ScenarioBasisCurveBuilder.java

  1. package org.drip.state.creator;

  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>ScenarioBasisCurveBuilder</i> implements the construction of the scenario basis curve using the input
  84.  * instruments and their quotes.
  85.  *
  86.  *  <br><br>
  87.  *  <ul>
  88.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  89.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  90.  *      <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>
  91.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/state/creator/README.md">Scenario State Curve/Surface Builders</a></li>
  92.  *  </ul>
  93.  * <br><br>
  94.  * 
  95.  * @author Lakshmi Krishnamurthy
  96.  */

  98. public class ScenarioBasisCurveBuilder {

  100.     /**
  101.      * Create an Instance of the Custom Splined Basis Curve
  102.      * 
  103.      * @param strName Curve Name
  104.      * @param dtSpot The Spot Date
  105.      * @param friReference Reference Leg FRI
  106.      * @param friDerived Derived Leg FRI
  107.      * @param bBasisOnReference TRUE - The Basis Quote is on the Reference Leg
  108.      * @param astrTenor Array of the Tenors
  109.      * @param adblBasis Array of the Basis Spreads
  110.      * @param scbc The Segment Custom Builder Control
  111.      * 
  112.      * @return The Instance of the Basis Curve
  113.      */

  115.     public static final org.drip.state.basis.BasisCurve CustomSplineBasisCurve (
  116.         final java.lang.String strName,
  117.         final org.drip.analytics.date.JulianDate dtSpot,
  118.         final org.drip.state.identifier.ForwardLabel friReference,
  119.         final org.drip.state.identifier.ForwardLabel friDerived,
  120.         final boolean bBasisOnReference,
  121.         final java.lang.String[] astrTenor,
  122.         final double[] adblBasis,
  123.         final org.drip.spline.params.SegmentCustomBuilderControl scbc)
  124.     {
  125.         if (null == strName || null == dtSpot || strName.isEmpty() || null == astrTenor || null == adblBasis)
  126.             return null;

  128.         int iNumTenor = astrTenor.length;
  129.         int[] aiBasisPredictorOrdinate = new int[iNumTenor + 1];
  130.         double[] adblBasisResponseValue = new double[iNumTenor + 1];
  131.         org.drip.spline.params.SegmentCustomBuilderControl[] aSCBC = new
  132.             org.drip.spline.params.SegmentCustomBuilderControl[iNumTenor];

  134.         if (0 == iNumTenor || iNumTenor != adblBasis.length) return null;

  136.         for (int i = 0; i <= iNumTenor; ++i) {
  137.             if (0 != i) {
  138.                 java.lang.String strTenor = astrTenor[i - 1];

  140.                 if (null == strTenor || strTenor.isEmpty()) return null;

  142.                 org.drip.analytics.date.JulianDate dtMaturity = dtSpot.addTenor (strTenor);

  144.                 if (null == dtMaturity) return null;

  146.                 aiBasisPredictorOrdinate[i] = dtMaturity.julian();
  147.             } else
  148.                 aiBasisPredictorOrdinate[i] = dtSpot.julian();

  150.             adblBasisResponseValue[i] = 0 == i ? adblBasis[0] : adblBasis[i - 1];

  152.             if (0 != i) aSCBC[i - 1] = scbc;
  153.         }

  155.         try {
  156.             return new org.drip.state.curve.BasisSplineBasisCurve (friReference, friDerived,
  157.                 bBasisOnReference, new org.drip.spline.grid.OverlappingStretchSpan
  158.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.CreateCalibratedStretchEstimator
  159.                         (strName, aiBasisPredictorOrdinate, adblBasisResponseValue, aSCBC, null,
  160.                             org.drip.spline.stretch.BoundarySettings.NaturalStandard(),
  161.                                 org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE)));
  162.         } catch (java.lang.Exception e) {
  163.             e.printStackTrace();
  164.         }

  166.         return null;
  167.     }

  169.     /**
  170.      * Create an Instance of the Cubic Polynomial Splined Basis Curve
  171.      * 
  172.      * @param strName Curve Name
  173.      * @param dtStart The Tenor Start Date
  174.      * @param friReference Reference Leg FRI
  175.      * @param friDerived Derived Leg FRI
  176.      * @param bBasisOnReference TRUE - The Basis Quote is on the Reference Leg
  177.      * @param astrTenor Array of the Tenors
  178.      * @param adblBasis Array of the Basis Spreads
  179.      * 
  180.      * @return The Instance of the Basis Curve
  181.      */

