SingleStreamComponent.java

  1. package org.drip.product.rates;

  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>SingleStreamComponent</i> implements fixed income component that is based off of a single stream.
  84.  * 
  85.  * <br><br>
  86.  *  <ul>
  87.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  88.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  89.  *      <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>
  90.  *      <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>
  91.  *  </ul>
  92.  * <br><br>
  93.  * 
  94.  * @author Lakshmi Krishnamurthy
  95.  */

  97. public class SingleStreamComponent extends org.drip.product.definition.CalibratableComponent {
  98.     private java.lang.String _strCode = "";
  99.     private java.lang.String _strName = "";
  100.     private org.drip.product.rates.Stream _stream = null;
  101.     private org.drip.param.valuation.CashSettleParams _csp = null;

  103.     /**
  104.      * SingleStreamComponent constructor
  105.      * 
  106.      * @param strName The Component Name
  107.      * @param stream The Single Stream Instance
  108.      * @param csp Cash Settle Parameters Instance
  109.      * 
  110.      * @throws java.lang.Exception Thrown if the Inputs are invalid
  111.      */

  113.     public SingleStreamComponent (
  114.         final java.lang.String strName,
  115.         final org.drip.product.rates.Stream stream,
  116.         final org.drip.param.valuation.CashSettleParams csp)
  117.         throws java.lang.Exception
  118.     {
  119.         if (null == (_strName = strName) || _strName.isEmpty() || null == (_stream = stream))
  120.             throw new java.lang.Exception ("SingleStreamComponent ctr: Invalid Inputs");

  122.         _csp = csp;
  123.     }

  125.     /**
  126.      * Retrieve the Stream Instance
  127.      * 
  128.      * @return The Stream Instance
  129.      */

  131.     public org.drip.product.rates.Stream stream()
  132.     {
  133.         return _stream;
  134.     }

  136.     @Override public java.lang.String name()
  137.     {
  138.         return _strName;
  139.     }

  141.     @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.String> couponCurrency()
  142.     {
  143.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.String> mapCouponCurrency = new
  144.             org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.String>();

  146.         mapCouponCurrency.put (name(), _stream.couponCurrency());

  148.         return mapCouponCurrency;
  149.     }

  151.     @Override public java.lang.String payCurrency()
  152.     {
  153.         return _stream.payCurrency();
  154.     }

  156.     @Override public java.lang.String principalCurrency()
  157.     {
  158.         return null;
  159.     }

  161.     @Override public
  162.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.ForwardLabel>
  163.         forwardLabel()
  164.     {
  165.         org.drip.state.identifier.ForwardLabel forwardLabel = _stream.forwardLabel();

  167.         if (null == forwardLabel) return null;

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

  173.         mapForwardLabel.put (
  174.             "DERIVED",
  175.             forwardLabel
  176.         );

  178.         return mapForwardLabel;
  179.     }

  181.     @Override public
  182.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.OTCFixFloatLabel>
  183.         otcFixFloatLabel()
  184.     {
  185.         org.drip.state.identifier.OTCFixFloatLabel otcFixFloatLabel = _stream.otcFixFloatLabel();

  187.         if (null == otcFixFloatLabel) return null;

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

  193.         mapOTCFixFloatLabel.put (
  194.             "DERIVED",
  195.             otcFixFloatLabel
  196.         );

  198.         return mapOTCFixFloatLabel;
  199.     }

  201.     @Override public org.drip.state.identifier.FundingLabel fundingLabel()
  202.     {
  203.         return _stream.fundingLabel();
  204.     }

  206.     @Override public org.drip.state.identifier.GovvieLabel govvieLabel()
  207.     {
  208.         return org.drip.state.identifier.GovvieLabel.Standard (payCurrency());
  209.     }

  211.     @Override public org.drip.state.identifier.EntityCDSLabel creditLabel()
  212.     {
  213.         return _stream.creditLabel();
  214.     }

  216.     @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.FXLabel>
  217.         fxLabel()
  218.     {
  219.         org.drip.state.identifier.FXLabel fxLabel = _stream.fxLabel();

  221.         if (null == fxLabel) return null;

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

  226.         mapFXLabel.put (name(), fxLabel);

  228.         return mapFXLabel;
  229.     }

  231.     @Override public
  232.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.VolatilityLabel>
  233.             volatilityLabel()
  234.     {
  235.         return null;
  236.     }

  238.     @Override public double initialNotional()
  239.         throws java.lang.Exception
  240.     {
  241.         return _stream.initialNotional();
  242.     }

  244.     @Override public double notional (
  245.         final int iDate)
  246.         throws java.lang.Exception
  247.     {
  248.         return _stream.notional (iDate);
  249.     }

  251.     @Override public double notional (
  252.         final int iDate1,
  253.         final int iDate2)
  254.         throws java.lang.Exception
  255.     {
  256.         return _stream.notional (iDate1, iDate2);
  257.     }

  259.     @Override public org.drip.analytics.output.CompositePeriodCouponMetrics couponMetrics (
  260.         final int iAccrualEndDate,
  261.         final org.drip.param.valuation.ValuationParams valParams,
  262.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs)
  263.     {
  264.         return _stream.coupon (iAccrualEndDate, valParams, csqs);
  265.     }

