RepoCurve.java
package org.drip.state.repo;
/*
* -*- 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>RepoCurve</i> is the Stub for the Re-purchase Rate between applicable to the Specified Entity.
*
* <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/repo/README.md">Latent State Repo Curve Estimator</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public abstract class RepoCurve implements org.drip.state.repo.RepoEstimator,
org.drip.analytics.definition.Curve {
/**
* Repo Latent State
*/
public static final java.lang.String LATENT_STATE_REPO = "LATENT_STATE_REPO";
/**
* Basis Latent State Quantification Metric - Discount Factor
*/
public static final java.lang.String QUANTIFICATION_METRIC_REPO_RATE =
"QUANTIFICATION_METRIC_REPO_RATE";
private int _iEpochDate = java.lang.Integer.MIN_VALUE;
private org.drip.product.definition.Component _comp = null;
protected RepoCurve (
final int iEpochDate,
final org.drip.product.definition.Component comp)
throws java.lang.Exception
{
if (null == (_comp = comp)) throw new java.lang.Exception ("RepoCurve ctr: Invalid Inputs");
_iEpochDate = iEpochDate;
}
@Override public org.drip.analytics.date.JulianDate epoch()
{
return new org.drip.analytics.date.JulianDate (_iEpochDate);
}
@Override public org.drip.product.definition.Component component()
{
return _comp;
}
@Override public org.drip.state.identifier.LatentStateLabel label()
{
return org.drip.state.identifier.RepoLabel.Standard (_comp.name());
}
@Override public java.lang.String currency()
{
return _comp.payCurrency();
}
@Override public double repo (
final org.drip.analytics.date.JulianDate dt)
throws java.lang.Exception
{
if (null == dt) throw new java.lang.Exception ("RepoCurve::repo got null for date");
return repo (dt.julian());
}
@Override public double repo (
final java.lang.String strTenor)
throws java.lang.Exception
{
if (null == strTenor || strTenor.isEmpty())
throw new java.lang.Exception ("RepoCurve::repo got bad tenor");
return repo (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;
}
}