DiscountCurveScenario.java

  1. package org.drip.state.boot;

  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.  * Copyright (C) 2013 Lakshmi Krishnamurthy
  16.  * Copyright (C) 2012 Lakshmi Krishnamurthy
  17.  * Copyright (C) 2011 Lakshmi Krishnamurthy
  18.  * 
  19.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  20.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  21.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  22.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  23.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  24.  *      and computational support.
  25.  *  
  26.  *      https://lakshmidrip.github.io/DROP/
  27.  *  
  28.  *  DROP is composed of three modules:
  29.  *  
  30.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  31.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  32.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  33.  * 
  34.  *  DROP Product Core implements libraries for the following:
  35.  *  - Fixed Income Analytics
  36.  *  - Loan Analytics
  37.  *  - Transaction Cost Analytics
  38.  * 
  39.  *  DROP Portfolio Core implements libraries for the following:
  40.  *  - Asset Allocation Analytics
  41.  *  - Asset Liability Management Analytics
  42.  *  - Capital Estimation Analytics
  43.  *  - Exposure Analytics
  44.  *  - Margin Analytics
  45.  *  - XVA Analytics
  46.  * 
  47.  *  DROP Computational Core implements libraries for the following:
  48.  *  - Algorithm Support
  49.  *  - Computation Support
  50.  *  - Function Analysis
  51.  *  - Model Validation
  52.  *  - Numerical Analysis
  53.  *  - Numerical Optimizer
  54.  *  - Spline Builder
  55.  *  - Statistical Learning
  56.  * 
  57.  *  Documentation for DROP is Spread Over:
  58.  * 
  59.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  60.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  61.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  62.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  63.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  64.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  65.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  66.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  67.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  68.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  69.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  70.  * 
  71.  *  Licensed under the Apache License, Version 2.0 (the "License");
  72.  *      you may not use this file except in compliance with the License.
  73.  *   
  74.  *  You may obtain a copy of the License at
  75.  *      http://www.apache.org/licenses/LICENSE-2.0
  76.  *  
  77.  *  Unless required by applicable law or agreed to in writing, software
  78.  *      distributed under the License is distributed on an "AS IS" BASIS,
  79.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  80.  *  
  81.  *  See the License for the specific language governing permissions and
  82.  *      limitations under the License.
  83.  */

  85. /**
  86.  * <i>DiscountCurveScenario</i> uses the interest rate calibration instruments along with the component
  87.  * calibrator to produce scenario interest rate curves. DiscountCurveScenario typically first constructs the
  88.  * actual curve calibrator instance to localize the intelligence around curve construction. It then uses this
  89.  * curve calibrator instance to build individual curves or the sequence of node bumped scenario curves. The
  90.  * curves in the set may be an array, or tenor-keyed.
  91.  *
  92.  *  <br><br>
  93.  *  <ul>
  94.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  95.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  96.  *      <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>
  97.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/state/boot/README.md">Bootable Discount, Credit, Volatility States</a></li>
  98.  *  </ul>
  99.  * <br><br>
  100.  *
  101.  * @author Lakshmi Krishnamurthy
  102.  */

  104. public class DiscountCurveScenario {

  106.     /**
  107.      * Calibrate a discount curve
  108.      * 
  109.      * @param valParams ValuationParams
  110.      * @param aCalibInst Array of Calibratable Components
  111.      * @param adblCalibQuote Array of component quotes
  112.      * @param astrCalibMeasure Array of the calibration measures
  113.      * @param dblBump Quote bump
  114.      * @param gc Govvie Curve
  115.      * @param lsfc Latent State Fixings Container
  116.      * @param vcp Valuation Customization Parameters
  117.      * 
  118.      * @return DiscountCurve Instance
  119.      */

  121.     public static final org.drip.state.discount.MergedDiscountForwardCurve Standard (
  122.         final org.drip.param.valuation.ValuationParams valParams,
  123.         final org.drip.product.definition.CalibratableComponent[] aCalibInst,
  124.         final double[] adblCalibQuote,
  125.         final java.lang.String[] astrCalibMeasure,
  126.         final double dblBump,
  127.         final org.drip.state.govvie.GovvieCurve gc,
  128.         final org.drip.param.market.LatentStateFixingsContainer lsfc,
  129.         final org.drip.param.valuation.ValuationCustomizationParams vcp)
  130.     {
  131.         if (null == valParams || null == aCalibInst || null == adblCalibQuote || null == astrCalibMeasure)
  132.             return null;

  134.         int iNumComp = aCalibInst.length;
  135.         int aiDate[] = new int[iNumComp];
  136.         double adblRate[] = new double[iNumComp];

  138.         if (0 == iNumComp || adblCalibQuote.length != iNumComp || astrCalibMeasure.length != iNumComp)
  139.             return null;

  141.         java.lang.String strCurrency = aCalibInst[0].payCurrency();

  143.         for (int i = 0; i < iNumComp; ++i) {
  144.             if (null == aCalibInst[i] || !strCurrency.equalsIgnoreCase (aCalibInst[i].payCurrency()))
  145.                 return null;

  147.             adblRate[i] = 0.02;

  149.             aiDate[i] = aCalibInst[i].maturityDate().julian();
  150.         }

  152.         org.drip.state.discount.ExplicitBootDiscountCurve ebdc =
  153.             org.drip.state.creator.ScenarioDiscountCurveBuilder.PiecewiseForward (new
  154.                 org.drip.analytics.date.JulianDate (valParams.valueDate()), strCurrency, aiDate, adblRate);

