ScenarioMarketSurfaceBuilder.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>ScenarioMarketSurfaceBuilder</i> implements the construction of the scenario market Node surface using
  84.  * the input option instruments, their quotes, and a wide variety of custom builds.
  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 ScenarioMarketSurfaceBuilder {

  100.     /**
  101.      * Build an Instance of the Market Node Surface using Custom Wire Span and Surface Splines.
  102.      * 
  103.      * @param strName Name of the Volatility Surface
  104.      * @param dtStart Start/Epoch Julian Date
  105.      * @param strCurrency Currency
  106.      * @param adblX Array of X Ordinates
  107.      * @param adblY Array of Y Ordinates
  108.      * @param aadblNode Double Array of the Surface Nodes
  109.      * @param scbcWireSpan The Wire Span Segment Customizer
  110.      * @param scbcSurface The Surface Segment Customizer
  111.      * 
  112.      * @return Instance of the Market Node Surface
  113.      */

  115.     public static final org.drip.analytics.definition.MarketSurface CustomSplineWireSurface (
  116.         final java.lang.String strName,
  117.         final org.drip.analytics.date.JulianDate dtStart,
  118.         final java.lang.String strCurrency,
  119.         final double[] adblX,
  120.         final double[] adblY,
  121.         final double[][] aadblNode,
  122.         final org.drip.spline.params.SegmentCustomBuilderControl scbcWireSpan,
  123.         final org.drip.spline.params.SegmentCustomBuilderControl scbcSurface)
  124.     {
  125.         if (null == dtStart || null == strName || strName.isEmpty() || null == strCurrency ||
  126.             strCurrency.isEmpty() || null == adblX || null == adblY || null == aadblNode || null ==
  127.                 scbcWireSpan || null == scbcSurface)
  128.             return null;

  130.         int iNumX = adblX.length;
  131.         int iNumMaturity = adblY.length;
  132.         int iNumOuterNode = aadblNode.length;

  134.         if (0 == iNumX || 0 == iNumMaturity || iNumX != iNumOuterNode) return null;

  136.         for (int i = 0; i < iNumX; ++i) {
  137.             double[] adblInner = aadblNode[i];

  139.             if (null == adblInner || iNumMaturity != adblInner.length) return null;
  140.         }

  142.         org.drip.spline.params.SegmentCustomBuilderControl[] aSCBCWireSpan = new
  143.             org.drip.spline.params.SegmentCustomBuilderControl[iNumX - 1];

  145.         for (int i = 0; i < iNumX - 1; ++i)
  146.             aSCBCWireSpan[i] = scbcWireSpan;

  148.         java.util.TreeMap<java.lang.Double, org.drip.spline.grid.Span> mapWireSpan = new
  149.             java.util.TreeMap<java.lang.Double, org.drip.spline.grid.Span>();

  151.         for (int i = 0; i < iNumX; ++i) {
  152.             org.drip.spline.stretch.MultiSegmentSequence mssWire =
  153.                 org.drip.spline.stretch.MultiSegmentSequenceBuilder.CreateCalibratedStretchEstimator
  154.                     ("Stretch@" + strName + "@" + org.drip.numerical.common.StringUtil.GUID(), adblY,
  155.                         aadblNode[i], aSCBCWireSpan, null,
  156.                             org.drip.spline.stretch.BoundarySettings.NaturalStandard(),
  157.                                 org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE);

  159.             if (null == mssWire) return null;

  161.             try {
  162.                 mapWireSpan.put (adblX[i], new org.drip.spline.grid.OverlappingStretchSpan (mssWire));
  163.             } catch (java.lang.Exception e) {
  164.                 e.printStackTrace();

  166.                 return null;
  167.             }
  168.         }

  170.         try {
  171.             return new org.drip.state.curve.BasisSplineMarketSurface (dtStart.julian(),
  172.                 org.drip.state.identifier.CustomLabel.Standard (strName), strCurrency, new
  173.                     org.drip.spline.multidimensional.WireSurfaceStretch ("WireSurfaceStretch@" + strName +
  174.                         "@" + org.drip.numerical.common.StringUtil.GUID(), scbcSurface, mapWireSpan));
  175.         } catch (java.lang.Exception e) {
  176.             e.printStackTrace();
  177.         }

