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

  95. public class FixFloatProcessor {

  97.     /**
  98.      * JSON Based in/out Funding Fix Float Curve Metrics Thunker
  99.      * 
  100.      * @param jsonParameter JSON Funding Fix Float Request Parameters
  101.      * 
  102.      * @return JSON Funding Fix Float Curve Metrics Response
  103.      */

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

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

  113.         org.drip.param.market.CurveSurfaceQuoteContainer csqc = new
  114.             org.drip.param.market.CurveSurfaceQuoteContainer();

  116.         if (!csqc.setFundingState (dcFunding)) return null;

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

  120.         org.drip.product.rates.FixFloatComponent irs = null;

  122.         try {
  123.             irs = org.drip.service.template.OTCInstrumentBuilder.FixFloatStandard (dtSpot,
  124.                 dcFunding.currency(), "ALL", org.drip.json.parser.Converter.StringEntry (jsonParameter,
  125.                     "FixFloatMaturity"), "MAIN", org.drip.json.parser.Converter.DoubleEntry (jsonParameter,
  126.                         "FixFloatCoupon"));
  127.         } catch (java.lang.Exception e) {
  128.             e.printStackTrace();

  130.             return null;
  131.         }

  133.         if (null == irs) return null;

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

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

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

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

  145.         org.drip.json.simple.JSONArray jsonFixedCashFlowArray = new org.drip.json.simple.JSONArray();

  147.         for (org.drip.analytics.cashflow.CompositePeriod cp : irs.referenceStream().cashFlowPeriod()) {
  148.             org.drip.json.simple.JSONObject jsonCashFlow = new org.drip.json.simple.JSONObject();

  150.             try {
  151.                 jsonCashFlow.put ("StartDate", new org.drip.analytics.date.JulianDate
  152.                     (cp.startDate()).toString());

  154.                 jsonCashFlow.put ("EndDate", new org.drip.analytics.date.JulianDate
  155.                     (cp.endDate()).toString());

  157.                 jsonCashFlow.put ("PayDate", new org.drip.analytics.date.JulianDate
  158.                     (cp.payDate()).toString());

  160.                 jsonCashFlow.put ("FixingDate", new org.drip.analytics.date.JulianDate
  161.                     (cp.fxFixingDate()).toString());

  163.                 jsonCashFlow.put ("CouponDCF", cp.couponDCF());

  165.                 jsonCashFlow.put ("PayDiscountFactor", cp.df (csqc));
  166.             } catch (java.lang.Exception e) {
  167.                 e.printStackTrace();

  169.                 return null;
  170.             }

  172.             jsonCashFlow.put ("BaseNotional", cp.baseNotional());

  174.             jsonCashFlow.put ("Tenor", cp.tenor());

  176.             jsonCashFlow.put ("FundingLabel", cp.fundingLabel().fullyQualifiedName());

  178.             jsonCashFlow.put ("ReferenceRate", cp.couponMetrics (dtSpot.julian(), csqc).rate());

  180.             jsonFixedCashFlowArray.add (jsonCashFlow);
  181.         }

  183.         jsonResponse.put ("FixedCashFlow", jsonFixedCashFlowArray);

  185.         org.drip.json.simple.JSONArray jsonFloatingCashFlowArray = new org.drip.json.simple.JSONArray();

  187.         for (org.drip.analytics.cashflow.CompositePeriod cp : irs.derivedStream().cashFlowPeriod()) {
  188.             org.drip.json.simple.JSONObject jsonCashFlow = new org.drip.json.simple.JSONObject();

  190.             try {
  191.                 jsonCashFlow.put ("StartDate", new org.drip.analytics.date.JulianDate
  192.                     (cp.startDate()).toString());

  194.                 jsonCashFlow.put ("EndDate", new org.drip.analytics.date.JulianDate
  195.                     (cp.endDate()).toString());

  197.                 jsonCashFlow.put ("PayDate", new org.drip.analytics.date.JulianDate
  198.                     (cp.payDate()).toString());

  200.                 jsonCashFlow.put ("FixingDate", new org.drip.analytics.date.JulianDate
  201.                     (cp.fxFixingDate()).toString());

  203.                 jsonCashFlow.put ("CouponDCF", cp.couponDCF());

  205.                 jsonCashFlow.put ("PayDiscountFactor", cp.df (csqc));
  206.             } catch (java.lang.Exception e) {
  207.                 e.printStackTrace();

  209.                 return null;
  210.             }

  212.             jsonCashFlow.put ("BaseNotional", cp.baseNotional());

  214.             jsonCashFlow.put ("Tenor", cp.tenor());

  216.             jsonCashFlow.put ("FundingLabel", cp.fundingLabel().fullyQualifiedName());

  218.             jsonCashFlow.put ("ForwardLabel", ((org.drip.state.identifier.ForwardLabel)
  219.                 cp.floaterLabel()).fullyQualifiedName());

  221.             jsonCashFlow.put ("ReferenceRate", cp.couponMetrics (dtSpot.julian(), csqc).rate());

  223.             jsonFloatingCashFlowArray.add (jsonCashFlow);
  224.         }

  226.         jsonResponse.put ("FloatingCashFlow", jsonFloatingCashFlowArray);

  228.         return jsonResponse;
  229.     }
  230. }
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