FundingFuturesAPI.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>FundingFuturesAPI</i> contains the Functionality associated with the Horizon Analysis of the Funding
  82.  * Futures.
  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/product/README.md">Product Horizon PnL Attribution Decomposition</a></li>
  90.  *  </ul>
  91.  * <br><br>
  92.  * 
  93.  * @author Lakshmi Krishnamurthy
  94.  */

  96. public class FundingFuturesAPI {

  98.     /**
  99.      * Generate the Funding Futures Horizon Metrics
  100.      * 
  101.      * @param dtPrevious Previous Date
  102.      * @param dtSpot Spot Date
  103.      * @param dtExpiry Expiry Date
  104.      * @param dblPreviousQuote Previous Funding Futures Rates
  105.      * @param dblSpotQuote Spot Funding Futures Rates
  106.      * @param strCurrency Funding Currency
  107.      * 
  108.      * @return The Funding Futures Horizon Metrics
  109.      */

  111.     public static final org.drip.historical.attribution.PositionChangeComponents HorizonMetrics (
  112.         final org.drip.analytics.date.JulianDate dtPrevious,
  113.         final org.drip.analytics.date.JulianDate dtSpot,
  114.         final org.drip.analytics.date.JulianDate dtExpiry,
  115.         final double dblPreviousQuote,
  116.         final double dblSpotQuote,
  117.         final java.lang.String strCurrency)
  118.     {
  119.         org.drip.product.rates.SingleStreamComponent sscFutures =
  120.             org.drip.service.template.ExchangeInstrumentBuilder.ForwardRateFutures (dtExpiry.addMonths (3),
  121.                 strCurrency);

  123.         if (null == sscFutures) return null;

  125.         org.drip.analytics.cashflow.ComposableUnitPeriod cup = sscFutures.couponPeriods().get
  126.             (0).periods().get (0);

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

  131.         if (!csqc.setFundingState
  132.             (org.drip.state.creator.ScenarioDiscountCurveBuilder.DiscretelyCompoundedFlatRate (dtPrevious,
  133.                 strCurrency, dblPreviousQuote, cup.couponDC(), cup.freq())))
  134.             return null;

  136.         java.util.Map<java.lang.String, java.lang.Double> mapPreviousMeasures = sscFutures.value
  137.             (org.drip.param.valuation.ValuationParams.Spot (dtPrevious.julian()), null, csqc, null);

  139.         if (null == mapPreviousMeasures || !mapPreviousMeasures.containsKey ("DV01") ||
  140.             !mapPreviousMeasures.containsKey ("ForwardRate") || !mapPreviousMeasures.containsKey ("PV"))
  141.             return null;

  143.         double dblPreviousDV01 = 10000. * mapPreviousMeasures.get ("DV01");

  145.         double dblPreviousForwardRate = mapPreviousMeasures.get ("ForwardRate");

  147.         if (!csqc.setFundingState
  148.             (org.drip.state.creator.ScenarioDiscountCurveBuilder.DiscretelyCompoundedFlatRate (dtSpot,
  149.                 strCurrency, dblSpotQuote, cup.couponDC(), cup.freq())))
  150.             return null;

  152.         java.util.Map<java.lang.String, java.lang.Double> mapSpotMeasures = sscFutures.value
  153.             (org.drip.param.valuation.ValuationParams.Spot (dtSpot.julian()), null, csqc, null);

  155.         if (null == mapSpotMeasures || !mapSpotMeasures.containsKey ("DV01") || !mapSpotMeasures.containsKey
  156.             ("ForwardRate") || !mapSpotMeasures.containsKey ("PV"))
  157.             return null;

  159.         double dblSpotDV01 = 10000. * mapSpotMeasures.get ("DV01");

  161.         double dblSpotForwardRate = mapSpotMeasures.get ("ForwardRate");

  163.         try {
  164.             org.drip.historical.attribution.PositionMarketSnap pmsPrevious = new
  165.                 org.drip.historical.attribution.PositionMarketSnap (dtPrevious, mapPreviousMeasures.get
  166.                     ("PV"));

  168.             if (!pmsPrevious.addManifestMeasureSnap ("ForwardRate", dblPreviousForwardRate, dblPreviousDV01,
  169.                 dblPreviousForwardRate) || !pmsPrevious.setR1 ("DV01", dblPreviousDV01) || !pmsPrevious.setR1
  170.                     ("ForwardRate", dblPreviousForwardRate) || !pmsPrevious.setC1 ("FloaterLabel",
  171.                         sscFutures.forwardLabel().get ("DERIVED").fullyQualifiedName()))
  172.                 return null;

  174.             org.drip.historical.attribution.PositionMarketSnap pmsSpot = new
  175.                 org.drip.historical.attribution.PositionMarketSnap (dtSpot, mapSpotMeasures.get ("PV"));

  177.             if (!pmsSpot.addManifestMeasureSnap ("ForwardRate", dblSpotForwardRate, dblSpotDV01,
  178.                 dblSpotForwardRate) || !pmsSpot.setR1 ("DV01", dblSpotDV01) || !pmsSpot.setR1 ("ForwardRate",
  179.                     dblSpotForwardRate) || !pmsSpot.setC1 ("FloaterLabel", sscFutures.forwardLabel().get
  180.                         ("DERIVED").fullyQualifiedName()))
  181.                 return null;

  183.             return new org.drip.historical.attribution.PositionChangeComponents (false, pmsPrevious, pmsSpot,
  184.                 0., null);
  185.         } catch (java.lang.Exception e) {
  186.             e.printStackTrace();
  187.         }

  189.         return null;
  190.     }

  192.     /**
  193.      * Generate the Funding Futures Horizon Metrics
  194.      * 
  195.      * @param adt Array of Closing Dates
  196.      * @param adtExpiry Array of Expiry Dates
  197.      * @param adblFuturesQuote Array of Closing Futures Quotes
  198.      * @param strCurrency Funding Currency
  199.      * 
  200.      * @return The Funding Futures Horizon Metrics
  201.      */

  203.     public static final java.util.List<org.drip.historical.attribution.PositionChangeComponents>
  204.         HorizonChangeAttribution (
  205.             final org.drip.analytics.date.JulianDate[] adt,
  206.             final org.drip.analytics.date.JulianDate[] adtExpiry,
  207.             final double[] adblFuturesQuote,
  208.             final java.lang.String strCurrency)
  209.     {
  210.         if (null == adt || null == adtExpiry || null == adblFuturesQuote) return null;

  212.         int iNumClose = adt.length;

  214.         if (0 == iNumClose || iNumClose != adtExpiry.length || iNumClose != adblFuturesQuote.length)
  215.             return null;

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

  220.         for (int i = 1; i < iNumClose; ++i) {
  221.             if (adtExpiry[i - 1].julian() != adtExpiry[i].julian()) continue;

  223.             org.drip.historical.attribution.PositionChangeComponents pcc = HorizonMetrics (adt[i - 1],
  224.                 adt[i], adtExpiry[i], adblFuturesQuote[i - 1], adblFuturesQuote[i], strCurrency);

  226.             if (null == pcc) continue;

  228.             lsPCC.add (pcc);
  229.         }

  231.         return lsPCC;
  232.     }
  233. }
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