DiscountFactorDiscountCurve.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>DiscountFactorDiscountCurve</i> manages the Discounting Latent State, using the Discount Factor as the
  85.  * State Response Representation. It exports the following functionality:
  86.  *  <ul>
  87.  *      <li>
  88.  *          Compute the discount factor, forward rate, or the zero rate from the Discount Factor Latent State
  89.  *      </li>
  90.  *      <li>
  91.  *          Create a ForwardRateEstimator instance for the given Index
  92.  *      </li>
  93.  *      <li>
  94.  *          Retrieve Array of the Calibration Components
  95.  *      </li>
  96.  *      <li>
  97.  *          Retrieve the Curve Construction Input Set
  98.  *      </li>
  99.  *      <li>
  100.  *          Compute the Jacobian of the Discount Factor Latent State to the input Quote
  101.  *      </li>
  102.  *      <li>
  103.  *          Synthesize scenario Latent State by parallel shifting/custom tweaking the quantification metric
  104.  *      </li>
  105.  *      <li>
  106.  *          Synthesize scenario Latent State by parallel/custom shifting/custom tweaking the manifest measure
  107.  *      </li>
  108.  *      <li>
  109.  *          Serialize into and de-serialize out of byte array
  110.  *      </li>
  111.  *  </ul>
  112.  *
  113.  *  <br><br>
  114.  *  <ul>
  115.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  116.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  117.  *      <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>
  118.  *      <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>
  119.  *  </ul>
  120.  * <br><br>
  121.  *
  122.  * @author Lakshmi Krishnamurthy
  123.  */

  125. public class DiscountFactorDiscountCurve extends org.drip.state.discount.MergedDiscountForwardCurve {
  126.     private org.drip.spline.grid.Span _span = null;
  127.     private double _dblRightFlatForwardRate = java.lang.Double.NaN;

  129.     private DiscountFactorDiscountCurve shiftManifestMeasure (
  130.         final double[] adblShiftedManifestMeasure)
  131.     {
  132.         return null;
  133.     }

  135.     /**
  136.      * DiscountFactorDiscountCurve constructor
  137.      * 
  138.      * @param strCurrency Currency
  139.      * @param span The Span Instance
  140.      * 
  141.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  142.      */

  144.     public DiscountFactorDiscountCurve (
  145.         final java.lang.String strCurrency,
  146.         final org.drip.spline.grid.Span span)
  147.         throws java.lang.Exception
  148.     {
  149.         super ((int) span.left(), strCurrency, null);

  151.         _dblRightFlatForwardRate = -365.25 * java.lang.Math.log ((_span = span).calcResponseValue
  152.             (_span.right())) / (_span.right() - _span.left());
  153.     }

  155.     @Override public double df (
  156.         final int iDate)
  157.         throws java.lang.Exception
  158.     {
  159.         int iEpochDate = epoch().julian();

  161.         if (iDate <= iEpochDate) return 1.;

  163.         return (iDate <= _span.right() ? _span.calcResponseValue (iDate) : java.lang.Math.exp (-1. *
  164.             _dblRightFlatForwardRate * (iDate - iEpochDate) / 365.25)) * turnAdjust (iEpochDate, iDate);
  165.     }

  167.     @Override public double forward (
  168.         final int iDate1,
  169.         final int iDate2)
  170.         throws java.lang.Exception
  171.     {
  172.         int iEpochDate = epoch().julian();

  174.         if (iDate1 < iEpochDate || iDate2 < iEpochDate) return 0.;

  176.         return 365.25 / (iDate2 - iDate1) * java.lang.Math.log (df (iDate1) / df (iDate2));
  177.     }

  179.     @Override public double zero (
  180.         final int iDate)
  181.         throws java.lang.Exception
  182.     {
  183.         int iEpochDate = epoch().julian();

  185.         if (iDate < iEpochDate) return 0.;

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

  190.     @Override public org.drip.state.forward.ForwardRateEstimator forwardRateEstimator (
  191.         final int iDate,
  192.         final org.drip.state.identifier.ForwardLabel fri)
  193.     {
  194.         if (null == _span || !_span.isMergeState (iDate, fri)) return null;

  196.         return new org.drip.state.forward.ForwardRateEstimator() {
  197.             @Override public org.drip.state.identifier.ForwardLabel index()
  198.             {
  199.                 return fri;
  200.             }

  202.             @Override public java.lang.String tenor()
  203.             {
  204.                 return fri.tenor();
  205.             }

  207.             @Override public double forward (
  208.                 final org.drip.analytics.date.JulianDate dt)
  209.                 throws java.lang.Exception
  210.             {
  211.                 if (null == dt)
  212.                     throw new java.lang.Exception
  213.                         ("DiscountFactorDiscountCurve::ForwardEstimator::forward => Invalid Inputs!");

  215.                 java.lang.String strTenor = fri.tenor();