  179.         return null;
  180.     }

  182.     /**
  183.      * Construct a Scenario Market Surface off of Cubic Polynomial Wire Spline and Cubic Polynomial Surface
  184.      *  Spline.
  185.      * 
  186.      * @param strName Name of the Volatility Surface
  187.      * @param dtStart Start/Epoch Julian Date
  188.      * @param strCurrency Currency
  189.      * @param adblX Array of X Ordinates
  190.      * @param astrTenor Array of Maturity Tenors
  191.      * @param aadblNode Double Array of the Surface Nodes
  192.      * 
  193.      * @return Instance of the Market Node Surface
  194.      */

  196.     public static final org.drip.analytics.definition.MarketSurface CubicPolynomialWireSurface (
  197.         final java.lang.String strName,
  198.         final org.drip.analytics.date.JulianDate dtStart,
  199.         final java.lang.String strCurrency,
  200.         final double[] adblX,
  201.         final java.lang.String[] astrTenor,
  202.         final double[][] aadblNode)
  203.     {
  204.         if (null == astrTenor) return null;

  206.         int iNumTenor = astrTenor.length;
  207.         double[] adblY = new double[iNumTenor];
  208.         org.drip.spline.params.SegmentCustomBuilderControl scbcSurface = null;
  209.         org.drip.spline.params.SegmentCustomBuilderControl scbcWireSpan = null;

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

  213.         for (int i = 0; i < iNumTenor; ++i)
  214.             adblY[i] = dtStart.addTenor (astrTenor[i]).julian();

  216.         try {
  217.             scbcWireSpan = new org.drip.spline.params.SegmentCustomBuilderControl
  218.                 (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL, new
  219.                     org.drip.spline.basis.PolynomialFunctionSetParams (4),
  220.                         org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null);

  222.             scbcSurface = new org.drip.spline.params.SegmentCustomBuilderControl
  223.                 (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL, new
  224.                     org.drip.spline.basis.PolynomialFunctionSetParams (4),
  225.                         org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null);
  226.         } catch (java.lang.Exception e) {
  227.             e.printStackTrace();

  229.             return null;
  230.         }

  232.         return CustomSplineWireSurface (strName, dtStart, strCurrency, adblX, adblY, aadblNode, scbcWireSpan,
  233.             scbcSurface);
  234.     }

  236.     /**
  237.      * Construct a Scenario Market Surface off of Quartic Polynomial Wire Spline and Quartic Polynomial
  238.      *  Surface Spline.
  239.      * 
  240.      * @param strName Name of the Volatility Surface
  241.      * @param dtStart Start/Epoch Julian Date
  242.      * @param strCurrency Currency
  243.      * @param adblX Array of X Ordinates
  244.      * @param astrTenor Array of Maturity Tenors
  245.      * @param aadblNode Double Array of the Surface Nodes
  246.      * 
  247.      * @return Instance of the Market Node Surface
  248.      */

  250.     public static final org.drip.analytics.definition.MarketSurface QuarticPolynomialWireSurface (
  251.         final java.lang.String strName,
  252.         final org.drip.analytics.date.JulianDate dtStart,
  253.         final java.lang.String strCurrency,
  254.         final double[] adblX,
  255.         final java.lang.String[] astrTenor,
  256.         final double[][] aadblNode)
  257.     {
  258.         if (null == astrTenor) return null;

  260.         int iNumTenor = astrTenor.length;
  261.         double[] adblY = new double[iNumTenor];
  262.         org.drip.spline.params.SegmentCustomBuilderControl scbcSurface = null;
  263.         org.drip.spline.params.SegmentCustomBuilderControl scbcWireSpan = null;

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

  267.         for (int i = 0; i < iNumTenor; ++i)
  268.             adblY[i] = dtStart.addTenor (astrTenor[i]).julian();

  270.         try {
  271.             scbcWireSpan = new org.drip.spline.params.SegmentCustomBuilderControl
  272.                 (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL, new
  273.                     org.drip.spline.basis.PolynomialFunctionSetParams (5),
  274.                         org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null);

