RatesBasket.java

package org.drip.product.rates;

/*
 * -*- 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
 * 
 *  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>RatesBasket</i> contains the implementation of the Basket of Rates Component legs. RatesBasket is made
 * from zero/more fixed and floating streams. It exports the following functionality:
 * 
 * <br><br>
 *  <ul>
 *      <li>
 *          Standard/Custom Constructor for the RatesBasket
 *      </li>
 *      <li>
 *          Dates: Effective, Maturity, Coupon dates and Product settlement Parameters
 *      </li>
 *      <li>
 *          Coupon/Notional Outstanding as well as schedules
 *      </li>
 *      <li>
 *          Retrieve the constituent fixed and floating streams
 *      </li>
 *      <li>
 *          Market Parameters: Discount, Forward, Credit, Treasury Curves
 *      </li>
 *      <li>
 *          Cash Flow Periods: Coupon flows and (Optionally) Loss Flows
 *      </li>
 *      <li>
 *          Valuation: Named Measure Generation
 *      </li>
 *      <li>
 *          Calibration: The codes and constraints generation
 *      </li>
 *      <li>
 *          Jacobians: Quote/DF and PV/DF micro-Jacobian generation
 *      </li>
 *      <li>
 *          Serialization into and de-serialization out of byte arrays
 *      </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/product/README.md">Product Components/Baskets for Credit, FRA, FX, Govvie, Rates, and Option AssetClasses</a></li>
 *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/product/rates/README.md">Fixed Income Multi-Stream Components</a></li>
 *  </ul>
 * <br><br>
 * 
 * @author Lakshmi Krishnamurthy
 */

public class RatesBasket extends org.drip.product.definition.CalibratableComponent {
    private java.lang.String _strName = "";
    private org.drip.product.rates.Stream[] _aCompFixedStream = null;
    private org.drip.product.rates.Stream[] _aCompFloatStream = null;

    /**
     * RatesBasket constructor
     * 
     * @param strName Basket Name
     * @param aCompFixedStream Array of Fixed Stream Components
     * @param aCompFloatStream Array of Float Stream Components
     * 
     * @throws java.lang.Exception Thrown if the inputs are invalid
     */

    public RatesBasket (
        final java.lang.String strName,
        final org.drip.product.rates.Stream[] aCompFixedStream,
        final org.drip.product.rates.Stream[] aCompFloatStream)
        throws java.lang.Exception
    {
        if (null == (_strName = strName) || _strName.isEmpty() || null == (_aCompFixedStream =
            aCompFixedStream) || 0 == _aCompFixedStream.length || null == (_aCompFloatStream =
                aCompFloatStream) || 0 == _aCompFloatStream.length)
            throw new java.lang.Exception ("RatesBasket ctr => Invalid Inputs");
    }

    @Override public java.lang.String name()
    {
        return _strName;
    }

    @Override public java.lang.String primaryCode()
    {
        return _strName;
    }


    /**
     * Retrieve the array of the fixed stream components
     * 
     * @return The array of the fixed stream components
     */

    public org.drip.product.rates.Stream[] getFixedStreamComponents()
    {
        return _aCompFixedStream;
    }

    /**
     * Retrieve the array of the float stream components
     * 
     * @return The array of the float stream components
     */

    public org.drip.product.rates.Stream[] getFloatStreamComponents()
    {
        return _aCompFloatStream;
    }

    @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.String> couponCurrency()
    {
        org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.String> mapCouponCurrency = new
            org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.String>();

        if (null != _aCompFixedStream) {
            int iFixedStreamLength = _aCompFixedStream.length;

            if (0 != iFixedStreamLength) {
                for (int i = 0; i < iFixedStreamLength; ++i)
                    mapCouponCurrency.put ("FIXED" + i, _aCompFixedStream[i].couponCurrency());
            }
        }

        if (null != _aCompFloatStream) {
            int iFloatStreamLength = _aCompFloatStream.length;

