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

  84. /**
  85.  * <i>ScenarioCreditCurveBuilder</i> implements the construction of the custom Scenario based credit curves.
  86.  *
  87.  *  <br><br>
  88.  *  <ul>
  89.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  90.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  91.  *      <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>
  92.  *      <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>
  93.  *  </ul>
  94.  * <br><br>
  95.  * 
  96.  * @author Lakshmi Krishnamurthy
  97.  */

  99. public class ScenarioCreditCurveBuilder {

  101.     /**
  102.      * Create CreditScenarioCurve from the array of calibration instruments
  103.      * 
  104.      * @param aCalibInst Array of calibration instruments
  105.      * 
  106.      * @return CreditScenarioCurve object
  107.      */

  109.     public static final org.drip.param.market.CreditCurveScenarioContainer CreateCCSC (
  110.         final org.drip.product.definition.CalibratableComponent[] aCalibInst)
  111.     {
  112.         try {
  113.             return new org.drip.param.market.CreditCurveScenarioContainer (aCalibInst, 0.0001, 0.01);
  114.         } catch (java.lang.Exception e) {
  115.             e.printStackTrace();
  116.         }

  118.         return null;
  119.     }

  121.     /**
  122.      * Calibrate the base credit curve from the input credit instruments, measures, and the quotes
  123.      * 
  124.      * @param strName Credit Curve Name
  125.      * @param dtSpot Spot Date
  126.      * @param aCalibInst Array of calibration instruments
  127.      * @param dc Discount Curve
  128.      * @param adblCalibQuote Array of Instrument Quotes
  129.      * @param astrCalibMeasure Array of calibration Measures
  130.      * @param dblRecovery Recovery Rate
  131.      * @param bFlat Whether the Calibration is based off of a flat spread
  132.      * @param cp The Calibration Parameters
  133.      * 
  134.      * @return The cooked Credit Curve
  135.      */

  137.     public static final org.drip.state.credit.CreditCurve Custom (
  138.         final java.lang.String strName,
  139.         final org.drip.analytics.date.JulianDate dtSpot,
  140.         final org.drip.product.definition.CalibratableComponent[] aCalibInst,
  141.         final org.drip.state.discount.MergedDiscountForwardCurve dc,
  142.         final double[] adblCalibQuote,
  143.         final java.lang.String[] astrCalibMeasure,
  144.         final double dblRecovery,
  145.         final boolean bFlat,
  146.         final org.drip.param.definition.CalibrationParams cp)
  147.     {
  148.         return null == dtSpot ? null : org.drip.state.boot.CreditCurveScenario.Standard (strName,
  149.             org.drip.param.valuation.ValuationParams.Spot (dtSpot.julian()), aCalibInst, adblCalibQuote,
  150.                 astrCalibMeasure, dblRecovery, bFlat, dc, null, null, null, cp);
  151.     }

  153.     /**
  154.      * Calibrate the base credit curve from the input credit instruments, measures, and the quotes
  155.      * 
  156.      * @param strName Credit Curve Name
  157.      * @param dtSpot Spot Date
  158.      * @param aCalibInst Array of calibration instruments
  159.      * @param dc Discount Curve
  160.      * @param adblCalibQuote Array of Instrument Quotes
  161.      * @param astrCalibMeasure Array of calibration Measures
  162.      * @param dblRecovery Recovery Rate
  163.      * @param bFlat Whether the Calibration is based off of a flat spread
  164.      * 
  165.      * @return The cooked Credit Curve
  166.      */

  168.     public static final org.drip.state.credit.CreditCurve Custom (
  169.         final java.lang.String strName,
  170.         final org.drip.analytics.date.JulianDate dtSpot,
  171.         final org.drip.product.definition.CalibratableComponent[] aCalibInst,
  172.         final org.drip.state.discount.MergedDiscountForwardCurve dc,
  173.         final double[] adblCalibQuote,
  174.         final java.lang.String[] astrCalibMeasure,
  175.         final double dblRecovery,
  176.         final boolean bFlat)
  177.     {
  178.         return Custom (strName, dtSpot, aCalibInst, dc, adblCalibQuote, astrCalibMeasure, dblRecovery, bFlat,
  179.             null);
  180.     }

  182.     /**
  183.      * Create a CreditCurve instance from a single node hazard rate
  184.      * 
  185.      * @param iStartDate Curve epoch date
  186.      * @param strName Credit Curve Name
  187.      * @param strCurrency Currency
  188.      * @param dblHazardRate Curve hazard rate
  189.      * @param dblRecovery Curve recovery
  190.      * 
  191.      * @return CreditCurve instance
  192.      */

  194.     public static final org.drip.state.credit.ExplicitBootCreditCurve FlatHazard (
  195.         final int iStartDate,
  196.         final java.lang.String strName,
  197.         final java.lang.String strCurrency,
  198.         final double dblHazardRate,
  199.         final double dblRecovery)
  200.     {
  201.         try {
  202.             return new org.drip.state.nonlinear.ForwardHazardCreditCurve (iStartDate,
  203.                 org.drip.state.identifier.EntityCDSLabel.Standard (strName, strCurrency), strCurrency, new
  204.                     double[] {dblHazardRate}, new int[] {iStartDate}, new double[] {dblRecovery}, new int[]
  205.                         {iStartDate}, java.lang.Integer.MIN_VALUE);
  206.         } catch (java.lang.Exception e) {
  207.             e.printStackTrace();
  208.         }

