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

  81. /**
  82.  * <i>ScenarioRepoCurveBuilder</i> implements the Construction of the Scenario Repo Curve using the Input
  83.  * Instruments and their Quotes.
  84.  *
  85.  *  <br><br>
  86.  *  <ul>
  87.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  88.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  89.  *      <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>
  90.  *      <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>
  91.  *  </ul>
  92.  * <br><br>
  93.  * 
  94.  * @author Lakshmi Krishnamurthy
  95.  */

  97. public class ScenarioRepoCurveBuilder {

  99.     /**
  100.      * Create an Instance of the Custom Splined Repo Curve
  101.      * 
  102.      * @param strName Curve Name
  103.      * @param dtSpot The Spot Date
  104.      * @param comp The Underlying Repo Component
  105.      * @param aiDate Array of the Dates
  106.      * @param adblRepo Array of the Repo Rates
  107.      * @param scbc The Segment Custom Builder Control
  108.      * 
  109.      * @return The Instance of the Custom Splined Repo Curve
  110.      */

  112.     public static final org.drip.state.repo.RepoCurve CustomSplineRepoCurve (
  113.         final java.lang.String strName,
  114.         final org.drip.analytics.date.JulianDate dtSpot,
  115.         final org.drip.product.definition.Component comp,
  116.         final int[] aiDate,
  117.         final double[] adblRepo,
  118.         final org.drip.spline.params.SegmentCustomBuilderControl scbc)
  119.     {
  120.         if (null == strName || null == dtSpot || strName.isEmpty() || null == aiDate || null == adblRepo)
  121.             return null;

  123.         int iNumInstrument = aiDate.length;
  124.         int[] aiBasisPredictorOrdinate = new int[iNumInstrument + 1];
  125.         double[] adblBasisResponseValue = new double[iNumInstrument + 1];
  126.         org.drip.spline.params.SegmentCustomBuilderControl[] aSCBC = new
  127.             org.drip.spline.params.SegmentCustomBuilderControl[iNumInstrument];

  129.         if (0 == iNumInstrument || iNumInstrument != adblRepo.length) return null;

  131.         for (int i = 0; i <= iNumInstrument; ++i) {
  132.             aiBasisPredictorOrdinate[i] = 0 == i ? dtSpot.julian() : aiDate[i - 1];

  134.             adblBasisResponseValue[i] = 0 == i ? adblRepo[0] : adblRepo[i - 1];

  136.             if (0 != i) aSCBC[i - 1] = scbc;
  137.         }

  139.         try {
  140.             return new org.drip.state.curve.BasisSplineRepoCurve (comp, new
  141.                 org.drip.spline.grid.OverlappingStretchSpan
  142.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.CreateCalibratedStretchEstimator
  143.                         (strName, aiBasisPredictorOrdinate, adblBasisResponseValue, aSCBC, null,
  144.                             org.drip.spline.stretch.BoundarySettings.NaturalStandard(),
  145.                                 org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE)));
  146.         } catch (java.lang.Exception e) {
  147.             e.printStackTrace();
  148.         }

  150.         return null;
  151.     }

  153.     /**
  154.      * Create an Instance of the Cubic Polynomial Splined Repo Curve
  155.      * 
  156.      * @param strName Curve Name
  157.      * @param dtSpot The Spot Date
  158.      * @param comp The Underlying Repo Component
  159.      * @param aiDate Array of the Dates
  160.      * @param adblRepo Array of the Repo Rates
  161.      * 
  162.      * @return The Instance of the Basis Curve
  163.      */

  165.     public static final org.drip.state.repo.RepoCurve CubicPolynomialRepoCurve (
  166.         final java.lang.String strName,
  167.         final org.drip.analytics.date.JulianDate dtSpot,
  168.         final org.drip.product.definition.Component comp,
  169.         final int[] aiDate,
  170.         final double[] adblRepo)
  171.     {
  172.         try {
  173.             return CustomSplineRepoCurve (strName, dtSpot, comp, aiDate, adblRepo, new
  174.                 org.drip.spline.params.SegmentCustomBuilderControl
  175.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL, new
  176.                         org.drip.spline.basis.PolynomialFunctionSetParams (4),
  177.                             org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null));
  178.         } catch (java.lang.Exception e) {
  179.             e.printStackTrace();
  180.         }

