BasisCurve.java

  1. package org.drip.state.basis;

  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.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  14.  * Copyright (C) 2014 Lakshmi Krishnamurthy
  15.  * 
  16.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  17.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  18.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  19.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  20.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  21.  *      and computational support.
  22.  *  
  23.  *      https://lakshmidrip.github.io/DROP/
  24.  *  
  25.  *  DROP is composed of three modules:
  26.  *  
  27.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  28.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  29.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  30.  * 
  31.  *  DROP Product Core implements libraries for the following:
  32.  *  - Fixed Income Analytics
  33.  *  - Loan Analytics
  34.  *  - Transaction Cost Analytics
  35.  * 
  36.  *  DROP Portfolio Core implements libraries for the following:
  37.  *  - Asset Allocation Analytics
  38.  *  - Asset Liability Management Analytics
  39.  *  - Capital Estimation Analytics
  40.  *  - Exposure Analytics
  41.  *  - Margin Analytics
  42.  *  - XVA Analytics
  43.  * 
  44.  *  DROP Computational Core implements libraries for the following:
  45.  *  - Algorithm Support
  46.  *  - Computation Support
  47.  *  - Function Analysis
  48.  *  - Model Validation
  49.  *  - Numerical Analysis
  50.  *  - Numerical Optimizer
  51.  *  - Spline Builder
  52.  *  - Statistical Learning
  53.  * 
  54.  *  Documentation for DROP is Spread Over:
  55.  * 
  56.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  57.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  58.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  59.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  60.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  61.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  62.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  63.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  64.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  65.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  66.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  67.  * 
  68.  *  Licensed under the Apache License, Version 2.0 (the "License");
  69.  *      you may not use this file except in compliance with the License.
  70.  *   
  71.  *  You may obtain a copy of the License at
  72.  *      http://www.apache.org/licenses/LICENSE-2.0
  73.  *  
  74.  *  Unless required by applicable law or agreed to in writing, software
  75.  *      distributed under the License is distributed on an "AS IS" BASIS,
  76.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  77.  *  
  78.  *  See the License for the specific language governing permissions and
  79.  *      limitations under the License.
  80.  */

  82. /**
  83.  * <i>BasisCurve</i> is the Stub for the Basis between a Pair of Forward Curves.
  84.  *
  85.  *  <br><br>
  86.  *  <ul>
  87.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  88.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  89.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/state/README.md">Latent State Inference and Creation Utilities</a></li>
  90.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/state/basis/README.md">Basis State Curve Construction/Estimation</a></li>
  91.  *  </ul>
  92.  * <br><br>
  93.  *
  94.  * @author Lakshmi Krishnamurthy
  95.  */

  97. public abstract class BasisCurve implements org.drip.state.basis.BasisEstimator,
  98.     org.drip.analytics.definition.Curve {

  100.     /**
  101.      * Basis Latent State
  102.      */

  104.     public static final java.lang.String LATENT_STATE_BASIS = "LATENT_STATE_BASIS";

  106.     /**
  107.      * Basis Latent State Quantification Metric - Discount Factor
  108.      */

  110.     public static final java.lang.String QUANTIFICATION_METRIC_FORWARD_RATE =
  111.         "QUANTIFICATION_METRIC_FORWARD_RATE";

  113.     private boolean _bBasisOnReference = false;
  114.     private int _iEpochDate = java.lang.Integer.MIN_VALUE;
  115.     private org.drip.state.identifier.ForwardLabel _friDerived = null;
  116.     private org.drip.state.identifier.ForwardLabel _friReference = null;

  118.     protected BasisCurve (
  119.         final int iEpochDate,
  120.         final org.drip.state.identifier.ForwardLabel friReference,
  121.         final org.drip.state.identifier.ForwardLabel friDerived,
  122.         final boolean bBasisOnReference)
  123.         throws java.lang.Exception
  124.     {
  125.         if (null == (_friDerived = friDerived) || null == (_friReference = friReference))
  126.             throw new java.lang.Exception ("BasisCurve ctr: Invalid Inputs");

  128.         _iEpochDate = iEpochDate;
  129.         _bBasisOnReference = bBasisOnReference;
  130.     }

  132.     @Override public org.drip.state.identifier.LatentStateLabel label()
  133.     {
  134.         return org.drip.state.identifier.CustomLabel.Standard (_bBasisOnReference ?
  135.             _friReference.fullyQualifiedName() + "::" + _friDerived.fullyQualifiedName() :
  136.                 _friDerived.fullyQualifiedName() + "::" + _friReference.fullyQualifiedName());
  137.     }

  139.     @Override public java.lang.String currency()
  140.     {
  141.         return _bBasisOnReference ? _friReference.currency() : _friDerived.currency();
  142.     }

