CreditCurveAPI.java

  1. package org.drip.service.state;

  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>CreditCurveAPI</i> computes the Metrics associated the Credit Curve State.
  82.  * 
  83.  * <br><br>
  84.  *  <ul>
  85.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  86.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationSupportLibrary.md">Computation Support</a></li>
  87.  *      <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>
  88.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/service/state/README.md">Curve Based State Metric Generator</a></li>
  89.  *  </ul>
  90.  * <br><br>
  91.  *
  92.  * @author Lakshmi Krishnamurthy
  93.  */

  95. public class CreditCurveAPI {

  97.     /**
  98.      * Generate the Horizon Metrics for the Specified Inputs
  99.      * 
  100.      * @param dtSpot The Spot Date
  101.      * @param astrFundingFixingMaturityTenor Array of the Funding Fixing Curve Calibration Instrument Tenors
  102.      * @param adblFundingFixingQuote Array of the Funding Fixing Curve Calibration Instrument Quotes
  103.      * @param strFullCreditIndexName The Full Credit Index Name
  104.      * @param dblCreditIndexQuotedSpread The Credit Index Quoted Spread
  105.      * @param astrForTenor Array of the "For" Tenors
  106.      * 
  107.      * @return Map of the Dated Credit Curve Metrics
  108.      */

  110.     public static final org.drip.historical.state.CreditCurveMetrics DailyMetrics (
  111.         final org.drip.analytics.date.JulianDate dtSpot,
  112.         final java.lang.String[] astrFundingFixingMaturityTenor,
  113.         final double[] adblFundingFixingQuote,
  114.         final java.lang.String strFullCreditIndexName,
  115.         final double dblCreditIndexQuotedSpread,
  116.         final java.lang.String[] astrForTenor)
  117.     {
  118.         if (null == dtSpot || null == astrFundingFixingMaturityTenor || null == adblFundingFixingQuote ||
  119.             null == astrForTenor)
  120.             return null;

  122.         int iNumForTenor = astrForTenor.length;
  123.         int iNumFundingFixingInstrument = astrFundingFixingMaturityTenor.length;

  125.         if (0 == iNumFundingFixingInstrument || iNumFundingFixingInstrument != adblFundingFixingQuote.length
  126.             || 0 == iNumForTenor)
  127.             return null;

  129.         org.drip.market.otc.CreditIndexConvention cic =
  130.             org.drip.market.otc.CreditIndexConventionContainer.ConventionFromFullName
  131.                 (strFullCreditIndexName);

  133.         if (null == cic) return null;

  135.         org.drip.state.discount.MergedDiscountForwardCurve dcFundingFixing =
  136.             org.drip.service.template.LatentMarketStateBuilder.FundingCurve (dtSpot, cic.currency(), null,
  137.                 null, "ForwardRate", null, "ForwardRate", astrFundingFixingMaturityTenor,
  138.                     adblFundingFixingQuote, "SwapRate",
  139.                         org.drip.service.template.LatentMarketStateBuilder.SHAPE_PRESERVING);

  141.         if (null == dcFundingFixing) return null;

  143.         org.drip.state.credit.CreditCurve cc = org.drip.service.template.LatentMarketStateBuilder.CreditCurve
  144.             (dtSpot, new org.drip.product.definition.CreditDefaultSwap[] {cic.indexCDS()}, new double[]
  145.                 {dblCreditIndexQuotedSpread}, "FairPremium", dcFundingFixing);

  147.         if (null == cc) return null;

  149.         try {
  150.             org.drip.historical.state.CreditCurveMetrics ccm = new
  151.                 org.drip.historical.state.CreditCurveMetrics (dtSpot);

  153.             for (int j = 0; j < iNumForTenor; ++j) {
  154.                 org.drip.analytics.date.JulianDate dtFor = dtSpot.addTenor (astrForTenor[j]);

  156.                 if (null == dtFor || !ccm.addSurvivalProbability (dtFor, cc.survival (dtFor)) ||
  157.                     !ccm.addRecoveryRate (dtFor, cc.recovery (dtFor)))
  158.                     continue;
  159.             }

  161.             return ccm;
  162.         } catch (java.lang.Exception e) {
  163.             e.printStackTrace();
  164.         }

