BasisSplineDeterministicVolatility.java

package org.drip.state.curve;

/*
 * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
 */

/*!
 * Copyright (C) 2020 Lakshmi Krishnamurthy
 * Copyright (C) 2019 Lakshmi Krishnamurthy
 * Copyright (C) 2018 Lakshmi Krishnamurthy
 * Copyright (C) 2017 Lakshmi Krishnamurthy
 * Copyright (C) 2016 Lakshmi Krishnamurthy
 * Copyright (C) 2015 Lakshmi Krishnamurthy
 * Copyright (C) 2014 Lakshmi Krishnamurthy
 * 
 *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
 *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
 *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
 *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
 *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
 *      and computational support.
 *  
 *      https://lakshmidrip.github.io/DROP/
 *  
 *  DROP is composed of three modules:
 *  
 *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
 *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
 *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
 * 
 *  DROP Product Core implements libraries for the following:
 *  - Fixed Income Analytics
 *  - Loan Analytics
 *  - Transaction Cost Analytics
 * 
 *  DROP Portfolio Core implements libraries for the following:
 *  - Asset Allocation Analytics
 *  - Asset Liability Management Analytics
 *  - Capital Estimation Analytics
 *  - Exposure Analytics
 *  - Margin Analytics
 *  - XVA Analytics
 * 
 *  DROP Computational Core implements libraries for the following:
 *  - Algorithm Support
 *  - Computation Support
 *  - Function Analysis
 *  - Model Validation
 *  - Numerical Analysis
 *  - Numerical Optimizer
 *  - Spline Builder
 *  - Statistical Learning
 * 
 *  Documentation for DROP is Spread Over:
 * 
 *  - Main                     => https://lakshmidrip.github.io/DROP/
 *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
 *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
 *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
 *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
 *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
 *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
 *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
 *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
 *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
 *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
 * 
 *  Licensed under the Apache License, Version 2.0 (the "License");
 *      you may not use this file except in compliance with the License.
 *   
 *  You may obtain a copy of the License at
 *      http://www.apache.org/licenses/LICENSE-2.0
 *  
 *  Unless required by applicable law or agreed to in writing, software
 *      distributed under the License is distributed on an "AS IS" BASIS,
 *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 *  
 *  See the License for the specific language governing permissions and
 *      limitations under the License.
 */

/**
 * <i>BasisSplineDeterministicVolatility</i> extends the BasisSplineTermStructure for the specific case of
 * the Implementation of the Deterministic Volatility Term Structure.
 *
 *  <br><br>
 *  <ul>
 *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
 *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
 *      <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>
 *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/state/curve/README.md">Basis Spline Based Latent States</a></li>
 *  </ul>
 * <br><br>
 *
 * @author Lakshmi Krishnamurthy
 */

public class BasisSplineDeterministicVolatility extends org.drip.state.volatility.VolatilityCurve {
    private org.drip.spline.grid.Span _spanImpliedVolatility = null;

    /**
     * BasisSplineDeterministicVolatility Constructor
     * 
     * @param iEpochDate The Epoch Date
     * @param label Latent State Label
     * @param strCurrency The Currency
     * @param spanImpliedVolatility The Implied Volatility Span
     * 
     * @throws java.lang.Exception Thrown if the Inputs are Invalid
     */

    public BasisSplineDeterministicVolatility (
        final int iEpochDate,
        final org.drip.state.identifier.CustomLabel label,
        final java.lang.String strCurrency,
        final org.drip.spline.grid.Span spanImpliedVolatility)
        throws java.lang.Exception
    {
        super (iEpochDate, label, strCurrency);

        if (null == (_spanImpliedVolatility = spanImpliedVolatility))
            throw new java.lang.Exception ("BasisSplineDeterministicVolatility ctr: Invalid Inputs");
    }

    @Override public double impliedVol (
        final int iDate)
        throws java.lang.Exception
    {
        double dblSpanLeft = _spanImpliedVolatility.left();

        if (dblSpanLeft >= iDate) return _spanImpliedVolatility.calcResponseValue (dblSpanLeft);

        double dblSpanRight = _spanImpliedVolatility.right();

        if (dblSpanRight <= iDate) return _spanImpliedVolatility.calcResponseValue (dblSpanRight);

        return _spanImpliedVolatility.calcResponseValue (iDate);
    }

    @Override public double node (
        final int iDate)
        throws java.lang.Exception
    {
        double dblImpliedVol = impliedVol (iDate);

        return java.lang.Math.sqrt (dblImpliedVol * dblImpliedVol + 2. * dblImpliedVol * (iDate -
            epoch().julian()) / 365.25 * _spanImpliedVolatility.calcResponseValueDerivative (iDate, 1));
    }

    @Override public double vol (
        final int iDate)
        throws java.lang.Exception
    {
        return node (iDate);
    }

    @Override public double nodeDerivative (
        final int iDate,
        final int iOrder)
        throws java.lang.Exception
    {
        if (!org.drip.numerical.common.NumberUtil.IsValid (iDate))
            throw new java.lang.Exception
                ("BasisSplineDeterministicVolatility::nodeDerivative => Invalid Inputs");

        org.drip.function.definition.R1ToR1 au = new org.drip.function.definition.R1ToR1
            (null) {
            @Override public double evaluate (
                double dblX)
                throws java.lang.Exception
            {
                return node ((int) dblX);
            }
        };

        return au.derivative (iDate, iOrder);
    }
}