EOSMetricsReplicator.java

  1. package org.drip.service.scenario;

  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.  * 
  13.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  14.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  15.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  16.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  17.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  18.  *      and computational support.
  19.  *  
  20.  *      https://lakshmidrip.github.io/DROP/
  21.  *  
  22.  *  DROP is composed of three modules:
  23.  *  
  24.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  25.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  26.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  27.  * 
  28.  *  DROP Product Core implements libraries for the following:
  29.  *  - Fixed Income Analytics
  30.  *  - Loan Analytics
  31.  *  - Transaction Cost Analytics
  32.  * 
  33.  *  DROP Portfolio Core implements libraries for the following:
  34.  *  - Asset Allocation Analytics
  35.  *  - Asset Liability Management Analytics
  36.  *  - Capital Estimation Analytics
  37.  *  - Exposure Analytics
  38.  *  - Margin Analytics
  39.  *  - XVA Analytics
  40.  * 
  41.  *  DROP Computational Core implements libraries for the following:
  42.  *  - Algorithm Support
  43.  *  - Computation Support
  44.  *  - Function Analysis
  45.  *  - Model Validation
  46.  *  - Numerical Analysis
  47.  *  - Numerical Optimizer
  48.  *  - Spline Builder
  49.  *  - Statistical Learning
  50.  * 
  51.  *  Documentation for DROP is Spread Over:
  52.  * 
  53.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  54.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  55.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  56.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  57.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  58.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  59.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  60.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  61.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  62.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  63.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  64.  * 
  65.  *  Licensed under the Apache License, Version 2.0 (the "License");
  66.  *      you may not use this file except in compliance with the License.
  67.  *   
  68.  *  You may obtain a copy of the License at
  69.  *      http://www.apache.org/licenses/LICENSE-2.0
  70.  *  
  71.  *  Unless required by applicable law or agreed to in writing, software
  72.  *      distributed under the License is distributed on an "AS IS" BASIS,
  73.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  74.  *  
  75.  *  See the License for the specific language governing permissions and
  76.  *      limitations under the License.
  77.  */

  79. /**
  80.  * <i>EOSMetricsReplicator</i> generates the EOS Metrics for Bonds with Embedded Option Schedules.
  81.  * 
  82.  * <br><br>
  83.  *  <ul>
  84.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  85.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationSupportLibrary.md">Computation Support</a></li>
  86.  *      <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>
  87.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/service/scenario/README.md">Custom Scenario Service Metric Generator</a></li>
  88.  *  </ul>
  89.  * <br><br>
  90.  * 
  91.  * @author Lakshmi Krishnamurthy
  92.  */

  94. public class EOSMetricsReplicator
  95. {
  96.     private int _iNumPath = -1;
  97.     private double _dblPrice = java.lang.Double.NaN;
  98.     private org.drip.product.credit.BondComponent _bond = null;
  99.     private org.drip.measure.process.DiffusionEvolver _de = null;
  100.     private org.drip.state.sequence.GovvieBuilderSettings _gbs = null;
  101.     private org.drip.param.valuation.ValuationParams _valParams = null;
  102.     private org.drip.param.market.CurveSurfaceQuoteContainer _csqc = null;

  104.     /**
  105.      * Standard Static EOSMetricsReplicator Creator
  106.      * 
  107.      * @param bond Bond Instance
  108.      * @param valParams Valuation Parameters
  109.      * @param csqc Market Parameters
  110.      * @param gbs Govvie Builder Settings
  111.      * @param dblLogNormalVolatility Long Normal Treasury Forward Volatility
  112.      * @param dblPrice Market Price
  113.      * 
  114.      * @return EOSMetricsReplicator Instance
  115.      */

  117.     public static final EOSMetricsReplicator Standard (
  118.         final org.drip.product.credit.BondComponent bond,
  119.         final org.drip.param.valuation.ValuationParams valParams,
  120.         final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
  121.         final org.drip.state.sequence.GovvieBuilderSettings gbs,
  122.         final double dblLogNormalVolatility,
  123.         final double dblPrice)
  124.     {
  125.         try {
  126.             return new EOSMetricsReplicator (
  127.                 bond,
  128.                 valParams,
  129.                 csqc,
  130.                 gbs,
  131.                 new org.drip.measure.process.DiffusionEvolver (
  132.                     org.drip.measure.dynamics.DiffusionEvaluatorLogarithmic.Standard (
  133.                         0.,
  134.                         dblLogNormalVolatility
  135.                     )
  136.                 ),
  137.                 50,
  138.                 dblPrice
  139.             );
  140.         } catch (java.lang.Exception e) {
  141.             e.printStackTrace();
  142.         }

