BasisSplineGovvieYield.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>BasisSplineGovvieYield</i> manages the Basis Spline Latent State, using the Basis as the State Response
 * Representation, for the Govvie Curve with Yield Quantification Metric.
 *
 *  <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 BasisSplineGovvieYield extends org.drip.state.govvie.GovvieCurve {
    private org.drip.spline.grid.Span _span = null;

    /**
     * BasisSplineGovvieYield Constructor
     * 
     * @param strTreasuryCode Treasury Code
     * @param strCurrency Currency
     * @param span Govvie Curve Span
     * 
     * @throws java.lang.Exception Thrown if the Inputs are Invalid
     */

    public BasisSplineGovvieYield (
        final java.lang.String strTreasuryCode,
        final java.lang.String strCurrency,
        final org.drip.spline.grid.Span span)
        throws java.lang.Exception
    {
        super ((int) span.left(), strTreasuryCode, strCurrency);

        _span = span;
    }

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

        if (iDate <= dblSpanLeft) return _span.calcResponseValue (dblSpanLeft);

        double dblSpanRight = _span.right();

        if (iDate >= dblSpanRight) return _span.calcResponseValue (dblSpanRight);

        return _span.calcResponseValue (iDate);
    }

    @Override public org.drip.numerical.differentiation.WengertJacobian jackDForwardDManifestMeasure (
        final java.lang.String strManifestMeasure,
        final int iDate)
    {
        return _span.jackDResponseDManifestMeasure (strManifestMeasure, iDate, 1);
    }

    /**
     * Construct a Flat Forward Instance of the Curve at the specified Date Nodes
     * 
     * @param aiDate Array of Date Nodes
     * 
     * @return The Flat Forward Instance
     */

    public org.drip.state.nonlinear.FlatForwardDiscountCurve flatForward (
        final int[] aiDate)
    {
        return flatForward (dayCount(), freq(), aiDate);
    }

    /**
     * Construct a Flat Forward Instance of the Curve at the specified Date Node Tenors
     * 
     * @param astrTenor Array of Date Node Tenors
     * 
     * @return The Flat Forward Instance
     */

    public org.drip.state.nonlinear.FlatForwardDiscountCurve flatForward (
        final java.lang.String[] astrTenor)
    {
        if (null == astrTenor) return null;

        int iNumTenor = astrTenor.length;
        int[] aiDate = 0 == iNumTenor ? null : new int[iNumTenor];

        org.drip.analytics.date.JulianDate dtEpoch = epoch();

        for (int i = 0; i < iNumTenor; ++i) {
            try {
                aiDate[i] = dtEpoch.addTenor (astrTenor[i]).julian();
            } catch (java.lang.Exception e) {
                e.printStackTrace();

                return null;
            }
        }

        return flatForward (dayCount(), freq(), aiDate);
    }
}