GovvieCurve.java

  1. package org.drip.state.govvie;

  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.  * 
  14.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  15.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  16.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  17.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  18.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  19.  *      and computational support.
  20.  *  
  21.  *      https://lakshmidrip.github.io/DROP/
  22.  *  
  23.  *  DROP is composed of three modules:
  24.  *  
  25.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  26.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  27.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  28.  * 
  29.  *  DROP Product Core implements libraries for the following:
  30.  *  - Fixed Income Analytics
  31.  *  - Loan Analytics
  32.  *  - Transaction Cost Analytics
  33.  * 
  34.  *  DROP Portfolio Core implements libraries for the following:
  35.  *  - Asset Allocation Analytics
  36.  *  - Asset Liability Management Analytics
  37.  *  - Capital Estimation Analytics
  38.  *  - Exposure Analytics
  39.  *  - Margin Analytics
  40.  *  - XVA Analytics
  41.  * 
  42.  *  DROP Computational Core implements libraries for the following:
  43.  *  - Algorithm Support
  44.  *  - Computation Support
  45.  *  - Function Analysis
  46.  *  - Model Validation
  47.  *  - Numerical Analysis
  48.  *  - Numerical Optimizer
  49.  *  - Spline Builder
  50.  *  - Statistical Learning
  51.  * 
  52.  *  Documentation for DROP is Spread Over:
  53.  * 
  54.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  55.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  56.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  57.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  58.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  59.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  60.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  61.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  62.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  63.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  64.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  65.  * 
  66.  *  Licensed under the Apache License, Version 2.0 (the "License");
  67.  *      you may not use this file except in compliance with the License.
  68.  *   
  69.  *  You may obtain a copy of the License at
  70.  *      http://www.apache.org/licenses/LICENSE-2.0
  71.  *  
  72.  *  Unless required by applicable law or agreed to in writing, software
  73.  *      distributed under the License is distributed on an "AS IS" BASIS,
  74.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  75.  *  
  76.  *  See the License for the specific language governing permissions and
  77.  *      limitations under the License.
  78.  */

  80. /**
  81.  * <i>GovvieCurve</i> is the Stub for the Govvie Curve for the specified Govvie/Treasury.
  82.  *
  83.  *  <br><br>
  84.  *  <ul>
  85.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  86.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  87.  *      <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>
  88.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/state/govvie/README.md">Govvie Latent State Curve Estimator</a></li>
  89.  *  </ul>
  90.  * <br><br>
  91.  *
  92.  * @author Lakshmi Krishnamurthy
  93.  */

  95. public abstract class GovvieCurve extends org.drip.state.discount.DiscountCurve implements
  96.     org.drip.state.govvie.YieldEstimator {
  97.     private static final int NUM_DF_QUADRATURES = 5;

  99.     private int _iFreq = 2;
  100.     private java.lang.String _strCurrency = "";
  101.     private java.lang.String _strTreasuryCode = "";
  102.     private java.lang.String _strDayCount = "DCAct_Act_UST";

  104.     protected int _iEpochDate = java.lang.Integer.MIN_VALUE;
  105.     protected org.drip.analytics.input.CurveConstructionInputSet _ccis = null;

  107.     protected GovvieCurve (
  108.         final int iEpochDate,
  109.         final java.lang.String strTreasuryCode,
  110.         final java.lang.String strCurrency)
  111.         throws java.lang.Exception
  112.     {
  113.         if (null == (_strTreasuryCode = strTreasuryCode) || _strTreasuryCode.isEmpty() || null ==
  114.             (_strCurrency = strCurrency) || _strCurrency.isEmpty())
  115.             throw new java.lang.Exception ("GovvieCurve ctr: Invalid Inputs");

  117.         _iEpochDate = iEpochDate;
  118.     }

  120.     @Override public org.drip.analytics.date.JulianDate epoch()
  121.     {
  122.         return new org.drip.analytics.date.JulianDate (_iEpochDate);
  123.     }

  125.     @Override public java.lang.String currency()
  126.     {
  127.         return _strCurrency;
  128.     }

  130.     @Override public org.drip.state.identifier.LatentStateLabel label()
  131.     {
  132.         return org.drip.state.identifier.GovvieLabel.Standard (_strTreasuryCode);
  133.     }

  135.     @Override public double yield (
  136.         final org.drip.analytics.date.JulianDate dt)
  137.         throws java.lang.Exception
  138.     {
  139.         if (null == dt) throw new java.lang.Exception ("GovvieCurve::yield => Invalid Inputs");

