MergedDiscountForwardCurve.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>MergedDiscountForwardCurve</i> is the Stub for the Merged Discount and Forward Curve Functionality. It
  85.  * extends the both the Curve and the DiscountFactorEstimator instances by implementing their functions, and
  86.  * exposing the following:
  87.  *
  88.  *  <br><br>
  89.  *  <ul>
  90.  *      <li>
  91.  *          Forward Rate to a specific date/tenor, and effective rate between a date interval
  92.  *      </li>
  93.  *      <li>
  94.  *          Discount Factor to a specific date/tenor, and effective discount factor between a date interval
  95.  *      </li>
  96.  *      <li>
  97.  *          Zero Rate to a specific date/tenor
  98.  *      </li>
  99.  *      <li>
  100.  *          Value Jacobian for Forward rate, discount factor, and zero rate
  101.  *      </li>
  102.  *      <li>
  103.  *          Cross Jacobian between each of Forward rate, discount factor, and zero rate
  104.  *      </li>
  105.  *      <li>
  106.  *          Quote Jacobian to Forward rate, discount factor, and zero rate
  107.  *      </li>
  108.  *      <li>
  109.  *          QM (DF/Zero/Forward) to Quote Jacobian
  110.  *      </li>
  111.  *      <li>
  112.  *          Latent State Quantification Metric, and the canonical truthness transformations
  113.  *      </li>
  114.  *      <li>
  115.  *          Implied/embedded ForwardRateEstimator
  116.  *      </li>
  117.  *      <li>
  118.  *          Turns set/unset/adjust
  119.  *      </li>
  120.  *  </ul>
  121.  *
  122.  *  <br><br>
  123.  *  <ul>
  124.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  125.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  126.  *      <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>
  127.  *      <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>
  128.  *  </ul>
  129.  * <br><br>
  130.  *
  131.  * @author Lakshmi Krishnamurthy
  132.  */

  134. public abstract class MergedDiscountForwardCurve extends org.drip.state.discount.DiscountCurve {
  135.     private static final int NUM_DF_QUADRATURES = 5;

  137.     protected java.lang.String _strCurrency = "";
  138.     protected int _iEpochDate = java.lang.Integer.MIN_VALUE;
  139.     protected org.drip.state.discount.TurnListDiscountFactor _tldf = null;
  140.     protected org.drip.analytics.input.CurveConstructionInputSet _ccis = null;

  142.     protected MergedDiscountForwardCurve (
  143.         final int iEpochDate,
  144.         final java.lang.String strCurrency,
  145.         final org.drip.state.discount.TurnListDiscountFactor tldf)
  146.         throws java.lang.Exception
  147.     {
  148.         if (null == (_strCurrency = strCurrency) || _strCurrency.isEmpty() ||
  149.             !org.drip.numerical.common.NumberUtil.IsValid (_iEpochDate = iEpochDate))
  150.             throw new java.lang.Exception ("MergedDiscountForwardCurve ctr: Invalid Inputs");

  152.         _tldf = tldf;
  153.     }

  155.     @Override public org.drip.state.identifier.LatentStateLabel label()
  156.     {
  157.         return org.drip.state.identifier.FundingLabel.Standard (_strCurrency);
  158.     }

  160.     @Override public java.lang.String currency()
  161.     {
  162.         return _strCurrency;
  163.     }

  165.     @Override public org.drip.analytics.date.JulianDate epoch()
  166.     {
  167.         try {
  168.             return new org.drip.analytics.date.JulianDate (_iEpochDate);
  169.         } catch (java.lang.Exception e) {
  170.             e.printStackTrace();
  171.         }

  173.         return null;
  174.     }

  176.     /**
  177.      * Set the Discount Curve Turns'
  178.      * 
  179.      * @param tldf Turn List Discount Factor
  180.      * 
  181.      * @return TRUE - Valid Turn List Discount Factor Set
  182.      */

  184.     public boolean setTurns (
  185.         final org.drip.state.discount.TurnListDiscountFactor tldf)
  186.     {
  187.         return null != (_tldf = tldf);
  188.     }

  190.     /**
  191.      * Apply the Turns' DF Adjustment
  192.      * 
  193.      * @param iStartDate Turn Start Date
  194.      * @param iFinishDate Turn Finish Date
  195.      * 
  196.      * @return Turns' DF Adjustment
  197.      * 
  198.      * @throws java.lang.Exception Thrown if the Inputs are invalid
  199.      */

  201.     public double turnAdjust (
  202.         final int iStartDate,
  203.         final int iFinishDate)
  204.         throws java.lang.Exception
  205.     {
  206.         return null == _tldf ? 1. : _tldf.turnAdjust (iStartDate, iFinishDate);
  207.     }

  209.     /**
  210.      * Apply the Turns' DF Adjustment
  211.      * 
  212.      * @param iFinishDate Turn Finish Date
  213.      * 
  214.      * @return Turns' DF Adjustment
  215.      * 
  216.      * @throws java.lang.Exception Thrown if the Inputs are invalid
  217.      */

  219.     protected double turnAdjust (
  220.         final int iFinishDate)
  221.         throws java.lang.Exception
  222.     {
  223.         return turnAdjust (epoch().julian(), iFinishDate);
  224.     }

