ForwardRateFuturesProcessor.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>ForwardRateFuturesProcessor</i> Sets Up and Executes a JSON Based In/Out Forward Rate Futures 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 ForwardRateFuturesProcessor {

    /**
     * JSON Based in/out Funding Futures Curve Metrics Thunker
     * 
     * @param jsonParameter JSON Funding Futures Request Parameters
     * 
     * @return JSON Funding Futures 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);

        if (null == dcFunding) return null;

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

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

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

        org.drip.product.rates.SingleStreamComponent futures =
            org.drip.service.template.ExchangeInstrumentBuilder.ForwardRateFutures (dtSpot.addTenor
                (org.drip.json.parser.Converter.StringEntry (jsonParameter, "FuturesEffectiveTenor")),
                    dcFunding.currency());

        if (null == futures) return null;

        java.util.Map<java.lang.String, java.lang.Double> mapResult = futures.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 jsonCashFlowArray = new org.drip.json.simple.JSONArray();

        for (org.drip.analytics.cashflow.CompositePeriod cp : futures.couponPeriods()) {
            org.drip.json.simple.JSONObject jsonCashFlow = new org.drip.json.simple.JSONObject();

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

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

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

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

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

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

                return null;
            }

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

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

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

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

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

            jsonCashFlowArray.add (jsonCashFlow);
        }

        jsonResponse.put ("FloatingCashFlow", jsonCashFlowArray);

        return jsonResponse;
    }
}