DeterministicCollateralChoiceDiscountCurve.java

  1. package org.drip.state.curve;

  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.  * Copyright (C) 2013 Lakshmi Krishnamurthy
  16.  * 
  17.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  18.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  19.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  20.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  21.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  22.  *      and computational support.
  23.  *  
  24.  *      https://lakshmidrip.github.io/DROP/
  25.  *  
  26.  *  DROP is composed of three modules:
  27.  *  
  28.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  29.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  30.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  31.  * 
  32.  *  DROP Product Core implements libraries for the following:
  33.  *  - Fixed Income Analytics
  34.  *  - Loan Analytics
  35.  *  - Transaction Cost Analytics
  36.  * 
  37.  *  DROP Portfolio Core implements libraries for the following:
  38.  *  - Asset Allocation Analytics
  39.  *  - Asset Liability Management Analytics
  40.  *  - Capital Estimation Analytics
  41.  *  - Exposure Analytics
  42.  *  - Margin Analytics
  43.  *  - XVA Analytics
  44.  * 
  45.  *  DROP Computational Core implements libraries for the following:
  46.  *  - Algorithm Support
  47.  *  - Computation Support
  48.  *  - Function Analysis
  49.  *  - Model Validation
  50.  *  - Numerical Analysis
  51.  *  - Numerical Optimizer
  52.  *  - Spline Builder
  53.  *  - Statistical Learning
  54.  * 
  55.  *  Documentation for DROP is Spread Over:
  56.  * 
  57.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  58.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  59.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  60.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  61.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  62.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  63.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  64.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  65.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  66.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  67.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  68.  * 
  69.  *  Licensed under the Apache License, Version 2.0 (the "License");
  70.  *      you may not use this file except in compliance with the License.
  71.  *   
  72.  *  You may obtain a copy of the License at
  73.  *      http://www.apache.org/licenses/LICENSE-2.0
  74.  *  
  75.  *  Unless required by applicable law or agreed to in writing, software
  76.  *      distributed under the License is distributed on an "AS IS" BASIS,
  77.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  78.  *  
  79.  *  See the License for the specific language governing permissions and
  80.  *      limitations under the License.
  81.  */

  83. /**
  84.  * <i>DeterministicCollateralChoiceDiscountCurve</i> implements the Dynamically Switchable Collateral Choice
  85.  * Discount Curve among the choice of provided "deterministic" collateral curves.
  86.  *
  87.  *  <br><br>
  88.  *  <ul>
  89.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  90.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  91.  *      <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>
  92.  *      <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>
  93.  *  </ul>
  94.  * <br><br>
  95.  *
  96.  * @author Lakshmi Krishnamurthy
  97.  */

  99. public class DeterministicCollateralChoiceDiscountCurve extends org.drip.state.discount.MergedDiscountForwardCurve {
  100.     private int _iDiscreteCollateralizationIncrement = -1;
  101.     private org.drip.state.discount.MergedDiscountForwardCurve _dcDomesticCollateralized = null;
  102.     private org.drip.state.curve.ForeignCollateralizedDiscountCurve[] _aFCDC = null;

  104.     /**
  105.      * DeterministicCollateralChoiceDiscountCurve constructor
  106.      * 
  107.      * @param dcDomesticCollateralized The Domestic Collateralized Curve
  108.      * @param aFCDC Array of The Foreign Collateralized Curves
  109.      * @param iDiscreteCollateralizationIncrement The Discrete Collateralization Increment
  110.      * 
  111.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  112.      */

  114.     public DeterministicCollateralChoiceDiscountCurve (
  115.         final org.drip.state.discount.MergedDiscountForwardCurve dcDomesticCollateralized,
  116.         final org.drip.state.curve.ForeignCollateralizedDiscountCurve[] aFCDC,
  117.         final int iDiscreteCollateralizationIncrement)
  118.         throws java.lang.Exception
  119.     {
  120.         super (dcDomesticCollateralized.epoch().julian(), dcDomesticCollateralized.currency(), null);

  122.         if (0 >= (_iDiscreteCollateralizationIncrement = iDiscreteCollateralizationIncrement))
  123.             throw new java.lang.Exception
  124.                 ("DeterministicCollateralChoiceDiscountCurve ctr: Invalid Collateralization Increment!");

  126.         _aFCDC = aFCDC;
  127.         _dcDomesticCollateralized = dcDomesticCollateralized;
  128.     }

  130.     @Override public double df (
  131.         final int iDate)
  132.         throws java.lang.Exception
  133.     {
  134.         if (null == _aFCDC) return _dcDomesticCollateralized.df (iDate);

  136.         int iNumCollateralizer = _aFCDC.length;

  138.         if (0 == iNumCollateralizer) return _dcDomesticCollateralized.df (iDate);

