TreasuryAPI.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>TreasuryAPI</i> demonstrates the Details behind the Pricing and the Scenario Runs behind a Treasury
  82.  * Bond.
  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 TreasuryAPI {

  98.     /**
  99.      * Compute the Horizon Change Attribution Details for the Specified Treasury Bond
  100.      * 
  101.      * @param gcFirst First Day Govvie Curve
  102.      * @param gcSecond Second Date Govvie Curve
  103.      * @param mapRollDownGovvieCurve Map of the Roll Down Govvie Curves
  104.      * @param strMaturityTenor Treasury Bond Maturity Tenor
  105.      * @param strCode Treasury Bond Code
  106.      * 
  107.      * @return The Horizon Change Attribution Instance
  108.      */

  110.     public static final org.drip.historical.attribution.PositionChangeComponents HorizonChangeAttribution (
  111.         final org.drip.state.govvie.GovvieCurve gcFirst,
  112.         final org.drip.state.govvie.GovvieCurve gcSecond,
  113.         final org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.state.govvie.GovvieCurve>
  114.             mapRollDownGovvieCurve,
  115.         final java.lang.String strMaturityTenor,
  116.         final java.lang.String strCode)
  117.     {
  118.         if (null == gcFirst || null == mapRollDownGovvieCurve || 0 == mapRollDownGovvieCurve.size())
  119.             return null;

  121.         double dblFirstGovvieCurveYield = java.lang.Double.NaN;

  123.         try {
  124.             dblFirstGovvieCurveYield = gcFirst.yield (strMaturityTenor);
  125.         } catch (java.lang.Exception e) {
  126.             e.printStackTrace();

  128.             return null;
  129.         }

  131.         org.drip.analytics.date.JulianDate dtFirst = gcFirst.epoch();

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

  136.         if (!csqcFirst.setGovvieState (gcFirst)) return null;

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

  141.         if (!csqcSecond.setGovvieState (gcSecond)) 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 : mapRollDownGovvieCurve.keySet()) {
  148.             org.drip.param.market.CurveSurfaceQuoteContainer csqcRollDown = new
  149.                 org.drip.param.market.CurveSurfaceQuoteContainer();

  151.             org.drip.state.govvie.GovvieCurve gcRollDown = mapRollDownGovvieCurve.get (strRollDownTenor);

  153.             if (null == gcRollDown || !csqcRollDown.setGovvieState (gcRollDown)) return null;

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

  158.         try {
  159.             return org.drip.historical.engine.HorizonChangeExplainExecutor.GenerateAttribution (new
  160.                 org.drip.historical.engine.TreasuryBondExplainProcessor
  161.                     (org.drip.service.template.TreasuryBuilder.FromCode (strCode, dtFirst, dtFirst.addTenor
  162.                         (strMaturityTenor), dblFirstGovvieCurveYield), "Yield", dblFirstGovvieCurveYield,
  163.                             dtFirst, gcSecond.epoch(), csqcFirst, csqcSecond, mapCSQCRollDown));
  164.         } catch (java.lang.Exception e) {
  165.             e.printStackTrace();
  166.         }

  168.         return null;
  169.     }

  171.     /**
  172.      * Generate the Govvie Curve Horizon Metrics
  173.      * 
  174.      * @param dtFirst The First Date
  175.      * @param dtSecond The Second Date
  176.      * @param astrGovvieTreasuryInstrumentTenor Array of Govvie Curve Treasury Instrument Maturity Tenors
  177.      * @param adblFirstGovvieTreasuryInstrument Array of First Date Govvie Curve Treasury Instrument Quotes
  178.      * @param adblSecondGovvieTreasuryInstrument Array of Second Date Govvie Curve Treasury Instrument Quotes
  179.      * @param strMaturityTenor Treasury Bond Maturity Tenor
  180.      * @param strCode Treasury Bond Code
  181.      * @param astrRollDownHorizon Array of the Roll Down Horizon Tenors
  182.      * @param iLatentStateType Latent State Type
  183.      * 
  184.      * @return The Govvie Curve Horizon Metrics
  185.      */

