FXCurve.java

package org.drip.state.fx;

/*
 * -*- 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
 * 
 *  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>FXCurve</i> is the Stub for the FX Curve for the specified Currency Pair.
 *
 *  <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/fx/README.md">FX Latent State Curve Estimator</a></li>
 *  </ul>
 * <br><br>
 *
 * @author Lakshmi Krishnamurthy
 */

public abstract class FXCurve implements org.drip.analytics.definition.Curve {
    private org.drip.product.params.CurrencyPair _cp = null;

    protected int _iEpochDate = java.lang.Integer.MIN_VALUE;

    protected FXCurve (
        final int iEpochDate,
        final org.drip.product.params.CurrencyPair cp)
        throws java.lang.Exception
    {
        if (null == (_cp = cp)) throw new java.lang.Exception ("FXCurve ctr: Invalid Inputs");

        _iEpochDate = iEpochDate;
    }

    /**
     * Calculate the FX Forward to the given Date
     * 
     * @param iDate Date
     * 
     * @return The FX Forward
     * 
     * @throws java.lang.Exception Thrown if the FX Forward cannot be calculated
     */

    public abstract double fx (
        final int iDate)
        throws java.lang.Exception;

    /**
     * Calculate the set of Zero basis given the input discount curves
     * 
     * @param aiDateNode Array of Date Nodes
     * @param valParams Valuation Parameters
     * @param dcNum Discount Curve Numerator
     * @param dcDenom Discount Curve Denominator
     * @param bBasisOnDenom True if the basis is calculated on the denominator discount curve
     * 
     * @return Array of the computed basis
     */

    public abstract double[] zeroBasis (
        final int[] aiDateNode,
        final org.drip.param.valuation.ValuationParams valParams,
        final org.drip.state.discount.MergedDiscountForwardCurve dcNum,
        final org.drip.state.discount.MergedDiscountForwardCurve dcDenom,
        final boolean bBasisOnDenom);

    /**
     * Bootstrap the basis to the discount curve inputs
     * 
     * @param aiDateNode Array of Date Nodes
     * @param valParams Valuation Parameters
     * @param dcNum Discount Curve Numerator
     * @param dcDenom Discount Curve Denominator
     * @param bBasisOnDenom True if the basis is calculated on the denominator discount curve
     * 
     * @return Array of the computed basis
     */

    public abstract double[] bootstrapBasis (
        final int[] aiDateNode,
        final org.drip.param.valuation.ValuationParams valParams,
        final org.drip.state.discount.MergedDiscountForwardCurve dcNum,
        final org.drip.state.discount.MergedDiscountForwardCurve dcDenom,
        final boolean bBasisOnDenom);

    /**
     * Bootstrap the discount curve from the discount curve inputs
     * 
     * @param aiDateNode Array of Date Nodes
     * @param valParams Valuation Parameters
     * @param dcNum Discount Curve Numerator
     * @param dcDenom Discount Curve Denominator
     * @param bBasisOnDenom True if the basis is calculated on the denominator discount curve
     * 
     * @return Array of the computed basis
     */

    public abstract org.drip.state.discount.MergedDiscountForwardCurve bootstrapBasisDC (
        final int[] aiDateNode,
        final org.drip.param.valuation.ValuationParams valParams,
        final org.drip.state.discount.MergedDiscountForwardCurve dcNum,
        final org.drip.state.discount.MergedDiscountForwardCurve dcDenom,
        final boolean bBasisOnDenom);

    /**
     * Calculate the rates implied by the discount curve inputs
     * 
     * @param aiDateNode Array of Date Nodes
     * @param valParams Valuation Parameters
     * @param dcNum Discount Curve Numerator
     * @param dcDenom Discount Curve Denominator
     * @param bBasisOnDenom True if the basis is calculated on the denominator discount curve
     * 
     * @return Array of the computed implied rates
     */

    public abstract double[] impliedNodeRates (
        final int[] aiDateNode,
        final org.drip.param.valuation.ValuationParams valParams,
        final org.drip.state.discount.MergedDiscountForwardCurve dcNum,
        final org.drip.state.discount.MergedDiscountForwardCurve dcDenom,
        final boolean bBasisOnDenom);