  267.     @Override public int freq()
  268.     {
  269.         return _stream.freq();
  270.     }

  272.     @Override public org.drip.analytics.date.JulianDate effectiveDate()
  273.     {
  274.         return _stream.effective();
  275.     }

  277.     @Override public org.drip.analytics.date.JulianDate maturityDate()
  278.     {
  279.         return _stream.maturity();
  280.     }

  282.     @Override public org.drip.analytics.date.JulianDate firstCouponDate()
  283.     {
  284.         return _stream.firstCouponDate();
  285.     }

  287.     @Override public java.util.List<org.drip.analytics.cashflow.CompositePeriod> couponPeriods()
  288.     {
  289.         return _stream.cashFlowPeriod();
  290.     }

  292.     @Override public org.drip.param.valuation.CashSettleParams cashSettleParams()
  293.     {
  294.         return _csp;
  295.     }

  297.     @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> value (
  298.         final org.drip.param.valuation.ValuationParams valParams,
  299.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  300.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  301.         final org.drip.param.valuation.ValuationCustomizationParams quotingParams)
  302.     {
  303.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapResult = _stream.value
  304.             (valParams, pricerParams, csqs, quotingParams);

  306.         if (null == mapResult) return null;

  308.         mapResult.put ("ForwardRate", mapResult.get ("Rate"));

  310.         return mapResult;
  311.     }

  313.     @Override public java.util.Set<java.lang.String> measureNames()
  314.     {
  315.         java.util.Set<java.lang.String> setMeasureNames = _stream.availableMeasures();

  317.         setMeasureNames.add ("ForwardRate");

  319.         return setMeasureNames;
  320.     }

  322.     @Override public double pv (
  323.         final org.drip.param.valuation.ValuationParams valParams,
  324.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  325.         final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
  326.         final org.drip.param.valuation.ValuationCustomizationParams vcp)
  327.         throws java.lang.Exception
  328.     {
  329.         return _stream.pv (valParams, pricerParams, csqc, vcp);
  330.     }

  332.     @Override public void setPrimaryCode (
  333.         final java.lang.String strCode)
  334.     {
  335.         _strCode = strCode;
  336.     }

  338.     @Override public java.lang.String primaryCode()
  339.     {
  340.         return _strCode;
  341.     }

  343.     @Override public org.drip.numerical.differentiation.WengertJacobian jackDDirtyPVDManifestMeasure (
  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 quotingParams)
  348.     {
  349.         if (null == valParams || valParams.valueDate() >= maturityDate().julian() || null == csqs)
  350.             return null;

  352.         org.drip.state.discount.MergedDiscountForwardCurve dcFunding = csqs.fundingState (fundingLabel());

  354.         if (null == dcFunding) return null;

  356.         try {
  357.             org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapMeasures = value
  358.                 (valParams, pricerParams, csqs, quotingParams);

  360.             if (null == mapMeasures) return null;

  362.             int iEffectiveDate = effectiveDate().julian();

  364.             double dblDFEffective = dcFunding.df (iEffectiveDate);

  366.             double dblDFMaturity = dcFunding.df (maturityDate().julian());

  368.             org.drip.numerical.differentiation.WengertJacobian wjDFEffective = dcFunding.jackDDFDManifestMeasure
  369.                 (iEffectiveDate, "Rate");

  371.             org.drip.numerical.differentiation.WengertJacobian wjDFMaturity = dcFunding.jackDDFDManifestMeasure
  372.                 (maturityDate().julian(), "Rate");

  374.             if (null == wjDFEffective || null == wjDFMaturity) return null;

  376.             org.drip.numerical.differentiation.WengertJacobian wjPVDFMicroJack = new
  377.                 org.drip.numerical.differentiation.WengertJacobian (1, wjDFMaturity.numParameters());

  379.             for (int i = 0; i < wjDFMaturity.numParameters(); ++i) {
  380.                 if (!wjPVDFMicroJack.accumulatePartialFirstDerivative (0, i, wjDFMaturity.firstDerivative (0,
  381.                     i) / dblDFEffective))
  382.                     return null;

  384.                 if (!wjPVDFMicroJack.accumulatePartialFirstDerivative (0, i, -wjDFEffective.firstDerivative
  385.                     (0, i) * dblDFMaturity / dblDFEffective / dblDFEffective))
  386.                     return null;
  387.             }

  389.             return wjPVDFMicroJack;
  390.         } catch (java.lang.Exception e) {
  391.             e.printStackTrace();
  392.         }

  394.         return null;
  395.     }

  397.     @Override public org.drip.numerical.differentiation.WengertJacobian manifestMeasureDFMicroJack (
  398.         final java.lang.String strManifestMeasure,
  399.         final org.drip.param.valuation.ValuationParams valParams,
  400.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  401.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  402.         final org.drip.param.valuation.ValuationCustomizationParams quotingParams)
  403.     {
  404.         if (null == valParams || valParams.valueDate() >= maturityDate().julian() || null ==
  405.             strManifestMeasure || strManifestMeasure.isEmpty() || null == csqs)
  406.             return null;