  226.     /**
  227.      * Construct the Native Forward Curve for the given Tenor from the Discount Curve
  228.      * 
  229.      * @param strTenor The Tenor
  230.      * 
  231.      * @return The Tenor-Native Forward Curve
  232.      */

  234.     public org.drip.state.forward.ForwardCurve nativeForwardCurve (
  235.         final java.lang.String strTenor)
  236.     {
  237.         if (null == strTenor || strTenor.isEmpty()) return null;

  239.         try {
  240.             org.drip.state.forward.ForwardCurve fcNative = new org.drip.state.forward.ForwardCurve
  241.                 (epoch().julian(), org.drip.state.identifier.ForwardLabel.Standard (_strCurrency + "-" +
  242.                     strTenor)) {
  243.                 @Override public double forward (
  244.                     final int iDate)
  245.                     throws java.lang.Exception
  246.                 {
  247.                     return forward (new org.drip.analytics.date.JulianDate (iDate));
  248.                 }

  250.                 @Override public double forward (
  251.                     final org.drip.analytics.date.JulianDate dt)
  252.                     throws java.lang.Exception
  253.                 {
  254.                     if (null == dt)
  255.                         throw new java.lang.Exception
  256.                             ("MergedDiscountForwardCurve::nativeForwardCurve => Invalid Input");

  258.                     return libor (dt.subtractTenor (strTenor).julian(), strTenor);
  259.                 }

  261.                 @Override public double forward (
  262.                     final java.lang.String strTenor)
  263.                     throws java.lang.Exception
  264.                 {
  265.                     if (null == strTenor || strTenor.isEmpty())
  266.                         throw new java.lang.Exception
  267.                             ("MergedDiscountForwardCurve::nativeForwardCurve => Invalid Input");

  269.                     return forward (epoch().addTenor (strTenor));
  270.                 }

  272.                 @Override public org.drip.numerical.differentiation.WengertJacobian jackDForwardDManifestMeasure (
  273.                     final java.lang.String strManifestMeasure,
  274.                     final int iDate)
  275.                 {
  276.                     return null;
  277.                 }
  278.             };

  280.             return fcNative;
  281.         } catch (java.lang.Exception e) {
  282.             e.printStackTrace();
  283.         }

  285.         return null;
  286.     }

  288.     @Override public double df (
  289.         final org.drip.analytics.date.JulianDate dt)
  290.         throws java.lang.Exception
  291.     {
  292.         if (null == dt) throw new java.lang.Exception ("MergedDiscountForwardCurve::df got null for date");

  294.         return df (dt.julian());
  295.     }

  297.     @Override public double df (
  298.         final java.lang.String strTenor)
  299.         throws java.lang.Exception
  300.     {
  301.         if (null == strTenor || strTenor.isEmpty())
  302.             throw new java.lang.Exception ("MergedDiscountForwardCurve::df got bad tenor");

  304.         return df (epoch().addTenor (strTenor));
  305.     }

  307.     @Override public double effectiveDF (
  308.         final int iDate1,
  309.         final int iDate2)
  310.         throws java.lang.Exception
  311.     {
  312.         if (iDate1 == iDate2) return df (iDate1);

  314.         int iNumQuadratures = 0;
  315.         double dblEffectiveDF = 0.;
  316.         int iQuadratureWidth = (iDate2 - iDate1) / NUM_DF_QUADRATURES;

  318.         if (0 == iQuadratureWidth) iQuadratureWidth = 1;

  320.         for (int iDate = iDate1; iDate <= iDate2; iDate += iQuadratureWidth) {
  321.             ++iNumQuadratures;

  323.             dblEffectiveDF += (df (iDate) + df (iDate + iQuadratureWidth));
  324.         }

  326.         return dblEffectiveDF / (2. * iNumQuadratures);
  327.     }

  329.     @Override public double effectiveDF (
  330.         final org.drip.analytics.date.JulianDate dt1,
  331.         final org.drip.analytics.date.JulianDate dt2)
  332.         throws java.lang.Exception
  333.     {
  334.         if (null == dt1 || null == dt2)
  335.             throw new java.lang.Exception ("MergedDiscountForwardCurve::effectiveDF => Got null for date");

  337.         return effectiveDF (dt1.julian(), dt2.julian());
  338.     }

  340.     @Override public double effectiveDF (
  341.         final java.lang.String strTenor1,
  342.         final java.lang.String strTenor2)
  343.         throws java.lang.Exception
  344.     {
  345.         if (null == strTenor1 || strTenor1.isEmpty() || null == strTenor2 || strTenor2.isEmpty())
  346.             throw new java.lang.Exception ("MergedDiscountForwardCurve::effectiveDF => Got bad tenor");

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

  350.         return effectiveDF (dtStart.addTenor (strTenor1), dtStart.addTenor (strTenor2));
  351.     }

  353.     /**
  354.      * Compute the Forward Rate between two Dates
  355.      * 
  356.      * @param iDate1 First Date
  357.      * @param iDate2 Second Date
  358.      * 
  359.      * @return The Forward Rate
  360.      * 
  361.      * @throws java.lang.Exception Thrown if the Forward Rate cannot be calculated
  362.      */

  364.     public abstract double forward (
  365.         final int iDate1,
  366.         final int iDate2)
  367.         throws java.lang.Exception;