  276.             scbcSurface = new org.drip.spline.params.SegmentCustomBuilderControl
  277.                 (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL, new
  278.                     org.drip.spline.basis.PolynomialFunctionSetParams (5),
  279.                         org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null);
  280.         } catch (java.lang.Exception e) {
  281.             e.printStackTrace();

  283.             return null;
  284.         }

  286.         return CustomSplineWireSurface (strName, dtStart, strCurrency, adblX, adblY, aadblNode, scbcWireSpan,
  287.             scbcSurface);
  288.     }

  290.     /**
  291.      * Construct a Scenario Market Surface off of Kaklis-Pandelis Wire Spline and Kaklis-Pandelis Surface
  292.      *  Spline.
  293.      * 
  294.      * @param strName Name of the Volatility Surface
  295.      * @param dtStart Start/Epoch Julian Date
  296.      * @param strCurrency Currency
  297.      * @param adblX Array of X Ordinates
  298.      * @param astrTenor Array of Maturity Tenors
  299.      * @param aadblNode Double Array of the Surface Nodes
  300.      * 
  301.      * @return Instance of the Market Node Surface
  302.      */

  304.     public static final org.drip.analytics.definition.MarketSurface KaklisPandelisWireSurface (
  305.         final java.lang.String strName,
  306.         final org.drip.analytics.date.JulianDate dtStart,
  307.         final java.lang.String strCurrency,
  308.         final double[] adblX,
  309.         final java.lang.String[] astrTenor,
  310.         final double[][] aadblNode)
  311.     {
  312.         if (null == astrTenor) return null;

  314.         int iNumTenor = astrTenor.length;
  315.         double[] adblY = new double[iNumTenor];
  316.         org.drip.spline.params.SegmentCustomBuilderControl scbcSurface = null;
  317.         org.drip.spline.params.SegmentCustomBuilderControl scbcWireSpan = null;

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

  321.         for (int i = 0; i < iNumTenor; ++i)
  322.             adblY[i] = dtStart.addTenor (astrTenor[i]).julian();

  324.         try {
  325.             scbcWireSpan = new org.drip.spline.params.SegmentCustomBuilderControl
  326.                 (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_KAKLIS_PANDELIS, new
  327.                     org.drip.spline.basis.KaklisPandelisSetParams (2),
  328.                         org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null);

  330.             scbcSurface = new org.drip.spline.params.SegmentCustomBuilderControl
  331.                 (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_KAKLIS_PANDELIS, new
  332.                     org.drip.spline.basis.KaklisPandelisSetParams (2),
  333.                         org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null);
  334.         } catch (java.lang.Exception e) {
  335.             e.printStackTrace();

  337.             return null;
  338.         }

  340.         return CustomSplineWireSurface (strName, dtStart, strCurrency, adblX, adblY, aadblNode, scbcWireSpan,
  341.             scbcSurface);
  342.     }

  344.     /**
  345.      * Construct a Scenario Market Surface off of KLK Hyperbolic Wire Spline and KLK Hyperbolic Surface
  346.      *  Spline.
  347.      * 
  348.      * @param strName Name of the Volatility Surface
  349.      * @param dtStart Start/Epoch Julian Date
  350.      * @param strCurrency Currency
  351.      * @param adblX Array of X Ordinates
  352.      * @param astrTenor Array of Maturity Tenors
  353.      * @param aadblNode Double Array of the Surface Nodes
  354.      * @param dblTension The Tension Parameter
  355.      * 
  356.      * @return Instance of the Market Node Surface
  357.      */

  359.     public static final org.drip.analytics.definition.MarketSurface KLKHyperbolicWireSurface (
  360.         final java.lang.String strName,
  361.         final org.drip.analytics.date.JulianDate dtStart,
  362.         final java.lang.String strCurrency,
  363.         final double[] adblX,
  364.         final java.lang.String[] astrTenor,
  365.         final double[][] aadblNode,
  366.         final double dblTension)
  367.     {
  368.         if (null == astrTenor) return null;