  140.         if (iDate <= _iEpochDate) return 1.;

  142.         double dblDF = 1.;
  143.         int iWorkoutDate = _iEpochDate;

  145.         while (java.lang.Math.abs (iDate - iWorkoutDate) > _iDiscreteCollateralizationIncrement) {
  146.             int iWorkoutEndDate = iWorkoutDate + _iDiscreteCollateralizationIncrement;

  148.             double dblDFIncrement = _dcDomesticCollateralized.df (iWorkoutEndDate) /
  149.                 _dcDomesticCollateralized.df (iWorkoutDate);

  151.             for (int i = 0; i < iNumCollateralizer; ++i) {
  152.                 double dblCollateralizerDFIncrement = _aFCDC[i].df (iWorkoutEndDate) / _aFCDC[i].df
  153.                     (iWorkoutDate);

  155.                 if (dblCollateralizerDFIncrement < dblDFIncrement)
  156.                     dblDFIncrement = dblCollateralizerDFIncrement;
  157.             }

  159.             dblDF *= dblDFIncrement;
  160.             iWorkoutDate = iWorkoutEndDate;
  161.         }

  163.         if (iDate > iWorkoutDate) {
  164.             double dblDFIncrement = _dcDomesticCollateralized.df (iDate) / _dcDomesticCollateralized.df
  165.                 (iWorkoutDate);

  167.             for (int i = 0; i < iNumCollateralizer; ++i) {
  168.                 double dblCollateralizerDFIncrement = _aFCDC[i].df (iDate) / _aFCDC[i].df (iWorkoutDate);

  170.                 if (dblCollateralizerDFIncrement < dblDFIncrement)
  171.                     dblDFIncrement = dblCollateralizerDFIncrement;
  172.             }

  174.             dblDF *= dblDFIncrement;
  175.         }

  177.         return dblDF;
  178.     }

  180.     @Override public double forward (
  181.         final int iDate1,
  182.         final int iDate2)
  183.         throws java.lang.Exception
  184.     {
  185.         if (iDate1 < _iEpochDate || iDate2 < _iEpochDate) return 0.;

  187.         return 365.25 / (iDate2 - iDate1) * java.lang.Math.log (df (iDate1) / df (iDate2));
  188.     }

  190.     @Override public double zero (
  191.         final int iDate)
  192.         throws java.lang.Exception
  193.     {
  194.         if (iDate < _iEpochDate) return 0.;

  196.         return -365.25 / (iDate - _iEpochDate) * java.lang.Math.log (df (iDate));
  197.     }

  199.     @Override public org.drip.state.forward.ForwardRateEstimator forwardRateEstimator (
  200.         final int iDate,
  201.         final org.drip.state.identifier.ForwardLabel fri)
  202.     {
  203.         return null;
  204.     }

  206.     @Override public java.lang.String latentStateQuantificationMetric()
  207.     {
  208.         return null;
  209.     }

  211.     @Override public DiscountFactorDiscountCurve parallelShiftManifestMeasure (
  212.         final java.lang.String strManifestMeasure,
  213.         final double dblShift)
  214.     {
  215.         return null;
  216.     }

  218.     @Override public DiscountFactorDiscountCurve shiftManifestMeasure (
  219.         final int iSpanIndex,
  220.         final java.lang.String strManifestMeasure,
  221.         final double dblShift)
  222.     {
  223.         return null;
  224.     }

  226.     @Override public org.drip.state.discount.MergedDiscountForwardCurve customTweakManifestMeasure (
  227.         final java.lang.String strManifestMeasure,
  228.         final org.drip.param.definition.ManifestMeasureTweak rvtp)
  229.     {
  230.         return null;
  231.     }

  233.     @Override public DiscountFactorDiscountCurve parallelShiftQuantificationMetric (
  234.         final double dblShift)
  235.     {
  236.         return null;
  237.     }

  239.     @Override public org.drip.analytics.definition.Curve customTweakQuantificationMetric (
  240.         final org.drip.param.definition.ManifestMeasureTweak rvtp)
  241.     {
  242.         return null;
  243.     }

  245.     @Override public org.drip.numerical.differentiation.WengertJacobian jackDDFDManifestMeasure (
  246.         final int iDate,
  247.         final java.lang.String strManifestMeasure)
  248.     {
  249.         return null;
  250.     }

  252.     @Override public boolean setCCIS (
  253.         final org.drip.analytics.input.CurveConstructionInputSet ccis)
  254.     {
  255.         return false;
  256.     }

  258.     @Override public org.drip.product.definition.CalibratableComponent[] calibComp()
  259.     {
  260.         return null;
  261.     }

  263.     @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> manifestMeasure (
  264.         final java.lang.String strInstr)
  265.     {
  266.         return null;
  267.     }
  268. }
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