DiscountCurve.java

  1. package org.drip.state.discount;

  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>DiscountCurve</i> Interface combines the Interfaces of Latent State Curve Representation and Discount
  85.  * Factor Estimator.
  86.  *
  87.  *  <br><br>
  88.  *  <ul>
  89.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  90.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  91.  *      <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>
  92.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/state/discount/README.md">Discount Curve Spline Latent State</a></li>
  93.  *  </ul>
  94.  * <br><br>
  95.  *
  96.  * @author Lakshmi Krishnamurthy
  97.  */

  99. public abstract class DiscountCurve implements org.drip.analytics.definition.Curve,
  100.     org.drip.state.discount.DiscountFactorEstimator {

  102.     /**
  103.      * Construct a Flat Forward Instance of the Curve at the specified Date Nodes
  104.      * 
  105.      * @param strDayCount Forward Curve Day Count
  106.      * @param iFreq Forward Curve Frequency
  107.      * @param aiDate Array of Date Nodes
  108.      * 
  109.      * @return The Flat Forward Instance
  110.      */

  112.     public org.drip.state.nonlinear.FlatForwardDiscountCurve flatForward (
  113.         final java.lang.String strDayCount,
  114.         final int iFreq,
  115.         final int[] aiDate)
  116.     {
  117.         if (null == aiDate) return null;

  119.         int iNumNode = aiDate.length;
  120.         double[] adblForwardRate = 0 == iNumNode ? null : new double [iNumNode];

  122.         if (0 == iNumNode) return null;

  124.         java.lang.String strCurrency = currency();

  126.         org.drip.analytics.date.JulianDate dtStart = epoch();

  128.         org.drip.analytics.daycount.ActActDCParams aap =
  129.             org.drip.analytics.daycount.ActActDCParams.FromFrequency (iFreq);

  131.         try {
  132.             for (int i = 0; i < iNumNode; ++i) {
  133.                 int iStartDate = 0 == i ? dtStart.julian() : aiDate[i - 1];

  135.                 adblForwardRate[i] = ((df (iStartDate) / df (aiDate[i])) - 1.) /
  136.                     org.drip.analytics.daycount.Convention.YearFraction (iStartDate, aiDate[i], strDayCount,
  137.                         false, aap, strCurrency);
  138.             }

  140.             return new org.drip.state.nonlinear.FlatForwardDiscountCurve (dtStart, strCurrency, aiDate,
  141.                 adblForwardRate, true, strDayCount, iFreq);
  142.         } catch (java.lang.Exception e) {
  143.             e.printStackTrace();
  144.         }

  146.         return null;
  147.     }

  149.     /**
  150.      * Construct Flat Native Forward Instance of the Curve at the specified Date Nodes
  151.      * 
  152.      * @param aiDate Array of Date Nodes
  153.      * @param dblBump The Bump Amount
  154.      * 
  155.      * @return The Flat Forward Instance
  156.      */

  158.     public org.drip.state.nonlinear.FlatForwardDiscountCurve flatNativeForward (
  159.         final int[] aiDate,
  160.         final double dblBump)
  161.     {
  162.         if (null == aiDate || !org.drip.numerical.common.NumberUtil.IsValid (dblBump)) return null;

  164.         int iNumNode = aiDate.length;
  165.         double[] adblForwardRate = 0 == iNumNode ? null : new double [iNumNode];

  167.         if (0 == iNumNode) return null;

  169.         java.lang.String strCurrency = currency();

  171.         org.drip.market.otc.FixedFloatSwapConvention ffsc =
  172.             org.drip.market.otc.IBORFixedFloatContainer.ConventionFromJurisdiction (strCurrency);

  174.         if (null == ffsc) return null;

  176.         org.drip.param.period.UnitCouponAccrualSetting ucas =
  177.             ffsc.floatStreamConvention().floaterIndex().ucas();

  179.         org.drip.analytics.date.JulianDate dtStart = epoch();

  181.         int iSpotDate = dtStart.julian();

  183.         int iFreq = ucas.freq();