  217.                 return libor (dt.subtractTenor (strTenor).julian(), strTenor);
  218.             }

  220.             @Override public double forward (
  221.                 final int iDate)
  222.                 throws java.lang.Exception
  223.             {
  224.                 return forward (new org.drip.analytics.date.JulianDate (iDate));
  225.             }

  227.             @Override public double forward (
  228.                 final java.lang.String strTenor)
  229.                 throws java.lang.Exception
  230.             {
  231.                 if (null == strTenor || strTenor.isEmpty())
  232.                     throw new java.lang.Exception
  233.                         ("DiscountFactorDiscountCurve::ForwardEstimator::forward => Invalid Inputs!");

  235.                 return forward (epoch().addTenor (strTenor));
  236.             }
  237.         };
  238.     }

  240.     @Override public java.lang.String latentStateQuantificationMetric()
  241.     {
  242.         return org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_DISCOUNT_FACTOR;
  243.     }

  245.     @Override public DiscountFactorDiscountCurve parallelShiftManifestMeasure (
  246.         final java.lang.String strManifestMeasure,
  247.         final double dblShift)
  248.     {
  249.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblShift)) return null;

  251.         org.drip.product.definition.CalibratableComponent[] aCC = calibComp();

  253.         if (null == aCC) return null;

  255.         int iNumComp = aCC.length;
  256.         double[] adblShiftedManifestMeasure = new double[iNumComp];

  258.         for (int i = 0; i < iNumComp; ++i)
  259.             adblShiftedManifestMeasure[i] += dblShift;

  261.         return shiftManifestMeasure (adblShiftedManifestMeasure);
  262.     }

  264.     @Override public DiscountFactorDiscountCurve shiftManifestMeasure (
  265.         final int iSpanIndex,
  266.         final java.lang.String strManifestMeasure,
  267.         final double dblShift)
  268.     {
  269.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblShift)) return null;

  271.         org.drip.product.definition.CalibratableComponent[] aCC = calibComp();

  273.         if (null == aCC) return null;

  275.         int iNumComp = aCC.length;
  276.         double[] adblShiftedManifestMeasure = new double[iNumComp];

  278.         if (iSpanIndex >= iNumComp) return null;

  280.         for (int i = 0; i < iNumComp; ++i)
  281.             adblShiftedManifestMeasure[i] += (i == iSpanIndex ? dblShift : 0.);

  283.         return shiftManifestMeasure (adblShiftedManifestMeasure);
  284.     }

  286.     @Override public org.drip.state.discount.MergedDiscountForwardCurve customTweakManifestMeasure (
  287.         final java.lang.String strManifestMeasure,
  288.         final org.drip.param.definition.ManifestMeasureTweak rvtp)
  289.     {
  290.         if (null == rvtp) return null;

  292.         org.drip.product.definition.CalibratableComponent[] aCC = calibComp();

  294.         if (null == aCC) return null;

  296.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
  297.             mapQuote = _ccis.quoteMap();

  299.         int iNumComp = aCC.length;
  300.         double[] adblQuote = new double[iNumComp];

  302.         for (int i = 0; i < iNumComp; ++i)
  303.             adblQuote[i] = mapQuote.get (aCC[i].primaryCode()).get (strManifestMeasure);

  305.         double[] adblShiftedManifestMeasure = org.drip.analytics.support.Helper.TweakManifestMeasure
  306.             (adblQuote, rvtp);

  308.         return shiftManifestMeasure (adblShiftedManifestMeasure);
  309.     }

  311.     @Override public DiscountFactorDiscountCurve parallelShiftQuantificationMetric (
  312.         final double dblShift)
  313.     {
  314.         return null;
  315.     }

  317.     @Override public org.drip.analytics.definition.Curve customTweakQuantificationMetric (
  318.         final org.drip.param.definition.ManifestMeasureTweak rvtp)
  319.     {
  320.         return null;
  321.     }

  323.     @Override public org.drip.numerical.differentiation.WengertJacobian jackDDFDManifestMeasure (
  324.         final int iDate,
  325.         final java.lang.String strManifestMeasure)
  326.     {
  327.         return null == _span ? null : _span.jackDResponseDManifestMeasure (strManifestMeasure, iDate, 1);
  328.     }

  330.     @Override public org.drip.product.definition.CalibratableComponent[] calibComp()
  331.     {
  332.         return null == _ccis ? null : _ccis.components();
  333.     }

  335.     @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> manifestMeasure (
  336.         final java.lang.String strInstrumentCode)
  337.     {
  338.         if (null == _ccis) return null;

  340.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
  341.             mapQuote = _ccis.quoteMap();

  343.         if (null == mapQuote || !mapQuote.containsKey (strInstrumentCode)) return null;

  345.         return mapQuote.get (strInstrumentCode);
  346.     }
  347. }
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