BasisCurve.java
package org.drip.state.basis;
/*
* -*- 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
* Copyright (C) 2015 Lakshmi Krishnamurthy
* Copyright (C) 2014 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>BasisCurve</i> is the Stub for the Basis between a Pair of Forward Curves.
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
* <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>
* <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>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public abstract class BasisCurve implements org.drip.state.basis.BasisEstimator,
org.drip.analytics.definition.Curve {
/**
* Basis Latent State
*/
public static final java.lang.String LATENT_STATE_BASIS = "LATENT_STATE_BASIS";
/**
* Basis Latent State Quantification Metric - Discount Factor
*/
public static final java.lang.String QUANTIFICATION_METRIC_FORWARD_RATE =
"QUANTIFICATION_METRIC_FORWARD_RATE";
private boolean _bBasisOnReference = false;
private int _iEpochDate = java.lang.Integer.MIN_VALUE;
private org.drip.state.identifier.ForwardLabel _friDerived = null;
private org.drip.state.identifier.ForwardLabel _friReference = null;
protected BasisCurve (
final int iEpochDate,
final org.drip.state.identifier.ForwardLabel friReference,
final org.drip.state.identifier.ForwardLabel friDerived,
final boolean bBasisOnReference)
throws java.lang.Exception
{
if (null == (_friDerived = friDerived) || null == (_friReference = friReference))
throw new java.lang.Exception ("BasisCurve ctr: Invalid Inputs");
_iEpochDate = iEpochDate;
_bBasisOnReference = bBasisOnReference;
}
@Override public org.drip.state.identifier.LatentStateLabel label()
{
return org.drip.state.identifier.CustomLabel.Standard (_bBasisOnReference ?
_friReference.fullyQualifiedName() + "::" + _friDerived.fullyQualifiedName() :
_friDerived.fullyQualifiedName() + "::" + _friReference.fullyQualifiedName());
}
@Override public java.lang.String currency()
{
return _bBasisOnReference ? _friReference.currency() : _friDerived.currency();
}
@Override public org.drip.analytics.date.JulianDate epoch()
{
try {
return new org.drip.analytics.date.JulianDate (_iEpochDate);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
@Override public org.drip.state.identifier.ForwardLabel referenceIndex()
{
return _friReference;
}
@Override public org.drip.state.identifier.ForwardLabel derivedIndex()
{
return _friDerived;
}
@Override public double basis (
final org.drip.analytics.date.JulianDate dt)
throws java.lang.Exception
{
if (null == dt) throw new java.lang.Exception ("BasisCurve::basis got null for date");
return basis (dt.julian());
}
@Override public double basis (
final java.lang.String strTenor)
throws java.lang.Exception
{
if (null == strTenor || strTenor.isEmpty())
throw new java.lang.Exception ("BasisCurve::basis got bad tenor");
return basis (epoch().addTenor (strTenor));
}
@Override public boolean setCCIS (
final org.drip.analytics.input.CurveConstructionInputSet ccis)
{
return true;
}
@Override public org.drip.product.definition.CalibratableComponent[] calibComp()
{
return null;
}
@Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> manifestMeasure (
final java.lang.String strInstr)
{
return null;
}
@Override public org.drip.state.representation.LatentState parallelShiftManifestMeasure (
final java.lang.String strManifestMeasure,
final double dblShift)
{
return null;
}
@Override public org.drip.state.representation.LatentState shiftManifestMeasure (
final int iSpanIndex,
final java.lang.String strManifestMeasure,
final double dblShift)
{
return null;
}
@Override public org.drip.state.representation.LatentState customTweakManifestMeasure (
final java.lang.String strManifestMeasure,
final org.drip.param.definition.ManifestMeasureTweak rvtp)
{
return null;
}
@Override public org.drip.state.representation.LatentState parallelShiftQuantificationMetric (
final double dblShift)
{
return null;
}
@Override public org.drip.state.representation.LatentState customTweakQuantificationMetric (
final org.drip.param.definition.ManifestMeasureTweak rvtp)
{
return null;
}
/**
* Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
*
* @param strManifestMeasure Manifest Measure
* @param dblDate Date
*
* @return The Manifest Measure Jacobian of the Forward Rate to the given date
*/
public abstract org.drip.numerical.differentiation.WengertJacobian jackDForwardDManifestMeasure (
final java.lang.String strManifestMeasure,
final int dblDate);
/**
* Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
*
* @param strManifestMeasure Manifest Measure
* @param dt Date
*
* @return The Manifest Measure Jacobian of the Forward Rate to the given date
*/
public org.drip.numerical.differentiation.WengertJacobian jackDForwardDManifestMeasure (
final java.lang.String strManifestMeasure,
final org.drip.analytics.date.JulianDate dt)
{
if (null == dt) return null;
return jackDForwardDManifestMeasure (strManifestMeasure, dt.julian());
}
/**
* Retrieve the Manifest Measure Jacobian of the Forward Rate to the date implied by the given Tenor
*
* @param strManifestMeasure Manifest Measure
* @param strTenor Tenor
*
* @return The Manifest Measure Jacobian of the Forward Rate to the date implied by the given Tenor
*/
public org.drip.numerical.differentiation.WengertJacobian jackDForwardDManifestMeasure (
final java.lang.String strManifestMeasure,
final java.lang.String strTenor)
{
if (null == strTenor || strTenor.isEmpty()) return null;
try {
return jackDForwardDManifestMeasure (strManifestMeasure, epoch().addTenor (strTenor));
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
}