  182.         return null;
  183.     }

  185.     /**
  186.      * Create an Instance of the Quartic Polynomial Splined Repo Curve
  187.      * 
  188.      * @param strName Curve Name
  189.      * @param dtSpot The Spot Date
  190.      * @param comp The Underlying Repo Component
  191.      * @param aiDate Array of the Dates
  192.      * @param adblRepo Array of the Repo Rates
  193.      * 
  194.      * @return The Instance of the Splined Repo Curve
  195.      */

  197.     public static final org.drip.state.repo.RepoCurve QuarticPolynomialRepoCurve (
  198.         final java.lang.String strName,
  199.         final org.drip.analytics.date.JulianDate dtSpot,
  200.         final org.drip.product.definition.Component comp,
  201.         final int[] aiDate,
  202.         final double[] adblRepo)
  203.     {
  204.         try {
  205.             return CustomSplineRepoCurve (strName, dtSpot, comp, aiDate, adblRepo, new
  206.                 org.drip.spline.params.SegmentCustomBuilderControl
  207.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL, new
  208.                         org.drip.spline.basis.PolynomialFunctionSetParams (5),
  209.                             org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null));
  210.         } catch (java.lang.Exception e) {
  211.             e.printStackTrace();
  212.         }

  214.         return null;
  215.     }

  217.     /**
  218.      * Create an Instance of the Kaklis-Pandelis Splined Repo Curve
  219.      * 
  220.      * @param strName Curve Name
  221.      * @param dtSpot The Spot Date
  222.      * @param comp The Underlying Repo Component
  223.      * @param aiDate Array of the Dates
  224.      * @param adblRepo Array of the Repo Rates
  225.      * 
  226.      * @return The Instance of the Splined Repo Curve
  227.      */

  229.     public static final org.drip.state.repo.RepoCurve KaklisPandelisRepoCurve (
  230.         final java.lang.String strName,
  231.         final org.drip.analytics.date.JulianDate dtSpot,
  232.         final org.drip.product.definition.Component comp,
  233.         final int[] aiDate,
  234.         final double[] adblRepo)
  235.     {
  236.         try {
  237.             return CustomSplineRepoCurve (strName, dtSpot, comp, aiDate, adblRepo, new
  238.                 org.drip.spline.params.SegmentCustomBuilderControl
  239.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_KAKLIS_PANDELIS, new
  240.                         org.drip.spline.basis.KaklisPandelisSetParams (2),
  241.                             org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null));
  242.         } catch (java.lang.Exception e) {
  243.             e.printStackTrace();
  244.         }

  246.         return null;
  247.     }

  249.     /**
  250.      * Create an Instance of the KLK Hyperbolic Splined Repo Curve
  251.      * 
  252.      * @param strName Curve Name
  253.      * @param dtSpot The Spot Date
  254.      * @param comp The Underlying Repo Component
  255.      * @param aiDate Array of the Dates
  256.      * @param adblRepo Array of the Repo Rates
  257.      * @param dblTension The Tension Parameter
  258.      * 
  259.      * @return The Instance of the Splined Repo Curve
  260.      */

  262.     public static final org.drip.state.repo.RepoCurve KLKHyperbolicRepoCurve (
  263.         final java.lang.String strName,
  264.         final org.drip.analytics.date.JulianDate dtSpot,
  265.         final org.drip.product.definition.Component comp,
  266.         final int[] aiDate,
  267.         final double[] adblRepo,
  268.         final double dblTension)
  269.     {
  270.         try {
  271.             return CustomSplineRepoCurve (strName, dtSpot, comp, aiDate, adblRepo, new
  272.                 org.drip.spline.params.SegmentCustomBuilderControl
  273.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_KLK_HYPERBOLIC_TENSION,
  274.                         new org.drip.spline.basis.ExponentialTensionSetParams (dblTension),
  275.                             org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null));
  276.         } catch (java.lang.Exception e) {
  277.             e.printStackTrace();
  278.         }

