LatentStateProcessor.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.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  14.  * 
  15.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  16.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  17.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  18.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  19.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  20.  *      and computational support.
  21.  *  
  22.  *      https://lakshmidrip.github.io/DROP/
  23.  *  
  24.  *  DROP is composed of three modules:
  25.  *  
  26.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  27.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  28.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  29.  * 
  30.  *  DROP Product Core implements libraries for the following:
  31.  *  - Fixed Income Analytics
  32.  *  - Loan Analytics
  33.  *  - Transaction Cost Analytics
  34.  * 
  35.  *  DROP Portfolio Core implements libraries for the following:
  36.  *  - Asset Allocation Analytics
  37.  *  - Asset Liability Management Analytics
  38.  *  - Capital Estimation Analytics
  39.  *  - Exposure Analytics
  40.  *  - Margin Analytics
  41.  *  - XVA Analytics
  42.  * 
  43.  *  DROP Computational Core implements libraries for the following:
  44.  *  - Algorithm Support
  45.  *  - Computation Support
  46.  *  - Function Analysis
  47.  *  - Model Validation
  48.  *  - Numerical Analysis
  49.  *  - Numerical Optimizer
  50.  *  - Spline Builder
  51.  *  - Statistical Learning
  52.  * 
  53.  *  Documentation for DROP is Spread Over:
  54.  * 
  55.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  56.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  57.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  58.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  59.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  60.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  61.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  62.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  63.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  64.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  65.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  66.  * 
  67.  *  Licensed under the Apache License, Version 2.0 (the "License");
  68.  *      you may not use this file except in compliance with the License.
  69.  *   
  70.  *  You may obtain a copy of the License at
  71.  *      http://www.apache.org/licenses/LICENSE-2.0
  72.  *  
  73.  *  Unless required by applicable law or agreed to in writing, software
  74.  *      distributed under the License is distributed on an "AS IS" BASIS,
  75.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  76.  *  
  77.  *  See the License for the specific language governing permissions and
  78.  *      limitations under the License.
  79.  */

  81. /**
  82.  * <i>LatentStateProcessor</i> Sets Up and Executes a JSON Based In/Out Curve 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 LatentStateProcessor {

  98.     static final org.drip.state.discount.MergedDiscountForwardCurve FundingCurve (
  99.         final org.drip.json.simple.JSONObject jsonParameter)
  100.     {
  101.         org.drip.analytics.date.JulianDate dtSpot = org.drip.json.parser.Converter.DateEntry (jsonParameter,
  102.             "SpotDate");

  104.         java.lang.String strCurrency = org.drip.json.parser.Converter.StringEntry (jsonParameter,
  105.             "Currency");

  107.         java.lang.String[] astrDepositMaturityTenor = org.drip.json.parser.Converter.StringArrayEntry
  108.             (jsonParameter, "DepositTenor");

  110.         double[] adblDepositQuote = org.drip.json.parser.Converter.DoubleArrayEntry (jsonParameter,
  111.             "DepositQuote");

  113.         double[] adblFuturesQuote = org.drip.json.parser.Converter.DoubleArrayEntry (jsonParameter,
  114.             "FuturesQuote");

  116.         java.lang.String[] astrFixFloatMaturityTenor = org.drip.json.parser.Converter.StringArrayEntry
  117.             (jsonParameter, "FixFloatTenor");

  119.         double[] adblFixFloatQuote = org.drip.json.parser.Converter.DoubleArrayEntry (jsonParameter,
  120.             "FixFloatQuote");

  122.         return org.drip.service.template.LatentMarketStateBuilder.SmoothFundingCurve (dtSpot, strCurrency,
  123.             astrDepositMaturityTenor, adblDepositQuote, "ForwardRate", adblFuturesQuote, "ForwardRate",
  124.                 astrFixFloatMaturityTenor, adblFixFloatQuote, "SwapRate");
  125.     }

