ATMTTESurface2D.java

package org.drip.sample.stretch;

import java.util.TreeMap;

import org.drip.numerical.common.FormatUtil;
import org.drip.spline.basis.PolynomialFunctionSetParams;
import org.drip.spline.grid.*;
import org.drip.spline.multidimensional.WireSurfaceStretch;
import org.drip.spline.params.*;
import org.drip.spline.stretch.*;

/*
 * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
 */

/*!
 * 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
 * 
 *  This file is part of DRIP, a free-software/open-source library for buy/side financial/trading model
 *      libraries targeting analysts and developers
 *      https://lakshmidrip.github.io/DRIP/
 *  
 *  DRIP is composed of four main libraries:
 *  
 *  - DRIP Fixed Income - https://lakshmidrip.github.io/DRIP-Fixed-Income/
 *  - DRIP Asset Allocation - https://lakshmidrip.github.io/DRIP-Asset-Allocation/
 *  - DRIP Numerical Optimizer - https://lakshmidrip.github.io/DRIP-Numerical-Optimizer/
 *  - DRIP Statistical Learning - https://lakshmidrip.github.io/DRIP-Statistical-Learning/
 * 
 *  - DRIP Fixed Income: Library for Instrument/Trading Conventions, Treasury Futures/Options,
 *      Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valuation and XVA
 *      Metric Generation, Calibration and Hedge Attributions, Statistical Curve Construction, Bond RV
 *      Metrics, Stochastic Evolution and Option Pricing, Interest Rate Dynamics and Option Pricing, LMM
 *      Extensions/Calibrations/Greeks, Algorithmic Differentiation, and Asset Backed Models and Analytics.
 * 
 *  - DRIP Asset Allocation: Library for model libraries for MPT framework, Black Litterman Strategy
 *      Incorporator, Holdings Constraint, and Transaction Costs.
 * 
 *  - DRIP Numerical Optimizer: Library for Numerical Optimization and Spline Functionality.
 * 
 *  - DRIP Statistical Learning: Library for Statistical Evaluation and Machine Learning.
 * 
 *  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.
 */

/**
 * ATMTTESurface2D demonstrates the Surface 2D ATM/TTE (X/Y) Stretch Construction and usage API.
 *
 * @author Lakshmi Krishnamurthy
 */

public class ATMTTESurface2D {

    public static final void main (
        final String[] astrArgs)
        throws Exception
    {
        double[] adblATMFactor = new double[] {
            0.8, 0.9, 1.0, 1.1, 1.2
        };
        double[] adblTTE = new double[] {
            1., 2., 3., 4., 5.
        };

        double[][] aadblImpliedVolatility = new double[][] {
            {0.44, 0.38, 0.33, 0.27, 0.25},
            {0.41, 0.34, 0.30, 0.22, 0.27},
            {0.36, 0.31, 0.28, 0.30, 0.37},
            {0.38, 0.31, 0.34, 0.40, 0.47},
            {0.43, 0.46, 0.48, 0.52, 0.57}
        };

        SegmentCustomBuilderControl scbcSpan = new SegmentCustomBuilderControl (
            MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
            new PolynomialFunctionSetParams (4),
            SegmentInelasticDesignControl.Create (
                2,
                2
            ),
            null,
            null
        );

        TreeMap<Double, Span> mapSpan = new TreeMap<Double, Span>();

        SegmentCustomBuilderControl[] aSCBCSpan = new SegmentCustomBuilderControl[adblATMFactor.length - 1];

        for (int i = 0; i < aSCBCSpan.length; ++i)
            aSCBCSpan[i] = scbcSpan;

        for (int i = 0; i < adblATMFactor.length; ++i)
            mapSpan.put (adblATMFactor[i], new OverlappingStretchSpan (
                MultiSegmentSequenceBuilder.CreateCalibratedStretchEstimator (
                    "Stretch@" + adblTTE + "@" + org.drip.numerical.common.StringUtil.GUID(),
                    adblTTE,
                    aadblImpliedVolatility[i],
                    aSCBCSpan,
                    null,
                    BoundarySettings.NaturalStandard(),
                    MultiSegmentSequence.CALIBRATE
                )
            )
        );