  144.     @Override public org.drip.analytics.date.JulianDate epoch()
  145.     {
  146.         try {
  147.             return new org.drip.analytics.date.JulianDate (_iEpochDate);
  148.         } catch (java.lang.Exception e) {
  149.             e.printStackTrace();
  150.         }

  152.         return null;
  153.     }

  155.     @Override public org.drip.state.identifier.ForwardLabel referenceIndex()
  156.     {
  157.         return _friReference;
  158.     }

  160.     @Override public org.drip.state.identifier.ForwardLabel derivedIndex()
  161.     {
  162.         return _friDerived;
  163.     }

  165.     @Override public double basis (
  166.         final org.drip.analytics.date.JulianDate dt)
  167.         throws java.lang.Exception
  168.     {
  169.         if (null == dt) throw new java.lang.Exception ("BasisCurve::basis got null for date");

  171.         return basis (dt.julian());
  172.     }

  174.     @Override public double basis (
  175.         final java.lang.String strTenor)
  176.         throws java.lang.Exception
  177.     {
  178.         if (null == strTenor || strTenor.isEmpty())
  179.             throw new java.lang.Exception ("BasisCurve::basis got bad tenor");

  181.         return basis (epoch().addTenor (strTenor));
  182.     }

  184.     @Override public boolean setCCIS (
  185.         final org.drip.analytics.input.CurveConstructionInputSet ccis)
  186.     {
  187.         return true;
  188.     }

  190.     @Override public org.drip.product.definition.CalibratableComponent[] calibComp()
  191.     {
  192.         return null;
  193.     }

  195.     @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> manifestMeasure (
  196.         final java.lang.String strInstr)
  197.     {
  198.         return null;
  199.     }

  201.     @Override public org.drip.state.representation.LatentState parallelShiftManifestMeasure (
  202.         final java.lang.String strManifestMeasure,
  203.         final double dblShift)
  204.     {
  205.         return null;
  206.     }

  208.     @Override public org.drip.state.representation.LatentState shiftManifestMeasure (
  209.         final int iSpanIndex,
  210.         final java.lang.String strManifestMeasure,
  211.         final double dblShift)
  212.     {
  213.         return null;
  214.     }

  216.     @Override public org.drip.state.representation.LatentState customTweakManifestMeasure (
  217.         final java.lang.String strManifestMeasure,
  218.         final org.drip.param.definition.ManifestMeasureTweak rvtp)
  219.     {
  220.         return null;
  221.     }

  223.     @Override public org.drip.state.representation.LatentState parallelShiftQuantificationMetric (
  224.         final double dblShift)
  225.     {
  226.         return null;
  227.     }

  229.     @Override public org.drip.state.representation.LatentState customTweakQuantificationMetric (
  230.         final org.drip.param.definition.ManifestMeasureTweak rvtp)
  231.     {
  232.         return null;
  233.     }

  235.     /**
  236.      * Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
  237.      * 
  238.      * @param strManifestMeasure Manifest Measure
  239.      * @param dblDate Date
  240.      * 
  241.      * @return The Manifest Measure Jacobian of the Forward Rate to the given date
  242.      */

  244.     public abstract org.drip.numerical.differentiation.WengertJacobian jackDForwardDManifestMeasure (
  245.         final java.lang.String strManifestMeasure,
  246.         final int dblDate);

  248.     /**
  249.      * Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
  250.      * 
  251.      * @param strManifestMeasure Manifest Measure
  252.      * @param dt Date
  253.      * 
  254.      * @return The Manifest Measure Jacobian of the Forward Rate to the given date
  255.      */

  257.     public org.drip.numerical.differentiation.WengertJacobian jackDForwardDManifestMeasure (
  258.         final java.lang.String strManifestMeasure,
  259.         final org.drip.analytics.date.JulianDate dt)
  260.     {
  261.         if (null == dt) return null;

  263.         return jackDForwardDManifestMeasure (strManifestMeasure, dt.julian());
  264.     }

  266.     /**
  267.      * Retrieve the Manifest Measure Jacobian of the Forward Rate to the date implied by the given Tenor
  268.      * 
  269.      * @param strManifestMeasure Manifest Measure
  270.      * @param strTenor Tenor
  271.      * 
  272.      * @return The Manifest Measure Jacobian of the Forward Rate to the date implied by the given Tenor
  273.      */

  275.     public org.drip.numerical.differentiation.WengertJacobian jackDForwardDManifestMeasure (
  276.         final java.lang.String strManifestMeasure,
  277.         final java.lang.String strTenor)
  278.     {
  279.         if (null == strTenor || strTenor.isEmpty()) return null;

  281.         try {
  282.             return jackDForwardDManifestMeasure (strManifestMeasure, epoch().addTenor (strTenor));
  283.         } catch (java.lang.Exception e) {
  284.             e.printStackTrace();
  285.         }

  287.         return null;
  288.     }
  289. }
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