  369.     /**
  370.      * Compute the Forward Rate between two Tenors
  371.      * 
  372.      * @param strTenor1 Tenor Start
  373.      * @param strTenor2 Tenor End
  374.      * 
  375.      * @return The Forward Rate
  376.      * 
  377.      * @throws java.lang.Exception Thrown if the Forward Rate cannot be calculated
  378.      */

  380.     public double forward (
  381.         final java.lang.String strTenor1,
  382.         final java.lang.String strTenor2)
  383.         throws java.lang.Exception
  384.     {
  385.         if (null == strTenor1 || strTenor1.isEmpty() || null == strTenor2 || strTenor2.isEmpty())
  386.             throw new java.lang.Exception ("MergedDiscountForwardCurve::forward => Invalid Date");

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

  390.         return forward (dtStart.addTenor (strTenor1).julian(), dtStart.addTenor (strTenor2).julian());
  391.     }

  393.     /**
  394.      * Calculate the implied rate to the given date
  395.      * 
  396.      * @param iDate Date
  397.      * 
  398.      * @return Implied rate
  399.      * 
  400.      * @throws java.lang.Exception Thrown if the discount factor cannot be calculated
  401.      */

  403.     public abstract double zero (
  404.         final int iDate)
  405.         throws java.lang.Exception;

  407.     /**
  408.      * Calculate the implied rate to the given tenor
  409.      * 
  410.      * @param strTenor Tenor
  411.      * 
  412.      * @return Implied rate
  413.      * 
  414.      * @throws java.lang.Exception Thrown if the discount factor cannot be calculated
  415.      */

  417.     public double zero (
  418.         final java.lang.String strTenor)
  419.         throws java.lang.Exception
  420.     {
  421.         if (null == strTenor || strTenor.isEmpty())
  422.             throw new java.lang.Exception ("MergedDiscountForwardCurve::zero => Invalid date");

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

  426.         return forward (dtStart.julian(), dtStart.addTenor (strTenor).julian());
  427.     }

  429.     /**
  430.      * Compute the LIBOR between 2 dates given the Day Count
  431.      * 
  432.      * @param iDate1 First Date
  433.      * @param iDate2 Second Date
  434.      * @param dblDCF Day Count Fraction
  435.      * 
  436.      * @return LIBOR
  437.      * 
  438.      * @throws java.lang.Exception Thrown if the discount factor cannot be calculated
  439.      */

  441.     public double libor (
  442.         final int iDate1,
  443.         final int iDate2,
  444.         final double dblDCF)
  445.         throws java.lang.Exception
  446.     {
  447.         if (iDate1 == iDate2 || !org.drip.numerical.common.NumberUtil.IsValid (dblDCF) || 0. == dblDCF)
  448.             throw new java.lang.Exception ("MergedDiscountForwardCurve::libor => Invalid input dates");

  450.         return ((df (iDate1) / df (iDate2)) - 1.) / dblDCF;
  451.     }

  453.     /**
  454.      * Compute the LIBOR between 2 dates
  455.      * 
  456.      * @param iDate1 First Date
  457.      * @param iDate2 Second Date
  458.      * 
  459.      * @return LIBOR
  460.      * 
  461.      * @throws java.lang.Exception Thrown if the discount factor cannot be calculated
  462.      */

  464.     public double libor (
  465.         final int iDate1,
  466.         final int iDate2)
  467.         throws java.lang.Exception
  468.     {
  469.         if (iDate1 == iDate2)
  470.             throw new java.lang.Exception ("MergedDiscountForwardCurve::libor => Invalid input dates");

  472.         return libor (iDate1, iDate2, org.drip.analytics.daycount.Convention.YearFraction (iDate1, iDate2,
  473.             "Act/360", false, null, ""));
  474.     }

  476.     /**
  477.      * Calculate the LIBOR to the given tenor at the specified date
  478.      * 
  479.      * @param iStartDate Start Date
  480.      * @param strTenor Tenor
  481.      * 
  482.      * @return LIBOR
  483.      * 
  484.      * @throws java.lang.Exception Thrown if LIBOR cannot be calculated
  485.      */

  487.     public double libor (
  488.         final int iStartDate,
  489.         final java.lang.String strTenor)
  490.         throws java.lang.Exception
  491.     {
  492.         if (!org.drip.numerical.common.NumberUtil.IsValid (iStartDate) || null == strTenor || strTenor.isEmpty())
  493.             throw new java.lang.Exception ("MergedDiscountForwardCurve::libor => Invalid Inputs");

  495.         return libor (iStartDate, new org.drip.analytics.date.JulianDate (iStartDate).addTenor
  496.             (strTenor).julian());
  497.     }

  499.     /**
  500.      * Calculate the LIBOR to the given tenor at the specified Julian Date
  501.      * 
  502.      * @param dt Julian Date
  503.      * @param strTenor Tenor
  504.      * 
  505.      * @return LIBOR
  506.      * 
  507.      * @throws java.lang.Exception Thrown if LIBOR cannot be calculated
  508.      */

  510.     public double libor (
  511.         final org.drip.analytics.date.JulianDate dt,
  512.         final java.lang.String strTenor)
  513.         throws java.lang.Exception
  514.     {
  515.         if (null == dt)
  516.             throw new java.lang.Exception ("MergedDiscountForwardCurve::libor => Invalid Inputs");

