ZeroRateDiscountCurve.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>ZeroRateDiscountCurve</i> manages the Discounting Latent State, using the Zero Rate as the State
* Response Representation. It exports the following functionality:
*
* <br><br>
* <ul>
* <li>
* Compute the discount factor, forward rate, or the zero rate from the Zero Rate Latent State
* </li>
* <li>
* Create a ForwardRateEstimator instance for the given Index
* </li>
* <li>
* Retrieve Array of the Calibration Components
* </li>
* <li>
* Retrieve the Curve Construction Input Set
* </li>
* <li>
* Compute the Jacobian of the Discount Factor Latent State to the input Quote
* </li>
* <li>
* Synthesize scenario Latent State by parallel shifting/custom tweaking the quantification metric
* </li>
* <li>
* Synthesize scenario Latent State by parallel/custom shifting/custom tweaking the manifest measure
* </li>
* <li>
* Serialize into and de-serialize out of byte array
* </li>
* </ul>
*
* <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 ZeroRateDiscountCurve extends org.drip.state.discount.MergedDiscountForwardCurve {
private org.drip.spline.grid.Span _span = null;
private double _dblRightFlatForwardRate = java.lang.Double.NaN;
private org.drip.analytics.input.CurveConstructionInputSet _ccis = null;
private ZeroRateDiscountCurve shiftManifestMeasure (
final double[] adblShiftedManifestMeasure)
{
return null;
}
/**
* ZeroRateDiscountCurve constructor
*
* @param strCurrency Currency
* @param span The Span Instance
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public ZeroRateDiscountCurve (
final java.lang.String strCurrency,
final org.drip.spline.grid.Span span)
throws java.lang.Exception
{
super ((int) span.left(), strCurrency, null);
_dblRightFlatForwardRate = (_span = span).calcResponseValue (_span.right());
}
@Override public double df (
final int iDate)
throws java.lang.Exception
{
int iStartDate = epoch().julian();
if (iDate <= iStartDate) return 1.;
return (java.lang.Math.exp (-1. * zero (iDate) * (iDate - iStartDate) / 365.25)) * turnAdjust
(iStartDate, iDate);
}
public double forward (
final int iDate1,
final int iDate2)
throws java.lang.Exception
{
int iStartDate = epoch().julian();
if (iDate1 < iStartDate || iDate2 < iStartDate) 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 <= _span.left()) return 1.;
return iDate <= _span.right() ? _span.calcResponseValue (iDate) : _dblRightFlatForwardRate;
}
@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 org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_ZERO_RATE;
}
@Override public ZeroRateDiscountCurve parallelShiftManifestMeasure (
final java.lang.String strManifestMeasure,
final double dblShift)
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblShift)) return null;
org.drip.product.definition.CalibratableComponent[] aCC = calibComp();
if (null == aCC) return null;
int iNumComp = aCC.length;
double[] adblShiftedManifestMeasure = new double[iNumComp];
for (int i = 0; i < iNumComp; ++i)
adblShiftedManifestMeasure[i] += dblShift;
return shiftManifestMeasure (adblShiftedManifestMeasure);
}
@Override public ZeroRateDiscountCurve shiftManifestMeasure (
final int iSpanIndex,
final java.lang.String strManifestMeasure,
final double dblShift)
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblShift)) return null;
org.drip.product.definition.CalibratableComponent[] aCC = calibComp();
if (null == aCC) return null;
int iNumComp = aCC.length;
double[] adblShiftedManifestMeasure = new double[iNumComp];
if (iSpanIndex >= iNumComp) return null;
for (int i = 0; i < iNumComp; ++i)
adblShiftedManifestMeasure[i] += (i == iSpanIndex ? dblShift : 0.);
return shiftManifestMeasure (adblShiftedManifestMeasure);
}
@Override public org.drip.state.discount.MergedDiscountForwardCurve customTweakManifestMeasure (
final java.lang.String strManifestMeasure,
final org.drip.param.definition.ManifestMeasureTweak rvtp)
{
if (null == rvtp) return null;
org.drip.product.definition.CalibratableComponent[] aCC = calibComp();
if (null == aCC) return null;
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
mapQuote = _ccis.quoteMap();
if (null == mapQuote || 0 == mapQuote.size()) return null;
int iNumComp = aCC.length;
double[] adblQuote = new double[iNumComp];
for (int i = 0; i < iNumComp; ++i)
adblQuote[i] = mapQuote.get (aCC[i].primaryCode()).get (strManifestMeasure);
double[] adblShiftedManifestMeasure = org.drip.analytics.support.Helper.TweakManifestMeasure
(adblQuote, rvtp);
return shiftManifestMeasure (adblShiftedManifestMeasure);
}
@Override public ZeroRateDiscountCurve 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 org.drip.product.definition.CalibratableComponent[] calibComp()
{
return null == _ccis ? null : _ccis.components();
}
@Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> manifestMeasure (
final java.lang.String strInstrumentCode)
{
return null;
}
}