ScenarioDeterministicVolatilityBuilder.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>ScenarioDeterministicVolatilityBuilder</i> implements the construction of the basis spline
  84.  * deterministic volatility term structure using the input 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 ScenarioDeterministicVolatilityBuilder {

  100.     /**
  101.      * Construct the Deterministic Volatility Term Structure Instance using the specified Custom Spline
  102.      * 
  103.      * @param strName Name of the the Term Structure Instance
  104.      * @param dtStart The Start Date
  105.      * @param strCurrency Currency
  106.      * @param aiDate Array of Dates
  107.      * @param adblImpliedVolatility Array of Implied Volatility Nodes
  108.      * @param scbc Segment Custom Builder Parameters
  109.      * 
  110.      * @return Instance of the Term Structure
  111.      */

  113.     public static final org.drip.state.volatility.VolatilityCurve CustomSplineTermStructure (
  114.         final java.lang.String strName,
  115.         final org.drip.analytics.date.JulianDate dtStart,
  116.         final java.lang.String strCurrency,
  117.         final int[] aiDate,
  118.         final double[] adblImpliedVolatility,
  119.         final org.drip.spline.params.SegmentCustomBuilderControl scbc)
  120.     {
  121.         if (null == strName || strName.isEmpty() || null == dtStart || null == aiDate || null ==
  122.             adblImpliedVolatility || null == scbc)
  123.             return null;

  125.         int iNumDate = aiDate.length;
  126.         org.drip.spline.params.SegmentCustomBuilderControl[] aSCBC = new
  127.             org.drip.spline.params.SegmentCustomBuilderControl[iNumDate - 1];

  129.         if (0 == iNumDate || iNumDate != adblImpliedVolatility.length) return null;

  131.         for (int i = 0; i < iNumDate - 1; ++i)
  132.             aSCBC[i] = scbc;

  134.         try {
  135.             return new org.drip.state.curve.BasisSplineDeterministicVolatility (dtStart.julian(),
  136.                 org.drip.state.identifier.CustomLabel.Standard (strName), strCurrency, new
  137.                     org.drip.spline.grid.OverlappingStretchSpan
  138.                         (org.drip.spline.stretch.MultiSegmentSequenceBuilder.CreateCalibratedStretchEstimator
  139.                             (strName, aiDate, adblImpliedVolatility, aSCBC, null,
  140.                                 org.drip.spline.stretch.BoundarySettings.NaturalStandard(),
  141.                                     org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE)));
  142.         } catch (java.lang.Exception e) {
  143.             e.printStackTrace();
  144.         }

  146.         return null;
  147.     }

  149.     /**
  150.      * Construct the Deterministic Volatility Term Structure Instance based off of a Cubic Polynomial Spline
  151.      * 
  152.      * @param strName Name of the the Term Structure Instance
  153.      * @param dtStart The Start Date
  154.      * @param strCurrency Currency
  155.      * @param astrTenor Array of Tenors
  156.      * @param adblImpliedVolatility Array of Implied Volatility Nodes
  157.      * 
  158.      * @return The Deterministic Volatility Term Structure Instance based off of a Cubic Polynomial Spline
  159.      */

  161.     public static final org.drip.state.volatility.VolatilityCurve CubicPolynomialTermStructure (
  162.         final java.lang.String strName,
  163.         final org.drip.analytics.date.JulianDate dtStart,
  164.         final java.lang.String strCurrency,
  165.         final java.lang.String[] astrTenor,
  166.         final double[] adblImpliedVolatility)
  167.     {
  168.         if (null == dtStart || null == astrTenor) return null;

  170.         int iNumTenor = astrTenor.length;
  171.         int[] aiDate = new int[iNumTenor];

  173.         if (0 == iNumTenor) return null;

  175.         for (int i = 0; i < iNumTenor; ++i)
  176.             aiDate[i] = dtStart.addTenor (astrTenor[i]).julian();

  178.         try {
  179.             return CustomSplineTermStructure (strName, dtStart, strCurrency, aiDate, adblImpliedVolatility,
  180.                 new org.drip.spline.params.SegmentCustomBuilderControl
  181.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL, new
  182.                         org.drip.spline.basis.PolynomialFunctionSetParams (4),
  183.                             org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null));
  184.         } catch (java.lang.Exception e) {
  185.             e.printStackTrace();
  186.         }

  188.         return null;
  189.     }

  191.     /**
  192.      * Construct the Deterministic Volatility Term Structure Instance based off of a Quartic Polynomial
  193.      * `Spline
  194.      * 
  195.      * @param strName Name of the the Term Structure Instance
  196.      * @param dtStart The Start Date
  197.      * @param strCurrency Currency
  198.      * @param astrTenor Array of Tenors
  199.      * @param adblImpliedVolatility Array of Implied Volatility Nodes
  200.      * 
  201.      * @return The Deterministic Volatility Term Structure Instance based off of a Quartic Polynomial Spline
  202.      */

