ScenarioForwardCurveBuilder.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>ScenarioForwardCurveBuilder</i> implements the the construction of the scenario Forward curve using the
  86.  * input discount curve instruments, and a wide variety of custom builds. It implements the following
  87.  * functionality:
  88.  *
  89.  *  <br><br>
  90.  *  <ul>
  91.  *      <li>
  92.  *          Non-linear Custom Discount Curve
  93.  *      </li>
  94.  *      <li>
  95.  *          Shape Preserving Discount Curve Builds - Standard Cubic Polynomial/Cubic KLK Hyperbolic Tension,
  96.  *              and other Custom Builds
  97.  *      </li>
  98.  *      <li>
  99.  *          Smoothing Local/Control Custom Build - DC/Forward/Zero Rate LSQM's
  100.  *      </li>
  101.  *      <li>
  102.  *          "Industry Standard Methodologies" - DENSE/DUALDENSE/CUSTOMDENSE and Hagan-West Forward
  103.  *              Interpolator Schemes
  104.  *      </li>
  105.  *  </ul>
  106.  *
  107.  *  <br><br>
  108.  *  <ul>
  109.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  110.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  111.  *      <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>
  112.  *      <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>
  113.  *  </ul>
  114.  * <br><br>
  115.  * 
  116.  * @author Lakshmi Krishnamurthy
  117.  */

  119. public class ScenarioForwardCurveBuilder {

  121.     /**
  122.      * Build the Shape Preserving Forward Curve using the Custom Parameters
  123.      * 
  124.      * @param llsc The Linear Latent State Calibrator Instance
  125.      * @param aStretchSpec Array of the Latent State Stretches
  126.      * @param fri The Floating Rate Index
  127.      * @param valParam Valuation Parameters
  128.      * @param pricerParam Pricer Parameters
  129.      * @param csqs Market Parameters
  130.      * @param quotingParam Quoting Parameters
  131.      * @param dblEpochResponse The Starting Response Value
  132.      * 
  133.      * @return Instance of the Shape Preserving Discount Curve
  134.      */

  136.     public static final org.drip.state.forward.ForwardCurve ShapePreservingForwardCurve (
  137.         final org.drip.state.inference.LinearLatentStateCalibrator llsc,
  138.         final org.drip.state.inference.LatentStateStretchSpec[] aStretchSpec,
  139.         final org.drip.state.identifier.ForwardLabel fri,
  140.         final org.drip.param.valuation.ValuationParams valParam,
  141.         final org.drip.param.pricer.CreditPricerParams pricerParam,
  142.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  143.         final org.drip.param.valuation.ValuationCustomizationParams quotingParam,
  144.         final double dblEpochResponse)
  145.     {
  146.         if (null == llsc) return null;

  148.         try {
  149.             org.drip.state.forward.ForwardCurve fc = new org.drip.state.curve.BasisSplineForwardRate (fri,
  150.                 llsc.calibrateSpan (aStretchSpec, dblEpochResponse, valParam, pricerParam, quotingParam,
  151.                     csqs));

  153.             return fc.setCCIS (new org.drip.analytics.input.LatentStateShapePreservingCCIS (llsc,
  154.                 aStretchSpec, valParam, pricerParam, quotingParam, csqs)) ? fc : null;
  155.         } catch (java.lang.Exception e) {
  156.             e.printStackTrace();
  157.         }

  159.         return null;
  160.     }

  162.     /**
  163.      * Construct an instance of the Shape Preserver of the desired basis type, using the specified basis set
  164.      *  builder parameters.
  165.      * 
  166.      * @param strName Curve Name
  167.      * @param fri The Floating Rate Index
  168.      * @param valParams Valuation Parameters
  169.      * @param pricerParam Pricer Parameters
  170.      * @param csqs Market Parameters
  171.      * @param quotingParam Quoting Parameters
  172.      * @param strBasisType The Basis Type
  173.      * @param fsbp The Function Set Basis Parameters
  174.      * @param aCalibComp Array of Calibration Components
  175.      * @param strManifestMeasure The Calibration Manifest Measure
  176.      * @param adblQuote Array of Calibration Quotes
  177.      * @param dblEpochResponse The Stretch Start DF
  178.      * 
  179.      * @return Instance of the Shape Preserver of the desired basis type
  180.      */

