ZeroRateDiscountCurve.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>ZeroRateDiscountCurve</i> manages the Discounting Latent State, using the Zero Rate as the State
  85.  * Response Representation. It exports the following functionality:
  86.  *
  87.  *  <br><br>
  88.  *  <ul>
  89.  *      <li>
  90.  *          Compute the discount factor, forward rate, or the zero rate from the Zero Rate Latent State
  91.  *      </li>
  92.  *      <li>
  93.  *          Create a ForwardRateEstimator instance for the given Index
  94.  *      </li>
  95.  *      <li>
  96.  *          Retrieve Array of the Calibration Components
  97.  *      </li>
  98.  *      <li>
  99.  *          Retrieve the Curve Construction Input Set
  100.  *      </li>
  101.  *      <li>
  102.  *          Compute the Jacobian of the Discount Factor Latent State to the input Quote
  103.  *      </li>
  104.  *      <li>
  105.  *          Synthesize scenario Latent State by parallel shifting/custom tweaking the quantification metric
  106.  *      </li>
  107.  *      <li>
  108.  *          Synthesize scenario Latent State by parallel/custom shifting/custom tweaking the manifest measure
  109.  *      </li>
  110.  *      <li>
  111.  *          Serialize into and de-serialize out of byte array
  112.  *      </li>
  113.  *  </ul>
  114.  *
  115.  *  <br><br>
  116.  *  <ul>
  117.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  118.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  119.  *      <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>
  120.  *      <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>
  121.  *  </ul>
  122.  * <br><br>
  123.  *
  124.  * @author Lakshmi Krishnamurthy
  125.  */

  127. public class ZeroRateDiscountCurve extends org.drip.state.discount.MergedDiscountForwardCurve {
  128.     private org.drip.spline.grid.Span _span = null;
  129.     private double _dblRightFlatForwardRate = java.lang.Double.NaN;
  130.     private org.drip.analytics.input.CurveConstructionInputSet _ccis = null;

  132.     private ZeroRateDiscountCurve shiftManifestMeasure (
  133.         final double[] adblShiftedManifestMeasure)
  134.     {
  135.         return null;
  136.     }

  138.     /**
  139.      * ZeroRateDiscountCurve constructor
  140.      * 
  141.      * @param strCurrency Currency
  142.      * @param span The Span Instance
  143.      * 
  144.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  145.      */

  147.     public ZeroRateDiscountCurve (
  148.         final java.lang.String strCurrency,
  149.         final org.drip.spline.grid.Span span)
  150.         throws java.lang.Exception
  151.     {
  152.         super ((int) span.left(), strCurrency, null);

  154.         _dblRightFlatForwardRate = (_span = span).calcResponseValue (_span.right());
  155.     }

  157.     @Override public double df (
  158.         final int iDate)
  159.         throws java.lang.Exception
  160.     {
  161.         int iStartDate = epoch().julian();

  163.         if (iDate <= iStartDate) return 1.;

  165.         return (java.lang.Math.exp (-1. * zero (iDate) * (iDate - iStartDate) / 365.25)) * turnAdjust
  166.             (iStartDate, iDate);
  167.     }

  169.     public double forward (
  170.         final int iDate1,
  171.         final int iDate2)
  172.         throws java.lang.Exception
  173.     {
  174.         int iStartDate = epoch().julian();

  176.         if (iDate1 < iStartDate || iDate2 < iStartDate) return 0.;

  178.         return 365.25 / (iDate2 - iDate1) * java.lang.Math.log (df (iDate1) / df (iDate2));
  179.     }

  181.     @Override public double zero (
  182.         final int iDate)
  183.         throws java.lang.Exception
  184.     {
  185.         if (iDate <= _span.left()) return 1.;

  187.         return iDate <= _span.right() ? _span.calcResponseValue (iDate) : _dblRightFlatForwardRate;
  188.     }

  190.     @Override public org.drip.state.forward.ForwardRateEstimator forwardRateEstimator (
  191.         final int iDate,
  192.         final org.drip.state.identifier.ForwardLabel fri)
  193.     {
  194.         return null;
  195.     }

  197.     @Override public java.lang.String latentStateQuantificationMetric()
  198.     {
  199.         return org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_ZERO_RATE;
  200.     }

  202.     @Override public ZeroRateDiscountCurve parallelShiftManifestMeasure (
  203.         final java.lang.String strManifestMeasure,
  204.         final double dblShift)
  205.     {
  206.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblShift)) return null;

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

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

  212.         int iNumComp = aCC.length;
  213.         double[] adblShiftedManifestMeasure = new double[iNumComp];

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

  218.         return shiftManifestMeasure (adblShiftedManifestMeasure);
  219.     }

  221.     @Override public ZeroRateDiscountCurve shiftManifestMeasure (
  222.         final int iSpanIndex,
  223.         final java.lang.String strManifestMeasure,
  224.         final double dblShift)
  225.     {
  226.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblShift)) return null;

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

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

  232.         int iNumComp = aCC.length;
  233.         double[] adblShiftedManifestMeasure = new double[iNumComp];

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

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

  240.         return shiftManifestMeasure (adblShiftedManifestMeasure);
  241.     }

  243.     @Override public org.drip.state.discount.MergedDiscountForwardCurve customTweakManifestMeasure (
  244.         final java.lang.String strManifestMeasure,
  245.         final org.drip.param.definition.ManifestMeasureTweak rvtp)
  246.     {
  247.         if (null == rvtp) return null;

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

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

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

  256.         if (null == mapQuote || 0 == mapQuote.size()) return null;

  258.         int iNumComp = aCC.length;
  259.         double[] adblQuote = new double[iNumComp];

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

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

  267.         return shiftManifestMeasure (adblShiftedManifestMeasure);
  268.     }

  270.     @Override public ZeroRateDiscountCurve parallelShiftQuantificationMetric (
  271.         final double dblShift)
  272.     {
  273.         return null;
  274.     }

  276.     @Override public org.drip.analytics.definition.Curve customTweakQuantificationMetric (
  277.         final org.drip.param.definition.ManifestMeasureTweak rvtp)
  278.     {
  279.         return null;
  280.     }

  282.     @Override public org.drip.numerical.differentiation.WengertJacobian jackDDFDManifestMeasure (
  283.         final int iDate,
  284.         final java.lang.String strManifestMeasure)
  285.     {
  286.         return null;
  287.     }

  289.     @Override public org.drip.product.definition.CalibratableComponent[] calibComp()
  290.     {
  291.         return null == _ccis ? null : _ccis.components();
  292.     }

  294.     @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> manifestMeasure (
  295.         final java.lang.String strInstrumentCode)
  296.     {
  297.         return null;
  298.     }
  299. }
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