FixFloatAPI.java

  1. package org.drip.service.product;

  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>FixFloatAPI</i> contains the Functionality associated with the Horizon Analysis of the Fix Float Swap.
  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/product/README.md">Product Horizon PnL Attribution Decomposition</a></li>
  89.  *  </ul>
  90.  * <br><br>
  91.  * 
  92.  * @author Lakshmi Krishnamurthy
  93.  */

  95. public class FixFloatAPI {

  97.     /**
  98.      * Compute the Horizon Change Attribution Details for the Specified Fix-Float Swap
  99.      * 
  100.      * @param dcFirst First Day Discount Curve
  101.      * @param dcSecond Second Date Discount Curve
  102.      * @param mapRollDownDiscountCurve Map of the Roll Down Discount Curve
  103.      * @param strMaturityTenor Fix Float Swap Maturity Tenor
  104.      * 
  105.      * @return The Horizon Change Attribution Instance
  106.      */

  108.     public static final org.drip.historical.attribution.PositionChangeComponents HorizonChangeAttribution (
  109.         final org.drip.state.discount.MergedDiscountForwardCurve dcFirst,
  110.         final org.drip.state.discount.MergedDiscountForwardCurve dcSecond,
  111.         final
  112.             org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.state.discount.MergedDiscountForwardCurve>
  113.             mapRollDownDiscountCurve,
  114.         final java.lang.String strMaturityTenor)
  115.     {
  116.         if (null == mapRollDownDiscountCurve || 0 == mapRollDownDiscountCurve.size()) return null;

  118.         org.drip.market.otc.FixedFloatSwapConvention ffsc =
  119.             org.drip.market.otc.IBORFixedFloatContainer.ConventionFromJurisdiction (dcFirst.currency(),
  120.                 "ALL", strMaturityTenor, "MAIN");

  122.         if (null == ffsc) return null;

  124.         int iSettleLag = ffsc.spotLag();

  126.         org.drip.analytics.date.JulianDate dtFirst = dcFirst.epoch();

  128.         org.drip.product.rates.FixFloatComponent ffc = ffsc.createFixFloatComponent (dtFirst,
  129.             strMaturityTenor, 0., 0., 1.);

  131.         if (null == ffc) return null;

  133.         org.drip.param.market.CurveSurfaceQuoteContainer csqcFirst = new
  134.             org.drip.param.market.CurveSurfaceQuoteContainer();

  136.         if (!csqcFirst.setFundingState (dcFirst)) return null;

  138.         org.drip.param.market.CurveSurfaceQuoteContainer csqcSecond = new
  139.             org.drip.param.market.CurveSurfaceQuoteContainer();

  141.         if (!csqcSecond.setFundingState (dcSecond)) return null;

  143.         org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.param.market.CurveSurfaceQuoteContainer>
  144.             mapCSQCRollDown = new
  145.                 org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.param.market.CurveSurfaceQuoteContainer>();

  147.         for (java.lang.String strRollDownTenor : mapRollDownDiscountCurve.keySet()) {
  148.             org.drip.param.market.CurveSurfaceQuoteContainer csqcRollDown = new
  149.                 org.drip.param.market.CurveSurfaceQuoteContainer();

  151.             org.drip.state.discount.MergedDiscountForwardCurve dcRollDown = mapRollDownDiscountCurve.get
  152.                 (strRollDownTenor);

  154.             if (null == dcRollDown || !csqcRollDown.setFundingState (dcRollDown)) return null;

  156.             mapCSQCRollDown.put (strRollDownTenor, csqcRollDown);
  157.         }

  159.         try {
  160.             double dblSwapRate = ffc.measureValue (org.drip.param.valuation.ValuationParams.Spot
  161.                 (dtFirst.addBusDays (iSettleLag, ffc.payCurrency()).julian()), null, csqcFirst, null,
  162.                     "SwapRate");

  164.             return org.drip.historical.engine.HorizonChangeExplainExecutor.GenerateAttribution (new
  165.                 org.drip.historical.engine.FixFloatExplainProcessor (ffsc.createFixFloatComponent (dtFirst,
  166.                     strMaturityTenor, dblSwapRate, 0., 1.), iSettleLag, "SwapRate", dblSwapRate, dtFirst,
  167.                         dcSecond.epoch(), csqcFirst, csqcSecond, mapCSQCRollDown));
  168.         } catch (java.lang.Exception e) {
  169.             e.printStackTrace();
  170.         }