  210.         return null;
  211.     }

  213.     /**
  214.      * Create a CreditCurve Instance from the Input Array of Survival Probabilities
  215.      * 
  216.      * @param iStartDate Start Date
  217.      * @param strName Credit Curve Name
  218.      * @param strCurrency Currency
  219.      * @param aiSurvivalDate Array of Dates
  220.      * @param adblSurvivalProbability Array of Survival Probabilities
  221.      * @param dblRecovery Recovery Rate
  222.      * 
  223.      * @return The CreditCurve Instance
  224.      */

  226.     public static final org.drip.state.credit.ExplicitBootCreditCurve Survival (
  227.         final int iStartDate,
  228.         final java.lang.String strName,
  229.         final java.lang.String strCurrency,
  230.         final int[] aiSurvivalDate,
  231.         final double[] adblSurvivalProbability,
  232.         final double dblRecovery)
  233.     {
  234.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblRecovery)) return null;

  236.         try {
  237.             double dblSurvivalBegin = 1.;
  238.             int iPeriodBegin = iStartDate;
  239.             double[] adblHazard = new double[adblSurvivalProbability.length];
  240.             double[] adblRecovery = new double[1];
  241.             int[] aiRecoveryDate = new int[1];
  242.             adblRecovery[0] = dblRecovery;
  243.             aiRecoveryDate[0] = iStartDate;

  245.             for (int i = 0; i < adblSurvivalProbability.length; ++i) {
  246.                 if (!org.drip.numerical.common.NumberUtil.IsValid (adblSurvivalProbability[i]) ||
  247.                     aiSurvivalDate[i] <= iPeriodBegin || dblSurvivalBegin < adblSurvivalProbability[i])
  248.                     return null;

  250.                 adblHazard[i] = 365.25 / (aiSurvivalDate[i] - iPeriodBegin) * java.lang.Math.log
  251.                     (dblSurvivalBegin / adblSurvivalProbability[i]);

  253.                 iPeriodBegin = aiSurvivalDate[i];
  254.                 dblSurvivalBegin = adblSurvivalProbability[i];
  255.             }

  257.             return new org.drip.state.nonlinear.ForwardHazardCreditCurve (iStartDate,
  258.                 org.drip.state.identifier.EntityCDSLabel.Standard (strName, strCurrency), strCurrency,
  259.                     adblHazard, aiSurvivalDate, adblRecovery, aiRecoveryDate, java.lang.Integer.MIN_VALUE);
  260.         } catch (java.lang.Exception e) {
  261.             e.printStackTrace();
  262.         }

  264.         return null;
  265.     }

  267.     /**
  268.      * Create a CreditCurve Instance from the Input Array of Survival Probabilities
  269.      * 
  270.      * @param iStartDate Start Date
  271.      * @param strName Credit Curve Name
  272.      * @param strCurrency Currency
  273.      * @param astrSurvivalTenor Array of Survival Tenors
  274.      * @param adblSurvivalProbability Array of Survival Probabilities
  275.      * @param dblRecovery Recovery Rate
  276.      * 
  277.      * @return The CreditCurve Instance
  278.      */

  280.     public static final org.drip.state.credit.ExplicitBootCreditCurve Survival (
  281.         final int iStartDate,
  282.         final java.lang.String strName,
  283.         final java.lang.String strCurrency,
  284.         final java.lang.String[] astrSurvivalTenor,
  285.         final double[] adblSurvivalProbability,
  286.         final double dblRecovery)
  287.     {
  288.         if (null == astrSurvivalTenor) return null;

  290.         org.drip.analytics.date.JulianDate dtStart = new org.drip.analytics.date.JulianDate (iStartDate);

  292.         int iNumSurvivalTenor = astrSurvivalTenor.length;
  293.         int[] aiSurvivalDate = new int[iNumSurvivalTenor];

  295.         for (int i = 0; i < iNumSurvivalTenor; ++i) {
  296.             org.drip.analytics.date.JulianDate dtTenor = dtStart.addTenor (astrSurvivalTenor[i]);

  298.             if (null == dtTenor) return null;

  300.             aiSurvivalDate[i] = dtTenor.julian();
  301.         }

  303.         return Survival (iStartDate, strName, strCurrency, aiSurvivalDate, adblSurvivalProbability,
  304.             dblRecovery);
  305.     }

  307.     /**
  308.      * Create an instance of the CreditCurve object from a solitary hazard rate node
  309.      * 
  310.      * @param iStartDate The Curve epoch date
  311.      * @param strName Credit Curve Name
  312.      * @param strCurrency Currency
  313.      * @param dblHazardRate The solo hazard rate
  314.      * @param iHazardDate Date
  315.      * @param dblRecovery Recovery
  316.      * 
  317.      * @return CreditCurve instance
  318.      */

