OvernightIndexSwapAPI.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>OvernightIndexSwapAPI</i> exposes the Pricing and the Scenario Runs for an Overnight Index Swap.
 * 
 * <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 OvernightIndexSwapAPI {

    /**
     * Generate Full Set of Metrics for the Specified OIS
     * 
     * @param strOISCurrency OIS Currency
     * @param strOISTenor OIS Tenor
     * @param dblOISCoupon OIS Coupon
     * @param iSpotDate Spot Date
     * @param astrOvernightCurveDepositTenor Overnight Curve Calibration Deposit Tenor
     * @param adblOvernightCurveDepositQuote Overnight Tenor Calibration Deposit Quote
     * @param astrOvernightCurveOISTenor Overnight Curve Calibration OIS Tenor
     * @param adblOvernightCurveOISQuote Overnight Curve Calibration OIS Quote
     * @param bFund TRUE - Floater Based off of Fund
     * 
     * @return Map of Valuation Metrics
     */

    public static final java.util.Map<java.lang.String, java.lang.Double> ValuationMetrics (
        final java.lang.String strOISCurrency,
        final java.lang.String strOISTenor,
        final double dblOISCoupon,
        final int iSpotDate,
        final java.lang.String[] astrOvernightCurveDepositTenor,
        final double[] adblOvernightCurveDepositQuote,
        final java.lang.String[] astrOvernightCurveOISTenor,
        final double[] adblOvernightCurveOISQuote,
        final boolean bFund)
    {
        org.drip.service.env.EnvManager.InitEnv ("");

        org.drip.analytics.date.JulianDate dtSpot = new org.drip.analytics.date.JulianDate (iSpotDate);

        org.drip.state.discount.MergedDiscountForwardCurve dcOvernight =
            org.drip.service.template.LatentMarketStateBuilder.SmoothOvernightCurve (dtSpot, strOISCurrency,
                astrOvernightCurveDepositTenor, adblOvernightCurveDepositQuote, "Rate",
                    astrOvernightCurveOISTenor, adblOvernightCurveOISQuote, "SwapRate", null, null, null,
                        "SwapRate", null, null, "SwapRate");

        if (null == dcOvernight) return null;

        org.drip.product.rates.FixFloatComponent oisFixFloat =
            org.drip.service.template.OTCInstrumentBuilder.OISFixFloat (dtSpot, strOISCurrency, strOISTenor,
                dblOISCoupon, bFund);

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

        return csqc.setFundingState (dcOvernight) ? oisFixFloat.value
            (org.drip.param.valuation.ValuationParams.Spot (iSpotDate), null, csqc, null) : null;
    }
}