ScenarioTermStructureBuilder.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>ScenarioTermStructureBuilder</i> implements the construction of the basis spline term structure using
  84.  * 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 ScenarioTermStructureBuilder {

  100.     /**
  101.      * Construct a 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 adblDate Array of Dates
  107.      * @param adblNode Array of Term Structure Nodes
  108.      * @param scbc Segment Custom Builder Parameters
  109.      * 
  110.      * @return Instance of the Term Structure
  111.      */

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

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

  129.         if (0 == iNumDate || iNumDate != adblNode.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.BasisSplineTermStructure (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, adblDate, adblNode, 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 a 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 adblNode Array of Term Structure Nodes
  157.      * 
  158.      * @return The Term Structure Instance based off of a Cubic Polynomial Spline
  159.      */

  161.     public static final org.drip.analytics.definition.NodeStructure 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[] adblNode)
  167.     {
  168.         if (null == dtStart || null == astrTenor) return null;

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

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

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

  178.         try {
  179.             return CustomSplineTermStructure (strName, dtStart, strCurrency, adblDate, adblNode, new
  180.                 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 a Term Structure Instance based off of a Quartic Polynomial Spline
  193.      * 
  194.      * @param strName Name of the the Term Structure Instance
  195.      * @param dtStart The Start Date
  196.      * @param strCurrency Currency
  197.      * @param astrTenor Array of Tenors
  198.      * @param adblNode Array of Term Structure Nodes
  199.      * 
  200.      * @return The Term Structure Instance based off of a Quartic Polynomial Spline
  201.      */

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

  212.         int iNumTenor = astrTenor.length;
  213.         double[] adblDate = new double[iNumTenor];

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

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

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

  230.         return null;
  231.     }

  233.     /**
  234.      * Construct a Term Structure Instance based off of a Kaklis-Pandelis Polynomial Tension Spline
  235.      * 
  236.      * @param strName Name of the the Term Structure Instance
  237.      * @param dtStart The Start Date
  238.      * @param strCurrency Currency
  239.      * @param astrTenor Array of Tenors
  240.      * @param adblNode Array of Term Structure Nodes
  241.      * 
  242.      * @return The Term Structure Instance based off of a Kaklis-Pandelis Polynomial Tension Spline
  243.      */

  245.     public static final org.drip.analytics.definition.NodeStructure KaklisPandelisTermStructure (
  246.         final java.lang.String strName,
  247.         final org.drip.analytics.date.JulianDate dtStart,
  248.         final java.lang.String strCurrency,
  249.         final java.lang.String[] astrTenor,
  250.         final double[] adblNode)
  251.     {
  252.         if (null == dtStart || null == astrTenor) return null;

  254.         int iNumTenor = astrTenor.length;
  255.         double[] adblDate = new double[iNumTenor];

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

  259.         for (int i = 0; i < iNumTenor; ++i)
  260.             adblDate[i] = dtStart.addTenor (astrTenor[i]).julian();

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

  272.         return null;
  273.     }

  275.     /**
  276.      * Construct a Term Structure Instance based off of a KLK Hyperbolic Tension Spline
  277.      * 
  278.      * @param strName Name of the the Term Structure Instance
  279.      * @param dtStart The Start Date
  280.      * @param strCurrency Currency
  281.      * @param astrTenor Array of Tenors
  282.      * @param adblNode Array of Term Structure Nodes
  283.      * @param dblTension Tension
  284.      * 
  285.      * @return The Term Structure Instance based off of a KLK Hyperbolic Tension Spline
  286.      */

  288.     public static final org.drip.analytics.definition.NodeStructure KLKHyperbolicTermStructure (
  289.         final java.lang.String strName,
  290.         final org.drip.analytics.date.JulianDate dtStart,
  291.         final java.lang.String strCurrency,
  292.         final java.lang.String[] astrTenor,
  293.         final double[] adblNode,
  294.         final double dblTension)
  295.     {
  296.         if (null == dtStart || null == astrTenor) return null;

  298.         int iNumTenor = astrTenor.length;
  299.         double[] adblDate = new double[iNumTenor];

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

  303.         for (int i = 0; i < iNumTenor; ++i)
  304.             adblDate[i] = dtStart.addTenor (astrTenor[i]).julian();

