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

  82. /**
  83.  * <i>ForeignCollateralizedDiscountCurve</i> computes the discount factor corresponding to one unit of
  84.  * domestic currency collateralized by a foreign collateral.
  85.  *
  86.  *  <br><br>
  87.  *  <ul>
  88.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  89.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  90.  *      <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>
  91.  *      <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>
  92.  *  </ul>
  93.  * <br><br>
  94.  *
  95.  * @author Lakshmi Krishnamurthy
  96.  */

  98. public class ForeignCollateralizedDiscountCurve extends org.drip.state.discount.ExplicitBootDiscountCurve {
  99.     private java.lang.String _strCurrency = null;
  100.     private org.drip.state.fx.FXCurve _fxForward = null;
  101.     private org.drip.state.volatility.VolatilityCurve _vcFX = null;
  102.     private org.drip.state.discount.MergedDiscountForwardCurve _dcCollateralForeign = null;
  103.     private org.drip.state.volatility.VolatilityCurve _vcCollateralForeign = null;
  104.     private org.drip.function.definition.R1ToR1 _r1r1CollateralForeignFXCorrelation = null;

  106.     /**
  107.      * ForeignCollateralizedDiscountCurve constructor
  108.      * 
  109.      * @param strCurrency The Currency
  110.      * @param dcCollateralForeign The Collateralized Foreign Discount Curve
  111.      * @param fxForward The FX Forward Curve
  112.      * @param vcCollateralForeign The Foreign Collateral Volatility Curve
  113.      * @param vcFX The FX Volatility Curve
  114.      * @param r1r1CollateralForeignFXCorrelation The FX Foreign Collateral Correlation Curve
  115.      * 
  116.      * @throws java.lang.Exception Thrown if the Inputs are invalid
  117.      */

  119.     public ForeignCollateralizedDiscountCurve (
  120.         final java.lang.String strCurrency,
  121.         final org.drip.state.discount.MergedDiscountForwardCurve dcCollateralForeign,
  122.         final org.drip.state.fx.FXCurve fxForward,
  123.         final org.drip.state.volatility.VolatilityCurve vcCollateralForeign,
  124.         final org.drip.state.volatility.VolatilityCurve vcFX,
  125.         final org.drip.function.definition.R1ToR1 r1r1CollateralForeignFXCorrelation)
  126.         throws java.lang.Exception
  127.     {
  128.         super (dcCollateralForeign.epoch().julian(), strCurrency);

  130.         if (null == (_strCurrency = strCurrency) || _strCurrency.isEmpty() || null == (_vcCollateralForeign =
  131.             vcCollateralForeign) || null == (_vcFX = vcFX) || null == (_r1r1CollateralForeignFXCorrelation =
  132.                 r1r1CollateralForeignFXCorrelation) || null == (_dcCollateralForeign = dcCollateralForeign)
  133.                     || null == (_fxForward = fxForward))
  134.             throw new java.lang.Exception ("ForeignCollateralizedDiscountCurve ctr: Invalid Inputs");
  135.     }

  137.     @Override public double df (
  138.         final int iDate)
  139.         throws java.lang.Exception
  140.     {
  141.         return iDate <= _iEpochDate ? 1. : _dcCollateralForeign.df (iDate) * _fxForward.fx (iDate) *
  142.             java.lang.Math.exp (-1. * org.drip.analytics.support.OptionHelper.IntegratedCrossVolQuanto
  143.                 (_vcFX, _vcCollateralForeign, _r1r1CollateralForeignFXCorrelation, _iEpochDate, iDate));
  144.     }

  146.     @Override public double forward (
  147.         final int iDate1,
  148.         final int iDate2)
  149.         throws java.lang.Exception
  150.     {
  151.         if (iDate1 < _iEpochDate || iDate2 < _iEpochDate) return 0.;

  153.         return 365.25 / (iDate2 - iDate1) * java.lang.Math.log (df (iDate1) / df (iDate2));
  154.     }

  156.     @Override public double zero (
  157.         final int iDate)
  158.         throws java.lang.Exception
  159.     {
  160.         if (iDate < _iEpochDate) return 0.;

  162.         return -365.25 / (iDate - _iEpochDate) * java.lang.Math.log (df (iDate));
  163.     }

  165.     @Override public org.drip.state.forward.ForwardRateEstimator forwardRateEstimator (
  166.         final int iDate,
  167.         final org.drip.state.identifier.ForwardLabel fri)
  168.     {
  169.         return null;
  170.     }

  172.     @Override public java.util.Map<java.lang.Integer, java.lang.Double> canonicalTruthness (
  173.         final java.lang.String strLatentQuantificationMetric)
  174.     {
  175.         return null;
  176.     }

  178.     @Override public org.drip.state.nonlinear.FlatForwardDiscountCurve parallelShiftManifestMeasure (
  179.         final java.lang.String strManifestMeasure,
  180.         final double dblShift)
  181.     {
  182.         return null;
  183.     }

  185.     @Override public org.drip.state.nonlinear.FlatForwardDiscountCurve shiftManifestMeasure (
  186.         final int iSpanIndex,
  187.         final java.lang.String strManifestMeasure,
  188.         final double dblShift)
  189.     {
  190.         return null;
  191.     }

  193.     @Override public org.drip.state.discount.ExplicitBootDiscountCurve customTweakManifestMeasure (
  194.         final java.lang.String strManifestMeasure,
  195.         final org.drip.param.definition.ManifestMeasureTweak rvtp)
  196.     {
  197.         return null;
  198.     }

  200.     @Override public org.drip.state.nonlinear.FlatForwardDiscountCurve parallelShiftQuantificationMetric (
  201.         final double dblShift)
  202.     {
  203.         return null;
  204.     }

  206.     @Override public org.drip.analytics.definition.Curve customTweakQuantificationMetric (
  207.         final org.drip.param.definition.ManifestMeasureTweak rvtp)
  208.     {
  209.         return null;
  210.     }

  212.     @Override public org.drip.state.nonlinear.FlatForwardDiscountCurve createBasisRateShiftedCurve (
  213.         final int[] aiDate,
  214.         final double[] adblBasis)
  215.     {
  216.         return null;
  217.     }

  219.     @Override public java.lang.String latentStateQuantificationMetric()
  220.     {
  221.         return org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_ZERO_RATE;
  222.     }

  224.     @Override public org.drip.numerical.differentiation.WengertJacobian jackDDFDManifestMeasure (
  225.         final int iDate,
  226.         final java.lang.String strManifestMeasure)
  227.     {
  228.         return null;
  229.     }

  231.     @Override public boolean setNodeValue (
  232.         final int iNodeIndex,
  233.         final double dblValue)
  234.     {
  235.         return true;
  236.     }

  238.     @Override public boolean bumpNodeValue (
  239.         final int iNodeIndex,
  240.         final double dblValue)
  241.     {
  242.         return true;
  243.     }

  245.     @Override public boolean setFlatValue (
  246.         final double dblValue)
  247.     {
  248.         return true;
  249.     }
  250. }
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