            if (0 != iFloatStreamLength) {
                for (int i = 0; i < iFloatStreamLength; ++i)
                    mapCouponCurrency.put ("FLOAT" + i, _aCompFloatStream[i].couponCurrency());
            }
        }

        return mapCouponCurrency;
    }

    @Override public java.lang.String payCurrency()
    {
        if (null != _aCompFixedStream && 0 != _aCompFixedStream.length)
            return _aCompFixedStream[0].payCurrency();

        if (null != _aCompFloatStream && 0 != _aCompFloatStream.length)
            return _aCompFloatStream[0].payCurrency();

        return null;
    }

    @Override public java.lang.String principalCurrency()
    {
        return null;
    }

    @Override public org.drip.state.identifier.EntityCDSLabel creditLabel()
    {
        if (null != _aCompFixedStream && 0 != _aCompFixedStream.length) {
            for (org.drip.product.rates.Stream fixedStream : _aCompFixedStream) {
                org.drip.state.identifier.EntityCDSLabel creditLabel = fixedStream.creditLabel();

                if (null != creditLabel) return creditLabel;
            }
        }

        if (null != _aCompFloatStream && 0 != _aCompFloatStream.length) {
            for (org.drip.product.rates.Stream floatStream : _aCompFloatStream) {
                org.drip.state.identifier.EntityCDSLabel creditLabel = floatStream.creditLabel();

                if (null != creditLabel) return creditLabel;
            }
        }

        return null;
    }

    @Override public
        org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.ForwardLabel>
            forwardLabel()
    {
        int iNumFloatStream = null == _aCompFloatStream ? 0 : _aCompFloatStream.length;

        if (0 == iNumFloatStream) return null;

        org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.ForwardLabel>
            mapForwardLabel = new
                org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.ForwardLabel>();

        for (int i = 0; i < iNumFloatStream; ++i)
            mapForwardLabel.put ("FLOAT" + i, _aCompFloatStream[i].forwardLabel());

        return mapForwardLabel;
    }

    @Override public
        org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.OTCFixFloatLabel>
            otcFixFloatLabel()
    {
        int iNumFloatStream = null == _aCompFloatStream ? 0 : _aCompFloatStream.length;

        if (0 == iNumFloatStream) return null;

        org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.OTCFixFloatLabel>
            mapOTCFixFloatLabel = new
                org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.OTCFixFloatLabel>();

        for (int i = 0; i < iNumFloatStream; ++i)
            mapOTCFixFloatLabel.put ("FLOAT" + i, _aCompFloatStream[i].otcFixFloatLabel());

        return mapOTCFixFloatLabel;
    }

    @Override public org.drip.state.identifier.FundingLabel fundingLabel()
    {
        return org.drip.state.identifier.FundingLabel.Standard (payCurrency());
    }

    @Override public org.drip.state.identifier.GovvieLabel govvieLabel()
    {
        return org.drip.state.identifier.GovvieLabel.Standard (payCurrency());
    }

    @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.FXLabel>
        fxLabel()
    {
        int iNumFixedStream = null == _aCompFixedStream ? 0 : _aCompFixedStream.length;
        int iNumFloatStream = null == _aCompFloatStream ? 0 : _aCompFloatStream.length;

        if (0 == iNumFixedStream && 0 == iNumFloatStream) return null;

        org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.FXLabel> mapFXLabel = new
            org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.FXLabel>();

        for (int i = 0; i < iNumFixedStream; ++i) {
            org.drip.state.identifier.FXLabel fxLabel = _aCompFixedStream[i].fxLabel();

            if (null != fxLabel) mapFXLabel.put ("FIXED" + i, fxLabel);
        }

        for (int i = 0; i < iNumFloatStream; ++i) {
            org.drip.state.identifier.FXLabel fxLabel = _aCompFloatStream[i].fxLabel();

            if (null != fxLabel) mapFXLabel.put ("FLOAT" + i, fxLabel);
        }

        return mapFXLabel;
    }

    @Override public
        org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.VolatilityLabel>
            volatilityLabel()
    {
        return null;
    }

