MultilateralFlatForwardCurve.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>MultilateralFlatForwardCurve</i> implements the CSA Cash Rate Curve using a Flat Forward CSA Rate.
  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 MultilateralFlatForwardCurve extends org.drip.state.nonlinear.FlatForwardDiscountCurve
  94.     implements org.drip.state.csa.CashFlowEstimator
  95. {

  97.     /**
  98.      * MultilateralFlatForwardCurve Constructor
  99.      * 
  100.      * @param dtEpoch Epoch Date
  101.      * @param strCurrency Currency
  102.      * @param aiDate Array of Dates
  103.      * @param adblForwardRate Array of Forward Rates
  104.      * @param bDiscreteCompounding TRUE - Compounding is Discrete
  105.      * @param strCompoundingDayCount Day Count Convention to be used for Discrete Compounding
  106.      * @param iCompoundingFreq Frequency to be used for Discrete Compounding
  107.      * 
  108.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  109.      */

  111.     public MultilateralFlatForwardCurve (
  112.         final org.drip.analytics.date.JulianDate dtEpoch,
  113.         final java.lang.String strCurrency,
  114.         final int[] aiDate,
  115.         final double[] adblForwardRate,
  116.         final boolean bDiscreteCompounding,
  117.         final java.lang.String strCompoundingDayCount,
  118.         final int iCompoundingFreq)
  119.         throws java.lang.Exception
  120.     {
  121.         super (
  122.             dtEpoch,
  123.             strCurrency,
  124.             aiDate,
  125.             adblForwardRate,
  126.             bDiscreteCompounding,
  127.             strCompoundingDayCount,
  128.             iCompoundingFreq
  129.         );
  130.     }

  132.     @Override public double rate (
  133.         final int iDate)
  134.         throws java.lang.Exception
  135.     {
  136.         int iEpochDate = epoch().julian();

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

  141.         return discreteCompounding() ? ((1. / df (iDate)) - 1.) / yearFract (
  142.             iEpochDate,
  143.             iDate
  144.         ) : org.drip.analytics.support.Helper.DF2Yield (
  145.             compoundingFrequency(),
  146.             df (iDate),
  147.             yearFract (
  148.                 iEpochDate,
  149.                 iDate
  150.             )
  151.         );
  152.     }

  154.     @Override public double rate (
  155.         final org.drip.analytics.date.JulianDate dt)
  156.         throws java.lang.Exception
  157.     {
  158.         if (null == dt)
  159.             throw new java.lang.Exception ("MultilateralFlatForwardCurve::rate => Invalid Inputs");

  161.         return rate (dt.julian());
  162.     }

  164.     @Override public double rate (
  165.         final java.lang.String strTenor)
  166.         throws java.lang.Exception
  167.     {
  168.         return rate (epoch().addTenor (strTenor));
  169.     }

  171.     @Override public double rate (
  172.         final int iDate1,
  173.         final int iDate2)
  174.         throws java.lang.Exception
  175.     {
  176.         int iEpochDate = epoch().julian();

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

  181.         return discreteCompounding() ? ((df (iDate1) / df (iDate2)) - 1.) / yearFract (
  182.             iDate1,
  183.             iDate2
  184.         ) : org.drip.analytics.support.Helper.DF2Yield (
  185.             compoundingFrequency(),
  186.             df (iDate1) / df (iDate2),
  187.             yearFract (
  188.                 iDate1,
  189.                 iDate2
  190.             )
  191.         );
  192.     }

  194.     @Override public double rate (
  195.         final org.drip.analytics.date.JulianDate dt1,
  196.         final org.drip.analytics.date.JulianDate dt2)
  197.         throws java.lang.Exception
  198.     {
  199.         if (null == dt1 || null == dt2)
  200.             throw new java.lang.Exception ("MultilateralFlatForwardCurve::rate => Invalid Inputs");

  202.         return rate (
  203.             dt1.julian(),
  204.             dt2.julian()
  205.         );
  206.     }

  208.     @Override public double rate (
  209.         final java.lang.String strTenor1,
  210.         final java.lang.String strTenor2)
  211.         throws java.lang.Exception
  212.     {
  213.         org.drip.analytics.date.JulianDate dtEpoch = epoch();

  215.         return rate (
  216.             dtEpoch.addTenor (strTenor1),
  217.             dtEpoch.addTenor (strTenor2)
  218.         );
  219.     }
  220. }
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