MultilateralBasisCurve.java

  1. package org.drip.state.csa;

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

  78. /**
  79.  * <i>MultilateralBasisCurve</i> implements the CSA Cash Rate Curve as a Basis over an Overnight Curve.
  80.  *
  81.  *  <br><br>
  82.  *  <ul>
  83.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  84.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  85.  *      <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>
  86.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/state/csa/README.md">Credit Support Annex Latent State</a></li>
  87.  *  </ul>
  88.  * <br><br>
  89.  *
  90.  * @author Lakshmi Krishnamurthy
  91.  */

  93. public class MultilateralBasisCurve implements org.drip.state.csa.CashFlowEstimator
  94. {
  95.     private static final int NUM_DF_QUADRATURES = 5;

  97.     private double _dblBasis = java.lang.Double.NaN;
  98.     private org.drip.state.discount.MergedDiscountForwardCurve _mdfcOvernight = null;

  100.     /**
  101.      * Retrieve the Overnight Curve
  102.      * 
  103.      * @return The Overnight Curve
  104.      */

  106.     public org.drip.state.discount.MergedDiscountForwardCurve overnightCurve()
  107.     {
  108.         return _mdfcOvernight;
  109.     }

  111.     /**
  112.      * Retrieve the Basis to the Overnight Curve
  113.      * 
  114.      * @return The Basis to the Overnight Curve
  115.      */

  117.     public double basis()
  118.     {
  119.         return _dblBasis;
  120.     }

  122.     @Override public org.drip.analytics.date.JulianDate epoch()
  123.     {
  124.         return _mdfcOvernight.epoch();
  125.     }

  127.     @Override public double df (
  128.         final int iDate)
  129.         throws java.lang.Exception
  130.     {
  131.         int iEpochDate = epoch().julian();

  133.         if (iEpochDate >= iDate)
  134.             throw new java.lang.Exception ("MultilateralBasisCurve::df => Invalid Inputs");

  136.         return _mdfcOvernight.df (iDate) * java.lang.Math.exp (_dblBasis * (iEpochDate - iDate) / 365.25);
  137.     }

  139.     @Override public double df (
  140.         final org.drip.analytics.date.JulianDate dt)
  141.         throws java.lang.Exception
  142.     {
  143.         if (null == dt) throw new java.lang.Exception ("MultilateralBasisCurve::df => Invalid Inputs");

  145.         return df (dt.julian());
  146.     }

  148.     @Override public double df (
  149.         final java.lang.String strTenor)
  150.         throws java.lang.Exception
  151.     {
  152.         return df (epoch().addTenor (strTenor));
  153.     }

  155.     @Override public double effectiveDF (
  156.         final int iDate1,
  157.         final int iDate2)
  158.         throws java.lang.Exception
  159.     {
  160.         if (epoch().julian() > iDate1 || iDate1 >= iDate2)
  161.             throw new java.lang.Exception ("MultilateralFlatForwardCurve::effectiveDF => Invalid Inputs");

  163.         int iNumQuadratures = 0;
  164.         double dblEffectiveDF = 0.;
  165.         int iQuadratureWidth = (iDate2 - iDate1) / NUM_DF_QUADRATURES;

  167.         if (0 == iQuadratureWidth) iQuadratureWidth = 1;

  169.         for (int iDate = iDate1; iDate <= iDate2; iDate += iQuadratureWidth) {
  170.             ++iNumQuadratures;

  172.             dblEffectiveDF += (df (iDate) + df (iDate + iQuadratureWidth));
  173.         }

  175.         return dblEffectiveDF / (2. * iNumQuadratures);
  176.     }

  178.     @Override public double effectiveDF (
  179.         final org.drip.analytics.date.JulianDate dt1,
  180.         final org.drip.analytics.date.JulianDate dt2)
  181.         throws java.lang.Exception
  182.     {
  183.         if (null == dt1 || null == dt2)
  184.             throw new java.lang.Exception ("MultilateralFlatForwardCurve::effectiveDF => Invalid Inputs");

  186.         return effectiveDF (
  187.             dt1.julian(),
  188.             dt2.julian()
  189.         );
  190.     }

  192.     @Override public double effectiveDF (
  193.         final java.lang.String strTenor1,
  194.         final java.lang.String strTenor2)
  195.         throws java.lang.Exception
  196.     {
  197.         org.drip.analytics.date.JulianDate dtEpoch = epoch();

  199.         return effectiveDF (
  200.             dtEpoch.addTenor (strTenor1),
  201.             dtEpoch.addTenor (strTenor2)
  202.         );
  203.     }

  205.     @Override public double rate (
  206.         final int iDate)
  207.         throws java.lang.Exception
  208.     {
  209.         int iEpochDate = epoch().julian();

  211.         if (iEpochDate >= iDate)
  212.             throw new java.lang.Exception ("MultilateralFlatForwardCurve::rate => Invalid Inputs");

  214.         return 365.25 * java.lang.Math.log (df (iEpochDate) / df (iDate)) / (iEpochDate - iDate);
  215.     }

  217.     @Override public double rate (
  218.         final org.drip.analytics.date.JulianDate dt)
  219.         throws java.lang.Exception
  220.     {
  221.         if (null == dt)
  222.             throw new java.lang.Exception ("MultilateralFlatForwardCurve::rate => Invalid Inputs");

  224.         return rate (dt.julian());
  225.     }

  227.     @Override public double rate (
  228.         final java.lang.String strTenor)
  229.         throws java.lang.Exception
  230.     {
  231.         return rate (epoch().addTenor (strTenor));
  232.     }

  234.     @Override public double rate (
  235.         final int iDate1,
  236.         final int iDate2)
  237.         throws java.lang.Exception
  238.     {
  239.         int iEpochDate = epoch().julian();

  241.         if (iEpochDate > iDate1 || iDate1 >= iDate2)
  242.             throw new java.lang.Exception ("MultilateralFlatForwardCurve::rate => Invalid Inputs");

  244.         return 365.25 * java.lang.Math.log (df (iDate1) / df (iDate2)) / (iDate2 - iDate1);
  245.     }

  247.     @Override public double rate (
  248.         final org.drip.analytics.date.JulianDate dt1,
  249.         final org.drip.analytics.date.JulianDate dt2)
  250.         throws java.lang.Exception
  251.     {
  252.         if (null == dt1 || null == dt2)
  253.             throw new java.lang.Exception ("MultilateralFlatForwardCurve::rate => Invalid Inputs");

  255.         return rate (
  256.             dt1.julian(),
  257.             dt2.julian()
  258.         );
  259.     }

  261.     @Override public double rate (
  262.         final java.lang.String strTenor1,
  263.         final java.lang.String strTenor2)
  264.         throws java.lang.Exception
  265.     {
  266.         org.drip.analytics.date.JulianDate dtEpoch = epoch();

  268.         return rate (
  269.             dtEpoch.addTenor (strTenor1),
  270.             dtEpoch.addTenor (strTenor2)
  271.         );
  272.     }
  273. }
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