  172.         return null;
  173.     }

  175.     /**
  176.      * Generate the Funding Curve Horizon Metrics
  177.      * 
  178.      * @param dtFirst The First Date
  179.      * @param dtSecond The Second Date
  180.      * @param astrFundingDepositInstrumentTenor Array of Funding Curve Deposit Instrument Maturity Tenors
  181.      * @param adblFirstFundingDepositInstrument Array of First Date Funding Curve Deposit Instrument Quotes
  182.      * @param adblSecondFundingDepositInstrument Array of Second Date Funding Curve Deposit Instrument Quotes
  183.      * @param astrFundingFixFloatTenor Array of Funding Curve Fix Float Instrument Maturity Tenors
  184.      * @param adblFirstFundingFixFloat Array of First Date Funding Curve Fix Float Swap Rates
  185.      * @param adblSecondFundingFixFloat Array of Second Date Funding Curve Fix Float Swap Rates
  186.      * @param strCurrency Funding Currency
  187.      * @param strMaturityTenor Maturity Tenor
  188.      * @param astrRollDownHorizon Array of the Roll Down Horizon Tenors
  189.      * @param iLatentStateType Latent State Type
  190.      * 
  191.      * @return The Funding Curve Horizon Metrics
  192.      */

  194.     public static final org.drip.historical.attribution.PositionChangeComponents HorizonChangeAttribution (
  195.         final org.drip.analytics.date.JulianDate dtFirst,
  196.         final org.drip.analytics.date.JulianDate dtSecond,
  197.         final java.lang.String[] astrFundingDepositInstrumentTenor,
  198.         final double[] adblFirstFundingDepositInstrument,
  199.         final double[] adblSecondFundingDepositInstrument,
  200.         final java.lang.String[] astrFundingFixFloatTenor,
  201.         final double[] adblFirstFundingFixFloat,
  202.         final double[] adblSecondFundingFixFloat,
  203.         final java.lang.String strCurrency,
  204.         final java.lang.String strMaturityTenor,
  205.         final java.lang.String[] astrRollDownHorizon,
  206.         final int iLatentStateType)
  207.     {
  208.         if (null == dtFirst || null == dtSecond || dtFirst.julian() >= dtSecond.julian()) return null;

  210.         int iNumFundingDepositInstrument = null == astrFundingDepositInstrumentTenor ? 0 :
  211.             astrFundingDepositInstrumentTenor.length;
  212.         int iNumFirstFundingDepositInstrument = null == adblFirstFundingDepositInstrument ? 0 :
  213.             adblFirstFundingDepositInstrument.length;
  214.         int iNumSecondFundingDepositInstrument = null == adblSecondFundingDepositInstrument ? 0 :
  215.             adblSecondFundingDepositInstrument.length;
  216.         int iNumFundingFixFloat = null == astrFundingFixFloatTenor ? 0 : astrFundingFixFloatTenor.length;
  217.         int iNumFirstFundingFixFloat = null == adblFirstFundingFixFloat ? 0 :
  218.             adblFirstFundingFixFloat.length;
  219.         int iNumSecondFundingFixFloat = null == adblSecondFundingFixFloat ? 0 :
  220.             adblSecondFundingFixFloat.length;
  221.         int iNumRollDownHorizon = null == astrRollDownHorizon ? 0 : astrRollDownHorizon .length;

  223.         org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.state.discount.MergedDiscountForwardCurve>
  224.             mapRollDownDiscountCurve = 0 == iNumRollDownHorizon ? null : new
  225.                 org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.state.discount.MergedDiscountForwardCurve>();

  227.         if (0 == iNumFundingDepositInstrument || iNumFundingDepositInstrument !=
  228.             iNumFirstFundingDepositInstrument || iNumFundingDepositInstrument !=
  229.                 iNumSecondFundingDepositInstrument || 0 == iNumFundingFixFloat || iNumFundingFixFloat !=
  230.                     iNumFirstFundingFixFloat || iNumFundingFixFloat != iNumSecondFundingFixFloat)
  231.             return null;

  233.         org.drip.state.discount.MergedDiscountForwardCurve dcFirst =
  234.             org.drip.service.template.LatentMarketStateBuilder.FundingCurve (dtFirst, strCurrency,
  235.                 astrFundingDepositInstrumentTenor, adblFirstFundingDepositInstrument, "ForwardRate", null,
  236.                     "ForwardRate", astrFundingFixFloatTenor, adblFirstFundingFixFloat, "SwapRate",
  237.                         iLatentStateType);

  239.         org.drip.state.discount.MergedDiscountForwardCurve dcSecond =
  240.             org.drip.service.template.LatentMarketStateBuilder.FundingCurve (dtSecond, strCurrency,
  241.                 astrFundingDepositInstrumentTenor, adblSecondFundingDepositInstrument, "ForwardRate", null,
  242.                     "ForwardRate", astrFundingFixFloatTenor, adblSecondFundingFixFloat, "SwapRate",
  243.                         iLatentStateType);