  183.     public static final org.drip.state.basis.BasisCurve CubicPolynomialBasisCurve (
  184.         final java.lang.String strName,
  185.         final org.drip.analytics.date.JulianDate dtStart,
  186.         final org.drip.state.identifier.ForwardLabel friReference,
  187.         final org.drip.state.identifier.ForwardLabel friDerived,
  188.         final boolean bBasisOnReference,
  189.         final java.lang.String[] astrTenor,
  190.         final double[] adblBasis)
  191.     {
  192.         try {
  193.             return CustomSplineBasisCurve (strName, dtStart, friReference, friDerived, bBasisOnReference,
  194.                 astrTenor, adblBasis, new org.drip.spline.params.SegmentCustomBuilderControl
  195.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL, new
  196.                         org.drip.spline.basis.PolynomialFunctionSetParams (4),
  197.                             org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null));
  198.         } catch (java.lang.Exception e) {
  199.             e.printStackTrace();
  200.         }

  202.         return null;
  203.     }

  205.     /**
  206.      * Create an Instance of the Quartic Polynomial Splined Basis Curve
  207.      * 
  208.      * @param strName Curve Name
  209.      * @param dtStart The Tenor Start Date
  210.      * @param friReference Reference Leg FRI
  211.      * @param friDerived Derived Leg FRI
  212.      * @param bBasisOnReference TRUE - The Basis Quote is on the Reference Leg
  213.      * @param astrTenor Array of the Tenors
  214.      * @param adblBasis Array of the Basis Spreads
  215.      * 
  216.      * @return The Instance of the Basis Curve
  217.      */

  219.     public static final org.drip.state.basis.BasisCurve QuarticPolynomialBasisCurve (
  220.         final java.lang.String strName,
  221.         final org.drip.analytics.date.JulianDate dtStart,
  222.         final org.drip.state.identifier.ForwardLabel friReference,
  223.         final org.drip.state.identifier.ForwardLabel friDerived,
  224.         final boolean bBasisOnReference,
  225.         final java.lang.String[] astrTenor,
  226.         final double[] adblBasis)
  227.     {
  228.         try {
  229.             return CustomSplineBasisCurve (strName, dtStart, friReference, friDerived, bBasisOnReference,
  230.                 astrTenor, adblBasis, new org.drip.spline.params.SegmentCustomBuilderControl
  231.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL, new
  232.                         org.drip.spline.basis.PolynomialFunctionSetParams (5),
  233.                             org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null));
  234.         } catch (java.lang.Exception e) {
  235.             e.printStackTrace();
  236.         }

  238.         return null;
  239.     }

  241.     /**
  242.      * Create an Instance of the Kaklis-Pandelis Splined Basis Curve
  243.      * 
  244.      * @param strName Curve Name
  245.      * @param dtStart The Tenor Start Date
  246.      * @param friReference Reference Leg FRI
  247.      * @param friDerived Derived Leg FRI
  248.      * @param bBasisOnReference TRUE - The Basis Quote is on the Reference Leg
  249.      * @param astrTenor Array of the Tenors
  250.      * @param adblBasis Array of the Basis Spreads
  251.      * 
  252.      * @return The Instance of the Basis Curve
  253.      */

  255.     public static final org.drip.state.basis.BasisCurve KaklisPandelisBasisCurve (
  256.         final java.lang.String strName,
  257.         final org.drip.analytics.date.JulianDate dtStart,
  258.         final org.drip.state.identifier.ForwardLabel friReference,
  259.         final org.drip.state.identifier.ForwardLabel friDerived,
  260.         final boolean bBasisOnReference,
  261.         final java.lang.String[] astrTenor,
  262.         final double[] adblBasis)
  263.     {
  264.         try {
  265.             return CustomSplineBasisCurve (strName, dtStart, friReference, friDerived, bBasisOnReference,
  266.                 astrTenor, adblBasis, new org.drip.spline.params.SegmentCustomBuilderControl
  267.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_KAKLIS_PANDELIS,
  268.                         new org.drip.spline.basis.KaklisPandelisSetParams (2),
  269.                             org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null));
  270.         } catch (java.lang.Exception e) {
  271.             e.printStackTrace();
  272.         }

  274.         return null;
  275.     }

  277.     /**
  278.      * Create an Instance of the KLK Hyperbolic Splined Basis Curve
  279.      * 
  280.      * @param strName Curve Name
  281.      * @param dtStart The Tenor Start Date
  282.      * @param friReference Reference Leg FRI
  283.      * @param friDerived Derived Leg FRI
  284.      * @param bBasisOnReference TRUE - The Basis Quote is on the Reference Leg
  285.      * @param astrTenor Array of the Tenors
  286.      * @param adblBasis Array of the Basis Spreads
  287.      * @param dblTension The Tension Parameter
  288.      * 
  289.      * @return The Instance of the Basis Curve
  290.      */