  141.         return yield (dt.julian());
  142.     }

  144.     @Override public double yield (
  145.         final java.lang.String strTenor)
  146.         throws java.lang.Exception
  147.     {
  148.         return yield (epoch().addTenor (strTenor));
  149.     }

  151.     @Override public double forwardYield (
  152.         final int iDate1,
  153.         final int iDate2)
  154.         throws java.lang.Exception
  155.     {
  156.         if (iDate1 >= iDate2) throw new java.lang.Exception ("GovvieCurve::forwardYield => Invalid Inputs");

  158.         org.drip.analytics.daycount.ActActDCParams aadp =
  159.             org.drip.analytics.daycount.ActActDCParams.FromFrequency (_iFreq);

  161.         double dblYearFraction = org.drip.analytics.daycount.Convention.YearFraction (iDate1, iDate2,
  162.             _strDayCount, false, aadp, _strCurrency);

  164.         double dblDF1 = org.drip.analytics.support.Helper.Yield2DF  (_iFreq, yield (iDate1),
  165.             org.drip.analytics.daycount.Convention.YearFraction (_iEpochDate, iDate1, _strDayCount, false,
  166.                 aadp, _strCurrency));

  168.         double dblDF2 = org.drip.analytics.support.Helper.Yield2DF  (_iFreq, yield (iDate2),
  169.             org.drip.analytics.daycount.Convention.YearFraction (_iEpochDate, iDate2, _strDayCount, false,
  170.                 aadp, _strCurrency));

  172.         return org.drip.analytics.support.Helper.DF2Yield (
  173.             _iFreq,
  174.             dblDF2 / dblDF1,
  175.             dblYearFraction
  176.         );
  177.     }

  179.     @Override public double df (
  180.         final int iDate)
  181.         throws java.lang.Exception
  182.     {
  183.         return org.drip.analytics.support.Helper.Yield2DF  (_iFreq, yield (iDate),
  184.             org.drip.analytics.daycount.Convention.YearFraction (_iEpochDate, iDate, _strDayCount, false,
  185.                 org.drip.analytics.daycount.ActActDCParams.FromFrequency (_iFreq), _strCurrency));
  186.     }

  188.     @Override public double df (
  189.         final org.drip.analytics.date.JulianDate dt)
  190.         throws java.lang.Exception
  191.     {
  192.         if (null == dt) throw new java.lang.Exception ("GovvieCurve::df => Invalid Inputs");

  194.         return df (dt.julian());
  195.     }

  197.     @Override public double df (
  198.         final java.lang.String strTenor)
  199.         throws java.lang.Exception
  200.     {
  201.         return df (new org.drip.analytics.date.JulianDate (_iEpochDate).addTenor (strTenor));
  202.     }

  204.     @Override public double effectiveDF (
  205.         final int iDate1,
  206.         final int iDate2)
  207.         throws java.lang.Exception
  208.     {
  209.         if (iDate1 == iDate2) return df (iDate1);

  211.         int iNumQuadratures = 0;
  212.         double dblEffectiveDF = 0.;
  213.         int iQuadratureWidth = (iDate2 - iDate1) / NUM_DF_QUADRATURES;

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

  217.         for (int iDate = iDate1; iDate <= iDate2; iDate += iQuadratureWidth) {
  218.             ++iNumQuadratures;

  220.             dblEffectiveDF += (df (iDate) + df (iDate + iQuadratureWidth));
  221.         }

  223.         return dblEffectiveDF / (2. * iNumQuadratures);
  224.     }

  226.     @Override public double effectiveDF (
  227.         final org.drip.analytics.date.JulianDate dt1,
  228.         final org.drip.analytics.date.JulianDate dt2)
  229.         throws java.lang.Exception
  230.     {
  231.         if (null == dt1 || null == dt2)
  232.             throw new java.lang.Exception ("GovvieCurve::effectiveDF => Got null for date");

  234.         return effectiveDF (dt1.julian(), dt2.julian());
  235.     }

  237.     @Override public double effectiveDF (
  238.         final java.lang.String strTenor1,
  239.         final java.lang.String strTenor2)
  240.         throws java.lang.Exception
  241.     {
  242.         if (null == strTenor1 || strTenor1.isEmpty() || null == strTenor2 || strTenor2.isEmpty())
  243.             throw new java.lang.Exception ("GovvieCurve::effectiveDF => Got bad tenor");

