FundingCurveAPI.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>FundingCurveAPI</i> computes the Metrics associated the Funding 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 FundingCurveAPI {

  97.     /**
  98.      * Generate the Funding Curve Daily Metrics
  99.      * 
  100.      * @param dtSpot The Spot Date
  101.      * @param astrFixFloatMaturityTenor Array of Fix Float Maturity Tenors
  102.      * @param adblFixFloatQuote Array of Fix Float Swap Rates
  103.      * @param astrInTenor Array of "In" Tenors
  104.      * @param astrForTenor Array of "For" Tenors
  105.      * @param strCurrency Funding Currency
  106.      * @param iLatentStateType Latent State Type
  107.      * 
  108.      * @return The Funding Curve Daily Metrics
  109.      */

  111.     public static final org.drip.historical.state.FundingCurveMetrics DailyMetrics (
  112.         final org.drip.analytics.date.JulianDate dtSpot,
  113.         final java.lang.String[] astrFixFloatMaturityTenor,
  114.         final double[] adblFixFloatQuote,
  115.         final java.lang.String[] astrInTenor,
  116.         final java.lang.String[] astrForTenor,
  117.         final java.lang.String strCurrency,
  118.         final int iLatentStateType)
  119.     {
  120.         if (null == dtSpot || null == astrFixFloatMaturityTenor || null == adblFixFloatQuote || null ==
  121.             astrInTenor || null == astrForTenor)
  122.             return null;

  124.         int iNumInTenor = astrInTenor.length;
  125.         int iNumForTenor = astrForTenor.length;
  126.         int iNumFixFloatQuote = adblFixFloatQuote.length;
  127.         double[] adblForTenorDCF = new double[iNumForTenor];
  128.         int iNumCalibrationInstrument = astrFixFloatMaturityTenor.length;

  130.         if (0 == iNumCalibrationInstrument || iNumFixFloatQuote != iNumCalibrationInstrument || 0 ==
  131.             iNumInTenor || 0 == iNumForTenor)
  132.             return null;

  134.         for (int i = 0; i < iNumForTenor; ++i) {
  135.             try {
  136.                 adblForTenorDCF[i] = org.drip.analytics.support.Helper.TenorToYearFraction (astrForTenor[i]);
  137.             } catch (java.lang.Exception e) {
  138.                 e.printStackTrace();

  140.                 return null;
  141.             }
  142.         }

  144.         org.drip.state.discount.MergedDiscountForwardCurve dcFunding =
  145.             org.drip.service.template.LatentMarketStateBuilder.FundingCurve (dtSpot, strCurrency, null, null,
  146.                 "ForwardRate", null, "ForwardRate", astrFixFloatMaturityTenor, adblFixFloatQuote, "SwapRate",
  147.                     iLatentStateType);

  149.         if (null == dcFunding) return null;

  151.         try {
  152.             org.drip.historical.state.FundingCurveMetrics fcm = new
  153.                 org.drip.historical.state.FundingCurveMetrics (dtSpot);

  155.             for (java.lang.String strInTenor : astrInTenor) {
  156.                 org.drip.analytics.date.JulianDate dtIn = dtSpot.addTenor (strInTenor);

  158.                 for (int j = 0; j < iNumForTenor; ++j) {
  159.                     if (!fcm.addNativeForwardRate (strInTenor, astrForTenor[j], java.lang.Math.pow
  160.                         (dcFunding.df (dtIn) / dcFunding.df (dtIn.addTenor (astrForTenor[j])), 1. /
  161.                             adblForTenorDCF[j]) - 1.))
  162.                         continue;
  163.                 }
  164.             }

  166.             return fcm;
  167.         } catch (java.lang.Exception e) {
  168.             e.printStackTrace();
  169.         }

  171.         return null;
  172.     }

  174.     /**
  175.      * Generate the Funding Curve Horizon Metrics
  176.      * 
  177.      * @param adtSpot Array of Spot
  178.      * @param astrFixFloatMaturityTenor Array of Fix Float Maturity Tenors
  179.      * @param aadblFixFloatQuote Array of Fix Float Swap Rates
  180.      * @param astrInTenor Array of "In" Tenors
  181.      * @param astrForTenor Array of "For" Tenors
  182.      * @param strCurrency Funding Currency
  183.      * @param iLatentStateType Latent State Type
  184.      * 
  185.      * @return The Funding Curve Horizon Metrics
  186.      */

  188.     public static final java.util.Map<org.drip.analytics.date.JulianDate,
  189.         org.drip.historical.state.FundingCurveMetrics> HorizonMetrics (
  190.             final org.drip.analytics.date.JulianDate[] adtSpot,
  191.             final java.lang.String[] astrFixFloatMaturityTenor,
  192.             final double[][] aadblFixFloatQuote,
  193.             final java.lang.String[] astrInTenor,
  194.             final java.lang.String[] astrForTenor,
  195.             final java.lang.String strCurrency,
  196.             final int iLatentStateType)
  197.     {
  198.         if (null == adtSpot || null == astrFixFloatMaturityTenor || null == aadblFixFloatQuote || null ==
  199.             astrInTenor || null == astrForTenor)
  200.             return null;

  202.         int iNumClose = adtSpot.length;
  203.         int iNumInTenor = astrInTenor.length;
  204.         int iNumForTenor = astrForTenor.length;
  205.         double[] adblForTenorDCF = new double[iNumForTenor];
  206.         int iNumCalibrationInstrument = astrFixFloatMaturityTenor.length;