  518.         return libor (dt.julian(), strTenor);
  519.     }

  521.     /**
  522.      * Calculate the DV01 of the Par Swap that Matures at the given date
  523.      * 
  524.      * @param iDate Date
  525.      * 
  526.      * @return DV01 of the Par Swap that Matures at the given date
  527.      * 
  528.      * @throws java.lang.Exception Thrown if DV01 cannot be calculated
  529.      */

  531.     public double parSwapDV01 (
  532.         final int iDate)
  533.         throws java.lang.Exception
  534.     {
  535.         java.lang.String strCurrency = currency();

  537.         org.drip.analytics.date.JulianDate dtStart = epoch().addDays (2);

  539.         org.drip.param.period.UnitCouponAccrualSetting ucasFixed = new
  540.             org.drip.param.period.UnitCouponAccrualSetting (2, "Act/360", false, "Act/360", false,
  541.                 strCurrency, true,
  542.                     org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC);

  544.         org.drip.param.period.ComposableFixedUnitSetting cfusFixed = new
  545.             org.drip.param.period.ComposableFixedUnitSetting ("6M",
  546.                 org.drip.analytics.support.CompositePeriodBuilder.EDGE_DATE_SEQUENCE_REGULAR, null, 0., 0.,
  547.                     strCurrency);

  549.         org.drip.param.period.CompositePeriodSetting cpsFixed = new
  550.             org.drip.param.period.CompositePeriodSetting (2, "6M", strCurrency, null, 1., null, null, null,
  551.                 null);

  553.         java.util.List<java.lang.Integer> lsFixedStreamEdgeDate =
  554.             org.drip.analytics.support.CompositePeriodBuilder.BackwardEdgeDates (dtStart, new
  555.                 org.drip.analytics.date.JulianDate (iDate), "6M", null,
  556.                     org.drip.analytics.support.CompositePeriodBuilder.SHORT_STUB);

  558.         org.drip.product.rates.Stream fixedStream = new org.drip.product.rates.Stream
  559.             (org.drip.analytics.support.CompositePeriodBuilder.FixedCompositeUnit (lsFixedStreamEdgeDate,
  560.                 cpsFixed, ucasFixed, cfusFixed));

  562.         org.drip.param.market.CurveSurfaceQuoteContainer csqs =
  563.             org.drip.param.creator.MarketParamsBuilder.Create (this, null, null, null, null, null, null,
  564.                 null);

  566.         java.util.Map<java.lang.String, java.lang.Double> mapFixStream = fixedStream.value
  567.             (org.drip.param.valuation.ValuationParams.Spot (dtStart, 0, "",
  568.                 org.drip.analytics.daycount.Convention.DATE_ROLL_ACTUAL), null, csqs, null);

  570.         return mapFixStream.get ("DV01");
  571.     }

  573.     /**
  574.      * Estimate the manifest measure value for the given date
  575.      * 
  576.      * @param strManifestMeasure The Manifest Measure to be Estimated
  577.      * @param iDate Date
  578.      * 
  579.      * @return The estimated calibrated measure value
  580.      * 
  581.      * @throws java.lang.Exception Thrown if the estimated manifest measure cannot be computed
  582.      */

  584.     public double estimateManifestMeasure (
  585.         final java.lang.String strManifestMeasure,
  586.         final int iDate)
  587.         throws java.lang.Exception
  588.     {
  589.         if (null == strManifestMeasure || strManifestMeasure.isEmpty())
  590.             throw new java.lang.Exception
  591.                 ("MergedDiscountForwardCurve::estimateManifestMeasure => Invalid input");

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

  595.         if (null == aCalibComp)
  596.             throw new java.lang.Exception
  597.                 ("MergedDiscountForwardCurve::estimateManifestMeasure => Calib Components not available");

  599.         int iNumComponent = aCalibComp.length;

  601.         if (0 == iNumComponent)
  602.             throw new java.lang.Exception
  603.                 ("MergedDiscountForwardCurve::estimateManifestMeasure => Calib Components not available");

  605.         java.util.List<java.lang.Integer> lsDate = new java.util.ArrayList<java.lang.Integer>();

  607.         java.util.List<java.lang.Double> lsQuote = new java.util.ArrayList<java.lang.Double>();

  609.         for (int i = 0; i < iNumComponent; ++i) {
  610.             if (null == aCalibComp[i])
  611.                 throw new java.lang.Exception
  612.                     ("MergedDiscountForwardCurve::estimateManifestMeasure => Cannot locate a component");

  614.             org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapManifestMeasure =
  615.                 manifestMeasure (aCalibComp[i].primaryCode());

  617.             if (mapManifestMeasure.containsKey (strManifestMeasure)) {
  618.                 lsDate.add (aCalibComp[i].maturityDate().julian());

  620.                 lsQuote.add (mapManifestMeasure.get (strManifestMeasure));
  621.             }
  622.         }

  624.         int iNumEstimationComponent = lsDate.size();

  626.         if (0 == iNumEstimationComponent)
  627.             throw new java.lang.Exception
  628.                 ("MergedDiscountForwardCurve::estimateManifestMeasure => Estimation Components not available");