    @Override public void setPrimaryCode (
        final java.lang.String strCode)
    {
    }

    @Override public org.drip.numerical.differentiation.WengertJacobian jackDDirtyPVDManifestMeasure (
        final org.drip.param.valuation.ValuationParams valParams,
        final org.drip.param.pricer.CreditPricerParams pricerParams,
        final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
        final org.drip.param.valuation.ValuationCustomizationParams quotingParams)
    {
        return null;
    }

    @Override public org.drip.numerical.differentiation.WengertJacobian manifestMeasureDFMicroJack (
        final java.lang.String strMainfestMeasure,
        final org.drip.param.valuation.ValuationParams valParams,
        final org.drip.param.pricer.CreditPricerParams pricerParams,
        final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
        final org.drip.param.valuation.ValuationCustomizationParams quotingParams)
    {
        return null;
    }

    @Override public org.drip.product.calib.ProductQuoteSet calibQuoteSet (
        final org.drip.state.representation.LatentStateSpecification[] aLSS)
    {
        return null;
    }

    @Override public org.drip.state.estimator.PredictorResponseWeightConstraint fundingPRWC (
        final org.drip.param.valuation.ValuationParams valParams,
        final org.drip.param.pricer.CreditPricerParams pricerParams,
        final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
        final org.drip.param.valuation.ValuationCustomizationParams quotingParams,
        final org.drip.product.calib.ProductQuoteSet pqs)
    {
        return null;
    }

    @Override public org.drip.state.estimator.PredictorResponseWeightConstraint forwardPRWC (
        final org.drip.param.valuation.ValuationParams valParams,
        final org.drip.param.pricer.CreditPricerParams pricerParams,
        final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
        final org.drip.param.valuation.ValuationCustomizationParams quotingParams,
        final org.drip.product.calib.ProductQuoteSet pqs)
    {
        return null;
    }

    @Override public org.drip.state.estimator.PredictorResponseWeightConstraint fundingForwardPRWC (
        final org.drip.param.valuation.ValuationParams valParams,
        final org.drip.param.pricer.CreditPricerParams pricerParams,
        final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
        final org.drip.param.valuation.ValuationCustomizationParams quotingParams,
        final org.drip.product.calib.ProductQuoteSet pqs)
    {
        return null;
    }

    @Override public org.drip.state.estimator.PredictorResponseWeightConstraint fxPRWC (
        final org.drip.param.valuation.ValuationParams valParams,
        final org.drip.param.pricer.CreditPricerParams pricerParams,
        final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
        final org.drip.param.valuation.ValuationCustomizationParams vcp,
        final org.drip.product.calib.ProductQuoteSet pqs)
    {
        return null;
    }

    @Override public org.drip.state.estimator.PredictorResponseWeightConstraint govviePRWC (
        final org.drip.param.valuation.ValuationParams valParams,
        final org.drip.param.pricer.CreditPricerParams pricerParams,
        final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
        final org.drip.param.valuation.ValuationCustomizationParams vcp,
        final org.drip.product.calib.ProductQuoteSet pqs)
    {
        return null;
    }

    @Override public org.drip.state.estimator.PredictorResponseWeightConstraint volatilityPRWC (
        final org.drip.param.valuation.ValuationParams valParams,
        final org.drip.param.pricer.CreditPricerParams pricerParams,
        final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
        final org.drip.param.valuation.ValuationCustomizationParams vcp,
        final org.drip.product.calib.ProductQuoteSet pqs)
    {
        return null;
    }

    @Override public double initialNotional()
        throws java.lang.Exception
    {
        return 0;
    }

    @Override public double notional (
        final int iDate)
        throws java.lang.Exception
    {
        return 0;
    }

    @Override public double notional (
        final int iDate1,
        final int iDate2)
        throws java.lang.Exception
    {
        return 0;
    }

    @Override public org.drip.analytics.output.CompositePeriodCouponMetrics couponMetrics (
        final int iAccrualEndDate,
        final org.drip.param.valuation.ValuationParams valParams,
        final org.drip.param.market.CurveSurfaceQuoteContainer csqs)
    {
        return null;
    }