  187.     public static final org.drip.historical.attribution.PositionChangeComponents HorizonChangeAttribution (
  188.         final org.drip.analytics.date.JulianDate dtFirst,
  189.         final org.drip.analytics.date.JulianDate dtSecond,
  190.         final java.lang.String[] astrGovvieTreasuryInstrumentTenor,
  191.         final double[] adblFirstGovvieTreasuryInstrument,
  192.         final double[] adblSecondGovvieTreasuryInstrument,
  193.         final java.lang.String strMaturityTenor,
  194.         final java.lang.String strCode,
  195.         final java.lang.String[] astrRollDownHorizon,
  196.         final int iLatentStateType)
  197.     {
  198.         if (null == dtFirst || null == dtSecond || dtFirst.julian() >= dtSecond.julian()) return null;

  200.         int iNumGovvieTreasuryInstrument = null == astrGovvieTreasuryInstrumentTenor ? 0 :
  201.             astrGovvieTreasuryInstrumentTenor.length;
  202.         int iNumFirstGovvieTreasuryInstrument = null == adblFirstGovvieTreasuryInstrument ? 0 :
  203.             adblFirstGovvieTreasuryInstrument.length;
  204.         int iNumSecondGovvieTreasuryInstrument = null == adblSecondGovvieTreasuryInstrument ? 0 :
  205.             adblSecondGovvieTreasuryInstrument.length;
  206.         int iNumRollDownHorizon = null == astrRollDownHorizon ? 0 : astrRollDownHorizon .length;
  207.         org.drip.analytics.date.JulianDate[] adtFirstEffective = new
  208.             org.drip.analytics.date.JulianDate[iNumGovvieTreasuryInstrument];
  209.         org.drip.analytics.date.JulianDate[] adtFirstMaturity = new
  210.             org.drip.analytics.date.JulianDate[iNumGovvieTreasuryInstrument];
  211.         org.drip.analytics.date.JulianDate[] adtSecondEffective = new
  212.             org.drip.analytics.date.JulianDate[iNumGovvieTreasuryInstrument];
  213.         org.drip.analytics.date.JulianDate[] adtSecondMaturity = new
  214.             org.drip.analytics.date.JulianDate[iNumGovvieTreasuryInstrument];
  215.         org.drip.analytics.date.JulianDate[] adtRollDownEffective = new
  216.             org.drip.analytics.date.JulianDate[iNumGovvieTreasuryInstrument];
  217.         org.drip.analytics.date.JulianDate[] adtRollDownMaturity = new
  218.             org.drip.analytics.date.JulianDate[iNumGovvieTreasuryInstrument];

  220.         org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.state.govvie.GovvieCurve>
  221.             mapRollDownGovvieCurve = 0 == iNumRollDownHorizon ? null : new
  222.                 org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.state.govvie.GovvieCurve>();

  224.         if (0 == iNumGovvieTreasuryInstrument || iNumGovvieTreasuryInstrument !=
  225.             iNumFirstGovvieTreasuryInstrument || iNumGovvieTreasuryInstrument !=
  226.                 iNumSecondGovvieTreasuryInstrument)
  227.             return null;

  229.         for (int i = 0; i < iNumGovvieTreasuryInstrument; ++i) {
  230.             adtFirstMaturity[i] = (adtFirstEffective[i] = dtFirst).addTenor
  231.                 (astrGovvieTreasuryInstrumentTenor[i]);

  233.             adtSecondMaturity[i] = (adtSecondEffective[i] = dtSecond).addTenor
  234.                 (astrGovvieTreasuryInstrumentTenor[i]);
  235.         }