  630.         int[] aiDate = new int[iNumEstimationComponent];
  631.         double[] adblQuote = new double[iNumEstimationComponent];
  632.         org.drip.spline.params.SegmentCustomBuilderControl[] aSBP = new
  633.             org.drip.spline.params.SegmentCustomBuilderControl[iNumEstimationComponent - 1];

  635.         if (1 == iNumEstimationComponent) return lsQuote.get (0);

  637.         org.drip.spline.params.SegmentCustomBuilderControl sbp = new
  638.             org.drip.spline.params.SegmentCustomBuilderControl
  639.                 (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL, new
  640.                     org.drip.spline.basis.PolynomialFunctionSetParams (4),
  641.                         org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null);

  643.         for (int i = 0; i < iNumEstimationComponent; ++i) {
  644.             if (0 != i) aSBP[i - 1] = sbp;

  646.             aiDate[i] = lsDate.get (i);

  648.             adblQuote[i] = lsQuote.get (i);
  649.         }

  651.         org.drip.spline.stretch.MultiSegmentSequence regime =
  652.             org.drip.spline.stretch.MultiSegmentSequenceBuilder.CreateCalibratedStretchEstimator
  653.                 ("DISC_CURVE_REGIME", aiDate, adblQuote, aSBP, null,
  654.                     org.drip.spline.stretch.BoundarySettings.NaturalStandard(),
  655.                         org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE);

  657.         if (null == regime)
  658.             throw new java.lang.Exception
  659.                 ("MergedDiscountForwardCurve::estimateManifestMeasure => Cannot create Spline Stretch");

  661.         double dblRegimeLeftExtreme = regime.getLeftPredictorOrdinateEdge();

  663.         if (iDate <= dblRegimeLeftExtreme) return regime.responseValue (dblRegimeLeftExtreme);

  665.         double dblRegimeRightExtreme = regime.getRightPredictorOrdinateEdge();

  667.         if (iDate >= dblRegimeRightExtreme) return regime.responseValue (dblRegimeRightExtreme);

  669.         return regime.responseValue (iDate);
  670.     }

  672.     /**
  673.      * Proxy the Manifest Measure Value using the Closest Node for the given Date
  674.      * 
  675.      * @param strManifestMeasure The Manifest Measure to be Proxied
  676.      * @param iDate Date
  677.      * 
  678.      * @return The Measure Value Proxy
  679.      * 
  680.      * @throws java.lang.Exception Thrown if the Manifest Measure Proxy cannot be computed
  681.      */

  683.     public double proxyManifestMeasure (
  684.         final java.lang.String strManifestMeasure,
  685.         final int iDate)
  686.         throws java.lang.Exception
  687.     {
  688.         if (null == strManifestMeasure || strManifestMeasure.isEmpty())
  689.             throw new java.lang.Exception
  690.                 ("MergedDiscountForwardCurve::proxyManifestMeasure => Invalid input");

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

  694.         if (null == aCalibComp)
  695.             throw new java.lang.Exception
  696.                 ("MergedDiscountForwardCurve::proxyManifestMeasure => Calib Components not available");

  698.         int iNumComponent = aCalibComp.length;

  700.         if (0 == iNumComponent)
  701.             throw new java.lang.Exception
  702.                 ("MergedDiscountForwardCurve::proxyManifestMeasure => Calib Components not available");

  704.         java.util.List<java.lang.Integer> lsDate = new java.util.ArrayList<java.lang.Integer>();

  706.         java.util.List<java.lang.Double> lsQuote = new java.util.ArrayList<java.lang.Double>();

  708.         for (int i = 0; i < iNumComponent; ++i) {
  709.             if (null == aCalibComp[i])
  710.                 throw new java.lang.Exception
  711.                     ("MergedDiscountForwardCurve::proxyManifestMeasure => Cannot locate a component");

  713.             org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapManifestMeasure =
  714.                 manifestMeasure (aCalibComp[i].primaryCode());

  716.             if (mapManifestMeasure.containsKey (strManifestMeasure)) {
  717.                 lsDate.add (aCalibComp[i].maturityDate().julian());

  719.                 lsQuote.add (mapManifestMeasure.get (strManifestMeasure));
  720.             }
  721.         }

  723.         int iNumEstimationComponent = lsDate.size();

  725.         if (0 == iNumEstimationComponent)
  726.             throw new java.lang.Exception
  727.                 ("MergedDiscountForwardCurve::proxyManifestMeasure => Estimation Components not available");

  729.         if (1 == iNumEstimationComponent) return lsQuote.get (0);

  731.         int iDatePrev = lsDate.get (0);

  733.         if (iDate <= iDatePrev) return lsQuote.get (0);

  735.         for (int i = 1; i < iNumEstimationComponent; ++i) {
  736.             int iDateCurr = lsDate.get (i);

  738.             if (iDatePrev <= iDate && iDate < iDateCurr)
  739.                 return iDate - iDatePrev > iDateCurr - iDate ? lsQuote.get (i) : lsQuote.get (i - 1);

  741.             iDatePrev = iDateCurr;
  742.         }

  744.         return lsQuote.get (iNumEstimationComponent - 1);
  745.     }

  747.     @Override public boolean setCCIS (
  748.         final org.drip.analytics.input.CurveConstructionInputSet ccis)
  749.     {
  750.         if (null == ccis) return false;