  320.     public static final org.drip.state.credit.ExplicitBootCreditCurve Hazard (
  321.         final int iStartDate,
  322.         final java.lang.String strName,
  323.         final java.lang.String strCurrency,
  324.         final double dblHazardRate,
  325.         final int iHazardDate,
  326.         final double dblRecovery)
  327.     {
  328.         if (!org.drip.numerical.common.NumberUtil.IsValid (iStartDate) ||
  329.             !org.drip.numerical.common.NumberUtil.IsValid (dblHazardRate) ||
  330.                 !org.drip.numerical.common.NumberUtil.IsValid (dblRecovery))
  331.             return null;

  333.         double[] adblHazard = new double[1];
  334.         double[] adblRecovery = new double[1];
  335.         int[] aiHazardDate = new int[1];
  336.         int[] aiRecoveryDate = new int[1];
  337.         adblHazard[0] = dblHazardRate;
  338.         adblRecovery[0] = dblRecovery;
  339.         aiHazardDate[0] = iHazardDate;
  340.         aiRecoveryDate[0] = iStartDate;

  342.         try {
  343.             return new org.drip.state.nonlinear.ForwardHazardCreditCurve (iStartDate,
  344.                 org.drip.state.identifier.EntityCDSLabel.Standard (strName, strCurrency), strCurrency,
  345.                     adblHazard, aiHazardDate, adblRecovery, aiRecoveryDate, java.lang.Integer.MIN_VALUE);
  346.         } catch (java.lang.Exception e) {
  347.             e.printStackTrace();
  348.         }

  350.         return null;
  351.     }

  353.     /**
  354.      * Create a credit curve from an array of dates and hazard rates
  355.      * 
  356.      * @param dtStart Curve epoch date
  357.      * @param strName Credit Curve Name
  358.      * @param strCurrency Currency
  359.      * @param aiDate Array of dates
  360.      * @param adblHazardRate Array of hazard rates
  361.      * @param dblRecovery Recovery
  362.      * 
  363.      * @return CreditCurve instance
  364.      */

  366.     public static final org.drip.state.credit.ExplicitBootCreditCurve Hazard (
  367.         final org.drip.analytics.date.JulianDate dtStart,
  368.         final java.lang.String strName,
  369.         final java.lang.String strCurrency,
  370.         final int[] aiDate,
  371.         final double[] adblHazardRate,
  372.         final double dblRecovery)
  373.     {
  374.         if (null == dtStart || null == adblHazardRate || null == aiDate || adblHazardRate.length !=
  375.             aiDate.length || !org.drip.numerical.common.NumberUtil.IsValid (dblRecovery))
  376.             return null;

  378.         try {
  379.             double[] adblRecovery = new double[1];
  380.             int[] aiRecoveryDate = new int[1];
  381.             adblRecovery[0] = dblRecovery;

  383.             aiRecoveryDate[0] = dtStart.julian();

  385.             return new org.drip.state.nonlinear.ForwardHazardCreditCurve (dtStart.julian(),
  386.                 org.drip.state.identifier.EntityCDSLabel.Standard (strName, strCurrency), strCurrency,
  387.                     adblHazardRate, aiDate, adblRecovery, aiRecoveryDate, java.lang.Integer.MIN_VALUE);
  388.         } catch (java.lang.Exception e) {
  389.             e.printStackTrace();
  390.         }

  392.         return null;
  393.     }

  395.     /**
  396.      * Create a credit curve from hazard rate and recovery rate term structures
  397.      * 
  398.      * @param iStartDate Curve Epoch date
  399.      * @param strName Credit Curve Name
  400.      * @param strCurrency Currency
  401.      * @param adblHazardRate Matched array of hazard rates
  402.      * @param aiHazardDate Matched array of hazard dates
  403.      * @param adblRecoveryRate Matched array of recovery rates
  404.      * @param aiRecoveryDate Matched array of recovery dates
  405.      * @param iSpecificDefaultDate (Optional) Specific Default Date
  406.      * 
  407.      * @return CreditCurve instance
  408.      */

  410.     public static final org.drip.state.credit.ExplicitBootCreditCurve Hazard (
  411.         final int iStartDate,
  412.         final java.lang.String strName,
  413.         final java.lang.String strCurrency,
  414.         final double[] adblHazardRate,
  415.         final int[] aiHazardDate,
  416.         final double[] adblRecoveryRate,
  417.         final int[] aiRecoveryDate,
  418.         final int iSpecificDefaultDate)
  419.     {
  420.         try {
  421.             return new org.drip.state.nonlinear.ForwardHazardCreditCurve (iStartDate,
  422.                 org.drip.state.identifier.EntityCDSLabel.Standard (strName, strCurrency), strCurrency,
  423.                     adblHazardRate, aiHazardDate, adblRecoveryRate, aiRecoveryDate, iSpecificDefaultDate);
  424.         } catch (java.lang.Exception e) {
  425.             e.printStackTrace();
  426.         }

  428.         return null;
  429.     }
  430. }
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