  182.     public static final org.drip.state.forward.ForwardCurve ShapePreservingForwardCurve (
  183.         final java.lang.String strName,
  184.         final org.drip.state.identifier.ForwardLabel fri,
  185.         final org.drip.param.valuation.ValuationParams valParams,
  186.         final org.drip.param.pricer.CreditPricerParams pricerParam,
  187.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  188.         final org.drip.param.valuation.ValuationCustomizationParams quotingParam,
  189.         final java.lang.String strBasisType,
  190.         final org.drip.spline.basis.FunctionSetBuilderParams fsbp,
  191.         final org.drip.product.definition.CalibratableComponent[] aCalibComp,
  192.         final java.lang.String strManifestMeasure,
  193.         final double[] adblQuote,
  194.         final double dblEpochResponse)
  195.     {
  196.         if (null == strName || strName.isEmpty() || null == strBasisType || strBasisType.isEmpty() || null ==
  197.             valParams || null == fsbp || null == strManifestMeasure || strManifestMeasure.isEmpty())
  198.             return null;

  200.         int iNumQuote = null == adblQuote ? 0 : adblQuote.length;
  201.         int iNumComp = null == aCalibComp ? 0 : aCalibComp.length;

  203.         if (0 == iNumComp || iNumComp != iNumQuote) return null;

  205.         try {
  206.             org.drip.state.identifier.ForwardLabel forwardLabel = null;

  208.             if (aCalibComp[0] instanceof org.drip.product.rates.DualStreamComponent)
  209.                 forwardLabel = ((org.drip.product.rates.DualStreamComponent)
  210.                     aCalibComp[0]).derivedStream().forwardLabel();
  211.             else {
  212.                 org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.ForwardLabel>
  213.                     mapForwardLabel = aCalibComp[0].forwardLabel();

  215.                 if (null != mapForwardLabel && 0 != mapForwardLabel.size())
  216.                     forwardLabel = mapForwardLabel.get ("BASE");
  217.             }

  219.             org.drip.state.representation.LatentStateSpecification[] aLSS = new
  220.                 org.drip.state.representation.LatentStateSpecification[] {new
  221.                     org.drip.state.representation.LatentStateSpecification
  222.                         (org.drip.analytics.definition.LatentStateStatic.LATENT_STATE_FORWARD,
  223.                             org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_FORWARD_RATE,
  224.                                 forwardLabel)};

  226.             org.drip.state.inference.LatentStateSegmentSpec[] aSegmentSpec = new
  227.                 org.drip.state.inference.LatentStateSegmentSpec[iNumComp];

  229.             for (int i = 0; i < iNumComp; ++i) {
  230.                 org.drip.product.calib.ProductQuoteSet pqs = aCalibComp[i].calibQuoteSet (aLSS);

  232.                 if (null == pqs || !pqs.set (strManifestMeasure, adblQuote[i])) return null;

  234.                 aSegmentSpec[i] = new org.drip.state.inference.LatentStateSegmentSpec (aCalibComp[i], pqs);
  235.             }

  237.             org.drip.state.inference.LatentStateStretchSpec[] aStretchSpec = new
  238.                 org.drip.state.inference.LatentStateStretchSpec[] {new
  239.                     org.drip.state.inference.LatentStateStretchSpec (strName, aSegmentSpec)};

  241.             org.drip.state.inference.LinearLatentStateCalibrator llsc = new
  242.                 org.drip.state.inference.LinearLatentStateCalibrator (new
  243.                     org.drip.spline.params.SegmentCustomBuilderControl (strBasisType, fsbp,
  244.                         org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), new
  245.                             org.drip.spline.params.ResponseScalingShapeControl (true, new
  246.                                 org.drip.function.r1tor1.QuadraticRationalShapeControl (0.)), null),
  247.                                     org.drip.spline.stretch.BoundarySettings.FinancialStandard(),
  248.                                         org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE, null, null);

  250.             return ShapePreservingForwardCurve (llsc, aStretchSpec, fri, valParams, pricerParam, csqs,
  251.                 quotingParam, dblEpochResponse);
  252.         } catch (java.lang.Exception e) {
  253.             e.printStackTrace();
  254.         }

  256.         return null;
  257.     }

  259.     /**
  260.      * Construct an Instance of the Flat Forward Rate Forward Curve
  261.      * 
  262.      * @param dtStart The Forward Curve Start Date
  263.      * @param fri The Floating Rate Index
  264.      * @param dblFlatForwardRate The Flat Forward Rate
  265.      * 
  266.      * @return Instance of the Flat Forward Rate Forward Curve
  267.      */

  269.     public static final org.drip.state.forward.ForwardCurve FlatForwardForwardCurve (
  270.         final org.drip.analytics.date.JulianDate dtStart,
  271.         final org.drip.state.identifier.ForwardLabel fri,
  272.         final double dblFlatForwardRate)
  273.     {
  274.         try {
  275.             return new org.drip.state.nonlinear.FlatForwardForwardCurve (dtStart, fri, dblFlatForwardRate);
  276.         } catch (java.lang.Exception e) {
  277.             e.printStackTrace();
  278.         }

  280.         return null;
  281.     }
  282. }
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