FundingFuturesAPI.java
package org.drip.service.product;
/*
* -*- 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>FundingFuturesAPI</i> contains the Functionality associated with the Horizon Analysis of the Funding
* Futures.
*
* <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/product/README.md">Product Horizon PnL Attribution Decomposition</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class FundingFuturesAPI {
/**
* Generate the Funding Futures Horizon Metrics
*
* @param dtPrevious Previous Date
* @param dtSpot Spot Date
* @param dtExpiry Expiry Date
* @param dblPreviousQuote Previous Funding Futures Rates
* @param dblSpotQuote Spot Funding Futures Rates
* @param strCurrency Funding Currency
*
* @return The Funding Futures Horizon Metrics
*/
public static final org.drip.historical.attribution.PositionChangeComponents HorizonMetrics (
final org.drip.analytics.date.JulianDate dtPrevious,
final org.drip.analytics.date.JulianDate dtSpot,
final org.drip.analytics.date.JulianDate dtExpiry,
final double dblPreviousQuote,
final double dblSpotQuote,
final java.lang.String strCurrency)
{
org.drip.product.rates.SingleStreamComponent sscFutures =
org.drip.service.template.ExchangeInstrumentBuilder.ForwardRateFutures (dtExpiry.addMonths (3),
strCurrency);
if (null == sscFutures) return null;
org.drip.analytics.cashflow.ComposableUnitPeriod cup = sscFutures.couponPeriods().get
(0).periods().get (0);
org.drip.param.market.CurveSurfaceQuoteContainer csqc = new
org.drip.param.market.CurveSurfaceQuoteContainer();
if (!csqc.setFundingState
(org.drip.state.creator.ScenarioDiscountCurveBuilder.DiscretelyCompoundedFlatRate (dtPrevious,
strCurrency, dblPreviousQuote, cup.couponDC(), cup.freq())))
return null;
java.util.Map<java.lang.String, java.lang.Double> mapPreviousMeasures = sscFutures.value
(org.drip.param.valuation.ValuationParams.Spot (dtPrevious.julian()), null, csqc, null);
if (null == mapPreviousMeasures || !mapPreviousMeasures.containsKey ("DV01") ||
!mapPreviousMeasures.containsKey ("ForwardRate") || !mapPreviousMeasures.containsKey ("PV"))
return null;
double dblPreviousDV01 = 10000. * mapPreviousMeasures.get ("DV01");
double dblPreviousForwardRate = mapPreviousMeasures.get ("ForwardRate");
if (!csqc.setFundingState
(org.drip.state.creator.ScenarioDiscountCurveBuilder.DiscretelyCompoundedFlatRate (dtSpot,
strCurrency, dblSpotQuote, cup.couponDC(), cup.freq())))
return null;
java.util.Map<java.lang.String, java.lang.Double> mapSpotMeasures = sscFutures.value
(org.drip.param.valuation.ValuationParams.Spot (dtSpot.julian()), null, csqc, null);
if (null == mapSpotMeasures || !mapSpotMeasures.containsKey ("DV01") || !mapSpotMeasures.containsKey
("ForwardRate") || !mapSpotMeasures.containsKey ("PV"))
return null;
double dblSpotDV01 = 10000. * mapSpotMeasures.get ("DV01");
double dblSpotForwardRate = mapSpotMeasures.get ("ForwardRate");
try {
org.drip.historical.attribution.PositionMarketSnap pmsPrevious = new
org.drip.historical.attribution.PositionMarketSnap (dtPrevious, mapPreviousMeasures.get
("PV"));
if (!pmsPrevious.addManifestMeasureSnap ("ForwardRate", dblPreviousForwardRate, dblPreviousDV01,
dblPreviousForwardRate) || !pmsPrevious.setR1 ("DV01", dblPreviousDV01) || !pmsPrevious.setR1
("ForwardRate", dblPreviousForwardRate) || !pmsPrevious.setC1 ("FloaterLabel",
sscFutures.forwardLabel().get ("DERIVED").fullyQualifiedName()))
return null;
org.drip.historical.attribution.PositionMarketSnap pmsSpot = new
org.drip.historical.attribution.PositionMarketSnap (dtSpot, mapSpotMeasures.get ("PV"));
if (!pmsSpot.addManifestMeasureSnap ("ForwardRate", dblSpotForwardRate, dblSpotDV01,
dblSpotForwardRate) || !pmsSpot.setR1 ("DV01", dblSpotDV01) || !pmsSpot.setR1 ("ForwardRate",
dblSpotForwardRate) || !pmsSpot.setC1 ("FloaterLabel", sscFutures.forwardLabel().get
("DERIVED").fullyQualifiedName()))
return null;
return new org.drip.historical.attribution.PositionChangeComponents (false, pmsPrevious, pmsSpot,
0., null);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* Generate the Funding Futures Horizon Metrics
*
* @param adt Array of Closing Dates
* @param adtExpiry Array of Expiry Dates
* @param adblFuturesQuote Array of Closing Futures Quotes
* @param strCurrency Funding Currency
*
* @return The Funding Futures Horizon Metrics
*/
public static final java.util.List<org.drip.historical.attribution.PositionChangeComponents>
HorizonChangeAttribution (
final org.drip.analytics.date.JulianDate[] adt,
final org.drip.analytics.date.JulianDate[] adtExpiry,
final double[] adblFuturesQuote,
final java.lang.String strCurrency)
{
if (null == adt || null == adtExpiry || null == adblFuturesQuote) return null;
int iNumClose = adt.length;
if (0 == iNumClose || iNumClose != adtExpiry.length || iNumClose != adblFuturesQuote.length)
return null;
java.util.List<org.drip.historical.attribution.PositionChangeComponents> lsPCC = new
java.util.ArrayList<org.drip.historical.attribution.PositionChangeComponents>();
for (int i = 1; i < iNumClose; ++i) {
if (adtExpiry[i - 1].julian() != adtExpiry[i].julian()) continue;
org.drip.historical.attribution.PositionChangeComponents pcc = HorizonMetrics (adt[i - 1],
adt[i], adtExpiry[i], adblFuturesQuote[i - 1], adblFuturesQuote[i], strCurrency);
if (null == pcc) continue;
lsPCC.add (pcc);
}
return lsPCC;
}
}