  166.         return null;
  167.     }

  169.     /**
  170.      * Generate the Horizon Metrics for the Specified Inputs
  171.      * 
  172.      * @param adtSpot Array of Horizon Dates
  173.      * @param astrFundingFixingMaturityTenor Array of the Funding Fixing Curve Calibration Instrument Tenors
  174.      * @param aadblFundingFixingQuote Array of the Funding Fixing Curve Calibration Instrument Quotes
  175.      * @param astrFullCreditIndexName Array of the Full Credit Index Names
  176.      * @param adblCreditIndexQuotedSpread Array of the Credit Index Quoted Spreads
  177.      * @param astrForTenor Array of the "For" Tenors
  178.      * 
  179.      * @return Map of the Dated Credit Curve Metrics
  180.      */

  182.     public static final java.util.TreeMap<org.drip.analytics.date.JulianDate,
  183.         org.drip.historical.state.CreditCurveMetrics> HorizonMetrics (
  184.             final org.drip.analytics.date.JulianDate[] adtSpot,
  185.             final java.lang.String[] astrFundingFixingMaturityTenor,
  186.             final double[][] aadblFundingFixingQuote,
  187.             final java.lang.String[] astrFullCreditIndexName,
  188.             final double[] adblCreditIndexQuotedSpread,
  189.             final java.lang.String[] astrForTenor)
  190.     {
  191.         if (null == adtSpot || null == astrFundingFixingMaturityTenor || null == aadblFundingFixingQuote ||
  192.             null == astrFullCreditIndexName || null == adblCreditIndexQuotedSpread || null == astrForTenor)
  193.             return null;

  195.         int iNumSpot = adtSpot.length;
  196.         int iNumForTenor = astrForTenor.length;
  197.         int iNumFundingFixingInstrument = astrFundingFixingMaturityTenor.length;

  199.         if (0 == iNumSpot || iNumSpot != aadblFundingFixingQuote.length || iNumSpot !=
  200.             astrFullCreditIndexName.length || iNumSpot != adblCreditIndexQuotedSpread.length || 0 ==
  201.                 iNumFundingFixingInstrument || 0 == iNumForTenor)
  202.             return null;

  204.         java.util.TreeMap<org.drip.analytics.date.JulianDate, org.drip.historical.state.CreditCurveMetrics>
  205.             mapCCM = new java.util.TreeMap<org.drip.analytics.date.JulianDate,
  206.                 org.drip.historical.state.CreditCurveMetrics>();

  208.         for (int i = 0; i < iNumSpot; ++i) {
  209.             org.drip.market.otc.CreditIndexConvention cic =
  210.                 org.drip.market.otc.CreditIndexConventionContainer.ConventionFromFullName
  211.                     (astrFullCreditIndexName[i]);

  213.             if (null == cic) continue;

  215.             org.drip.state.discount.MergedDiscountForwardCurve dcFundingFixing =
  216.                 org.drip.service.template.LatentMarketStateBuilder.FundingCurve (adtSpot[i], cic.currency(),
  217.                     null, null, "ForwardRate", null, "ForwardRate", astrFundingFixingMaturityTenor,
  218.                         aadblFundingFixingQuote[i], "SwapRate",
  219.                             org.drip.service.template.LatentMarketStateBuilder.SHAPE_PRESERVING);

  221.             if (null == dcFundingFixing) continue;

  223.             org.drip.state.credit.CreditCurve cc =
  224.                 org.drip.service.template.LatentMarketStateBuilder.CreditCurve (adtSpot[i], new
  225.                     org.drip.product.definition.CreditDefaultSwap[] {cic.indexCDS()}, new double[]
  226.                         {adblCreditIndexQuotedSpread[i]}, "FairPremium", dcFundingFixing);

  228.             if (null == cc) continue;

  230.             try {
  231.                 org.drip.historical.state.CreditCurveMetrics ccm = new
  232.                     org.drip.historical.state.CreditCurveMetrics (adtSpot[i]);

  234.                 for (int j = 0; j < iNumForTenor; ++j) {
  235.                     org.drip.analytics.date.JulianDate dtFor = adtSpot[i].addTenor (astrForTenor[j]);

  237.                     if (null == dtFor) continue;

  239.                     if (!ccm.addSurvivalProbability (dtFor, cc.survival (dtFor)) || !ccm.addRecoveryRate
  240.                         (dtFor, cc.recovery (dtFor)))
  241.                         continue;
  242.                 }

  244.                 mapCCM.put (adtSpot[i], ccm);
  245.             } catch (java.lang.Exception e) {
  246.                 e.printStackTrace();

  248.                 continue;
  249.             }
  250.         }

  252.         return mapCCM;
  253.     }
  254. }
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