  752.         _ccis = ccis;
  753.         return true;
  754.     }

  756.     /**
  757.      * Retrieve the Forward Curve that might be implied by the Latent State of this Discount Curve Instance
  758.      *  corresponding to the specified Floating Rate Index
  759.      * 
  760.      * @param iDate The Date
  761.      * @param fri The Floating Rate Index
  762.      * 
  763.      * @return The Forward Curve Implied by the Discount Curve Latent State
  764.      */

  766.     public abstract org.drip.state.forward.ForwardRateEstimator forwardRateEstimator (
  767.         final int iDate,
  768.         final org.drip.state.identifier.ForwardLabel fri);

  770.     /**
  771.      * Retrieve the Latent State Quantification Metric
  772.      * 
  773.      * @return The Latent State Quantification Metric
  774.      */

  776.     public abstract java.lang.String latentStateQuantificationMetric();

  778.     /**
  779.      * Retrieve the Manifest Measure Jacobian of the Discount Factor to the given date
  780.      * 
  781.      * @param iDate Date
  782.      * @param strManifestMeasure Manifest Measure
  783.      * 
  784.      * @return The Manifest Measure Jacobian of the Discount Factor to the given date
  785.      */

  787.     public abstract org.drip.numerical.differentiation.WengertJacobian jackDDFDManifestMeasure (
  788.         final int iDate,
  789.         final java.lang.String strManifestMeasure);

  791.     /**
  792.      * Retrieve the Manifest Measure Jacobian of the Discount Factor to the given date
  793.      * 
  794.      * @param dt Date
  795.      * @param strManifestMeasure Manifest Measure
  796.      * 
  797.      * @return The Manifest Measure Jacobian of the Discount Factor to the given date
  798.      */

  800.     public org.drip.numerical.differentiation.WengertJacobian jackDDFDManifestMeasure (
  801.         final org.drip.analytics.date.JulianDate dt,
  802.         final java.lang.String strManifestMeasure)
  803.     {
  804.         if (null == dt) return null;

  806.         return jackDDFDManifestMeasure (dt.julian(), strManifestMeasure);
  807.     }

  809.     /**
  810.      * Retrieve the Manifest Measure Jacobian of the Discount Factor to the date implied by the given Tenor
  811.      * 
  812.      * @param strTenor Tenor
  813.      * @param strManifestMeasure Manifest Measure
  814.      * 
  815.      * @return The Manifest Measure Jacobian of the Discount Factor to the date implied by the given Tenor
  816.      */

  818.     public org.drip.numerical.differentiation.WengertJacobian jackDDFDManifestMeasure (
  819.         final java.lang.String strTenor,
  820.         final java.lang.String strManifestMeasure)
  821.     {
  822.         if (null == strTenor || strTenor.isEmpty()) return null;

  824.         try {
  825.             return jackDDFDManifestMeasure (epoch().addTenor (strTenor), strManifestMeasure);
  826.         } catch (java.lang.Exception e) {
  827.             e.printStackTrace();
  828.         }

  830.         return null;
  831.     }

  833.     /**
  834.      * Calculate the Jacobian of PV at the given date to the Manifest Measure of each component in the
  835.      *  calibration set to the DF
  836.      * 
  837.      * @param iDate Date for which the Jacobian is needed
  838.      * 
  839.      * @return The Jacobian
  840.      */

  842.     public org.drip.numerical.differentiation.WengertJacobian compJackDPVDManifestMeasure (
  843.         final int iDate)
  844.     {
  845.         if (!org.drip.numerical.common.NumberUtil.IsValid (iDate)) return null;

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

  849.         if (null == aCalibComp || 0 == aCalibComp.length) return null;

  851.         int iNumParameters = 0;
  852.         int iNumComponents = aCalibComp.length;
  853.         org.drip.numerical.differentiation.WengertJacobian wjCompPVDF = null;

  855.         org.drip.param.valuation.ValuationParams valParams = org.drip.param.valuation.ValuationParams.Spot
  856.             (iDate);

  858.         org.drip.param.market.CurveSurfaceQuoteContainer csqs =
  859.             org.drip.param.creator.MarketParamsBuilder.Create (this, null, null, null, null, null,
  860.                 null, null == _ccis ? null : _ccis.fixing());

  862.         for (int i = 0; i < iNumComponents; ++i) {
  863.             org.drip.numerical.differentiation.WengertJacobian wjCompDDirtyPVDManifestMeasure =
  864.                 aCalibComp[i].jackDDirtyPVDManifestMeasure (valParams, null, csqs, null);

  866.             if (null == wjCompDDirtyPVDManifestMeasure) return null;

  868.             iNumParameters = wjCompDDirtyPVDManifestMeasure.numParameters();

  870.             if (null == wjCompPVDF) {
  871.                 try {
  872.                     wjCompPVDF = new org.drip.numerical.differentiation.WengertJacobian (iNumComponents,
  873.                         iNumParameters);
  874.                 } catch (java.lang.Exception e) {
  875.                     e.printStackTrace();

  877.                     return null;
  878.                 }
  879.             }

  881.             for (int k = 0; k < iNumParameters; ++k) {
  882.                 if (!wjCompPVDF.accumulatePartialFirstDerivative (i, k,
  883.                     wjCompDDirtyPVDManifestMeasure.firstDerivative (0, k)))
  884.                     return null;
  885.             }
  886.         }

