ForwardCurve.java

  1. package org.drip.state.forward;

  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>ForwardCurve</i> is the stub for the forward curve functionality. It extends the Curve object by
  85.  * exposing the following functions:
  86.  *
  87.  *  <br><br>
  88.  *  <ul>
  89.  *      <li>
  90.  *          The name/epoch of the forward rate instance
  91.  *      </li>
  92.  *      <li>
  93.  *          The index/currency/tenor associated with the forward rate instance
  94.  *      </li>
  95.  *      <li>
  96.  *          Forward Rate to a specific date/tenor
  97.  *      </li>
  98.  *      <li>
  99.  *          Generate scenario tweaked Latent State from the base forward curve corresponding to mode adjusted
  100.  *              (flat/parallel/custom) manifest measure/quantification metric
  101.  *      </li>
  102.  *      <li>
  103.  *          Retrieve array of latent state manifest measure, instrument quantification metric, and the array
  104.  *              of calibration components
  105.  *      </li>
  106.  *      <li>
  107.  *          Set/retrieve curve construction input instrument sets
  108.  *      </li>
  109.  *  </ul>
  110.  *
  111.  *  <br><br>
  112.  *  <ul>
  113.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  114.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  115.  *      <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>
  116.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/state/forward/README.md">Forward Latent State Curve Estimator</a></li>
  117.  *  </ul>
  118.  * <br><br>
  119.  *
  120.  * @author Lakshmi Krishnamurthy
  121.  */

  123. public abstract class ForwardCurve implements org.drip.state.forward.ForwardRateEstimator,
  124.     org.drip.analytics.definition.Curve {

  126.     private int _iEpochDate = java.lang.Integer.MIN_VALUE;
  127.     private org.drip.state.identifier.ForwardLabel _fri = null;

  129.     protected ForwardCurve (
  130.         final int iEpochDate,
  131.         final org.drip.state.identifier.ForwardLabel fri)
  132.         throws java.lang.Exception
  133.     {
  134.         if (null == (_fri = fri)) throw new java.lang.Exception ("ForwardCurve ctr: Invalid Inputs");

  136.         _iEpochDate = iEpochDate;
  137.     }

  139.     @Override public org.drip.state.identifier.LatentStateLabel label()
  140.     {
  141.         return _fri;
  142.     }

  144.     @Override public java.lang.String currency()
  145.     {
  146.         return _fri.currency();
  147.     }

  149.     @Override public org.drip.analytics.date.JulianDate epoch()
  150.     {
  151.         try {
  152.             return new org.drip.analytics.date.JulianDate (_iEpochDate);
  153.         } catch (java.lang.Exception e) {
  154.             e.printStackTrace();
  155.         }

  157.         return null;
  158.     }

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

  165.     @Override public org.drip.state.identifier.ForwardLabel index()
  166.     {
  167.         return _fri;
  168.     }

  170.     @Override public double forward (
  171.         final org.drip.analytics.date.JulianDate dt)
  172.         throws java.lang.Exception
  173.     {
  174.         if (null == dt) throw new java.lang.Exception ("ForwardRate::forward got null for date");

  176.         return forward (dt.julian());
  177.     }

  179.     @Override public double forward (
  180.         final java.lang.String strTenor)
  181.         throws java.lang.Exception
  182.     {
  183.         if (null == strTenor || strTenor.isEmpty())
  184.             throw new java.lang.Exception ("ForwardRate::forward got bad tenor");

  186.         return forward (epoch().addTenor (strTenor));
  187.     }

  189.     @Override public boolean setCCIS (
  190.         final org.drip.analytics.input.CurveConstructionInputSet ccis)
  191.     {
  192.         return true;
  193.     }

  195.     @Override public org.drip.product.definition.CalibratableComponent[] calibComp()
  196.     {
  197.         return null;
  198.     }

  200.     @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> manifestMeasure (
  201.         final java.lang.String strInstrumentCode)
  202.     {
  203.         return null;
  204.     }

  206.     @Override public org.drip.state.representation.LatentState parallelShiftManifestMeasure (
  207.         final java.lang.String strManifestMeasure,
  208.         final double dblShift)
  209.     {
  210.         return null;
  211.     }

  213.     @Override public org.drip.state.representation.LatentState shiftManifestMeasure (
  214.         final int iSpanIndex,
  215.         final java.lang.String strManifestMeasure,
  216.         final double dblShift)
  217.     {
  218.         return null;
  219.     }

  221.     @Override public org.drip.state.representation.LatentState customTweakManifestMeasure (
  222.         final java.lang.String strManifestMeasure,
  223.         final org.drip.param.definition.ManifestMeasureTweak rvtp)
  224.     {
  225.         return null;
  226.     }

  228.     @Override public org.drip.state.representation.LatentState parallelShiftQuantificationMetric (
  229.         final double dblShift)
  230.     {
  231.         return null;
  232.     }

  234.     @Override public org.drip.state.representation.LatentState customTweakQuantificationMetric (
  235.         final org.drip.param.definition.ManifestMeasureTweak rvtp)
  236.     {
  237.         return null;
  238.     }

  240.     /**
  241.      * Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
  242.      * 
  243.      * @param strManifestMeasure Manifest Measure
  244.      * @param dblDate Date
  245.      * 
  246.      * @return The Manifest Measure Jacobian of the Forward Rate to the given date
  247.      */

  249.     public abstract org.drip.numerical.differentiation.WengertJacobian jackDForwardDManifestMeasure (
  250.         final java.lang.String strManifestMeasure,
  251.         final int dblDate);

  253.     /**
  254.      * Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
  255.      * 
  256.      * @param strManifestMeasure Manifest Measure
  257.      * @param dt Date
  258.      * 
  259.      * @return The Manifest Measure Jacobian of the Forward Rate to the given date
  260.      */

  262.     public org.drip.numerical.differentiation.WengertJacobian jackDForwardDManifestMeasure (
  263.         final java.lang.String strManifestMeasure,
  264.         final org.drip.analytics.date.JulianDate dt)
  265.     {
  266.         if (null == dt) return null;

  268.         return jackDForwardDManifestMeasure (strManifestMeasure, dt.julian());
  269.     }

  271.     /**
  272.      * Retrieve the Manifest Measure Jacobian of the Forward Rate to the date implied by the given Tenor
  273.      * 
  274.      * @param strManifestMeasure Manifest Measure
  275.      * @param strTenor Tenor
  276.      * 
  277.      * @return The Manifest Measure Jacobian of the Forward Rate to the date implied by the given Tenor
  278.      */

  280.     public org.drip.numerical.differentiation.WengertJacobian jackDForwardDManifestMeasure (
  281.         final java.lang.String strManifestMeasure,
  282.         final java.lang.String strTenor)
  283.     {
  284.         if (null == strTenor || strTenor.isEmpty()) return null;

  286.         try {
  287.             return jackDForwardDManifestMeasure (strManifestMeasure, epoch().addTenor (strTenor));
  288.         } catch (java.lang.Exception e) {
  289.             e.printStackTrace();
  290.         }

  292.         return null;
  293.     }
  294. }
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