DeterministicCollateralChoiceDiscountCurve.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
* Copyright (C) 2013 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>DeterministicCollateralChoiceDiscountCurve</i> implements the Dynamically Switchable Collateral Choice
* Discount Curve among the choice of provided "deterministic" collateral curves.
*
* <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 DeterministicCollateralChoiceDiscountCurve extends org.drip.state.discount.MergedDiscountForwardCurve {
private int _iDiscreteCollateralizationIncrement = -1;
private org.drip.state.discount.MergedDiscountForwardCurve _dcDomesticCollateralized = null;
private org.drip.state.curve.ForeignCollateralizedDiscountCurve[] _aFCDC = null;
/**
* DeterministicCollateralChoiceDiscountCurve constructor
*
* @param dcDomesticCollateralized The Domestic Collateralized Curve
* @param aFCDC Array of The Foreign Collateralized Curves
* @param iDiscreteCollateralizationIncrement The Discrete Collateralization Increment
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public DeterministicCollateralChoiceDiscountCurve (
final org.drip.state.discount.MergedDiscountForwardCurve dcDomesticCollateralized,
final org.drip.state.curve.ForeignCollateralizedDiscountCurve[] aFCDC,
final int iDiscreteCollateralizationIncrement)
throws java.lang.Exception
{
super (dcDomesticCollateralized.epoch().julian(), dcDomesticCollateralized.currency(), null);
if (0 >= (_iDiscreteCollateralizationIncrement = iDiscreteCollateralizationIncrement))
throw new java.lang.Exception
("DeterministicCollateralChoiceDiscountCurve ctr: Invalid Collateralization Increment!");
_aFCDC = aFCDC;
_dcDomesticCollateralized = dcDomesticCollateralized;
}
@Override public double df (
final int iDate)
throws java.lang.Exception
{
if (null == _aFCDC) return _dcDomesticCollateralized.df (iDate);
int iNumCollateralizer = _aFCDC.length;
if (0 == iNumCollateralizer) return _dcDomesticCollateralized.df (iDate);
if (iDate <= _iEpochDate) return 1.;
double dblDF = 1.;
int iWorkoutDate = _iEpochDate;
while (java.lang.Math.abs (iDate - iWorkoutDate) > _iDiscreteCollateralizationIncrement) {
int iWorkoutEndDate = iWorkoutDate + _iDiscreteCollateralizationIncrement;
double dblDFIncrement = _dcDomesticCollateralized.df (iWorkoutEndDate) /
_dcDomesticCollateralized.df (iWorkoutDate);
for (int i = 0; i < iNumCollateralizer; ++i) {
double dblCollateralizerDFIncrement = _aFCDC[i].df (iWorkoutEndDate) / _aFCDC[i].df
(iWorkoutDate);
if (dblCollateralizerDFIncrement < dblDFIncrement)
dblDFIncrement = dblCollateralizerDFIncrement;
}
dblDF *= dblDFIncrement;
iWorkoutDate = iWorkoutEndDate;
}
if (iDate > iWorkoutDate) {
double dblDFIncrement = _dcDomesticCollateralized.df (iDate) / _dcDomesticCollateralized.df
(iWorkoutDate);
for (int i = 0; i < iNumCollateralizer; ++i) {
double dblCollateralizerDFIncrement = _aFCDC[i].df (iDate) / _aFCDC[i].df (iWorkoutDate);
if (dblCollateralizerDFIncrement < dblDFIncrement)
dblDFIncrement = dblCollateralizerDFIncrement;
}
dblDF *= dblDFIncrement;
}
return dblDF;
}
@Override public double forward (
final int iDate1,
final int iDate2)
throws java.lang.Exception
{
if (iDate1 < _iEpochDate || iDate2 < _iEpochDate) return 0.;
return 365.25 / (iDate2 - iDate1) * java.lang.Math.log (df (iDate1) / df (iDate2));
}
@Override public double zero (
final int iDate)
throws java.lang.Exception
{
if (iDate < _iEpochDate) return 0.;
return -365.25 / (iDate - _iEpochDate) * java.lang.Math.log (df (iDate));
}
@Override public org.drip.state.forward.ForwardRateEstimator forwardRateEstimator (
final int iDate,
final org.drip.state.identifier.ForwardLabel fri)
{
return null;
}
@Override public java.lang.String latentStateQuantificationMetric()
{
return null;
}
@Override public DiscountFactorDiscountCurve parallelShiftManifestMeasure (
final java.lang.String strManifestMeasure,
final double dblShift)
{
return null;
}
@Override public DiscountFactorDiscountCurve shiftManifestMeasure (
final int iSpanIndex,
final java.lang.String strManifestMeasure,
final double dblShift)
{
return null;
}
@Override public org.drip.state.discount.MergedDiscountForwardCurve customTweakManifestMeasure (
final java.lang.String strManifestMeasure,
final org.drip.param.definition.ManifestMeasureTweak rvtp)
{
return null;
}
@Override public DiscountFactorDiscountCurve parallelShiftQuantificationMetric (
final double dblShift)
{
return null;
}
@Override public org.drip.analytics.definition.Curve customTweakQuantificationMetric (
final org.drip.param.definition.ManifestMeasureTweak rvtp)
{
return null;
}
@Override public org.drip.numerical.differentiation.WengertJacobian jackDDFDManifestMeasure (
final int iDate,
final java.lang.String strManifestMeasure)
{
return null;
}
@Override public boolean setCCIS (
final org.drip.analytics.input.CurveConstructionInputSet ccis)
{
return false;
}
@Override public org.drip.product.definition.CalibratableComponent[] calibComp()
{
return null;
}
@Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> manifestMeasure (
final java.lang.String strInstr)
{
return null;
}
}