DiscountCurveScenario.java
package org.drip.state.boot;
/*
* -*- 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
* Copyright (C) 2013 Lakshmi Krishnamurthy
* Copyright (C) 2012 Lakshmi Krishnamurthy
* Copyright (C) 2011 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>DiscountCurveScenario</i> uses the interest rate calibration instruments along with the component
* calibrator to produce scenario interest rate curves. DiscountCurveScenario typically first constructs the
* actual curve calibrator instance to localize the intelligence around curve construction. It then uses this
* curve calibrator instance to build individual curves or the sequence of node bumped scenario curves. The
* curves in the set may be an array, or tenor-keyed.
*
* <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/boot/README.md">Bootable Discount, Credit, Volatility States</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class DiscountCurveScenario {
/**
* Calibrate a discount curve
*
* @param valParams ValuationParams
* @param aCalibInst Array of Calibratable Components
* @param adblCalibQuote Array of component quotes
* @param astrCalibMeasure Array of the calibration measures
* @param dblBump Quote bump
* @param gc Govvie Curve
* @param lsfc Latent State Fixings Container
* @param vcp Valuation Customization Parameters
*
* @return DiscountCurve Instance
*/
public static final org.drip.state.discount.MergedDiscountForwardCurve Standard (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.product.definition.CalibratableComponent[] aCalibInst,
final double[] adblCalibQuote,
final java.lang.String[] astrCalibMeasure,
final double dblBump,
final org.drip.state.govvie.GovvieCurve gc,
final org.drip.param.market.LatentStateFixingsContainer lsfc,
final org.drip.param.valuation.ValuationCustomizationParams vcp)
{
if (null == valParams || null == aCalibInst || null == adblCalibQuote || null == astrCalibMeasure)
return null;
int iNumComp = aCalibInst.length;
int aiDate[] = new int[iNumComp];
double adblRate[] = new double[iNumComp];
if (0 == iNumComp || adblCalibQuote.length != iNumComp || astrCalibMeasure.length != iNumComp)
return null;
java.lang.String strCurrency = aCalibInst[0].payCurrency();
for (int i = 0; i < iNumComp; ++i) {
if (null == aCalibInst[i] || !strCurrency.equalsIgnoreCase (aCalibInst[i].payCurrency()))
return null;
adblRate[i] = 0.02;
aiDate[i] = aCalibInst[i].maturityDate().julian();
}
org.drip.state.discount.ExplicitBootDiscountCurve ebdc =
org.drip.state.creator.ScenarioDiscountCurveBuilder.PiecewiseForward (new
org.drip.analytics.date.JulianDate (valParams.valueDate()), strCurrency, aiDate, adblRate);
if (!org.drip.state.nonlinear.NonlinearCurveBuilder.DiscountCurve (valParams, aCalibInst,
adblCalibQuote, astrCalibMeasure, dblBump, false, ebdc, gc, lsfc, vcp))
return null;
ebdc.setCCIS (org.drip.analytics.input.BootCurveConstructionInput.Create (valParams, vcp, aCalibInst,
adblCalibQuote, astrCalibMeasure, lsfc));
return ebdc;
}
/**
* Calibrate an array of tenor bumped discount curves
*
* @param valParams Valuation Parameters
* @param aCalibInst Array of Calibratable Components
* @param adblCalibQuote Array of component quotes
* @param astrCalibMeasure Array of the calibration measures
* @param dblBump Quote bump
* @param gc Govvie Curve
* @param lsfc Latent State Fixings Container
* @param vcp Valuation Customization Parameters
*
* @return Array of tenor bumped discount curves
*/
public static final org.drip.state.discount.MergedDiscountForwardCurve[] Tenor (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.product.definition.CalibratableComponent[] aCalibInst,
final double[] adblCalibQuote,
final java.lang.String[] astrCalibMeasure,
final double dblBump,
final org.drip.state.govvie.GovvieCurve gc,
final org.drip.param.market.LatentStateFixingsContainer lsfc,
final org.drip.param.valuation.ValuationCustomizationParams vcp)
{
if (null == aCalibInst || !org.drip.numerical.common.NumberUtil.IsValid (dblBump)) return null;
int iNumComp = aCalibInst.length;
org.drip.state.discount.MergedDiscountForwardCurve[] aDiscountCurve = new
org.drip.state.discount.MergedDiscountForwardCurve[iNumComp];
if (0 == iNumComp || adblCalibQuote.length != iNumComp || astrCalibMeasure.length != iNumComp)
return null;
for (int i = 0; i < iNumComp; ++i) {
double[] adblTenorQuote = new double [iNumComp];
for (int j = 0; j < iNumComp; ++j)
adblTenorQuote[j] = adblCalibQuote[j] + (j == i ? dblBump : 0.);
if (null == (aDiscountCurve[i] = Standard (valParams, aCalibInst, adblTenorQuote,
astrCalibMeasure, 0., gc, lsfc, vcp)))
return null;
}
return aDiscountCurve;
}
/**
* Calibrate a tenor map of tenor bumped discount curves
*
* @param valParams ValuationParams
* @param aCalibInst Array of Calibratable Components
* @param adblCalibQuote Array of component quotes
* @param astrCalibMeasure Array of the calibration measures
* @param dblBump Quote bump
* @param gc Govvie Curve
* @param lsfc Latent State Fixings Container
* @param vcp Valuation Customization Parameters
*
* @return Tenor map of tenor bumped discount curves
*/
public static final
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.discount.MergedDiscountForwardCurve> TenorMap (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.product.definition.CalibratableComponent[] aCalibInst,
final double[] adblCalibQuote,
final java.lang.String[] astrCalibMeasure,
final double dblBump,
final org.drip.state.govvie.GovvieCurve gc,
final org.drip.param.market.LatentStateFixingsContainer lsfc,
final org.drip.param.valuation.ValuationCustomizationParams vcp)
{
if (null == aCalibInst || null == adblCalibQuote || !org.drip.numerical.common.NumberUtil.IsValid
(dblBump))
return null;
int iNumComp = aCalibInst.length;
if (0 == iNumComp || adblCalibQuote.length != iNumComp) return null;
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.discount.MergedDiscountForwardCurve>
mapTenorDiscountCurve = new
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.discount.MergedDiscountForwardCurve>();
for (int i = 0; i < iNumComp; ++i) {
double[] adblTenorQuote = new double [iNumComp];
for (int j = 0; j < iNumComp; ++j)
adblTenorQuote[j] = adblCalibQuote[j] + (j == i ? dblBump : 0.);
mapTenorDiscountCurve.put (org.drip.analytics.date.DateUtil.YYYYMMDD
(aCalibInst[i].maturityDate().julian()), Standard (valParams, aCalibInst, adblTenorQuote,
astrCalibMeasure, 0., gc, lsfc, vcp));
}
return mapTenorDiscountCurve;
}
}