  156.         if (!org.drip.state.nonlinear.NonlinearCurveBuilder.DiscountCurve (valParams, aCalibInst,
  157.             adblCalibQuote, astrCalibMeasure, dblBump, false, ebdc, gc, lsfc, vcp))
  158.             return null;

  160.         ebdc.setCCIS (org.drip.analytics.input.BootCurveConstructionInput.Create (valParams, vcp, aCalibInst,
  161.             adblCalibQuote, astrCalibMeasure, lsfc));

  163.         return ebdc;
  164.     }

  166.     /**
  167.      * Calibrate an array of tenor bumped discount curves
  168.      * 
  169.      * @param valParams Valuation Parameters
  170.      * @param aCalibInst Array of Calibratable Components
  171.      * @param adblCalibQuote Array of component quotes
  172.      * @param astrCalibMeasure Array of the calibration measures
  173.      * @param dblBump Quote bump
  174.      * @param gc Govvie Curve
  175.      * @param lsfc Latent State Fixings Container
  176.      * @param vcp Valuation Customization Parameters
  177.      * 
  178.      * @return Array of tenor bumped discount curves
  179.      */

  181.     public static final org.drip.state.discount.MergedDiscountForwardCurve[] Tenor (
  182.         final org.drip.param.valuation.ValuationParams valParams,
  183.         final org.drip.product.definition.CalibratableComponent[] aCalibInst,
  184.         final double[] adblCalibQuote,
  185.         final java.lang.String[] astrCalibMeasure,
  186.         final double dblBump,
  187.         final org.drip.state.govvie.GovvieCurve gc,
  188.         final org.drip.param.market.LatentStateFixingsContainer lsfc,
  189.         final org.drip.param.valuation.ValuationCustomizationParams vcp)
  190.     {
  191.         if (null == aCalibInst || !org.drip.numerical.common.NumberUtil.IsValid (dblBump)) return null;

  193.         int iNumComp = aCalibInst.length;
  194.         org.drip.state.discount.MergedDiscountForwardCurve[] aDiscountCurve = new
  195.             org.drip.state.discount.MergedDiscountForwardCurve[iNumComp];

  197.         if (0 == iNumComp || adblCalibQuote.length != iNumComp || astrCalibMeasure.length != iNumComp)
  198.             return null;

  200.         for (int i = 0; i < iNumComp; ++i) {
  201.             double[] adblTenorQuote = new double [iNumComp];

  203.             for (int j = 0; j < iNumComp; ++j)
  204.                 adblTenorQuote[j] = adblCalibQuote[j] + (j == i ? dblBump : 0.);

  206.             if (null == (aDiscountCurve[i] = Standard (valParams, aCalibInst, adblTenorQuote,
  207.                 astrCalibMeasure, 0., gc, lsfc, vcp)))
  208.                 return null;
  209.         }

  211.         return aDiscountCurve;
  212.     }

  214.     /**
  215.      * Calibrate a tenor map of tenor bumped discount curves
  216.      * 
  217.      * @param valParams ValuationParams
  218.      * @param aCalibInst Array of Calibratable Components
  219.      * @param adblCalibQuote Array of component quotes
  220.      * @param astrCalibMeasure Array of the calibration measures
  221.      * @param dblBump Quote bump
  222.      * @param gc Govvie Curve
  223.      * @param lsfc Latent State Fixings Container
  224.      * @param vcp Valuation Customization Parameters
  225.      * 
  226.      * @return Tenor map of tenor bumped discount curves
  227.      */

  229.     public static final
  230.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.discount.MergedDiscountForwardCurve> TenorMap (
  231.             final org.drip.param.valuation.ValuationParams valParams,
  232.             final org.drip.product.definition.CalibratableComponent[] aCalibInst,
  233.             final double[] adblCalibQuote,
  234.             final java.lang.String[] astrCalibMeasure,
  235.             final double dblBump,
  236.             final org.drip.state.govvie.GovvieCurve gc,
  237.             final org.drip.param.market.LatentStateFixingsContainer lsfc,
  238.             final org.drip.param.valuation.ValuationCustomizationParams vcp)
  239.     {
  240.         if (null == aCalibInst || null == adblCalibQuote || !org.drip.numerical.common.NumberUtil.IsValid
  241.             (dblBump))
  242.             return null;

  244.         int iNumComp = aCalibInst.length;

  246.         if (0 == iNumComp || adblCalibQuote.length != iNumComp) return null;

  248.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.discount.MergedDiscountForwardCurve>
  249.             mapTenorDiscountCurve = new
  250.                 org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.discount.MergedDiscountForwardCurve>();

  252.         for (int i = 0; i < iNumComp; ++i) {
  253.             double[] adblTenorQuote = new double [iNumComp];

  255.             for (int j = 0; j < iNumComp; ++j)
  256.                 adblTenorQuote[j] = adblCalibQuote[j] + (j == i ? dblBump : 0.);

  258.             mapTenorDiscountCurve.put (org.drip.analytics.date.DateUtil.YYYYMMDD
  259.                 (aCalibInst[i].maturityDate().julian()), Standard (valParams, aCalibInst, adblTenorQuote,
  260.                     astrCalibMeasure, 0., gc, lsfc, vcp));
  261.         }

  263.         return mapTenorDiscountCurve;
  264.     }
  265. }
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