    @Override public int freq()
    {
        return 0;
    }

    @Override public org.drip.analytics.date.JulianDate effectiveDate()
    {
        return null;
    }

    @Override public org.drip.analytics.date.JulianDate maturityDate()
    {
        return null;
    }

    @Override public org.drip.analytics.date.JulianDate firstCouponDate()
    {
        return null;
    }

    @Override public java.util.List<org.drip.analytics.cashflow.CompositePeriod> couponPeriods()
    {
        java.util.List<org.drip.analytics.cashflow.CompositePeriod> lsCP = new
            java.util.ArrayList<org.drip.analytics.cashflow.CompositePeriod>();

        if (null != _aCompFixedStream && 0 != _aCompFixedStream.length) {
            for (org.drip.product.rates.Stream fixedStream : _aCompFixedStream)
                lsCP.addAll (fixedStream.cashFlowPeriod());
        }

        if (null != _aCompFloatStream && 0 != _aCompFloatStream.length) {
            for (org.drip.product.rates.Stream floatStream : _aCompFloatStream)
                lsCP.addAll (floatStream.cashFlowPeriod());
        }

        return lsCP;
    }

    @Override public org.drip.param.valuation.CashSettleParams cashSettleParams()
    {
        return null;
    }

    @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> value (
        final org.drip.param.valuation.ValuationParams valParams,
        final org.drip.param.pricer.CreditPricerParams pricerParams,
        final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
        final org.drip.param.valuation.ValuationCustomizationParams quotingParams)
    {
        long lStart = System.nanoTime();

        org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapResult = new
            org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>();

        if (null != _aCompFixedStream && 0 != _aCompFixedStream.length) {
            for (org.drip.product.rates.Stream fixedStream : _aCompFixedStream) {
                org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>
                    mapFixedStreamResult = fixedStream.value (valParams, pricerParams, csqs, quotingParams);

                if (!org.drip.analytics.support.Helper.AccumulateMeasures (mapResult,
                    fixedStream.name(), mapFixedStreamResult))
                    return null;
            }
        }

        if (null != _aCompFloatStream && 0 != _aCompFloatStream.length) {
            for (org.drip.product.rates.Stream floatStream : _aCompFloatStream) {
                org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>
                    mapFixedStreamResult = floatStream.value (valParams, pricerParams, csqs, quotingParams);

                if (!org.drip.analytics.support.Helper.AccumulateMeasures (mapResult,
                    floatStream.name(), mapFixedStreamResult))
                    return null;
            }
        }

        mapResult.put ("CalcTime", (System.nanoTime() - lStart) * 1.e-09);

        return mapResult;
    }

    @Override public java.util.Set<java.lang.String> measureNames()
    {
        return null;
    }

    @Override public double pv (
        final org.drip.param.valuation.ValuationParams valParams,
        final org.drip.param.pricer.CreditPricerParams pricerParams,
        final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
        final org.drip.param.valuation.ValuationCustomizationParams vcp)
        throws java.lang.Exception
    {
        double dblDirtyPV = 0.;

        if (null != _aCompFixedStream && 0 != _aCompFixedStream.length) {
            for (org.drip.product.rates.Stream fixedStream : _aCompFixedStream)
                dblDirtyPV += fixedStream.pv (valParams, pricerParams, csqc, vcp);
        }

        if (null != _aCompFloatStream && 0 != _aCompFloatStream.length) {
            for (org.drip.product.rates.Stream floatStream : _aCompFloatStream)
                dblDirtyPV += floatStream.pv (valParams, pricerParams, csqc, vcp);
        }

        return dblDirtyPV;
    }

    @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> calibMeasures (
        final org.drip.param.valuation.ValuationParams valParams,
        final org.drip.param.pricer.CreditPricerParams pricerParams,
        final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
        final org.drip.param.valuation.ValuationCustomizationParams quotingParams)
    {
        return null;
    }
}