  204.     public static final org.drip.state.volatility.VolatilityCurve QuarticPolynomialTermStructure
  205.         (final java.lang.String strName,
  206.         final org.drip.analytics.date.JulianDate dtStart,
  207.         final java.lang.String strCurrency,
  208.         final java.lang.String[] astrTenor,
  209.         final double[] adblImpliedVolatility)
  210.     {
  211.         if (null == dtStart || null == astrTenor) return null;

  213.         int iNumTenor = astrTenor.length;
  214.         int[] aiDate = new int[iNumTenor];

  216.         if (0 == iNumTenor) return null;

  218.         for (int i = 0; i < iNumTenor; ++i)
  219.             aiDate[i] = dtStart.addTenor (astrTenor[i]).julian();

  221.         try {
  222.             return CustomSplineTermStructure (strName, dtStart, strCurrency, aiDate, adblImpliedVolatility,
  223.                 new org.drip.spline.params.SegmentCustomBuilderControl
  224.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL, new
  225.                         org.drip.spline.basis.PolynomialFunctionSetParams (5),
  226.                             org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null));
  227.         } catch (java.lang.Exception e) {
  228.             e.printStackTrace();
  229.         }

  231.         return null;
  232.     }

  234.     /**
  235.      * Construct the Deterministic Volatility Term Structure Instance based off of a Kaklis-Pandelis
  236.      *  Polynomial Tension Spline
  237.      * 
  238.      * @param strName Name of the the Term Structure Instance
  239.      * @param dtStart The Start Date
  240.      * @param strCurrency Currency
  241.      * @param astrTenor Array of Tenors
  242.      * @param adblImpliedVolatility Array of Implied Volatility Nodes
  243.      * 
  244.      * @return The Deterministic Volatility Term Structure Instance based off of a Kaklis-Pandelis Polynomial
  245.      *  Tension Spline
  246.      */

  248.     public static final org.drip.state.volatility.VolatilityCurve KaklisPandelisTermStructure (
  249.         final java.lang.String strName,
  250.         final org.drip.analytics.date.JulianDate dtStart,
  251.         final java.lang.String strCurrency,
  252.         final java.lang.String[] astrTenor,
  253.         final double[] adblImpliedVolatility)
  254.     {
  255.         if (null == dtStart || null == astrTenor) return null;

  257.         int iNumTenor = astrTenor.length;
  258.         int[] aiDate = new int[iNumTenor];

  260.         if (0 == iNumTenor) return null;

  262.         for (int i = 0; i < iNumTenor; ++i)
  263.             aiDate[i] = dtStart.addTenor (astrTenor[i]).julian();

  265.         try {
  266.             return CustomSplineTermStructure (strName, dtStart, strCurrency, aiDate, adblImpliedVolatility,
  267.                 new org.drip.spline.params.SegmentCustomBuilderControl
  268.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_KAKLIS_PANDELIS, new
  269.                         org.drip.spline.basis.KaklisPandelisSetParams (2),
  270.                             org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null));
  271.         } catch (java.lang.Exception e) {
  272.             e.printStackTrace();
  273.         }

  275.         return null;
  276.     }

  278.     /**
  279.      * Construct the Deterministic Volatility Term Structure Instance based off of a KLK Hyperbolic Tension
  280.      *  Spline
  281.      * 
  282.      * @param strName Name of the the Term Structure Instance
  283.      * @param dtStart The Start Date
  284.      * @param strCurrency Currency
  285.      * @param astrTenor Array of Tenors
  286.      * @param adblImpliedVolatility Array of Implied Volatility Nodes
  287.      * @param dblTension Tension
  288.      * 
  289.      * @return The Deterministic Volatility Term Structure Instance based off of a KLK Hyperbolic Tension
  290.      *  Spline
  291.      */

  293.     public static final org.drip.state.volatility.VolatilityCurve KLKHyperbolicTermStructure (
  294.         final java.lang.String strName,
  295.         final org.drip.analytics.date.JulianDate dtStart,
  296.         final java.lang.String strCurrency,
  297.         final java.lang.String[] astrTenor,
  298.         final double[] adblImpliedVolatility,
  299.         final double dblTension)
  300.     {
  301.         if (null == dtStart || null == astrTenor) return null;

  303.         int iNumTenor = astrTenor.length;
  304.         int[] aiDate = new int[iNumTenor];

  306.         if (0 == iNumTenor) return null;

  308.         for (int i = 0; i < iNumTenor; ++i)
  309.             aiDate[i] = dtStart.addTenor (astrTenor[i]).julian();

  311.         try {
  312.             return CustomSplineTermStructure (strName, dtStart, strCurrency, aiDate, adblImpliedVolatility,
  313.                 new org.drip.spline.params.SegmentCustomBuilderControl
  314.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_KLK_HYPERBOLIC_TENSION,
  315.                         new org.drip.spline.basis.ExponentialTensionSetParams (dblTension),
  316.                             org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null));
  317.         } catch (java.lang.Exception e) {
  318.             e.printStackTrace();
  319.         }

