CreditCurveAPI.java
package org.drip.service.state;
/*
* -*- 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>CreditCurveAPI</i> computes the Metrics associated the Credit Curve State.
*
* <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/state/README.md">Curve Based State Metric Generator</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class CreditCurveAPI {
/**
* Generate the Horizon Metrics for the Specified Inputs
*
* @param dtSpot The Spot Date
* @param astrFundingFixingMaturityTenor Array of the Funding Fixing Curve Calibration Instrument Tenors
* @param adblFundingFixingQuote Array of the Funding Fixing Curve Calibration Instrument Quotes
* @param strFullCreditIndexName The Full Credit Index Name
* @param dblCreditIndexQuotedSpread The Credit Index Quoted Spread
* @param astrForTenor Array of the "For" Tenors
*
* @return Map of the Dated Credit Curve Metrics
*/
public static final org.drip.historical.state.CreditCurveMetrics DailyMetrics (
final org.drip.analytics.date.JulianDate dtSpot,
final java.lang.String[] astrFundingFixingMaturityTenor,
final double[] adblFundingFixingQuote,
final java.lang.String strFullCreditIndexName,
final double dblCreditIndexQuotedSpread,
final java.lang.String[] astrForTenor)
{
if (null == dtSpot || null == astrFundingFixingMaturityTenor || null == adblFundingFixingQuote ||
null == astrForTenor)
return null;
int iNumForTenor = astrForTenor.length;
int iNumFundingFixingInstrument = astrFundingFixingMaturityTenor.length;
if (0 == iNumFundingFixingInstrument || iNumFundingFixingInstrument != adblFundingFixingQuote.length
|| 0 == iNumForTenor)
return null;
org.drip.market.otc.CreditIndexConvention cic =
org.drip.market.otc.CreditIndexConventionContainer.ConventionFromFullName
(strFullCreditIndexName);
if (null == cic) return null;
org.drip.state.discount.MergedDiscountForwardCurve dcFundingFixing =
org.drip.service.template.LatentMarketStateBuilder.FundingCurve (dtSpot, cic.currency(), null,
null, "ForwardRate", null, "ForwardRate", astrFundingFixingMaturityTenor,
adblFundingFixingQuote, "SwapRate",
org.drip.service.template.LatentMarketStateBuilder.SHAPE_PRESERVING);
if (null == dcFundingFixing) return null;
org.drip.state.credit.CreditCurve cc = org.drip.service.template.LatentMarketStateBuilder.CreditCurve
(dtSpot, new org.drip.product.definition.CreditDefaultSwap[] {cic.indexCDS()}, new double[]
{dblCreditIndexQuotedSpread}, "FairPremium", dcFundingFixing);
if (null == cc) return null;
try {
org.drip.historical.state.CreditCurveMetrics ccm = new
org.drip.historical.state.CreditCurveMetrics (dtSpot);
for (int j = 0; j < iNumForTenor; ++j) {
org.drip.analytics.date.JulianDate dtFor = dtSpot.addTenor (astrForTenor[j]);
if (null == dtFor || !ccm.addSurvivalProbability (dtFor, cc.survival (dtFor)) ||
!ccm.addRecoveryRate (dtFor, cc.recovery (dtFor)))
continue;
}
return ccm;
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* Generate the Horizon Metrics for the Specified Inputs
*
* @param adtSpot Array of Horizon Dates
* @param astrFundingFixingMaturityTenor Array of the Funding Fixing Curve Calibration Instrument Tenors
* @param aadblFundingFixingQuote Array of the Funding Fixing Curve Calibration Instrument Quotes
* @param astrFullCreditIndexName Array of the Full Credit Index Names
* @param adblCreditIndexQuotedSpread Array of the Credit Index Quoted Spreads
* @param astrForTenor Array of the "For" Tenors
*
* @return Map of the Dated Credit Curve Metrics
*/
public static final java.util.TreeMap<org.drip.analytics.date.JulianDate,
org.drip.historical.state.CreditCurveMetrics> HorizonMetrics (
final org.drip.analytics.date.JulianDate[] adtSpot,
final java.lang.String[] astrFundingFixingMaturityTenor,
final double[][] aadblFundingFixingQuote,
final java.lang.String[] astrFullCreditIndexName,
final double[] adblCreditIndexQuotedSpread,
final java.lang.String[] astrForTenor)
{
if (null == adtSpot || null == astrFundingFixingMaturityTenor || null == aadblFundingFixingQuote ||
null == astrFullCreditIndexName || null == adblCreditIndexQuotedSpread || null == astrForTenor)
return null;
int iNumSpot = adtSpot.length;
int iNumForTenor = astrForTenor.length;
int iNumFundingFixingInstrument = astrFundingFixingMaturityTenor.length;
if (0 == iNumSpot || iNumSpot != aadblFundingFixingQuote.length || iNumSpot !=
astrFullCreditIndexName.length || iNumSpot != adblCreditIndexQuotedSpread.length || 0 ==
iNumFundingFixingInstrument || 0 == iNumForTenor)
return null;
java.util.TreeMap<org.drip.analytics.date.JulianDate, org.drip.historical.state.CreditCurveMetrics>
mapCCM = new java.util.TreeMap<org.drip.analytics.date.JulianDate,
org.drip.historical.state.CreditCurveMetrics>();
for (int i = 0; i < iNumSpot; ++i) {
org.drip.market.otc.CreditIndexConvention cic =
org.drip.market.otc.CreditIndexConventionContainer.ConventionFromFullName
(astrFullCreditIndexName[i]);
if (null == cic) continue;
org.drip.state.discount.MergedDiscountForwardCurve dcFundingFixing =
org.drip.service.template.LatentMarketStateBuilder.FundingCurve (adtSpot[i], cic.currency(),
null, null, "ForwardRate", null, "ForwardRate", astrFundingFixingMaturityTenor,
aadblFundingFixingQuote[i], "SwapRate",
org.drip.service.template.LatentMarketStateBuilder.SHAPE_PRESERVING);
if (null == dcFundingFixing) continue;
org.drip.state.credit.CreditCurve cc =
org.drip.service.template.LatentMarketStateBuilder.CreditCurve (adtSpot[i], new
org.drip.product.definition.CreditDefaultSwap[] {cic.indexCDS()}, new double[]
{adblCreditIndexQuotedSpread[i]}, "FairPremium", dcFundingFixing);
if (null == cc) continue;
try {
org.drip.historical.state.CreditCurveMetrics ccm = new
org.drip.historical.state.CreditCurveMetrics (adtSpot[i]);
for (int j = 0; j < iNumForTenor; ++j) {
org.drip.analytics.date.JulianDate dtFor = adtSpot[i].addTenor (astrForTenor[j]);
if (null == dtFor) continue;
if (!ccm.addSurvivalProbability (dtFor, cc.survival (dtFor)) || !ccm.addRecoveryRate
(dtFor, cc.recovery (dtFor)))
continue;
}
mapCCM.put (adtSpot[i], ccm);
} catch (java.lang.Exception e) {
e.printStackTrace();
continue;
}
}
return mapCCM;
}
}