  127.     static final org.drip.state.govvie.GovvieCurve TreasuryCurve (
  128.         final org.drip.json.simple.JSONObject jsonParameter)
  129.     {
  130.         org.drip.analytics.date.JulianDate dtSpot = org.drip.json.parser.Converter.DateEntry (jsonParameter,
  131.             "SpotDate");

  133.         java.lang.String strCode = org.drip.json.parser.Converter.StringEntry (jsonParameter,
  134.             "TreasuryCode");

  136.         java.lang.String[] astrTenor = org.drip.json.parser.Converter.StringArrayEntry (jsonParameter,
  137.             "TreasuryTenor");

  139.         double[] adblYield = org.drip.json.parser.Converter.DoubleArrayEntry (jsonParameter,
  140.             "TreasuryYield");

  142.         int iNumTenor = null == adblYield ? 0 : adblYield.length;
  143.         double[] adblCoupon = 0 == iNumTenor ? null : new double[iNumTenor];
  144.         org.drip.analytics.date.JulianDate[] adtMaturity = 0 == iNumTenor ? null : new
  145.             org.drip.analytics.date.JulianDate[iNumTenor];
  146.         org.drip.analytics.date.JulianDate[] adtEffective = 0 == iNumTenor ? null : new
  147.             org.drip.analytics.date.JulianDate[iNumTenor];

  149.         for (int i = 0; i < iNumTenor; ++i) {
  150.             adblCoupon[i] = adblYield[i];

  152.             adtMaturity[i] = (adtEffective[i] = dtSpot).addTenor (astrTenor[i]);
  153.         }

  155.         return org.drip.service.template.LatentMarketStateBuilder.GovvieCurve (strCode, dtSpot, adtEffective,
  156.             adtMaturity, adblCoupon, adblYield, "Yield",
  157.                 org.drip.service.template.LatentMarketStateBuilder.SHAPE_PRESERVING);
  158.     }

  160.     static final org.drip.state.credit.CreditCurve CreditCurve (
  161.         final org.drip.json.simple.JSONObject jsonParameter,
  162.         final org.drip.state.discount.MergedDiscountForwardCurve dcFunding)
  163.     {
  164.         if (null == dcFunding) return null;

  166.         java.lang.String strReferenceEntity = org.drip.json.parser.Converter.StringEntry (jsonParameter,
  167.             "ReferenceEntity");

  169.         java.lang.String[] astrCDSMaturityTenor = org.drip.json.parser.Converter.StringArrayEntry
  170.             (jsonParameter, "CDSTenor");

  172.         double[] adblCDSQuote = org.drip.json.parser.Converter.DoubleArrayEntry (jsonParameter, "CDSQuote");

  174.         return org.drip.service.template.LatentMarketStateBuilder.CreditCurve (dcFunding.epoch(),
  175.             strReferenceEntity, astrCDSMaturityTenor, adblCDSQuote, adblCDSQuote, "FairPremium", dcFunding);
  176.     }

  178.     /**
  179.      * JSON Based in/out Funding Curve Sample
  180.      * 
  181.      * @param jsonParameter JSON Funding Curve Request Parameters
  182.      * 
  183.      * @return JSON Funding Curve Response
  184.      */

  186.     @SuppressWarnings ("unchecked") static final org.drip.json.simple.JSONObject FundingCurveThunker (
  187.         final org.drip.json.simple.JSONObject jsonParameter)
  188.     {
  189.         org.drip.analytics.date.JulianDate dtSpot = org.drip.json.parser.Converter.DateEntry (jsonParameter,
  190.             "SpotDate");

  192.         java.lang.String strCurrency = org.drip.json.parser.Converter.StringEntry (jsonParameter,
  193.             "Currency");

  195.         java.lang.String[] astrDepositMaturityTenor = org.drip.json.parser.Converter.StringArrayEntry
  196.             (jsonParameter, "DepositTenor");

  198.         double[] adblDepositQuote = org.drip.json.parser.Converter.DoubleArrayEntry (jsonParameter,
  199.             "DepositQuote");

  201.         double[] adblFuturesQuote = org.drip.json.parser.Converter.DoubleArrayEntry (jsonParameter,
  202.             "FuturesQuote");