  306.         try {
  307.             return CustomSplineTermStructure (strName, dtStart, strCurrency, adblDate, adblNode, new
  308.                 org.drip.spline.params.SegmentCustomBuilderControl
  309.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_KLK_HYPERBOLIC_TENSION,
  310.                         new org.drip.spline.basis.ExponentialTensionSetParams (dblTension),
  311.                             org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null));
  312.         } catch (java.lang.Exception e) {
  313.             e.printStackTrace();
  314.         }

  316.         return null;
  317.     }

  319.     /**
  320.      * Construct a Term Structure Instance based off of a KLK Rational Linear Tension Spline
  321.      * 
  322.      * @param strName Name of the the Term Structure Instance
  323.      * @param dtStart The Start Date
  324.      * @param strCurrency Currency
  325.      * @param astrTenor Array of Tenors
  326.      * @param adblNode Array of Term Structure Nodes
  327.      * @param dblTension Tension
  328.      * 
  329.      * @return The Term Structure Instance based off of a KLK Rational Linear Tension Spline
  330.      */

  332.     public static final org.drip.analytics.definition.NodeStructure KLKRationalLinearTermStructure (
  333.         final java.lang.String strName,
  334.         final org.drip.analytics.date.JulianDate dtStart,
  335.         final java.lang.String strCurrency,
  336.         final java.lang.String[] astrTenor,
  337.         final double[] adblNode,
  338.         final double dblTension)
  339.     {
  340.         if (null == dtStart || null == astrTenor) return null;

  342.         int iNumTenor = astrTenor.length;
  343.         double[] adblDate = new double[iNumTenor];

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

  347.         for (int i = 0; i < iNumTenor; ++i)
  348.             adblDate[i] = dtStart.addTenor (astrTenor[i]).julian();

  350.         try {
  351.             return CustomSplineTermStructure (strName, dtStart, strCurrency, adblDate, adblNode, new
  352.                 org.drip.spline.params.SegmentCustomBuilderControl
  353.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_KLK_RATIONAL_LINEAR_TENSION,
  354.                         new org.drip.spline.basis.ExponentialTensionSetParams (dblTension),
  355.                             org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null));
  356.         } catch (java.lang.Exception e) {
  357.             e.printStackTrace();
  358.         }

  360.         return null;
  361.     }

  363.     /**
  364.      * Construct a Term Structure Instance based off of a KLK Rational Quadratic Tension Spline
  365.      * 
  366.      * @param strName Name of the the Term Structure Instance
  367.      * @param dtStart The Start Date
  368.      * @param strCurrency Currency
  369.      * @param astrTenor Array of Tenors
  370.      * @param adblNode Array of Term Structure Nodes
  371.      * @param dblTension Tension
  372.      * 
  373.      * @return The Term Structure Instance based off of a KLK Rational Quadratic Tension Spline
  374.      */

  376.     public static final org.drip.analytics.definition.NodeStructure KLKRationalQuadraticTermStructure (
  377.         final java.lang.String strName,
  378.         final org.drip.analytics.date.JulianDate dtStart,
  379.         final java.lang.String strCurrency,
  380.         final java.lang.String[] astrTenor,
  381.         final double[] adblNode,
  382.         final double dblTension)
  383.     {
  384.         if (null == dtStart || null == astrTenor) return null;

  386.         int iNumTenor = astrTenor.length;
  387.         double[] adblDate = new double[iNumTenor];

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

  391.         for (int i = 0; i < iNumTenor; ++i)
  392.             adblDate[i] = dtStart.addTenor (astrTenor[i]).julian();

  394.         try {
  395.             return CustomSplineTermStructure (strName, dtStart, strCurrency, adblDate, adblNode, new
  396.                 org.drip.spline.params.SegmentCustomBuilderControl
  397.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_KLK_RATIONAL_QUADRATIC_TENSION,
  398.                         new org.drip.spline.basis.ExponentialTensionSetParams (dblTension),
  399.                             org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null));
  400.         } catch (java.lang.Exception e) {
  401.             e.printStackTrace();
  402.         }

  404.         return null;
  405.     }
  406. }
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