  888.         return wjCompPVDF;
  889.     }

  891.     /**
  892.      * Calculate the Jacobian of PV at the given date to the Manifest Measure of each component in the
  893.      *  calibration set to the DF
  894.      * 
  895.      * @param dt Date for which the Jacobian is needed
  896.      * 
  897.      * @return The Jacobian
  898.      */

  900.     public org.drip.numerical.differentiation.WengertJacobian compJackDPVDManifestMeasure (
  901.         final org.drip.analytics.date.JulianDate dt)
  902.     {
  903.         return null == dt ? null : compJackDPVDManifestMeasure (dt.julian());
  904.     }

  906.     /**
  907.      * Retrieve the Jacobian of the Forward Rate to the Manifest Measure between the given dates
  908.      * 
  909.      * @param iDate1 Date 1
  910.      * @param iDate2 Date 2
  911.      * @param strManifestMeasure Manifest Measure
  912.      * @param dblElapsedYear The Elapsed Year (in the appropriate Day Count) between dates 1 and 2
  913.      * 
  914.      * @return The Jacobian
  915.      */

  917.     public org.drip.numerical.differentiation.WengertJacobian jackDForwardDManifestMeasure (
  918.         final int iDate1,
  919.         final int iDate2,
  920.         final java.lang.String strManifestMeasure,
  921.         final double dblElapsedYear)
  922.     {
  923.         if (iDate1 == iDate2) return null;

  925.         org.drip.numerical.differentiation.WengertJacobian wjDDFDManifestMeasureDate1 = jackDDFDManifestMeasure
  926.             (iDate1, strManifestMeasure);

  928.         if (null == wjDDFDManifestMeasureDate1) return null;

  930.         int iNumQuote = wjDDFDManifestMeasureDate1.numParameters();

  932.         if (0 == iNumQuote) return null;

  934.         org.drip.numerical.differentiation.WengertJacobian wjDDFDManifestMeasureDate2 = jackDDFDManifestMeasure
  935.             (iDate2, strManifestMeasure);

  937.         if (null == wjDDFDManifestMeasureDate2 || iNumQuote != wjDDFDManifestMeasureDate2.numParameters())
  938.             return null;

  940.         double dblDF1 = java.lang.Double.NaN;
  941.         double dblDF2 = java.lang.Double.NaN;
  942.         org.drip.numerical.differentiation.WengertJacobian wjDForwardDManifestMeasure = null;

  944.         try {
  945.             dblDF1 = df (iDate1);

  947.             dblDF2 = df (iDate2);

  949.             wjDForwardDManifestMeasure = new org.drip.numerical.differentiation.WengertJacobian (1, iNumQuote);
  950.         } catch (java.lang.Exception e) {
  951.             e.printStackTrace();

  953.             return null;
  954.         }

  956.         double dblDForwardDManifestMeasure1iScale = 1. / dblDF2;
  957.         double dblDForwardDManifestMeasure2iScale = dblDF1 / (dblDF2 * dblDF2);
  958.         double dblInverseAnnualizedTenorLength = 1. / dblElapsedYear;

  960.         for (int i = 0; i < iNumQuote; ++i) {
  961.             double dblDForwardDQManifestMeasurei = ((wjDDFDManifestMeasureDate1.firstDerivative (0, i) *
  962.                 dblDForwardDManifestMeasure1iScale) - (wjDDFDManifestMeasureDate2.firstDerivative (0, i) *
  963.                     dblDForwardDManifestMeasure2iScale)) * dblInverseAnnualizedTenorLength;

  965.             if (!wjDForwardDManifestMeasure.accumulatePartialFirstDerivative (0, i,
  966.                 dblDForwardDQManifestMeasurei))
  967.                 return null;
  968.         }

  970.         return wjDForwardDManifestMeasure;
  971.     }

  973.     /**
  974.      * Retrieve the Jacobian of the Forward Rate to the Manifest Measure between the given dates
  975.      * 
  976.      * @param dt1 Julian Date 1
  977.      * @param dt2 Julian Date 2
  978.      * @param strManifestMeasure Manifest Measure
  979.      * @param dblElapsedYear The Elapsed Year (in the appropriate Day Count) between dates 1 and 2
  980.      * 
  981.      * @return The Jacobian
  982.      */

  984.     public org.drip.numerical.differentiation.WengertJacobian jackDForwardDManifestMeasure (
  985.         final org.drip.analytics.date.JulianDate dt1,
  986.         final org.drip.analytics.date.JulianDate dt2,
  987.         final java.lang.String strManifestMeasure,
  988.         final double dblElapsedYear)
  989.     {
  990.         if (null == dt1 || null == dt2) return null;

  992.         return jackDForwardDManifestMeasure (dt1.julian(), dt2.julian(), strManifestMeasure, dblElapsedYear);
  993.     }

  995.     /**
  996.      * Retrieve the Jacobian of the Forward Rate to the Manifest Measure at the given date
  997.      * 
  998.      * @param dt Given Julian Date
  999.      * @param strTenor Tenor
  1000.      * @param strManifestMeasure Manifest Measure
  1001.      * @param dblElapsedYear The Elapsed Year (in the appropriate Day Count) implied by the Tenor
  1002.      * 
  1003.      * @return The Jacobian
  1004.      */

