CreditDefaultSwapProcessor.java

  1. package org.drip.service.json;

  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.  * 
  14.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  15.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  16.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  17.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  18.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  19.  *      and computational support.
  20.  *  
  21.  *      https://lakshmidrip.github.io/DROP/
  22.  *  
  23.  *  DROP is composed of three modules:
  24.  *  
  25.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  26.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  27.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  28.  * 
  29.  *  DROP Product Core implements libraries for the following:
  30.  *  - Fixed Income Analytics
  31.  *  - Loan Analytics
  32.  *  - Transaction Cost Analytics
  33.  * 
  34.  *  DROP Portfolio Core implements libraries for the following:
  35.  *  - Asset Allocation Analytics
  36.  *  - Asset Liability Management Analytics
  37.  *  - Capital Estimation Analytics
  38.  *  - Exposure Analytics
  39.  *  - Margin Analytics
  40.  *  - XVA Analytics
  41.  * 
  42.  *  DROP Computational Core implements libraries for the following:
  43.  *  - Algorithm Support
  44.  *  - Computation Support
  45.  *  - Function Analysis
  46.  *  - Model Validation
  47.  *  - Numerical Analysis
  48.  *  - Numerical Optimizer
  49.  *  - Spline Builder
  50.  *  - Statistical Learning
  51.  * 
  52.  *  Documentation for DROP is Spread Over:
  53.  * 
  54.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  55.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  56.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  57.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  58.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  59.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  60.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  61.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  62.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  63.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  64.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  65.  * 
  66.  *  Licensed under the Apache License, Version 2.0 (the "License");
  67.  *      you may not use this file except in compliance with the License.
  68.  *   
  69.  *  You may obtain a copy of the License at
  70.  *      http://www.apache.org/licenses/LICENSE-2.0
  71.  *  
  72.  *  Unless required by applicable law or agreed to in writing, software
  73.  *      distributed under the License is distributed on an "AS IS" BASIS,
  74.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  75.  *  
  76.  *  See the License for the specific language governing permissions and
  77.  *      limitations under the License.
  78.  */

  80. /**
  81.  * <i>CreditDefaultSwapProcessor</i> Sets Up and Executes a JSON Based In/Out Credit Default Swap Valuation
  82.  * Processor.
  83.  * 
  84.  * <br><br>
  85.  *  <ul>
  86.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  87.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationSupportLibrary.md">Computation Support</a></li>
  88.  *      <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>
  89.  *      <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>
  90.  *  </ul>
  91.  * <br><br>
  92.  *
  93.  * @author Lakshmi Krishnamurthy
  94.  */

  96. public class CreditDefaultSwapProcessor {

  98.     /**
  99.      * JSON Based in/out Credit Default Swap Curve Metrics Thunker
  100.      * 
  101.      * @param jsonParameter JSON Credit Default Swap Request Parameters
  102.      * 
  103.      * @return JSON Credit Default Swap Curve Metrics Response
  104.      */

  106.     @SuppressWarnings ("unchecked") static final org.drip.json.simple.JSONObject CurveMetrics (
  107.         final org.drip.json.simple.JSONObject jsonParameter)
  108.     {
  109.         org.drip.state.discount.MergedDiscountForwardCurve dcFunding =
  110.             org.drip.service.json.LatentStateProcessor.FundingCurve (jsonParameter);

  112.         org.drip.state.credit.CreditCurve ccSurvivalRecovery =
  113.             org.drip.service.json.LatentStateProcessor.CreditCurve (jsonParameter, dcFunding);

  115.         if (null == ccSurvivalRecovery) return null;

  117.         org.drip.param.market.CurveSurfaceQuoteContainer csqc = new
  118.             org.drip.param.market.CurveSurfaceQuoteContainer();

  120.         if (!csqc.setFundingState (dcFunding) || !csqc.setCreditState (ccSurvivalRecovery)) return null;

  122.         org.drip.analytics.date.JulianDate dtSpot = dcFunding.epoch();

  124.         org.drip.product.definition.CreditDefaultSwap cds = null;