  185.         java.lang.String strDayCount = ucas.couponDC();

  187.         org.drip.analytics.daycount.ActActDCParams aap =
  188.             org.drip.analytics.daycount.ActActDCParams.FromFrequency (iFreq);

  190.         org.drip.product.definition.CalibratableComponent[] aCalibComp = calibComp();

  192.         int iNumComp = aCalibComp.length;
  193.         double[] adblCompCalibValue = new double[iNumComp];
  194.         java.lang.String[] astrCalibMeasure = new java.lang.String[iNumComp];

  196.         org.drip.param.market.CurveSurfaceQuoteContainer csqcNative =
  197.             org.drip.param.creator.MarketParamsBuilder.Create
  198.                 ((org.drip.state.discount.MergedDiscountForwardCurve) this, null, null, null, null, null,
  199.                     null);

  201.         org.drip.param.valuation.ValuationParams valParams = org.drip.param.valuation.ValuationParams.Spot
  202.             (iSpotDate);

  204.         for (int i = 0; i < iNumComp; ++i)
  205.         {
  206.             astrCalibMeasure[i] = "Rate";

  208.             try {
  209.                 adblCompCalibValue[i] = aCalibComp[i].measureValue (valParams, null, csqcNative, null,
  210.                     astrCalibMeasure[i]);
  211.             } catch (java.lang.Exception e) {
  212.                 e.printStackTrace();

  214.                 return null;
  215.             }
  216.         }

  218.         org.drip.state.discount.MergedDiscountForwardCurve mdfcNonlinear =
  219.             org.drip.state.creator.ScenarioDiscountCurveBuilder.NonlinearBuild (
  220.                 dtStart,
  221.                 strCurrency,
  222.                 aCalibComp,
  223.                 adblCompCalibValue,
  224.                 astrCalibMeasure,
  225.                 null
  226.             );

  228.         try {
  229.             for (int i = 0; i < iNumNode; ++i) {
  230.                 int iStartDate = 0 == i ? iSpotDate : aiDate[i - 1];

  232.                 adblForwardRate[i] = ((mdfcNonlinear.df (iStartDate) / mdfcNonlinear.df (aiDate[i])) - 1.) /
  233.                     org.drip.analytics.daycount.Convention.YearFraction (iStartDate, aiDate[i], strDayCount,
  234.                         false, aap, strCurrency) + dblBump;
  235.             }

  237.             return new org.drip.state.nonlinear.FlatForwardDiscountCurve (dtStart, strCurrency, aiDate,
  238.                 adblForwardRate, true, strDayCount, iFreq);
  239.         } catch (java.lang.Exception e) {
  240.             e.printStackTrace();
  241.         }

  243.         return null;
  244.     }

  246.     /**
  247.      * Construct Flat Native Forward Instance of the Curve at the specified Date Node Tenors
  248.      * 
  249.      * @param astrTenor Array of Date Tenors
  250.      * @param dblBump The Bump Amount
  251.      * 
  252.      * @return The Flat Forward Instance
  253.      */

  255.     public org.drip.state.nonlinear.FlatForwardDiscountCurve flatNativeForward (
  256.         final java.lang.String[] astrTenor,
  257.         final double dblBump)
  258.     {
  259.         if (null == astrTenor || !org.drip.numerical.common.NumberUtil.IsValid (dblBump)) return null;

  261.         int iNumNode = astrTenor.length;
  262.         double[] adblForwardRate = 0 == iNumNode ? null : new double [iNumNode];

  264.         if (0 == iNumNode) return null;

  266.         java.lang.String strCurrency = currency();

  268.         org.drip.market.otc.FixedFloatSwapConvention ffsc =
  269.             org.drip.market.otc.IBORFixedFloatContainer.ConventionFromJurisdiction (strCurrency);

  271.         if (null == ffsc) return null;

  273.         org.drip.param.period.UnitCouponAccrualSetting ucas =
  274.             ffsc.floatStreamConvention().floaterIndex().ucas();

  276.         org.drip.analytics.date.JulianDate dtStart = epoch();