  292.     public static final org.drip.state.basis.BasisCurve KLKHyperbolicBasisCurve (
  293.         final java.lang.String strName,
  294.         final org.drip.analytics.date.JulianDate dtStart,
  295.         final org.drip.state.identifier.ForwardLabel friReference,
  296.         final org.drip.state.identifier.ForwardLabel friDerived,
  297.         final boolean bBasisOnReference,
  298.         final java.lang.String[] astrTenor,
  299.         final double[] adblBasis,
  300.         final double dblTension)
  301.     {
  302.         try {
  303.             return CustomSplineBasisCurve (strName, dtStart, friReference, friDerived, bBasisOnReference,
  304.                 astrTenor, adblBasis, new org.drip.spline.params.SegmentCustomBuilderControl
  305.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_KLK_HYPERBOLIC_TENSION,
  306.                         new org.drip.spline.basis.ExponentialTensionSetParams (dblTension),
  307.                             org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null));
  308.         } catch (java.lang.Exception e) {
  309.             e.printStackTrace();
  310.         }

  312.         return null;
  313.     }

  315.     /**
  316.      * Create an Instance of the KLK Rational Linear Splined Basis Curve
  317.      * 
  318.      * @param strName Curve Name
  319.      * @param dtStart The Tenor Start Date
  320.      * @param friReference Reference Leg FRI
  321.      * @param friDerived Derived Leg FRI
  322.      * @param bBasisOnReference TRUE - The Basis Quote is on the Reference Leg
  323.      * @param astrTenor Array of the Tenors
  324.      * @param adblBasis Array of the Basis Spreads
  325.      * @param dblTension The Tension Parameter
  326.      * 
  327.      * @return The Instance of the Basis Curve
  328.      */

  330.     public static final org.drip.state.basis.BasisCurve KLKRationalLinearBasisCurve (
  331.         final java.lang.String strName,
  332.         final org.drip.analytics.date.JulianDate dtStart,
  333.         final org.drip.state.identifier.ForwardLabel friReference,
  334.         final org.drip.state.identifier.ForwardLabel friDerived,
  335.         final boolean bBasisOnReference,
  336.         final java.lang.String[] astrTenor,
  337.         final double[] adblBasis,
  338.         final double dblTension)
  339.     {
  340.         try {
  341.             return CustomSplineBasisCurve (strName, dtStart, friReference, friDerived, bBasisOnReference,
  342.                 astrTenor, adblBasis, new org.drip.spline.params.SegmentCustomBuilderControl
  343.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_KLK_RATIONAL_LINEAR_TENSION,
  344.                 new org.drip.spline.basis.ExponentialTensionSetParams (dblTension),
  345.                     org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null));
  346.         } catch (java.lang.Exception e) {
  347.             e.printStackTrace();
  348.         }

  350.         return null;
  351.     }

  353.     /**
  354.      * Create an Instance of the KLK Rational Quadratic Splined Basis Curve
  355.      * 
  356.      * @param strName Curve Name
  357.      * @param dtStart The Tenor Start Date
  358.      * @param friReference Reference Leg FRI
  359.      * @param friDerived Derived Leg FRI
  360.      * @param bBasisOnReference TRUE - The Basis Quote is on the Reference Leg
  361.      * @param astrTenor Array of the Tenors
  362.      * @param adblBasis Array of the Basis Spreads
  363.      * @param dblTension The Tension Parameter
  364.      * 
  365.      * @return The Instance of the Basis Curve
  366.      */

  368.     public static final org.drip.state.basis.BasisCurve KLKRationalQuadraticBasisCurve (
  369.         final java.lang.String strName,
  370.         final org.drip.analytics.date.JulianDate dtStart,
  371.         final org.drip.state.identifier.ForwardLabel friReference,
  372.         final org.drip.state.identifier.ForwardLabel friDerived,
  373.         final boolean bBasisOnReference,
  374.         final java.lang.String[] astrTenor,
  375.         final double[] adblBasis,
  376.         final double dblTension)
  377.     {
  378.         try {
  379.             return CustomSplineBasisCurve (strName, dtStart, friReference, friDerived, bBasisOnReference,
  380.                 astrTenor, adblBasis, new org.drip.spline.params.SegmentCustomBuilderControl
  381.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_KLK_RATIONAL_QUADRATIC_TENSION,
  382.                 new org.drip.spline.basis.ExponentialTensionSetParams (dblTension),
  383.                     org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null));
  384.         } catch (java.lang.Exception e) {
  385.             e.printStackTrace();
  386.         }

  388.         return null;
  389.     }
  390. }
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