  204.         java.lang.String[] astrFixFloatMaturityTenor = org.drip.json.parser.Converter.StringArrayEntry
  205.             (jsonParameter, "FixFloatTenor");

  207.         double[] adblFixFloatQuote = org.drip.json.parser.Converter.DoubleArrayEntry (jsonParameter,
  208.             "FixFloatQuote");

  210.         org.drip.state.discount.MergedDiscountForwardCurve dcFunding =
  211.             org.drip.service.template.LatentMarketStateBuilder.SmoothFundingCurve (dtSpot, strCurrency,
  212.                 astrDepositMaturityTenor, adblDepositQuote, "ForwardRate", adblFuturesQuote, "ForwardRate",
  213.                     astrFixFloatMaturityTenor, adblFixFloatQuote, "SwapRate");

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

  217.         int iNumDeposit = null == adblDepositQuote ? 0 : adblDepositQuote.length;
  218.         int iNumFutures = null == adblFuturesQuote ? 0 : adblFuturesQuote.length;
  219.         int iNumFixFloat = null == adblFixFloatQuote ? 0 : adblFixFloatQuote.length;

  221.         org.drip.json.simple.JSONArray jsonDepositArray = new org.drip.json.simple.JSONArray();

  223.         for (int i = 0; i < iNumDeposit; ++i) {
  224.             org.drip.json.simple.JSONObject jsonDeposit = new org.drip.json.simple.JSONObject();

  226.             jsonDeposit.put ("InstrumentType", "DEPOSIT");

  228.             jsonDeposit.put ("MaturityTenor", astrDepositMaturityTenor[i]);

  230.             jsonDeposit.put ("InstrumentQuote", adblDepositQuote[i]);

  232.             jsonDeposit.put ("CalibrationMeasure", "ForwardRate");

  234.             try {
  235.                 jsonDeposit.put ("DiscountFactor", dcFunding.df (astrDepositMaturityTenor[i]));
  236.             } catch (java.lang.Exception e) {
  237.                 e.printStackTrace();

  239.                 return null;
  240.             }

  242.             jsonDepositArray.add (i, jsonDeposit);
  243.         }

  245.         org.drip.json.simple.JSONArray jsonFuturesArray = new org.drip.json.simple.JSONArray();

  247.         for (int i = 0; i < iNumFutures; ++i) {
  248.             org.drip.json.simple.JSONObject jsonFutures = new org.drip.json.simple.JSONObject();

  250.             jsonFutures.put ("InstrumentType", "FUTURES");

  252.             jsonFutures.put ("InstrumentQuote", adblFuturesQuote[i]);

  254.             jsonFutures.put ("CalibrationMeasure", "ForwardRate");

  256.             try {
  257.                 jsonFutures.put ("DiscountFactor", dcFunding.df ((3 + 3 * i) + "M"));
  258.             } catch (java.lang.Exception e) {
  259.                 e.printStackTrace();

  261.                 return null;
  262.             }

  264.             jsonFuturesArray.add (i, jsonFutures);
  265.         }

  267.         org.drip.json.simple.JSONArray jsonFixFloatArray = new org.drip.json.simple.JSONArray();

  269.         for (int i = 0; i < iNumFixFloat; ++i) {
  270.             org.drip.json.simple.JSONObject jsonFixFloat = new org.drip.json.simple.JSONObject();

  272.             jsonFixFloat.put ("InstrumentType", "FIXFLOAT");

  274.             jsonFixFloat.put ("MaturityTenor", astrFixFloatMaturityTenor[i]);

  276.             jsonFixFloat.put ("InstrumentQuote", adblFixFloatQuote[i]);

  278.             jsonFixFloat.put ("CalibrationMeasure", "SwapRate");

  280.             try {
  281.                 jsonFixFloat.put ("DiscountFactor", dcFunding.df (astrFixFloatMaturityTenor[i]));
  282.             } catch (java.lang.Exception e) {
  283.                 e.printStackTrace();