  1006.     public org.drip.numerical.differentiation.WengertJacobian jackDForwardDManifestMeasure (
  1007.         final org.drip.analytics.date.JulianDate dt,
  1008.         final java.lang.String strTenor,
  1009.         final java.lang.String strManifestMeasure,
  1010.         final double dblElapsedYear)
  1011.     {
  1012.         if (null == dt || null == strTenor || strTenor.isEmpty()) return null;

  1014.         return jackDForwardDManifestMeasure (dt.julian(), dt.addTenor (strTenor).julian(),
  1015.             strManifestMeasure, dblElapsedYear);
  1016.     }

  1018.     /**
  1019.      * Retrieve the Jacobian for the Zero Rate to the given date
  1020.      * 
  1021.      * @param iDate Date
  1022.      * @param strManifestMeasure Manifest Measure
  1023.      * 
  1024.      * @return The Jacobian
  1025.      */

  1027.     public org.drip.numerical.differentiation.WengertJacobian zeroRateJack (
  1028.         final int iDate,
  1029.         final java.lang.String strManifestMeasure)
  1030.     {
  1031.         int iEpochDate = epoch().julian();

  1033.         return jackDForwardDManifestMeasure (iEpochDate, iDate, strManifestMeasure, 1. * (iDate - iEpochDate) /
  1034.             365.25);
  1035.     }

  1037.     /**
  1038.      * Retrieve the Jacobian for the Zero Rate to the given date
  1039.      * 
  1040.      * @param dt Julian Date
  1041.      * @param strManifestMeasure Manifest Measure
  1042.      * 
  1043.      * @return The Jacobian
  1044.      */

  1046.     public org.drip.numerical.differentiation.WengertJacobian zeroRateJack (
  1047.         final org.drip.analytics.date.JulianDate dt,
  1048.         final java.lang.String strManifestMeasure)
  1049.     {
  1050.         return null == dt? null : zeroRateJack (dt.julian(), strManifestMeasure);
  1051.     }

  1053.     /**
  1054.      * Convert the inferred Formulation Constraint into a "Truthness" Entity
  1055.      * 
  1056.      * @param strLatentStateQuantificationMetric Latent State Quantification Metric
  1057.      * 
  1058.      * @return Map of the Truthness Entities
  1059.      */

  1061.     public java.util.Map<java.lang.Integer, java.lang.Double> canonicalTruthness (
  1062.         final java.lang.String strLatentStateQuantificationMetric)
  1063.     {
  1064.         if (null == strLatentStateQuantificationMetric ||
  1065.             (!org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_ZERO_RATE.equalsIgnoreCase
  1066.                 (strLatentStateQuantificationMetric) && !
  1067.                     org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_DISCOUNT_FACTOR.equalsIgnoreCase
  1068.             (strLatentStateQuantificationMetric)))
  1069.             return null;

  1071.         org.drip.product.definition.CalibratableComponent[] aCC = calibComp();

  1073.         if (null == aCC) return null;

  1075.         int iNumComp = aCC.length;
  1076.         boolean bFirstCashFlow = true;

  1078.         if (0 == iNumComp) return null;

  1080.         java.util.Map<java.lang.Integer, java.lang.Double> mapCanonicalTruthness = new
  1081.             java.util.TreeMap<java.lang.Integer, java.lang.Double>();

  1083.         if (org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_DISCOUNT_FACTOR.equalsIgnoreCase
  1084.             (strLatentStateQuantificationMetric))
  1085.             mapCanonicalTruthness.put (_iEpochDate, 1.);

  1087.         for (org.drip.product.definition.CalibratableComponent cc : aCC) {
  1088.             if (null == cc) continue;

  1090.             java.util.List<org.drip.analytics.cashflow.CompositePeriod> lsCouponPeriod = cc.couponPeriods();

  1092.             if (null == lsCouponPeriod || 0 == lsCouponPeriod.size()) continue;

  1094.             for (org.drip.analytics.cashflow.CompositePeriod cpnPeriod : lsCouponPeriod) {
  1095.                 if (null == cpnPeriod) continue;

  1097.                 int iPeriodPayDate = cpnPeriod.payDate();

  1099.                 if (iPeriodPayDate >= _iEpochDate) {
  1100.                     try {
  1101.                         if (org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_DISCOUNT_FACTOR.equalsIgnoreCase
  1102.                             (strLatentStateQuantificationMetric))
  1103.                             mapCanonicalTruthness.put (iPeriodPayDate, df (iPeriodPayDate));
  1104.                         else if (org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_ZERO_RATE.equalsIgnoreCase
  1105.                             (strLatentStateQuantificationMetric)) {
  1106.                             if (bFirstCashFlow) {
  1107.                                 bFirstCashFlow = false;

  1109.                                 mapCanonicalTruthness.put (_iEpochDate, zero (iPeriodPayDate));
  1110.                             }

  1112.                             mapCanonicalTruthness.put (iPeriodPayDate, zero (iPeriodPayDate));
  1113.                         }
  1114.                     } catch (java.lang.Exception e) {
  1115.                         e.printStackTrace();

  1117.                         return null;
  1118.                     }
  1119.                 }
  1120.             }
  1121.         }

  1123.         return mapCanonicalTruthness;
  1124.     }
  1125. }
Created with JaCoCo 0.7.9.201702052155