FlatForwardGovvieCurve.java

  1. package org.drip.state.nonlinear;

  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>FlatForwardGovvieCurve</i> manages the Govvie Latent State, using the Flat Forward Rate as the State
  82.  * Response Representation.
  83.  *
  84.  *  <br><br>
  85.  *  <ul>
  86.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  87.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  88.  *      <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>
  89.  *      <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>
  90.  *  </ul>
  91.  * <br><br>
  92.  *
  93.  * @author Lakshmi Krishnamurthy
  94.  */

  96. public class FlatForwardGovvieCurve extends org.drip.state.govvie.ExplicitBootGovvieCurve {
  97.     private int[] _aiDate = null;
  98.     private double[] _adblForwardYield = null;

  100.     private double yearFract (
  101.         final int iStartDate,
  102.         final int iEndDate,
  103.         final org.drip.analytics.daycount.ActActDCParams aap,
  104.         final java.lang.String strDayCount)
  105.         throws java.lang.Exception
  106.     {
  107.         return org.drip.analytics.daycount.Convention.YearFraction (iStartDate, iEndDate, strDayCount, false,
  108.             aap, currency());
  109.     }

  111.     /**
  112.      * Construct a Govvie Curve from an Array of Dates and Flat Forward Yields
  113.      * 
  114.      * @param iEpochDate Epoch Date
  115.      * @param strTreasuryCode Treasury Code
  116.      * @param strCurrency Currency
  117.      * @param aiDate Array of Dates
  118.      * @param adblForwardYield Array of Forward Yields
  119.      * 
  120.      * @throws java.lang.Exception Thrown if the curve cannot be created
  121.      */

  123.     public FlatForwardGovvieCurve (
  124.         final int iEpochDate,
  125.         final java.lang.String strTreasuryCode,
  126.         final java.lang.String strCurrency,
  127.         final int[] aiDate,
  128.         final double[] adblForwardYield)
  129.         throws java.lang.Exception
  130.     {
  131.         super (iEpochDate, strTreasuryCode, strCurrency);

  133.         if (null == (_aiDate = aiDate) || null == (_adblForwardYield = adblForwardYield))
  134.             throw new java.lang.Exception ("FlatForwardGovvieCurve Constructor => Invalid Inputs!");

  136.         int iNumNode = _aiDate.length;

  138.         if (0 == iNumNode || iNumNode != _adblForwardYield.length)
  139.             throw new java.lang.Exception ("FlatForwardGovvieCurve Constructor => Invalid Inputs!");
  140.     }

  142.     @Override public double yield (
  143.         final int iDate)
  144.         throws java.lang.Exception
  145.     {
  146.         if (iDate <= _iEpochDate) return 1.;

  148.         int i = 0;
  149.         double dblDF = 1.;
  150.         int iStartDate = _iEpochDate;
  151.         int iNumDate = _aiDate.length;

  153.         int iFreq = freq();

  155.         java.lang.String strDayCount = dayCount();

  157.         org.drip.analytics.daycount.ActActDCParams aap =
  158.             org.drip.analytics.daycount.ActActDCParams.FromFrequency (iFreq);

  160.         while (i < iNumDate && (int) iDate >= (int) _aiDate[i]) {
  161.             dblDF *= java.lang.Math.pow (1. + (_adblForwardYield[i] / iFreq), -1. * yearFract (iStartDate,
  162.                 _aiDate[i], aap, strDayCount) * iFreq);

  164.             iStartDate = _aiDate[i++];
  165.         }

  167.         if (i >= iNumDate) i = iNumDate - 1;

  169.         return org.drip.analytics.support.Helper.DF2Yield (iFreq, dblDF * java.lang.Math.pow (1. +
  170.             (_adblForwardYield[i] / iFreq), -1. * yearFract (iStartDate, iDate, aap, strDayCount) * iFreq),
  171.                 yearFract (_iEpochDate, iDate, aap, strDayCount));
  172.     }

  174.     @Override public boolean setNodeValue (
  175.         final int iNodeIndex,
  176.         final double dblValue)
  177.     {
  178.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblValue)) return false;

  180.         int iNumDate = _aiDate.length;

  182.         if (iNodeIndex > iNumDate) return false;

  184.         for (int i = iNodeIndex; i < iNumDate; ++i)
  185.             _adblForwardYield[i] = dblValue;

  187.         return true;
  188.     }

  190.     @Override public boolean bumpNodeValue (
  191.         final int iNodeIndex,
  192.         final double dblValue)
  193.     {
  194.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblValue)) return false;

  196.         int iNumDate = _aiDate.length;

  198.         if (iNodeIndex > iNumDate) return false;

  200.         for (int i = iNodeIndex; i < iNumDate; ++i)
  201.             _adblForwardYield[i] += dblValue;

  203.         return true;
  204.     }

  206.     @Override public boolean setFlatValue (
  207.         final double dblValue)
  208.     {
  209.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblValue)) return false;

  211.         int iNumDate = _aiDate.length;

  213.         for (int i = 0; i < iNumDate; ++i)
  214.             _adblForwardYield[i] = dblValue;

  216.         return true;
  217.     }

  219.     @Override public org.drip.numerical.differentiation.WengertJacobian jackDForwardDManifestMeasure (
  220.         final java.lang.String strManifestMeasure,
  221.         final int iDate)
  222.     {
  223.         return null;
  224.     }
  225. }
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