  278.         int iFreq = ucas.freq();

  280.         java.lang.String strDayCount = ucas.couponDC();

  282.         org.drip.analytics.daycount.ActActDCParams aap =
  283.             org.drip.analytics.daycount.ActActDCParams.FromFrequency (iFreq);

  285.         int[] aiDate = new int[iNumNode];

  287.         try {
  288.             for (int i = 0; i < iNumNode; ++i) {
  289.                 org.drip.analytics.date.JulianDate dtTenor = dtStart.addTenor (astrTenor[i]);

  291.                 if (null == dtTenor) return null;

  293.                 aiDate[i] = dtTenor.julian();

  295.                 int iStartDate = 0 == i ? dtStart.julian() : aiDate[i - 1];

  297.                 adblForwardRate[i] = ((df (iStartDate) / df (aiDate[i])) - 1.) /
  298.                     org.drip.analytics.daycount.Convention.YearFraction (iStartDate, aiDate[i], strDayCount,
  299.                         false, aap, strCurrency) + dblBump;
  300.             }

  302.             return new org.drip.state.nonlinear.FlatForwardDiscountCurve (dtStart, strCurrency, aiDate,
  303.                 adblForwardRate, true, strDayCount, iFreq);
  304.         } catch (java.lang.Exception e) {
  305.             e.printStackTrace();
  306.         }

  308.         return null;
  309.     }

  311.     /**
  312.      * Construct Flat Native Forward Instance of the Curve at the specified Date Nodes with
  313.      *  (Exclusive/Inclusive) Bumps applied within the Tenors
  314.      * 
  315.      * @param aiDate Array of Date Nodes
  316.      * @param iBumpNode The Node to be Bumped
  317.      * @param dblBump The Bump Amount
  318.      * 
  319.      * @return The Flat Forward Instance
  320.      */

  322.     public org.drip.state.nonlinear.FlatForwardDiscountCurve flatNativeForwardEI (
  323.         final int[] aiDate,
  324.         final int iBumpNode,
  325.         final double dblBump)
  326.     {
  327.         if (null == aiDate || !org.drip.numerical.common.NumberUtil.IsValid (dblBump)) return null;

  329.         int iNumNode = aiDate.length;
  330.         double[] adblForwardRate = 0 == iNumNode ? null : new double [iNumNode];

  332.         if (0 == iNumNode) return null;

  334.         java.lang.String strCurrency = currency();

  336.         org.drip.market.otc.FixedFloatSwapConvention ffsc =
  337.             org.drip.market.otc.IBORFixedFloatContainer.ConventionFromJurisdiction (strCurrency);

  339.         if (null == ffsc) return null;

  341.         org.drip.param.period.UnitCouponAccrualSetting ucas =
  342.             ffsc.floatStreamConvention().floaterIndex().ucas();

  344.         org.drip.analytics.date.JulianDate dtStart = epoch();

  346.         int iFreq = ucas.freq();

  348.         java.lang.String strDayCount = ucas.couponDC();

  350.         org.drip.analytics.daycount.ActActDCParams aap =
  351.             org.drip.analytics.daycount.ActActDCParams.FromFrequency (iFreq);

  353.         try {
  354.             for (int i = 0; i < iNumNode; ++i) {
  355.                 int iStartDate = 0 == i ? dtStart.julian() : aiDate[i - 1];

  357.                 adblForwardRate[i] = ((df (iStartDate) / df (aiDate[i])) - 1.) /
  358.                     org.drip.analytics.daycount.Convention.YearFraction (iStartDate, aiDate[i], strDayCount,
  359.                         false, aap, strCurrency) + (i == iBumpNode ? dblBump : 0.);
  360.             }

  362.             return new org.drip.state.nonlinear.FlatForwardDiscountCurve (dtStart, strCurrency, aiDate,
  363.                 adblForwardRate, true, strDayCount, iFreq);
  364.         } catch (java.lang.Exception e) {
  365.             e.printStackTrace();
  366.         }

  368.         return null;
  369.     }
  370. }
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