TurnListDiscountFactor.java

package org.drip.state.discount;

/*
 * -*- 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>TurnListDiscountFactor</i> implements the discounting based off of the turns list. Its functions add a
 * turn instance to the current set, and concurrently apply the discount factor inside the range to each
 * relevant turn.
 *
 *  <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/discount/README.md">Discount Curve Spline Latent State</a></li>
 *  </ul>
 * <br><br>
 *
 * @author Lakshmi Krishnamurthy
 */

public class TurnListDiscountFactor {
    private java.util.List<org.drip.analytics.definition.Turn> _lsTurn = null;

    /**
     * Empty TurnListDiscountFactor constructor
     */

    public TurnListDiscountFactor()
    {
    }

    /**
     * Add a Turn Instance to the Discount Curve
     * 
     * @param turn The Turn Instance to be added
     * 
     * @return TRUE - Successfully added
     */

    public boolean addTurn (
        final org.drip.analytics.definition.Turn turn)
    {
        if (null == turn) return false;

        if (null == _lsTurn) _lsTurn = new java.util.ArrayList<org.drip.analytics.definition.Turn>();

        _lsTurn.add (turn);

        return true;
    }

    /**
     * Apply the Turns' DF Adjustment
     * 
     * @param iStartDate Turn Start Date
     * @param iFinishDate Turn Finish Date
     * 
     * @return Turns' DF Adjustment
     * 
     * @throws java.lang.Exception Thrown if the Inputs are invalid
     */

    public double turnAdjust (
        final int iStartDate,
        final int iFinishDate)
        throws java.lang.Exception
    {
        if (null == _lsTurn || 0 == _lsTurn.size()) return 1.;

        if (iStartDate >= iFinishDate) return 1.;

        double dblTurnAdjust = 1.;

        for (org.drip.analytics.definition.Turn turn : _lsTurn) {
            if (null == turn || iStartDate >= turn.finishDate() || iFinishDate <= turn.startDate()) continue;

            int iEffectiveStart = turn.startDate() > iStartDate ? turn.startDate() : iStartDate;

            int iEffectiveFinish = turn.finishDate() < iFinishDate ? turn.finishDate() : iFinishDate;

            dblTurnAdjust *= java.lang.Math.exp (turn.spread() * (iEffectiveStart - iEffectiveFinish) /
                365.25);
        }

        return dblTurnAdjust;
    }
}