  237.         org.drip.state.govvie.GovvieCurve gcFirst =
  238.             org.drip.service.template.LatentMarketStateBuilder.GovvieCurve (strCode, dtFirst,
  239.                 adtFirstEffective, adtFirstMaturity, adblFirstGovvieTreasuryInstrument,
  240.                     adblFirstGovvieTreasuryInstrument, "Yield", iLatentStateType);

  242.         org.drip.state.govvie.GovvieCurve gcSecond =
  243.             org.drip.service.template.LatentMarketStateBuilder.GovvieCurve (strCode, dtSecond,
  244.                 adtSecondEffective, adtSecondMaturity, adblSecondGovvieTreasuryInstrument,
  245.                     adblSecondGovvieTreasuryInstrument, "Yield", iLatentStateType);

  247.         org.drip.state.govvie.GovvieCurve gcRollDown =
  248.             org.drip.service.template.LatentMarketStateBuilder.GovvieCurve (strCode, dtSecond,
  249.                 adtSecondEffective, adtSecondMaturity, adblFirstGovvieTreasuryInstrument,
  250.                     adblFirstGovvieTreasuryInstrument, "Yield", iLatentStateType);

  252.         if (null == gcRollDown) return null;

  254.         mapRollDownGovvieCurve.put ("Native", gcRollDown);

  256.         for (int j = 0; j < iNumRollDownHorizon; ++j) {
  257.             org.drip.analytics.date.JulianDate dtRollDown = dtFirst.addTenor (astrRollDownHorizon[j]);

  259.             for (int i = 0; i < iNumGovvieTreasuryInstrument; ++i)
  260.                 adtRollDownMaturity[i] = (adtRollDownEffective[i] = dtRollDown).addTenor
  261.                     (astrGovvieTreasuryInstrumentTenor[i]);

  263.             org.drip.state.govvie.GovvieCurve gcHorizonRollDown =
  264.                 org.drip.service.template.LatentMarketStateBuilder.GovvieCurve (strCode, dtRollDown,
  265.                     adtRollDownEffective, adtRollDownMaturity, adblFirstGovvieTreasuryInstrument,
  266.                         adblFirstGovvieTreasuryInstrument, "Yield", iLatentStateType);

  268.             if (null == gcHorizonRollDown) return null;

  270.             mapRollDownGovvieCurve.put (astrRollDownHorizon[j], gcHorizonRollDown);
  271.         }

  273.         return HorizonChangeAttribution (gcFirst, gcSecond, mapRollDownGovvieCurve, strMaturityTenor,
  274.             strCode);
  275.     }

  277.     /**
  278.      * Generate the Govvie Curve Horizon Metrics
  279.      * 
  280.      * @param adtSpot Array of the Spot Dates
  281.      * @param iHorizonGap The Horizon Gap
  282.      * @param astrGovvieTreasuryInstrumentTenor Array of Govvie Curve Treasury Instrument Maturity Tenors
  283.      * @param aadblGovvieTreasuryInstrumentQuote Array of Govvie Curve Treasury Instrument Quotes
  284.      * @param strMaturityTenor Treasury Bond Maturity Tenor
  285.      * @param strCode Treasury Bond Code
  286.      * @param astrRollDownHorizon Array of the Roll Down Horizon Tenors
  287.      * @param iLatentStateType Latent State Type
  288.      * 
  289.      * @return The Govvie Curve Horizon Metrics
  290.      */

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

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

  308.         if (0 == iNumClose || iNumClose != aadblGovvieTreasuryInstrumentQuote.length || 0 ==
  309.             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], astrGovvieTreasuryInstrumentTenor,
  318.                     aadblGovvieTreasuryInstrumentQuote[i - iHorizonGap],
  319.                         aadblGovvieTreasuryInstrumentQuote[i], strMaturityTenor, strCode,
  320.                             astrRollDownHorizon, iLatentStateType);

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

  325.         return lsPCC;
  326.     }
  327. }
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