  280.         return null;
  281.     }

  283.     /**
  284.      * Create an Instance of the KLK Rational Linear Splined Repo Curve
  285.      * 
  286.      * @param strName Curve Name
  287.      * @param dtSpot The Spot Date
  288.      * @param comp The Underlying Repo Component
  289.      * @param aiDate Array of the Dates
  290.      * @param adblRepo Array of the Repo Rates
  291.      * @param dblTension The Tension Parameter
  292.      * 
  293.      * @return The Instance of the Repo Curve
  294.      */

  296.     public static final org.drip.state.repo.RepoCurve KLKRationalLinearRepoCurve (
  297.         final java.lang.String strName,
  298.         final org.drip.analytics.date.JulianDate dtSpot,
  299.         final org.drip.product.definition.Component comp,
  300.         final int[] aiDate,
  301.         final double[] adblRepo,
  302.         final double dblTension)
  303.     {
  304.         try {
  305.             return CustomSplineRepoCurve (strName, dtSpot, comp, aiDate, adblRepo, new
  306.                 org.drip.spline.params.SegmentCustomBuilderControl
  307.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_KLK_RATIONAL_LINEAR_TENSION,
  308.                 new org.drip.spline.basis.ExponentialTensionSetParams (dblTension),
  309.                     org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null));
  310.         } catch (java.lang.Exception e) {
  311.             e.printStackTrace();
  312.         }

  314.         return null;
  315.     }

  317.     /**
  318.      * Create an Instance of the KLK Rational Quadratic Splined Repo Curve
  319.      * 
  320.      * @param strName Curve Name
  321.      * @param dtSpot The Spot Date
  322.      * @param comp The Underlying Repo Component
  323.      * @param aiDate Array of the Dates
  324.      * @param adblRepo Array of the Repo Rates
  325.      * @param dblTension The Tension Parameter
  326.      * 
  327.      * @return The Instance of the Repo Curve
  328.      */

  330.     public static final org.drip.state.repo.RepoCurve KLKRationalQuadraticRepoCurve (
  331.         final java.lang.String strName,
  332.         final org.drip.analytics.date.JulianDate dtSpot,
  333.         final org.drip.product.definition.Component comp,
  334.         final int[] aiDate,
  335.         final double[] adblRepo,
  336.         final double dblTension)
  337.     {
  338.         try {
  339.             return CustomSplineRepoCurve (strName, dtSpot, comp, aiDate, adblRepo, new
  340.                 org.drip.spline.params.SegmentCustomBuilderControl
  341.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_KLK_RATIONAL_QUADRATIC_TENSION,
  342.                 new org.drip.spline.basis.ExponentialTensionSetParams (dblTension),
  343.                     org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null));
  344.         } catch (java.lang.Exception e) {
  345.             e.printStackTrace();
  346.         }

  348.         return null;
  349.     }

  351.     /**
  352.      * Construct a Repo Curve using the Flat Repo Rate
  353.      * 
  354.      * @param dtSpot Spot Date
  355.      * @param comp Repo Component
  356.      * @param dblRepoRate The Flat Repo Rate
  357.      * 
  358.      * @return The Flat Repo Rate Curve
  359.      */

  361.     public static final org.drip.state.repo.RepoCurve FlatRateRepoCurve (
  362.         final org.drip.analytics.date.JulianDate dtSpot,
  363.         final org.drip.product.definition.Component comp,
  364.         final double dblRepoRate)
  365.     {
  366.         if (null == dtSpot) return null;

  368.         int iEpochDate = dtSpot.julian();

  370.         try {
  371.             return new org.drip.state.nonlinear.FlatForwardRepoCurve (iEpochDate, comp, new int[]
  372.                 {iEpochDate}, new double[] {dblRepoRate});
  373.         } catch (java.lang.Exception e) {
  374.             e.printStackTrace();
  375.         }

  377.         return null;
  378.     }
  379. }
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