FlatForwardVolatilityCurve.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
* 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>FlatForwardVolatilityCurve</i> manages the Volatility Latent State, using the Forward Volatility 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 FlatForwardVolatilityCurve extends org.drip.state.volatility.ExplicitBootVolatilityCurve {
private int[] _aiPillarDate = null;
private double[] _adblImpliedVolatility = null;
/**
* FlatForwardVolatilityCurve Constructor
*
* @param iEpochDate Epoch Date
* @param label Volatility Label
* @param strCurrency Currency
* @param aiPillarDate Array of the Pillar Dates
* @param adblImpliedVolatility Array of the corresponding Implied Volatility Nodes
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public FlatForwardVolatilityCurve (
final int iEpochDate,
final org.drip.state.identifier.VolatilityLabel label,
final java.lang.String strCurrency,
final int[] aiPillarDate,
final double[] adblImpliedVolatility)
throws java.lang.Exception
{
super (iEpochDate, label, strCurrency);
if (null == (_aiPillarDate = aiPillarDate) || null == (_adblImpliedVolatility =
adblImpliedVolatility))
throw new java.lang.Exception ("FlatForwardVolatilityCurve ctr => Invalid Inputs");
int iNumPillar = _aiPillarDate.length;
if (0 == iNumPillar || iNumPillar != _adblImpliedVolatility.length)
throw new java.lang.Exception ("FlatForwardVolatilityCurve ctr => Invalid Inputs");
}
@Override public double impliedVol (
final int iDate)
throws java.lang.Exception
{
if (iDate <= _aiPillarDate[0]) return _adblImpliedVolatility[0];
int iNumPillar = _adblImpliedVolatility.length;
for (int i = 1; i < iNumPillar; ++i) {
if (_aiPillarDate[i - 1] <= iDate && _aiPillarDate[i] >= iDate)
return _adblImpliedVolatility[i];
}
return _adblImpliedVolatility[iNumPillar - 1];
}
@Override public double node (
final int iDate)
throws java.lang.Exception
{
return 0.;
}
@Override public double vol (
final int iDate)
throws java.lang.Exception
{
return node (iDate);
}
@Override public double nodeDerivative (
final int iDate,
final int iOrder)
throws java.lang.Exception
{
org.drip.function.definition.R1ToR1 au = new org.drip.function.definition.R1ToR1 (null) {
@Override public double evaluate (
double dblX)
throws java.lang.Exception
{
return node ((int) dblX);
}
};
return au.derivative (iDate, iOrder);
}
@Override public boolean setNodeValue (
final int iNodeIndex,
final double dblValue)
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblValue) || iNodeIndex >
_adblImpliedVolatility.length)
return false;
for (int i = iNodeIndex; i < _adblImpliedVolatility.length; ++i)
_adblImpliedVolatility[i] = dblValue;
return true;
}
@Override public boolean bumpNodeValue (
final int iNodeIndex,
final double dblValue)
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblValue) || iNodeIndex >
_adblImpliedVolatility.length)
return false;
for (int i = iNodeIndex; i < _adblImpliedVolatility.length; ++i)
_adblImpliedVolatility[i] += dblValue;
return true;
}
@Override public boolean setFlatValue (
final double dblValue)
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblValue)) return false;
for (int i = 0; i < _adblImpliedVolatility.length; ++i)
_adblImpliedVolatility[i] = dblValue;
return true;
}
}