CreditDefaultSwapProcessor.java
package org.drip.service.json;
/*
* -*- 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
*
* 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>CreditDefaultSwapProcessor</i> Sets Up and Executes a JSON Based In/Out Credit Default Swap Valuation
* Processor.
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationSupportLibrary.md">Computation Support</a></li>
* <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/service/README.md">Environment, Product/Definition Containers, and Scenario/State Manipulation APIs</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/service/json/README.md">JSON Based Valuation Request Service</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class CreditDefaultSwapProcessor {
/**
* JSON Based in/out Credit Default Swap Curve Metrics Thunker
*
* @param jsonParameter JSON Credit Default Swap Request Parameters
*
* @return JSON Credit Default Swap Curve Metrics Response
*/
@SuppressWarnings ("unchecked") static final org.drip.json.simple.JSONObject CurveMetrics (
final org.drip.json.simple.JSONObject jsonParameter)
{
org.drip.state.discount.MergedDiscountForwardCurve dcFunding =
org.drip.service.json.LatentStateProcessor.FundingCurve (jsonParameter);
org.drip.state.credit.CreditCurve ccSurvivalRecovery =
org.drip.service.json.LatentStateProcessor.CreditCurve (jsonParameter, dcFunding);
if (null == ccSurvivalRecovery) return null;
org.drip.param.market.CurveSurfaceQuoteContainer csqc = new
org.drip.param.market.CurveSurfaceQuoteContainer();
if (!csqc.setFundingState (dcFunding) || !csqc.setCreditState (ccSurvivalRecovery)) return null;
org.drip.analytics.date.JulianDate dtSpot = dcFunding.epoch();
org.drip.product.definition.CreditDefaultSwap cds = null;
try {
cds = org.drip.service.template.OTCInstrumentBuilder.CDS (dtSpot,
org.drip.json.parser.Converter.StringEntry (jsonParameter, "CDSMaturity"),
org.drip.json.parser.Converter.DoubleEntry (jsonParameter, "CDSCoupon"),
dcFunding.currency(), ((org.drip.state.identifier.EntityCDSLabel)
(ccSurvivalRecovery.label())).referenceEntity());
} catch (java.lang.Exception e) {
e.printStackTrace();
return null;
}
if (null == cds) return null;
java.util.Map<java.lang.String, java.lang.Double> mapResult = cds.value
(org.drip.param.valuation.ValuationParams.Spot (dtSpot.julian()), null, csqc, null);
if (null == mapResult) return null;
org.drip.json.simple.JSONObject jsonResponse = new org.drip.json.simple.JSONObject();
for (java.util.Map.Entry<java.lang.String, java.lang.Double> me : mapResult.entrySet())
jsonResponse.put (me.getKey(), me.getValue());
org.drip.json.simple.JSONArray jsonCouponFlowArray = new org.drip.json.simple.JSONArray();
for (org.drip.analytics.cashflow.CompositePeriod cp : cds.couponPeriods()) {
org.drip.json.simple.JSONObject jsonCouponFlow = new org.drip.json.simple.JSONObject();
try {
jsonCouponFlow.put ("StartDate", new org.drip.analytics.date.JulianDate
(cp.startDate()).toString());
jsonCouponFlow.put ("EndDate", new org.drip.analytics.date.JulianDate
(cp.endDate()).toString());
jsonCouponFlow.put ("PayDate", new org.drip.analytics.date.JulianDate
(cp.payDate()).toString());
jsonCouponFlow.put ("CouponDCF", cp.couponDCF());
jsonCouponFlow.put ("PayDiscountFactor", cp.df (csqc));
jsonCouponFlow.put ("SurvivalProbability", cp.survival (csqc));
} catch (java.lang.Exception e) {
e.printStackTrace();
return null;
}
jsonCouponFlow.put ("BaseNotional", cp.baseNotional());
jsonCouponFlow.put ("Tenor", cp.tenor());
jsonCouponFlow.put ("FundingLabel", cp.fundingLabel().fullyQualifiedName());
jsonCouponFlow.put ("CreditLabel", cp.creditLabel().fullyQualifiedName());
jsonCouponFlow.put ("ReferenceRate", cp.couponMetrics (dtSpot.julian(), csqc).rate());
jsonCouponFlowArray.add (jsonCouponFlow);
}
jsonResponse.put ("CouponFlow", jsonCouponFlowArray);
org.drip.json.simple.JSONArray jsonLossFlowArray = new org.drip.json.simple.JSONArray();
for (org.drip.analytics.cashflow.LossQuadratureMetrics lqm : cds.lossFlow (dtSpot, csqc)) {
org.drip.json.simple.JSONObject jsonLossFlow = new org.drip.json.simple.JSONObject();
try {
jsonLossFlow.put ("StartDate", new org.drip.analytics.date.JulianDate
(lqm.startDate()).toString());
jsonLossFlow.put ("EndDate", new org.drip.analytics.date.JulianDate
(lqm.endDate()).toString());
} catch (java.lang.Exception e) {
e.printStackTrace();
return null;
}
jsonLossFlow.put ("StartSurvival", lqm.startSurvival());
jsonLossFlow.put ("EndSurvival", lqm.endSurvival());
jsonLossFlow.put ("EffectiveNotional", lqm.effectiveNotional());
jsonLossFlow.put ("EffectiveRecovery", lqm.effectiveRecovery());
jsonLossFlow.put ("EffectiveAccrual", lqm.accrualDCF());
jsonLossFlow.put ("EffectiveDF", lqm.effectiveDF());
jsonLossFlowArray.add (jsonLossFlow);
}
jsonResponse.put ("LossFlow", jsonLossFlowArray);
return jsonResponse;
}
}