  144.         return null;
  145.     }

  147.     /**
  148.      * EOSMetricsReplicator Constructor
  149.      * 
  150.      * @param bond Bond Instance
  151.      * @param valParams Valuation Parameters
  152.      * @param csqc Market Parameters
  153.      * @param gbs Govvie Builder Settings
  154.      * @param de Diffusion Evolver
  155.      * @param iNumPath Number of Simulation Paths
  156.      * @param dblPrice Market Price
  157.      * 
  158.      * @throws java.lang.Exception Thrown if the Inputs are Invalid/Inconsistent
  159.      */

  161.     public EOSMetricsReplicator (
  162.         final org.drip.product.credit.BondComponent bond,
  163.         final org.drip.param.valuation.ValuationParams valParams,
  164.         final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
  165.         final org.drip.state.sequence.GovvieBuilderSettings gbs,
  166.         final org.drip.measure.process.DiffusionEvolver de,
  167.         final int iNumPath,
  168.         final double dblPrice)
  169.         throws java.lang.Exception
  170.     {
  171.         if (null == (_bond = bond) || (!_bond.callable() && _bond.putable()) ||
  172.             null == (_valParams = valParams) ||
  173.             null == (_csqc = csqc) ||
  174.             null == (_gbs = gbs) ||
  175.             null == (_de = de) ||
  176.             0 >= (_iNumPath = iNumPath) ||
  177.             !org.drip.numerical.common.NumberUtil.IsValid (_dblPrice = dblPrice))
  178.             throw new java.lang.Exception ("EOSMetricsReplicator Constructor => Invalid Inputs");
  179.     }

  181.     /**
  182.      * Retrieve the Underlying Bond
  183.      * 
  184.      * @return The Underlying Bond
  185.      */

  187.     public org.drip.product.credit.BondComponent bond()
  188.     {
  189.         return _bond;
  190.     }

  192.     /**
  193.      * Retrieve the Valuation Parameters
  194.      * 
  195.      * @return The Valuation Parameters
  196.      */

  198.     public org.drip.param.valuation.ValuationParams valuationParameters()
  199.     {
  200.         return _valParams;
  201.     }

  203.     /**
  204.      * Retrieve the Market Parameters
  205.      * 
  206.      * @return The Market Parameters
  207.      */

  209.     public org.drip.param.market.CurveSurfaceQuoteContainer marketParameters()
  210.     {
  211.         return _csqc;
  212.     }

  214.     /**
  215.      * Retrieve the Price
  216.      * 
  217.      * @return The Price
  218.      */

  220.     public double price()
  221.     {
  222.         return _dblPrice;
  223.     }

  225.     /**
  226.      * Retrieve the Diffusion Evolver
  227.      * 
  228.      * @return The Diffusion Evolver
  229.      */

  231.     public org.drip.measure.process.DiffusionEvolver diffusionEvolver()
  232.     {
  233.         return _de;
  234.     }

  236.     /**
  237.      * Retrieve the Govvie Builder Settings
  238.      * 
  239.      * @return The Govvie Builder Settings
  240.      */

  242.     public org.drip.state.sequence.GovvieBuilderSettings govvieBuilderSetting()
  243.     {
  244.         return _gbs;
  245.     }

  247.     /**
  248.      * Retrieve the Number of Simulation Paths
  249.      * 
  250.      * @return The Number of Simulation Paths
  251.      */

  253.     public int numPath()
  254.     {
  255.         return _iNumPath;
  256.     }

  258.     /**
  259.      * Generate an Instance of a Replication Run
  260.      * 
  261.      * @return Instance of a Replication Run
  262.      */

  264.     public org.drip.analytics.output.BondEOSMetrics generateRun()
  265.     {
  266.         return _bond.callable() ? _bond.callMetrics (
  267.             _valParams,
  268.             _csqc,
  269.             null,
  270.             _dblPrice,
  271.             _gbs,
  272.             _de,
  273.             _iNumPath
  274.         ) :  _bond.putMetrics (
  275.             _valParams,
  276.             _csqc,
  277.             null,
  278.             _dblPrice,
  279.             _gbs,
  280.             _de,
  281.             _iNumPath
  282.         );
  283.     }
  284. }
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