  321.         return null;
  322.     }

  324.     /**
  325.      * Construct the Deterministic Volatility Term Structure Instance based off of a KLK Rational Linear
  326.      *  Tension Spline
  327.      * 
  328.      * @param strName Name of the the Term Structure Instance
  329.      * @param dtStart The Start Date
  330.      * @param strCurrency Currency
  331.      * @param astrTenor Array of Tenors
  332.      * @param adblImpliedVolatility Array of Implied Volatility Nodes
  333.      * @param dblTension Tension
  334.      * 
  335.      * @return The Deterministic Volatility Term Structure Instance based off of a KLK Rational Linear
  336.      *  Tension Spline
  337.      */

  339.     public static final org.drip.state.volatility.VolatilityCurve KLKRationalLinearTermStructure (
  340.         final java.lang.String strName,
  341.         final org.drip.analytics.date.JulianDate dtStart,
  342.         final java.lang.String strCurrency,
  343.         final java.lang.String[] astrTenor,
  344.         final double[] adblImpliedVolatility,
  345.         final double dblTension)
  346.     {
  347.         if (null == dtStart || null == astrTenor) return null;

  349.         int iNumTenor = astrTenor.length;
  350.         int[] aiDate = new int[iNumTenor];

  352.         if (0 == iNumTenor) return null;

  354.         for (int i = 0; i < iNumTenor; ++i)
  355.             aiDate[i] = dtStart.addTenor (astrTenor[i]).julian();

  357.         try {
  358.             return CustomSplineTermStructure (strName, dtStart, strCurrency, aiDate, adblImpliedVolatility,
  359.                 new org.drip.spline.params.SegmentCustomBuilderControl
  360.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_KLK_RATIONAL_LINEAR_TENSION,
  361.                         new org.drip.spline.basis.ExponentialTensionSetParams (dblTension),
  362.                             org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null));
  363.         } catch (java.lang.Exception e) {
  364.             e.printStackTrace();
  365.         }

  367.         return null;
  368.     }

  370.     /**
  371.      * Construct the Deterministic Volatility Term Structure Instance based off of a KLK Rational Quadratic
  372.      *  Tension Spline
  373.      * 
  374.      * @param strName Name of the the Term Structure Instance
  375.      * @param dtStart The Start Date
  376.      * @param strCurrency Currency
  377.      * @param astrTenor Array of Tenors
  378.      * @param adblImpliedVolatility Array of Implied Volatility Nodes
  379.      * @param dblTension Tension
  380.      * 
  381.      * @return The Deterministic Volatility Term Structure Instance based off of a KLK Rational Quadratic
  382.      *  Tension Spline
  383.      */

  385.     public static final org.drip.state.volatility.VolatilityCurve
  386.         KLKRationalQuadraticTermStructure (
  387.             final java.lang.String strName,
  388.             final org.drip.analytics.date.JulianDate dtStart,
  389.             final java.lang.String strCurrency,
  390.             final java.lang.String[] astrTenor,
  391.             final double[] adblImpliedVolatility,
  392.             final double dblTension)
  393.     {
  394.         if (null == dtStart || null == astrTenor) return null;

  396.         int iNumTenor = astrTenor.length;
  397.         int[] aiDate = new int[iNumTenor];

  399.         if (0 == iNumTenor) return null;

  401.         for (int i = 0; i < iNumTenor; ++i)
  402.             aiDate[i] = dtStart.addTenor (astrTenor[i]).julian();

  404.         try {
  405.             return CustomSplineTermStructure (strName, dtStart, strCurrency, aiDate, adblImpliedVolatility,
  406.                 new org.drip.spline.params.SegmentCustomBuilderControl
  407.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_KLK_RATIONAL_QUADRATIC_TENSION,
  408.                 new org.drip.spline.basis.ExponentialTensionSetParams (dblTension),
  409.                     org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null));
  410.         } catch (java.lang.Exception e) {
  411.             e.printStackTrace();
  412.         }

  414.         return null;
  415.     }

  417.     /**
  418.      * Construct the Flat Constant Forward Volatility Forward Curve
  419.      * 
  420.      * @param iEpochDate Epoch Date
  421.      * @param label Forward Volatility Label
  422.      * @param strCurrency Currency
  423.      * @param dblFlatVolatility Flat Volatility
  424.      * 
  425.      * @return The Volatility Curve Instance
  426.      */

  428.     public static final org.drip.state.volatility.VolatilityCurve FlatForward (
  429.         final int iEpochDate,
  430.         final org.drip.state.identifier.VolatilityLabel label,
  431.         final java.lang.String strCurrency,
  432.         final double dblFlatVolatility)
  433.     {
  434.         try {
  435.             return new org.drip.state.nonlinear.FlatForwardVolatilityCurve (iEpochDate, label, strCurrency,
  436.                 new int[] {iEpochDate}, new double[] {dblFlatVolatility});
  437.         } catch (java.lang.Exception e) {
  438.             e.printStackTrace();
  439.         }

  441.         return null;
  442.     }
  443. }
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