        SegmentCustomBuilderControl scbcSurface = new SegmentCustomBuilderControl (
            MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
            new PolynomialFunctionSetParams (4),
            SegmentInelasticDesignControl.Create (
                2,
                2
            ),
            null,
            null
        );

        WireSurfaceStretch ss = new WireSurfaceStretch (
            "SurfaceStretch@" + org.drip.numerical.common.StringUtil.GUID(),
            scbcSurface,
            mapSpan
        );

        System.out.println ("\n\t|------------------------------------------------------------|");

        System.out.println ("\t|----------------- INPUT  SURFACE  RECOVERY -----------------|");

        System.out.print ("\t|------------------------------------------------------------|\n\t|  ATM/TTE  =>");

        for (double dblTTE : adblTTE)
            System.out.print ("   " + FormatUtil.FormatDouble (dblTTE, 1, 2, 1.) + " ");

        System.out.println ("  |\n\t|------------------------------------------------------------|");

        for (double dblATMFactor : adblATMFactor) {
            System.out.print ("\t|  " + FormatUtil.FormatDouble (dblATMFactor, 1, 2, 1.) + "    =>");

            for (double dblTTE : adblTTE)
                System.out.print ("  " +
                    FormatUtil.FormatDouble (ss.responseValue (
                        dblATMFactor,
                        dblTTE
                    ), 2, 2, 100.) + "%");

            System.out.print ("  |\n");
        }

        System.out.println ("\t|------------------------------------------------------------|");

        adblATMFactor = new double[] {
            0.850, 0.925, 1.000, 1.075, 1.15
        };
        adblTTE = new double[] {
            1.50, 2.25, 3., 3.75, 4.50
        };

        System.out.println ("\n\t|------------------------------------------------------------|");

        System.out.println ("\t|------------- IN-SURFACE RESPONSE CALCULATION --------------|");

        System.out.print ("\t|------------------------------------------------------------|\n\t|  ATM/TTE  =>");

        for (double dblTTE : adblTTE)
            System.out.print ("   " + FormatUtil.FormatDouble (dblTTE, 1, 2, 1.) + " ");

        System.out.println ("  |\n\t|------------------------------------------------------------|");

        for (double dblATMFactor : adblATMFactor) {
            System.out.print ("\t|  " + FormatUtil.FormatDouble (dblATMFactor, 1, 2, 1.) + "    =>");

            for (double dblTTE : adblTTE)
                System.out.print ("  " +
                    FormatUtil.FormatDouble (
                        ss.responseValue (
                            dblATMFactor,
                            dblTTE
                        ), 2, 2, 100.) + "%");

            System.out.print ("  |\n");
        }

        System.out.println ("\t|------------------------------------------------------------|");

        adblATMFactor = new double[] {
            0.70, 0.85, 1.00, 1.15, 1.30
        };
        adblTTE = new double[] {
            0.50, 1.75, 3.00, 4.25, 5.50
        };

        System.out.println ("\n\t|------------------------------------------------------------|");

        System.out.println ("\t|------------- OFF-SURFACE RESPONSE CALCULATION -------------|");

        System.out.print ("\t|------------------------------------------------------------|\n\t|  ATM/TTE  =>");

        for (double dblTTE : adblTTE)
            System.out.print ("   " + FormatUtil.FormatDouble (dblTTE, 1, 2, 1.) + " ");

        System.out.println ("  |\n\t|------------------------------------------------------------|");

        for (double dblATMFactor : adblATMFactor) {
            System.out.print ("\t|  " + FormatUtil.FormatDouble (dblATMFactor, 1, 2, 1.) + "    =>");

            for (double dblTTE : adblTTE)
                System.out.print ("  " + FormatUtil.FormatDouble (
                    ss.responseValue (
                        dblATMFactor,
                        dblTTE
                    ), 2, 2, 100.) + "%");

            System.out.print ("  |\n");
        }

        System.out.println ("\t|------------------------------------------------------------|");
    }
}