  370.         int iNumTenor = astrTenor.length;
  371.         double[] adblY = new double[iNumTenor];
  372.         org.drip.spline.params.SegmentCustomBuilderControl scbcSurface = null;
  373.         org.drip.spline.params.SegmentCustomBuilderControl scbcWireSpan = null;

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

  377.         for (int i = 0; i < iNumTenor; ++i)
  378.             adblY[i] = dtStart.addTenor (astrTenor[i]).julian();

  380.         try {
  381.             scbcWireSpan = new org.drip.spline.params.SegmentCustomBuilderControl
  382.                 (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_KLK_HYPERBOLIC_TENSION, new
  383.                     org.drip.spline.basis.ExponentialTensionSetParams (dblTension),
  384.                         org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null);

  386.             scbcSurface = new org.drip.spline.params.SegmentCustomBuilderControl
  387.                 (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_KLK_HYPERBOLIC_TENSION, new
  388.                     org.drip.spline.basis.ExponentialTensionSetParams (dblTension),
  389.                         org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null);
  390.         } catch (java.lang.Exception e) {
  391.             e.printStackTrace();

  393.             return null;
  394.         }

  396.         return CustomSplineWireSurface (strName, dtStart, strCurrency, adblX, adblY, aadblNode, scbcWireSpan,
  397.             scbcSurface);
  398.     }

  400.     /**
  401.      * Construct a Scenario Market Surface off of KLK Rational Linear Wire Spline and KLK Rational Linear
  402.      *  Surface Spline.
  403.      * 
  404.      * @param strName Name of the Volatility Surface
  405.      * @param dtStart Start/Epoch Julian Date
  406.      * @param strCurrency Currency
  407.      * @param adblX Array of X Ordinates
  408.      * @param astrTenor Array of Maturity Tenors
  409.      * @param aadblNode Double Array of the Surface Nodes
  410.      * @param dblTension The Tension Parameter
  411.      * 
  412.      * @return Instance of the Market Node Surface
  413.      */

  415.     public static final org.drip.analytics.definition.MarketSurface KLKRationalLinearWireSurface (
  416.         final java.lang.String strName,
  417.         final org.drip.analytics.date.JulianDate dtStart,
  418.         final java.lang.String strCurrency,
  419.         final double[] adblX,
  420.         final java.lang.String[] astrTenor,
  421.         final double[][] aadblNode,
  422.         final double dblTension)
  423.     {
  424.         if (null == astrTenor) return null;

  426.         int iNumTenor = astrTenor.length;
  427.         double[] adblY = new double[iNumTenor];
  428.         org.drip.spline.params.SegmentCustomBuilderControl scbcSurface = null;
  429.         org.drip.spline.params.SegmentCustomBuilderControl scbcWireSpan = null;

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

  433.         for (int i = 0; i < iNumTenor; ++i)
  434.             adblY[i] = dtStart.addTenor (astrTenor[i]).julian();

  436.         try {
  437.             scbcWireSpan = new org.drip.spline.params.SegmentCustomBuilderControl
  438.                 (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_KLK_RATIONAL_LINEAR_TENSION,
  439.                     new org.drip.spline.basis.ExponentialTensionSetParams (dblTension),
  440.                         org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null);

  442.             scbcSurface = new org.drip.spline.params.SegmentCustomBuilderControl
  443.                 (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_KLK_RATIONAL_LINEAR_TENSION,
  444.                     new org.drip.spline.basis.ExponentialTensionSetParams (dblTension),
  445.                         org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null);
  446.         } catch (java.lang.Exception e) {
  447.             e.printStackTrace();

  449.             return null;
  450.         }

  452.         return CustomSplineWireSurface (strName, dtStart, strCurrency, adblX, adblY, aadblNode, scbcWireSpan,
  453.             scbcSurface);
  454.     }

  456.     /**
  457.      * Construct a Scenario Market Surface off of KLK Rational Quadratic Wire Spline and KLK Rational
  458.      *  Quadratic Surface Spline.
  459.      * 
  460.      * @param strName Name of the Volatility Surface
  461.      * @param dtStart Start/Epoch Julian Date
  462.      * @param strCurrency Currency
  463.      * @param adblX Array of X Ordinates
  464.      * @param astrTenor Array of Maturity Tenors
  465.      * @param aadblNode Double Array of the Surface Nodes
  466.      * @param dblTension The Tension Parameter
  467.      * 
  468.      * @return Instance of the Market Node Surface
  469.      */

