EOSMetricsReplicator.java
package org.drip.service.scenario;
/*
* -*- 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
*
* 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>EOSMetricsReplicator</i> generates the EOS Metrics for Bonds with Embedded Option Schedules.
*
* <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/scenario/README.md">Custom Scenario Service Metric Generator</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class EOSMetricsReplicator
{
private int _iNumPath = -1;
private double _dblPrice = java.lang.Double.NaN;
private org.drip.product.credit.BondComponent _bond = null;
private org.drip.measure.process.DiffusionEvolver _de = null;
private org.drip.state.sequence.GovvieBuilderSettings _gbs = null;
private org.drip.param.valuation.ValuationParams _valParams = null;
private org.drip.param.market.CurveSurfaceQuoteContainer _csqc = null;
/**
* Standard Static EOSMetricsReplicator Creator
*
* @param bond Bond Instance
* @param valParams Valuation Parameters
* @param csqc Market Parameters
* @param gbs Govvie Builder Settings
* @param dblLogNormalVolatility Long Normal Treasury Forward Volatility
* @param dblPrice Market Price
*
* @return EOSMetricsReplicator Instance
*/
public static final EOSMetricsReplicator Standard (
final org.drip.product.credit.BondComponent bond,
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
final org.drip.state.sequence.GovvieBuilderSettings gbs,
final double dblLogNormalVolatility,
final double dblPrice)
{
try {
return new EOSMetricsReplicator (
bond,
valParams,
csqc,
gbs,
new org.drip.measure.process.DiffusionEvolver (
org.drip.measure.dynamics.DiffusionEvaluatorLogarithmic.Standard (
0.,
dblLogNormalVolatility
)
),
50,
dblPrice
);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* EOSMetricsReplicator Constructor
*
* @param bond Bond Instance
* @param valParams Valuation Parameters
* @param csqc Market Parameters
* @param gbs Govvie Builder Settings
* @param de Diffusion Evolver
* @param iNumPath Number of Simulation Paths
* @param dblPrice Market Price
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid/Inconsistent
*/
public EOSMetricsReplicator (
final org.drip.product.credit.BondComponent bond,
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
final org.drip.state.sequence.GovvieBuilderSettings gbs,
final org.drip.measure.process.DiffusionEvolver de,
final int iNumPath,
final double dblPrice)
throws java.lang.Exception
{
if (null == (_bond = bond) || (!_bond.callable() && _bond.putable()) ||
null == (_valParams = valParams) ||
null == (_csqc = csqc) ||
null == (_gbs = gbs) ||
null == (_de = de) ||
0 >= (_iNumPath = iNumPath) ||
!org.drip.numerical.common.NumberUtil.IsValid (_dblPrice = dblPrice))
throw new java.lang.Exception ("EOSMetricsReplicator Constructor => Invalid Inputs");
}
/**
* Retrieve the Underlying Bond
*
* @return The Underlying Bond
*/
public org.drip.product.credit.BondComponent bond()
{
return _bond;
}
/**
* Retrieve the Valuation Parameters
*
* @return The Valuation Parameters
*/
public org.drip.param.valuation.ValuationParams valuationParameters()
{
return _valParams;
}
/**
* Retrieve the Market Parameters
*
* @return The Market Parameters
*/
public org.drip.param.market.CurveSurfaceQuoteContainer marketParameters()
{
return _csqc;
}
/**
* Retrieve the Price
*
* @return The Price
*/
public double price()
{
return _dblPrice;
}
/**
* Retrieve the Diffusion Evolver
*
* @return The Diffusion Evolver
*/
public org.drip.measure.process.DiffusionEvolver diffusionEvolver()
{
return _de;
}
/**
* Retrieve the Govvie Builder Settings
*
* @return The Govvie Builder Settings
*/
public org.drip.state.sequence.GovvieBuilderSettings govvieBuilderSetting()
{
return _gbs;
}
/**
* Retrieve the Number of Simulation Paths
*
* @return The Number of Simulation Paths
*/
public int numPath()
{
return _iNumPath;
}
/**
* Generate an Instance of a Replication Run
*
* @return Instance of a Replication Run
*/
public org.drip.analytics.output.BondEOSMetrics generateRun()
{
return _bond.callable() ? _bond.callMetrics (
_valParams,
_csqc,
null,
_dblPrice,
_gbs,
_de,
_iNumPath
) : _bond.putMetrics (
_valParams,
_csqc,
null,
_dblPrice,
_gbs,
_de,
_iNumPath
);
}
}