  208.         if (0 == iNumClose || 0 == iNumCalibrationInstrument || 0 == iNumInTenor || 0 == iNumForTenor)
  209.             return null;

  211.         for (int i = 0; i < iNumForTenor; ++i) {
  212.             try {
  213.                 adblForTenorDCF[i] = org.drip.analytics.support.Helper.TenorToYearFraction (astrForTenor[i]);
  214.             } catch (java.lang.Exception e) {
  215.                 e.printStackTrace();

  217.                 return null;
  218.             }
  219.         }

  221.         java.util.Map<org.drip.analytics.date.JulianDate, org.drip.historical.state.FundingCurveMetrics>
  222.             mapFCM = new java.util.TreeMap<org.drip.analytics.date.JulianDate,
  223.                 org.drip.historical.state.FundingCurveMetrics>();

  225.         for (int i = 0; i < iNumClose; ++i) {
  226.             org.drip.historical.state.FundingCurveMetrics fcm = null;
  227.             int iNumFixFloatQuote = null == aadblFixFloatQuote[i] ? 0 : aadblFixFloatQuote[i].length;

  229.             if (0 == iNumFixFloatQuote || iNumFixFloatQuote != iNumCalibrationInstrument) continue;

  231.             org.drip.state.discount.MergedDiscountForwardCurve dcFunding =
  232.                 org.drip.service.template.LatentMarketStateBuilder.FundingCurve (adtSpot[i], strCurrency,
  233.                     null, null, "ForwardRate", null, "ForwardRate", astrFixFloatMaturityTenor,
  234.                         aadblFixFloatQuote[i], "SwapRate", iLatentStateType);

  236.             if (null == dcFunding) continue;

  238.             try {
  239.                 fcm = new org.drip.historical.state.FundingCurveMetrics (adtSpot[i]);

  241.                 for (java.lang.String strInTenor : astrInTenor) {
  242.                     org.drip.analytics.date.JulianDate dtIn = adtSpot[i].addTenor (strInTenor);

  244.                     for (int j = 0; j < iNumForTenor; ++j) {
  245.                         if (!fcm.addNativeForwardRate (strInTenor, astrForTenor[j], java.lang.Math.pow
  246.                             (dcFunding.df (dtIn) / dcFunding.df (dtIn.addTenor (astrForTenor[j])), 1. /
  247.                                 adblForTenorDCF[j]) - 1.))
  248.                             continue;
  249.                     }
  250.                 }
  251.             } catch (java.lang.Exception e) {
  252.                 e.printStackTrace();

  254.                 continue;
  255.             }

  257.             mapFCM.put (adtSpot[i], fcm);
  258.         }

  260.         return mapFCM;
  261.     }

  263.     /**
  264.      * Generate the Funding Curve Map
  265.      * 
  266.      * @param adtSpot Array of Spot
  267.      * @param astrFixFloatMaturityTenor Array of Fix Float Maturity Tenors
  268.      * @param aadblFixFloatQuote Array of Fix Float Swap Rates
  269.      * @param strCurrency Funding Currency
  270.      * @param iLatentStateType Latent State Type
  271.      * 
  272.      * @return The Funding Curve Map
  273.      */

  275.     public static final java.util.Map<org.drip.analytics.date.JulianDate,
  276.         org.drip.state.discount.MergedDiscountForwardCurve> HistoricalMap (
  277.             final org.drip.analytics.date.JulianDate[] adtSpot,
  278.             final java.lang.String[] astrFixFloatMaturityTenor,
  279.             final double[][] aadblFixFloatQuote,
  280.             final java.lang.String strCurrency,
  281.             final int iLatentStateType)
  282.     {
  283.         if (null == adtSpot || null == astrFixFloatMaturityTenor || null == aadblFixFloatQuote) return null;

  285.         int iNumClose = adtSpot.length;
  286.         int iNumCalibrationInstrument = astrFixFloatMaturityTenor.length;

  288.         if (0 == iNumClose || 0 == iNumCalibrationInstrument) return null;

  290.         java.util.Map<org.drip.analytics.date.JulianDate, org.drip.state.discount.MergedDiscountForwardCurve>
  291.             mapFundingCurve = new java.util.TreeMap<org.drip.analytics.date.JulianDate,
  292.                 org.drip.state.discount.MergedDiscountForwardCurve>();

  294.         for (int i = 0; i < iNumClose; ++i) {
  295.             int iNumFixFloatQuote = null == aadblFixFloatQuote[i] ? 0 : aadblFixFloatQuote[i].length;

  297.             if (0 == iNumFixFloatQuote || iNumFixFloatQuote != iNumCalibrationInstrument) continue;

  299.             org.drip.state.discount.MergedDiscountForwardCurve dcFunding =
  300.                 org.drip.service.template.LatentMarketStateBuilder.FundingCurve (adtSpot[i], strCurrency,
  301.                     null, null, "ForwardRate", null, "ForwardRate", astrFixFloatMaturityTenor,
  302.                         aadblFixFloatQuote[i], "SwapRate", iLatentStateType);

  304.             if (null == dcFunding) continue;

  306.             mapFundingCurve.put (adtSpot[i], dcFunding);
  307.         }

  309.         return mapFundingCurve;
  310.     }
  311. }
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