  126.         try {
  127.             cds = org.drip.service.template.OTCInstrumentBuilder.CDS (dtSpot,
  128.                 org.drip.json.parser.Converter.StringEntry (jsonParameter, "CDSMaturity"),
  129.                     org.drip.json.parser.Converter.DoubleEntry (jsonParameter, "CDSCoupon"),
  130.                         dcFunding.currency(), ((org.drip.state.identifier.EntityCDSLabel)
  131.                             (ccSurvivalRecovery.label())).referenceEntity());
  132.         } catch (java.lang.Exception e) {
  133.             e.printStackTrace();

  135.             return null;
  136.         }

  138.         if (null == cds) return null;

  140.         java.util.Map<java.lang.String, java.lang.Double> mapResult = cds.value
  141.             (org.drip.param.valuation.ValuationParams.Spot (dtSpot.julian()), null, csqc, null);

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

  145.         org.drip.json.simple.JSONObject jsonResponse = new org.drip.json.simple.JSONObject();

  147.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> me : mapResult.entrySet())
  148.             jsonResponse.put (me.getKey(), me.getValue());

  150.         org.drip.json.simple.JSONArray jsonCouponFlowArray = new org.drip.json.simple.JSONArray();

  152.         for (org.drip.analytics.cashflow.CompositePeriod cp : cds.couponPeriods()) {
  153.             org.drip.json.simple.JSONObject jsonCouponFlow = new org.drip.json.simple.JSONObject();

  155.             try {
  156.                 jsonCouponFlow.put ("StartDate", new org.drip.analytics.date.JulianDate
  157.                     (cp.startDate()).toString());

  159.                 jsonCouponFlow.put ("EndDate", new org.drip.analytics.date.JulianDate
  160.                     (cp.endDate()).toString());

  162.                 jsonCouponFlow.put ("PayDate", new org.drip.analytics.date.JulianDate
  163.                     (cp.payDate()).toString());

  165.                 jsonCouponFlow.put ("CouponDCF", cp.couponDCF());

  167.                 jsonCouponFlow.put ("PayDiscountFactor", cp.df (csqc));

  169.                 jsonCouponFlow.put ("SurvivalProbability", cp.survival (csqc));
  170.             } catch (java.lang.Exception e) {
  171.                 e.printStackTrace();

  173.                 return null;
  174.             }

  176.             jsonCouponFlow.put ("BaseNotional", cp.baseNotional());

  178.             jsonCouponFlow.put ("Tenor", cp.tenor());

  180.             jsonCouponFlow.put ("FundingLabel", cp.fundingLabel().fullyQualifiedName());

  182.             jsonCouponFlow.put ("CreditLabel", cp.creditLabel().fullyQualifiedName());

  184.             jsonCouponFlow.put ("ReferenceRate", cp.couponMetrics (dtSpot.julian(), csqc).rate());

  186.             jsonCouponFlowArray.add (jsonCouponFlow);
  187.         }

  189.         jsonResponse.put ("CouponFlow", jsonCouponFlowArray);

  191.         org.drip.json.simple.JSONArray jsonLossFlowArray = new org.drip.json.simple.JSONArray();

  193.         for (org.drip.analytics.cashflow.LossQuadratureMetrics lqm : cds.lossFlow (dtSpot, csqc)) {
  194.             org.drip.json.simple.JSONObject jsonLossFlow = new org.drip.json.simple.JSONObject();

  196.             try {
  197.                 jsonLossFlow.put ("StartDate", new org.drip.analytics.date.JulianDate
  198.                     (lqm.startDate()).toString());

  200.                 jsonLossFlow.put ("EndDate", new org.drip.analytics.date.JulianDate
  201.                     (lqm.endDate()).toString());
  202.             } catch (java.lang.Exception e) {
  203.                 e.printStackTrace();

  205.                 return null;
  206.             }

  208.             jsonLossFlow.put ("StartSurvival", lqm.startSurvival());

  210.             jsonLossFlow.put ("EndSurvival", lqm.endSurvival());

  212.             jsonLossFlow.put ("EffectiveNotional", lqm.effectiveNotional());

  214.             jsonLossFlow.put ("EffectiveRecovery", lqm.effectiveRecovery());

  216.             jsonLossFlow.put ("EffectiveAccrual", lqm.accrualDCF());

  218.             jsonLossFlow.put ("EffectiveDF", lqm.effectiveDF());

  220.             jsonLossFlowArray.add (jsonLossFlow);
  221.         }

  223.         jsonResponse.put ("LossFlow", jsonLossFlowArray);

  225.         return jsonResponse;
  226.     }
  227. }
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