  471.     public static final org.drip.analytics.definition.MarketSurface KLKRationalQuadraticWireSurface (
  472.         final java.lang.String strName,
  473.         final org.drip.analytics.date.JulianDate dtStart,
  474.         final java.lang.String strCurrency,
  475.         final double[] adblX,
  476.         final java.lang.String[] astrTenor,
  477.         final double[][] aadblNode,
  478.         final double dblTension)
  479.     {
  480.         if (null == astrTenor) return null;

  482.         int iNumTenor = astrTenor.length;
  483.         double[] adblY = new double[iNumTenor];
  484.         org.drip.spline.params.SegmentCustomBuilderControl scbcSurface = null;
  485.         org.drip.spline.params.SegmentCustomBuilderControl scbcWireSpan = null;

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

  489.         for (int i = 0; i < iNumTenor; ++i)
  490.             adblY[i] = dtStart.addTenor (astrTenor[i]).julian();

  492.         try {
  493.             scbcWireSpan = new org.drip.spline.params.SegmentCustomBuilderControl
  494.                 (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_KLK_RATIONAL_QUADRATIC_TENSION,
  495.                     new org.drip.spline.basis.ExponentialTensionSetParams (dblTension),
  496.                         org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null);

  498.             scbcSurface = new org.drip.spline.params.SegmentCustomBuilderControl
  499.                 (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_KLK_RATIONAL_QUADRATIC_TENSION,
  500.                     new org.drip.spline.basis.ExponentialTensionSetParams (dblTension),
  501.                         org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null);
  502.         } catch (java.lang.Exception e) {
  503.             e.printStackTrace();

  505.             return null;
  506.         }

  508.         return CustomSplineWireSurface (strName, dtStart, strCurrency, adblX, adblY, aadblNode, scbcWireSpan,
  509.             scbcSurface);
  510.     }

  512.     /**
  513.      * Construct a Scenario Market Surface off of Custom Wire Spline and Custom Surface Spline.
  514.      * 
  515.      * @param strName Name of the Volatility Surface
  516.      * @param dtStart Start/Epoch Julian Date
  517.      * @param strCurrency Currency
  518.      * @param adblX Array of X Ordinates
  519.      * @param astrTenor Array of Maturity Tenors
  520.      * @param aadblNode Double Array of the Surface Nodes
  521.      * @param scbcWireSpan The Wire Span Segment Customizer
  522.      * @param scbcSurface The Surface Segment Customizer
  523.      * 
  524.      * @return Instance of the Market Node Surface
  525.      */

  527.     public static final org.drip.analytics.definition.MarketSurface CustomWireSurface (
  528.         final java.lang.String strName,
  529.         final org.drip.analytics.date.JulianDate dtStart,
  530.         final java.lang.String strCurrency,
  531.         final double[] adblX,
  532.         final java.lang.String[] astrTenor,
  533.         final double[][] aadblNode,
  534.         final org.drip.spline.params.SegmentCustomBuilderControl scbcWireSpan,
  535.         final org.drip.spline.params.SegmentCustomBuilderControl scbcSurface)
  536.     {
  537.         if (null == astrTenor) return null;

  539.         int iNumTenor = astrTenor.length;
  540.         double[] adblY = new double[iNumTenor];

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

  544.         for (int i = 0; i < iNumTenor; ++i)
  545.             adblY[i] = dtStart.addTenor (astrTenor[i]).julian();

  547.         return CustomSplineWireSurface (strName, dtStart, strCurrency, adblX, adblY, aadblNode, scbcWireSpan,
  548.             scbcSurface);
  549.     }