  408.         org.drip.state.discount.MergedDiscountForwardCurve dcFunding = csqs.fundingState (fundingLabel());

  410.         if (null == dcFunding) return null;

  412.         if ("Rate".equalsIgnoreCase (strManifestMeasure)) {
  413.             int iEffectiveDate = effectiveDate().julian();

  415.             try {
  416.                 double dblDFEffective = dcFunding.df (iEffectiveDate);

  418.                 double dblDFMaturity = dcFunding.df (maturityDate().julian());

  420.                 org.drip.numerical.differentiation.WengertJacobian wjDFEffective = dcFunding.jackDDFDManifestMeasure
  421.                     (iEffectiveDate, "Rate");

  423.                 org.drip.numerical.differentiation.WengertJacobian wjDFMaturity = dcFunding.jackDDFDManifestMeasure
  424.                     (maturityDate().julian(), "Rate");

  426.                 if (null == wjDFEffective || null == wjDFMaturity) return null;

  428.                 org.drip.numerical.differentiation.WengertJacobian wjDFMicroJack = new
  429.                     org.drip.numerical.differentiation.WengertJacobian (1, wjDFMaturity.numParameters());

  431.                 for (int i = 0; i < wjDFMaturity.numParameters(); ++i) {
  432.                     if (!wjDFMicroJack.accumulatePartialFirstDerivative (0, i,
  433.                         wjDFMaturity.firstDerivative (0, i) / dblDFEffective))
  434.                         return null;

  436.                     if (!wjDFMicroJack.accumulatePartialFirstDerivative (0, i, -1. *
  437.                         wjDFEffective.firstDerivative (0, i) * dblDFMaturity / dblDFEffective /
  438.                             dblDFEffective))
  439.                         return null;
  440.                 }

  442.                 return wjDFMicroJack;
  443.             } catch (java.lang.Exception e) {
  444.                 e.printStackTrace();
  445.             }
  446.         }

  448.         return null;
  449.     }

  451.     @Override public org.drip.product.calib.ProductQuoteSet calibQuoteSet (
  452.         final org.drip.state.representation.LatentStateSpecification[] aLSS)
  453.     {
  454.         try {
  455.             return new org.drip.product.calib.FloatingStreamQuoteSet (aLSS);
  456.         } catch (java.lang.Exception e) {
  457.             e.printStackTrace();
  458.         }

  460.         return null;
  461.     }

  463.     @Override public org.drip.state.estimator.PredictorResponseWeightConstraint forwardPRWC (
  464.         final org.drip.param.valuation.ValuationParams valParams,
  465.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  466.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  467.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  468.         final org.drip.product.calib.ProductQuoteSet pqs)
  469.     {
  470.         return _stream.forwardPRWC (valParams, pricerParams, csqs, vcp, pqs);
  471.     }

  473.     @Override public org.drip.state.estimator.PredictorResponseWeightConstraint fundingPRWC (
  474.         final org.drip.param.valuation.ValuationParams valParams,
  475.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  476.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  477.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  478.         final org.drip.product.calib.ProductQuoteSet pqs)
  479.     {
  480.         return _stream.fundingPRWC (valParams, pricerParams, csqs, vcp, pqs);
  481.     }

  483.     @Override public org.drip.state.estimator.PredictorResponseWeightConstraint fundingForwardPRWC (
  484.         final org.drip.param.valuation.ValuationParams valParams,
  485.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  486.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  487.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  488.         final org.drip.product.calib.ProductQuoteSet pqs)
  489.     {
  490.         return _stream.fundingForwardPRWC (valParams, pricerParams, csqs, vcp, pqs);
  491.     }

  493.     @Override public org.drip.state.estimator.PredictorResponseWeightConstraint fxPRWC (
  494.         final org.drip.param.valuation.ValuationParams valParams,
  495.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  496.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  497.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  498.         final org.drip.product.calib.ProductQuoteSet pqs)
  499.     {
  500.         return _stream.fxPRWC (valParams, pricerParams, csqs, vcp, pqs);
  501.     }

  503.     @Override public org.drip.state.estimator.PredictorResponseWeightConstraint govviePRWC (
  504.         final org.drip.param.valuation.ValuationParams valParams,
  505.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  506.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  507.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  508.         final org.drip.product.calib.ProductQuoteSet pqs)
  509.     {
  510.         return null;
  511.     }

  513.     @Override public org.drip.state.estimator.PredictorResponseWeightConstraint volatilityPRWC (
  514.         final org.drip.param.valuation.ValuationParams valParams,
  515.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  516.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  517.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  518.         final org.drip.product.calib.ProductQuoteSet pqs)
  519.     {
  520.         return null;
  521.     }

  523.     @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> calibMeasures (
  524.         final org.drip.param.valuation.ValuationParams valParams,
  525.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  526.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  527.         final org.drip.param.valuation.ValuationCustomizationParams quotingParams)
  528.     {
  529.         return null;
  530.     }
  531. }
Created with JaCoCo 0.7.9.201702052155