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

  247.         return effectiveDF (dtStart.addTenor (strTenor1), dtStart.addTenor (strTenor2));
  248.     }

  250.     @Override public double yieldDF (
  251.         final int iDate,
  252.         final double dblDCF)
  253.         throws java.lang.Exception
  254.     {
  255.         return org.drip.analytics.support.Helper.Yield2DF (_iFreq, yield (iDate), dblDCF);
  256.     }

  258.     @Override public boolean setCCIS (
  259.         final org.drip.analytics.input.CurveConstructionInputSet ccis)
  260.     {
  261.         _ccis = ccis;
  262.         return true;
  263.     }

  265.     @Override public org.drip.product.definition.CalibratableComponent[] calibComp()
  266.     {
  267.         return null;
  268.     }

  270.     @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> manifestMeasure (
  271.         final java.lang.String strInstr)
  272.     {
  273.         return null;
  274.     }

  276.     @Override public org.drip.state.representation.LatentState parallelShiftManifestMeasure (
  277.         final java.lang.String strManifestMeasure,
  278.         final double dblShift)
  279.     {
  280.         return null;
  281.     }

  283.     @Override public org.drip.state.representation.LatentState shiftManifestMeasure (
  284.         final int iSpanIndex,
  285.         final java.lang.String strManifestMeasure,
  286.         final double dblShift)
  287.     {
  288.         return null;
  289.     }

  291.     @Override public org.drip.state.representation.LatentState customTweakManifestMeasure (
  292.         final java.lang.String strManifestMeasure,
  293.         final org.drip.param.definition.ManifestMeasureTweak rvtp)
  294.     {
  295.         return null;
  296.     }

  298.     @Override public org.drip.state.representation.LatentState parallelShiftQuantificationMetric (
  299.         final double dblShift)
  300.     {
  301.         return null;
  302.     }

  304.     @Override public org.drip.state.representation.LatentState customTweakQuantificationMetric (
  305.         final org.drip.param.definition.ManifestMeasureTweak rvtp)
  306.     {
  307.         return null;
  308.     }

  310.     /**
  311.      * Retrieve the Yield Frequency
  312.      * 
  313.      * @return The Yield Frequency
  314.      */

  316.     public int freq()
  317.     {
  318.         return _iFreq;
  319.     }

  321.     /**
  322.      * Retrieve the Yield Day Count
  323.      * 
  324.      * @return The Yield Day Count
  325.      */

  327.     public java.lang.String dayCount()
  328.     {
  329.         return _strDayCount;
  330.     }

  332.     /**
  333.      * Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
  334.      * 
  335.      * @param strManifestMeasure Manifest Measure
  336.      * @param iDate Date
  337.      * 
  338.      * @return The Manifest Measure Jacobian of the Forward Rate to the given date
  339.      */

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

  345.     /**
  346.      * Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
  347.      * 
  348.      * @param strManifestMeasure Manifest Measure
  349.      * @param dt Date
  350.      * 
  351.      * @return The Manifest Measure Jacobian of the Forward Rate to the given date
  352.      */

  354.     public org.drip.numerical.differentiation.WengertJacobian jackDForwardDManifestMeasure (
  355.         final java.lang.String strManifestMeasure,
  356.         final org.drip.analytics.date.JulianDate dt)
  357.     {
  358.         if (null == dt) return null;

  360.         return jackDForwardDManifestMeasure (strManifestMeasure, dt.julian());
  361.     }

  363.     /**
  364.      * Retrieve the Manifest Measure Jacobian of the Forward Rate to the date implied by the given Tenor
  365.      * 
  366.      * @param strManifestMeasure Manifest Measure
  367.      * @param strTenor Tenor
  368.      * 
  369.      * @return The Manifest Measure Jacobian of the Forward Rate to the date implied by the given Tenor
  370.      */

  372.     public org.drip.numerical.differentiation.WengertJacobian jackDForwardDManifestMeasure (
  373.         final java.lang.String strManifestMeasure,
  374.         final java.lang.String strTenor)
  375.     {
  376.         if (null == strTenor || strTenor.isEmpty()) return null;

  378.         try {
  379.             return jackDForwardDManifestMeasure (strManifestMeasure, epoch().addTenor (strTenor));
  380.         } catch (java.lang.Exception e) {
  381.             e.printStackTrace();
  382.         }

  384.         return null;
  385.     }
  386. }
Created with JaCoCo 0.7.9.201702052155