quote Set
  280.      * 
  281.      * @return The Calibratable Linearized Predictor/Response Constraints (Date/Cash Flow pairs and the
  282.      *  corresponding PV)
  283.      */

  285.     public abstract org.drip.state.estimator.PredictorResponseWeightConstraint volatilityPRWC (
  286.         final org.drip.param.valuation.ValuationParams valParams,
  287.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  288.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  289.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  290.         final org.drip.product.calib.ProductQuoteSet pqs);

  292.     /**
  293.      * Compute the Jacobian of the Dirty PV to the Calibrated Input Manifest Measures
  294.      * 
  295.      * @param valParams Valuation Parameters
  296.      * @param pricerParams Pricer Parameters
  297.      * @param csqs Component Market Parameters
  298.      * @param vcp Valuation Customization Parameters
  299.      * 
  300.      * @return The micro-Jacobian
  301.      */

  303.     public abstract org.drip.numerical.differentiation.WengertJacobian jackDDirtyPVDManifestMeasure (
  304.         final org.drip.param.valuation.ValuationParams valParams,
  305.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  306.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  307.         final org.drip.param.valuation.ValuationCustomizationParams vcp);

  309.     /**
  310.      * Compute the micro-Jacobian of the given measure to the DF
  311.      * 
  312.      * @param strMainfestMeasure Manifest Measure Name
  313.      * @param valParams Valuation Parameters
  314.      * @param pricerParams Pricer Parameters
  315.      * @param csqs Component Market Parameters
  316.      * @param vcp Valuation Customization Parameters
  317.      * 
  318.      * @return The micro-Jacobian
  319.      */

  321.     public abstract org.drip.numerical.differentiation.WengertJacobian manifestMeasureDFMicroJack (
  322.         final java.lang.String strMainfestMeasure,
  323.         final org.drip.param.valuation.ValuationParams valParams,
  324.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  325.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  326.         final org.drip.param.valuation.ValuationCustomizationParams vcp);

  328.     /**
  329.      * Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Component from the
  330.      *  Market Inputs. The Constraints here typically correspond to Date/Cash Flow pairs and the
  331.      *  corresponding leading PV.
  332.      * 
  333.      * @param valParams Valuation Parameters
  334.      * @param pricerParams Pricer Parameters
  335.      * @param csqs Component Market Parameters
  336.      * @param vcp Valuation Customization Parameters
  337.      * @param pqs The Product Calibration Quote Set
  338.      * 
  339.      * @return The Calibratable Linearized Predictor/Response Constraints (Date/Cash Flow pairs and the
  340.      *  corresponding PV)
  341.      */

  343.     public org.drip.state.estimator.PredictorResponseWeightConstraint calibPRWC (
  344.         final org.drip.param.valuation.ValuationParams valParams,
  345.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  346.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  347.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  348.         final org.drip.product.calib.ProductQuoteSet pqs)
  349.     {
  350.         if (null == valParams || null == pqs) return null;

  352.         if (pqs.containsLatentStateType
  353.             (org.drip.analytics.definition.LatentStateStatic.LATENT_STATE_FUNDING) &&
  354.                 pqs.containsLatentStateQuantificationMetric
  355.                     (org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_DISCOUNT_FACTOR) &&
  356.                         pqs.containsLatentStateType
  357.                             (org.drip.analytics.definition.LatentStateStatic.LATENT_STATE_FORWARD) &&
  358.                                 pqs.containsLatentStateQuantificationMetric
  359.                                     (org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_FORWARD_RATE))
  360.             return fundingForwardPRWC (valParams, pricerParams, csqs, vcp, pqs);

  362.         if (pqs.containsLatentStateType
  363.             (org.drip.analytics.definition.LatentStateStatic.LATENT_STATE_FUNDING) &&
  364.                 pqs.containsLatentStateQuantificationMetric
  365.                     (org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_DISCOUNT_FACTOR))
  366.             return fundingPRWC (valParams, pricerParams, csqs, vcp, pqs);

  368.         if (pqs.containsLatentStateType
  369.             (org.drip.analytics.definition.LatentStateStatic.LATENT_STATE_FORWARD) &&
  370.                 pqs.containsLatentStateQuantificationMetric
  371.                     (org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_FORWARD_RATE))
  372.             return forwardPRWC (valParams, pricerParams, csqs, vcp, pqs);

  374.         if (pqs.containsLatentStateType
  375.             (org.drip.analytics.definition.LatentStateStatic.LATENT_STATE_FX) &&
  376.                 pqs.containsLatentStateQuantificationMetric
  377.                     (org.drip.analytics.definition.LatentStateStatic.FX_QM_FORWARD_OUTRIGHT))
  378.             return fxPRWC (valParams, pricerParams, csqs, vcp, pqs);

  380.         if (pqs.containsLatentStateType
  381.             (org.drip.analytics.definition.LatentStateStatic.LATENT_STATE_GOVVIE) &&
  382.                 pqs.containsLatentStateQuantificationMetric
  383.                     (org.drip.analytics.definition.LatentStateStatic.GOVVIE_QM_YIELD))
  384.             return govviePRWC (valParams, pricerParams, csqs, vcp, pqs);

  386.         if (pqs.containsLatentStateType
  387.             (org.drip.analytics.definition.LatentStateStatic.LATENT_STATE_VOLATILITY))
  388.             return volatilityPRWC (valParams, pricerParams, csqs, vcp, pqs);

  390.         return null;
  391.     }
  392. }
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