RepoCurve.java

  1. package org.drip.state.repo;

  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.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  14.  * 
  15.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  16.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  17.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  18.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  19.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  20.  *      and computational support.
  21.  *  
  22.  *      https://lakshmidrip.github.io/DROP/
  23.  *  
  24.  *  DROP is composed of three modules:
  25.  *  
  26.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  27.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  28.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  29.  * 
  30.  *  DROP Product Core implements libraries for the following:
  31.  *  - Fixed Income Analytics
  32.  *  - Loan Analytics
  33.  *  - Transaction Cost Analytics
  34.  * 
  35.  *  DROP Portfolio Core implements libraries for the following:
  36.  *  - Asset Allocation Analytics
  37.  *  - Asset Liability Management Analytics
  38.  *  - Capital Estimation Analytics
  39.  *  - Exposure Analytics
  40.  *  - Margin Analytics
  41.  *  - XVA Analytics
  42.  * 
  43.  *  DROP Computational Core implements libraries for the following:
  44.  *  - Algorithm Support
  45.  *  - Computation Support
  46.  *  - Function Analysis
  47.  *  - Model Validation
  48.  *  - Numerical Analysis
  49.  *  - Numerical Optimizer
  50.  *  - Spline Builder
  51.  *  - Statistical Learning
  52.  * 
  53.  *  Documentation for DROP is Spread Over:
  54.  * 
  55.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  56.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  57.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  58.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  59.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  60.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  61.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  62.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  63.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  64.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  65.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  66.  * 
  67.  *  Licensed under the Apache License, Version 2.0 (the "License");
  68.  *      you may not use this file except in compliance with the License.
  69.  *   
  70.  *  You may obtain a copy of the License at
  71.  *      http://www.apache.org/licenses/LICENSE-2.0
  72.  *  
  73.  *  Unless required by applicable law or agreed to in writing, software
  74.  *      distributed under the License is distributed on an "AS IS" BASIS,
  75.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  76.  *  
  77.  *  See the License for the specific language governing permissions and
  78.  *      limitations under the License.
  79.  */

  81. /**
  82.  * <i>RepoCurve</i> is the Stub for the Re-purchase Rate between applicable to the Specified Entity.
  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/repo/README.md">Latent State Repo Curve Estimator</a></li>
  90.  *  </ul>
  91.  * <br><br>
  92.  *
  93.  * @author Lakshmi Krishnamurthy
  94.  */

  96. public abstract class RepoCurve implements org.drip.state.repo.RepoEstimator,
  97.     org.drip.analytics.definition.Curve {

  99.     /**
  100.      * Repo Latent State
  101.      */

  103.     public static final java.lang.String LATENT_STATE_REPO = "LATENT_STATE_REPO";

  105.     /**
  106.      * Basis Latent State Quantification Metric - Discount Factor
  107.      */

  109.     public static final java.lang.String QUANTIFICATION_METRIC_REPO_RATE =
  110.         "QUANTIFICATION_METRIC_REPO_RATE";

  112.     private int _iEpochDate = java.lang.Integer.MIN_VALUE;
  113.     private org.drip.product.definition.Component _comp = null;

  115.     protected RepoCurve (
  116.         final int iEpochDate,
  117.         final org.drip.product.definition.Component comp)
  118.         throws java.lang.Exception
  119.     {
  120.         if (null == (_comp = comp)) throw new java.lang.Exception ("RepoCurve ctr: Invalid Inputs");

  122.         _iEpochDate = iEpochDate;
  123.     }

  125.     @Override public org.drip.analytics.date.JulianDate epoch()
  126.     {
  127.         return new org.drip.analytics.date.JulianDate (_iEpochDate);
  128.     }

  130.     @Override public org.drip.product.definition.Component component()
  131.     {
  132.         return _comp;
  133.     }

  135.     @Override public org.drip.state.identifier.LatentStateLabel label()
  136.     {
  137.         return org.drip.state.identifier.RepoLabel.Standard (_comp.name());
  138.     }

  140.     @Override public java.lang.String currency()
  141.     {
  142.         return _comp.payCurrency();
  143.     }

  145.     @Override public double repo (
  146.         final org.drip.analytics.date.JulianDate dt)
  147.         throws java.lang.Exception
  148.     {
  149.         if (null == dt) throw new java.lang.Exception ("RepoCurve::repo got null for date");

  151.         return repo (dt.julian());
  152.     }

  154.     @Override public double repo (
  155.         final java.lang.String strTenor)
  156.         throws java.lang.Exception
  157.     {
  158.         if (null == strTenor || strTenor.isEmpty())
  159.             throw new java.lang.Exception ("RepoCurve::repo got bad tenor");

  161.         return repo (epoch().addTenor (strTenor));
  162.     }

  164.     @Override public boolean setCCIS (
  165.         final org.drip.analytics.input.CurveConstructionInputSet ccis)
  166.     {
  167.         return true;
  168.     }

  170.     @Override public org.drip.product.definition.CalibratableComponent[] calibComp()
  171.     {
  172.         return null;
  173.     }

  175.     @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> manifestMeasure (
  176.         final java.lang.String strInstr)
  177.     {
  178.         return null;
  179.     }

  181.     @Override public org.drip.state.representation.LatentState parallelShiftManifestMeasure (
  182.         final java.lang.String strManifestMeasure,
  183.         final double dblShift)
  184.     {
  185.         return null;
  186.     }

  188.     @Override public org.drip.state.representation.LatentState shiftManifestMeasure (
  189.         final int iSpanIndex,
  190.         final java.lang.String strManifestMeasure,
  191.         final double dblShift)
  192.     {
  193.         return null;
  194.     }

  196.     @Override public org.drip.state.representation.LatentState customTweakManifestMeasure (
  197.         final java.lang.String strManifestMeasure,
  198.         final org.drip.param.definition.ManifestMeasureTweak rvtp)
  199.     {
  200.         return null;
  201.     }

  203.     @Override public org.drip.state.representation.LatentState parallelShiftQuantificationMetric (
  204.         final double dblShift)
  205.     {
  206.         return null;
  207.     }

  209.     @Override public org.drip.state.representation.LatentState customTweakQuantificationMetric (
  210.         final org.drip.param.definition.ManifestMeasureTweak rvtp)
  211.     {
  212.         return null;
  213.     }
  214. }
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