    /**
     * Calculate the rate implied by the discount curve inputs to a specified date
     * 
     * @param aiDateNode Array of Date Nodes
     * @param valParams ValuationParams
     * @param dcNum Discount Curve Numerator
     * @param dcDenom Discount Curve Denominator
     * @param iDate Date to which the implied rate is sought
     * @param bBasisOnDenom True if the implied rate is calculated on the denominator discount curve
     * 
     * @return Implied rate
     * 
     * @throws java.lang.Exception Thrown if the implied rate cannot be calculated
     */

    public abstract double rate (
        final int[] aiDateNode,
        final org.drip.param.valuation.ValuationParams valParams,
        final org.drip.state.discount.MergedDiscountForwardCurve dcNum,
        final org.drip.state.discount.MergedDiscountForwardCurve dcDenom,
        final int iDate,
        final boolean bBasisOnDenom)
        throws java.lang.Exception;

    @Override public org.drip.state.identifier.LatentStateLabel label()
    {
        return org.drip.state.identifier.FXLabel.Standard (_cp);
    }

    @Override public java.lang.String currency()
    {
        return _cp.quoteCcy();
    }

    @Override public org.drip.analytics.date.JulianDate epoch()
    {
        return new org.drip.analytics.date.JulianDate (_iEpochDate);
    }

    /**
     * Return the CurrencyPair
     * 
     * @return CurrencyPair
     */

    public org.drip.product.params.CurrencyPair currencyPair()
    {
        return _cp;
    }

    /**
     * Calculate the FX Forward to the given date
     * 
     * @param dt Date
     * 
     * @return The FX Forward
     * 
     * @throws java.lang.Exception Thrown if the FX Forward cannot be calculated
     */

    public double fx (
        final org.drip.analytics.date.JulianDate dt)
        throws java.lang.Exception
    {
        if (null == dt) throw new java.lang.Exception ("FXCurve::fx got null for date");

        return fx (dt.julian());
    }

    /**
     * Calculate the FX Forward to the given date
     * 
     * @param strTenor The Tenor
     * 
     * @return The FX Forward
     * 
     * @throws java.lang.Exception Thrown if the FX Forward cannot be calculated
     */

    public double fx (
        final java.lang.String strTenor)
        throws java.lang.Exception
    {
        if (null == strTenor || strTenor.isEmpty())
            throw new java.lang.Exception ("FXCurve::fx got bad tenor");

        return fx (epoch().addTenor (strTenor));
    }

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

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

    @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> manifestMeasure (
        final java.lang.String strInstr)
    {
        return null;
    }

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

    @Override public org.drip.state.representation.LatentState shiftManifestMeasure (
        final int iSpanIndex,
        final java.lang.String strManifestMeasure,
        final double dblShift)
    {
        return null;
    }

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

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

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

    /**
     * Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
     * 
     * @param strManifestMeasure Manifest Measure
     * @param iDate Date
     * 
     * @return The Manifest Measure Jacobian of the Forward Rate to the given date
     */

    public abstract org.drip.numerical.differentiation.WengertJacobian jackDForwardDManifestMeasure (
        final java.lang.String strManifestMeasure,
        final int iDate);

    /**
     * Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
     * 
     * @param strManifestMeasure Manifest Measure
     * @param dt Date
     * 
     * @return The Manifest Measure Jacobian of the Forward Rate to the given date
     */

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

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

    /**
     * Retrieve the Manifest Measure Jacobian of the Forward Rate to the date implied by the given Tenor
     * 
     * @param strManifestMeasure Manifest Measure
     * @param strTenor Tenor
     * 
     * @return The Manifest Measure Jacobian of the Forward Rate to the date implied by the given Tenor
     */

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

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

        return null;
    }
}