  551.     /**
  552.      * Create a Price/Volatility Market Surface Based off of a Single Run using the Heston 1993 Model
  553.      * 
  554.      * @param strName Surface Name
  555.      * @param dtStart Epoch/Start Date
  556.      * @param strCurrency Currency
  557.      * @param dblRiskFreeRate Risk-Free Rate
  558.      * @param dblUnderlier The Underlier
  559.      * @param bIsForward TRUE - The Underlier represents the Forward, FALSE - it represents Spot
  560.      * @param dblInitialVolatility Initial Volatility
  561.      * @param adblStrike Array of Strikes
  562.      * @param astrTenor Array of Maturity Tenors
  563.      * @param fphp The Heston Stochastic Volatility Generation Parameters
  564.      * @param bPriceSurface TRUE - Generate the Price Surface; FALSE - Generate the Vol Surface
  565.      * @param scbcWireSpan The Wire Span Segment Customizer
  566.      * @param scbcSurface The Surface Segment Customizer
  567.      * 
  568.      * @return Instance of the Market Node Surface
  569.      */

  571.     public static final org.drip.analytics.definition.MarketSurface HestonRunMarketSurface (
  572.         final java.lang.String strName,
  573.         final org.drip.analytics.date.JulianDate dtStart,
  574.         final java.lang.String strCurrency,
  575.         final double dblRiskFreeRate,
  576.         final double dblUnderlier,
  577.         final boolean bIsForward,
  578.         final double dblInitialVolatility,
  579.         final double[] adblStrike,
  580.         final java.lang.String[] astrTenor,
  581.         final org.drip.param.pricer.HestonOptionPricerParams fphp,
  582.         final boolean bPriceSurface,
  583.         final org.drip.spline.params.SegmentCustomBuilderControl scbcWireSpan,
  584.         final org.drip.spline.params.SegmentCustomBuilderControl scbcSurface)
  585.     {
  586.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblRiskFreeRate) ||
  587.             !org.drip.numerical.common.NumberUtil.IsValid (dblUnderlier) ||
  588.                 !org.drip.numerical.common.NumberUtil.IsValid (dblInitialVolatility) || null == adblStrike ||
  589.                     null == astrTenor || null == fphp)
  590.             return null;

  592.         int iStrike = 0;
  593.         int iNumTenor = astrTenor.length;
  594.         int iNumStrike = adblStrike.length;
  595.         double[][] aadblImpliedNode = new double[iNumStrike][iNumTenor];
  596.         org.drip.pricer.option.HestonStochasticVolatilityAlgorithm hsva = null;

  598.         try {
  599.             hsva = new org.drip.pricer.option.HestonStochasticVolatilityAlgorithm (fphp);
  600.         } catch (java.lang.Exception e) {
  601.             e.printStackTrace();

  603.             return null;
  604.         }

  606.         if (0 == iNumTenor || 0 == iNumStrike) return null;

  608.         for (double dblStrike : adblStrike) {
  609.             int iTenor = 0;

  611.             for (java.lang.String strTenor : astrTenor) {
  612.                 try {
  613.                     double dblTimeToExpiry = org.drip.analytics.support.Helper.TenorToYearFraction
  614.                         (strTenor);

  616.                     org.drip.pricer.option.Greeks callGreeks = hsva.greeks (dblStrike, dblTimeToExpiry,
  617.                         dblRiskFreeRate, dblUnderlier, false, bIsForward, dblInitialVolatility);

  619.                     if (null == callGreeks) return null;

  621.                     aadblImpliedNode[iStrike][iTenor++] = bPriceSurface ? callGreeks.price() : new
  622.                         org.drip.pricer.option.BlackScholesAlgorithm().impliedVolatilityFromPrice
  623.                             (dblStrike, dblTimeToExpiry, dblRiskFreeRate, dblUnderlier, false, false,
  624.                                 callGreeks.price());
  625.                 } catch (java.lang.Exception e) {
  626.                     e.printStackTrace();

  628.                     return null;
  629.                 }
  630.             }

  632.             ++iStrike;
  633.         }

  635.         return CustomWireSurface (strName, dtStart, strCurrency, adblStrike, astrTenor, aadblImpliedNode,
  636.             scbcWireSpan, scbcSurface);
  637.     }
  638. }
Created with JaCoCo 0.7.9.201702052155