  245.         org.drip.state.discount.MergedDiscountForwardCurve dcRollDown =
  246.             org.drip.service.template.LatentMarketStateBuilder.FundingCurve (dtSecond, strCurrency,
  247.                 astrFundingDepositInstrumentTenor, adblFirstFundingDepositInstrument, "ForwardRate", null,
  248.                     "ForwardRate", astrFundingFixFloatTenor, adblFirstFundingFixFloat, "SwapRate",
  249.                         iLatentStateType);

  251.         if (null == dcRollDown) return null;

  253.         mapRollDownDiscountCurve.put ("Native", dcRollDown);

  255.         for (int j = 0; j < iNumRollDownHorizon; ++j) {
  256.             org.drip.state.discount.MergedDiscountForwardCurve dcHorizonRollDown =
  257.                 org.drip.service.template.LatentMarketStateBuilder.FundingCurve (dtFirst.addTenor
  258.                     (astrRollDownHorizon[j]), strCurrency, astrFundingDepositInstrumentTenor,
  259.                         adblFirstFundingDepositInstrument, "ForwardRate", null, "ForwardRate",
  260.                             astrFundingFixFloatTenor, adblFirstFundingFixFloat, "SwapRate",
  261.                                 iLatentStateType);

  263.             if (null == dcHorizonRollDown) return null;

  265.             mapRollDownDiscountCurve.put (astrRollDownHorizon[j], dcHorizonRollDown);
  266.         }

  268.         return HorizonChangeAttribution (dcFirst, dcSecond, mapRollDownDiscountCurve, strMaturityTenor);
  269.     }

  271.     /**
  272.      * Generate the Funding Curve Horizon Metrics
  273.      * 
  274.      * @param adtSpot Array of Spot
  275.      * @param iHorizonGap The Horizon Gap
  276.      * @param astrFundingDepositInstrumentTenor Array of Funding Curve Deposit Instrument Maturity Tenors
  277.      * @param aadblFundingDepositInstrumentQuote Array of Funding Curve Deposit Instrument Forward Rates
  278.      * @param astrFundingFixFloatTenor Array of Funding Curve Fix Float Instrument Maturity Tenors
  279.      * @param aadblFundingFixFloatQuote Array of Funding Curve Fix Float Instrument Swap Rates
  280.      * @param strCurrency Funding Currency
  281.      * @param strMaturityTenor Maturity Tenor
  282.      * @param astrRollDownHorizon Array of the Roll Down Horizon Tenors
  283.      * @param iLatentStateType Latent State Type
  284.      * 
  285.      * @return The Funding Curve Horizon Metrics
  286.      */

  288.     public static final java.util.List<org.drip.historical.attribution.PositionChangeComponents>
  289.         HorizonChangeAttribution (
  290.             final org.drip.analytics.date.JulianDate[] adtSpot,
  291.             final int iHorizonGap,
  292.             final java.lang.String[] astrFundingDepositInstrumentTenor,
  293.             final double[][] aadblFundingDepositInstrumentQuote,
  294.             final java.lang.String[] astrFundingFixFloatTenor,
  295.             final double[][] aadblFundingFixFloatQuote,
  296.             final java.lang.String strCurrency,
  297.             final java.lang.String strMaturityTenor,
  298.             final java.lang.String[] astrRollDownHorizon,
  299.             final int iLatentStateType)
  300.     {
  301.         if (null == adtSpot || 0 >= iHorizonGap || null == aadblFundingDepositInstrumentQuote || null ==
  302.             aadblFundingFixFloatQuote)
  303.             return null;

  305.         int iNumClose = adtSpot.length;
  306.         int iNumRollDownTenor = null == astrRollDownHorizon ? 0 : astrRollDownHorizon.length;

  308.         if (0 == iNumClose || iNumClose != aadblFundingDepositInstrumentQuote.length || iNumClose !=
  309.             aadblFundingFixFloatQuote.length || 0 == iNumRollDownTenor)
  310.             return null;

  312.         java.util.List<org.drip.historical.attribution.PositionChangeComponents> lsPCC = new
  313.             java.util.ArrayList<org.drip.historical.attribution.PositionChangeComponents>();

  315.         for (int i = iHorizonGap; i < iNumClose; ++i) {
  316.             org.drip.historical.attribution.PositionChangeComponents pcc = HorizonChangeAttribution
  317.                 (adtSpot[i - iHorizonGap], adtSpot[i], astrFundingDepositInstrumentTenor,
  318.                     aadblFundingDepositInstrumentQuote[i - iHorizonGap],
  319.                         aadblFundingDepositInstrumentQuote[i], astrFundingFixFloatTenor,
  320.                             aadblFundingFixFloatQuote[i - iHorizonGap], aadblFundingFixFloatQuote[i],
  321.                                 strCurrency, strMaturityTenor, astrRollDownHorizon, iLatentStateType);

  323.             if (null != pcc) lsPCC.add (pcc);
  324.         }

  326.         return lsPCC;
  327.     }
  328. }
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