FlatForwardGovvieCurve.java
package org.drip.state.nonlinear;
/*
* -*- 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
*
* 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>FlatForwardGovvieCurve</i> manages the Govvie Latent State, using the Flat Forward Rate as the State
* Response Representation.
*
* <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/nonlinear/README.md">Nonlinear (i.e., Boot) Latent State Construction</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class FlatForwardGovvieCurve extends org.drip.state.govvie.ExplicitBootGovvieCurve {
private int[] _aiDate = null;
private double[] _adblForwardYield = null;
private double yearFract (
final int iStartDate,
final int iEndDate,
final org.drip.analytics.daycount.ActActDCParams aap,
final java.lang.String strDayCount)
throws java.lang.Exception
{
return org.drip.analytics.daycount.Convention.YearFraction (iStartDate, iEndDate, strDayCount, false,
aap, currency());
}
/**
* Construct a Govvie Curve from an Array of Dates and Flat Forward Yields
*
* @param iEpochDate Epoch Date
* @param strTreasuryCode Treasury Code
* @param strCurrency Currency
* @param aiDate Array of Dates
* @param adblForwardYield Array of Forward Yields
*
* @throws java.lang.Exception Thrown if the curve cannot be created
*/
public FlatForwardGovvieCurve (
final int iEpochDate,
final java.lang.String strTreasuryCode,
final java.lang.String strCurrency,
final int[] aiDate,
final double[] adblForwardYield)
throws java.lang.Exception
{
super (iEpochDate, strTreasuryCode, strCurrency);
if (null == (_aiDate = aiDate) || null == (_adblForwardYield = adblForwardYield))
throw new java.lang.Exception ("FlatForwardGovvieCurve Constructor => Invalid Inputs!");
int iNumNode = _aiDate.length;
if (0 == iNumNode || iNumNode != _adblForwardYield.length)
throw new java.lang.Exception ("FlatForwardGovvieCurve Constructor => Invalid Inputs!");
}
@Override public double yield (
final int iDate)
throws java.lang.Exception
{
if (iDate <= _iEpochDate) return 1.;
int i = 0;
double dblDF = 1.;
int iStartDate = _iEpochDate;
int iNumDate = _aiDate.length;
int iFreq = freq();
java.lang.String strDayCount = dayCount();
org.drip.analytics.daycount.ActActDCParams aap =
org.drip.analytics.daycount.ActActDCParams.FromFrequency (iFreq);
while (i < iNumDate && (int) iDate >= (int) _aiDate[i]) {
dblDF *= java.lang.Math.pow (1. + (_adblForwardYield[i] / iFreq), -1. * yearFract (iStartDate,
_aiDate[i], aap, strDayCount) * iFreq);
iStartDate = _aiDate[i++];
}
if (i >= iNumDate) i = iNumDate - 1;
return org.drip.analytics.support.Helper.DF2Yield (iFreq, dblDF * java.lang.Math.pow (1. +
(_adblForwardYield[i] / iFreq), -1. * yearFract (iStartDate, iDate, aap, strDayCount) * iFreq),
yearFract (_iEpochDate, iDate, aap, strDayCount));
}
@Override public boolean setNodeValue (
final int iNodeIndex,
final double dblValue)
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblValue)) return false;
int iNumDate = _aiDate.length;
if (iNodeIndex > iNumDate) return false;
for (int i = iNodeIndex; i < iNumDate; ++i)
_adblForwardYield[i] = dblValue;
return true;
}
@Override public boolean bumpNodeValue (
final int iNodeIndex,
final double dblValue)
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblValue)) return false;
int iNumDate = _aiDate.length;
if (iNodeIndex > iNumDate) return false;
for (int i = iNodeIndex; i < iNumDate; ++i)
_adblForwardYield[i] += dblValue;
return true;
}
@Override public boolean setFlatValue (
final double dblValue)
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblValue)) return false;
int iNumDate = _aiDate.length;
for (int i = 0; i < iNumDate; ++i)
_adblForwardYield[i] = dblValue;
return true;
}
@Override public org.drip.numerical.differentiation.WengertJacobian jackDForwardDManifestMeasure (
final java.lang.String strManifestMeasure,
final int iDate)
{
return null;
}
}