  285.                 return null;
  286.             }

  288.             jsonFixFloatArray.add (i, jsonFixFloat);
  289.         }

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

  293.         jsonResponse.put ("SpotDate", dtSpot.toString());

  295.         jsonResponse.put ("Currency", strCurrency);

  297.         jsonResponse.put ("FundingLabel", dcFunding.label().fullyQualifiedName());

  299.         jsonResponse.put ("DepositMetrics", jsonDepositArray);

  301.         jsonResponse.put ("FuturesMetrics", jsonFuturesArray);

  303.         jsonResponse.put ("FixFloatMetrics", jsonFixFloatArray);

  305.         return jsonResponse;
  306.     }

  308.     /**
  309.      * JSON Based in/out Credit Curve Sample
  310.      * 
  311.      * @param jsonParameter JSON Credit Curve Request Parameters
  312.      * 
  313.      * @return JSON Credit Curve Response
  314.      */

  316.     @SuppressWarnings ("unchecked") static final org.drip.json.simple.JSONObject CreditCurveThunker (
  317.         final org.drip.json.simple.JSONObject jsonParameter)
  318.     {
  319.         org.drip.state.discount.MergedDiscountForwardCurve dcFunding = FundingCurve (jsonParameter);

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

  323.         java.lang.String strReferenceEntity = org.drip.json.parser.Converter.StringEntry (jsonParameter,
  324.             "ReferenceEntity");

  326.         java.lang.String[] astrCDSMaturityTenor = org.drip.json.parser.Converter.StringArrayEntry
  327.             (jsonParameter, "CDSTenor");

  329.         double[] adblCDSQuote = org.drip.json.parser.Converter.DoubleArrayEntry (jsonParameter, "CDSQuote");

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

  333.         org.drip.state.credit.CreditCurve ccSurvivalRecovery =
  334.             org.drip.service.template.LatentMarketStateBuilder.CreditCurve (dtSpot, strReferenceEntity,
  335.                 astrCDSMaturityTenor, adblCDSQuote, adblCDSQuote, "FairPremium", dcFunding);

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

  339.         int iNumCDS = null == adblCDSQuote ? 0 : adblCDSQuote.length;

  341.         String strLatentStateLabel = ccSurvivalRecovery.label().fullyQualifiedName();

  343.         org.drip.json.simple.JSONArray jsonCDSArray = new org.drip.json.simple.JSONArray();

  345.         for (int i = 0; i < iNumCDS; ++i) {
  346.             org.drip.json.simple.JSONObject jsonCDS = new org.drip.json.simple.JSONObject();

  348.             jsonCDS.put ("ReferenceEntity", strLatentStateLabel);

  350.             jsonCDS.put ("InstrumentType", "CDS");

  352.             jsonCDS.put ("MaturityTenor", astrCDSMaturityTenor[i]);

  354.             jsonCDS.put ("InstrumentQuote", adblCDSQuote[i]);

  356.             jsonCDS.put ("CalibrationMeasure", "FairPremium");

  358.             try {
  359.                 jsonCDS.put ("SurvivalProbability", ccSurvivalRecovery.survival (astrCDSMaturityTenor[i]));

  361.                 jsonCDS.put ("Recovery", ccSurvivalRecovery.recovery (astrCDSMaturityTenor[i]));
  362.             } catch (java.lang.Exception e) {
  363.                 e.printStackTrace();

  365.                 return null;
  366.             }

  368.             jsonCDSArray.add (i, jsonCDS);
  369.         }

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

  373.         jsonResponse.put ("SpotDate", dtSpot.toString());

  375.         jsonResponse.put ("Currency", dcFunding.currency());

  377.         jsonResponse.put ("ReferenceEntity", strReferenceEntity);

  379.         jsonResponse.put ("CreditLabel", strLatentStateLabel);

  381.         jsonResponse.put ("FundingLabel", dcFunding.label().fullyQualifiedName());

  383.         jsonResponse.put ("CDSMetrics", jsonCDSArray);

  385.         return jsonResponse;
  386.     }
  387. }
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