GovvieBuilderSettings.java

  1. package org.drip.state.sequence;

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

  79. /**
  80.  * <i>GovvieBuilderSettings</i> exposes the Functionality to generate a Sequence of Govvie Curve Realizations
  81.  * across Multiple Paths.
  82.  *
  83.  *  <br><br>
  84.  *  <ul>
  85.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  86.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  87.  *      <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>
  88.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/state/sequence/README.md">Monte Carlo Path State Realizations</a></li>
  89.  *  </ul>
  90.  * <br><br>
  91.  *
  92.  * @author Lakshmi Krishnamurthy
  93.  */

  95. public class GovvieBuilderSettings {
  96.     private double[] _adblTreasuryYield = null;
  97.     private double[] _adblTreasuryCoupon = null;
  98.     private java.lang.String[] _astrTenor = null;
  99.     private java.lang.String _strTreasuryCode = "";
  100.     private double[] _adblForwardYieldGround = null;
  101.     private org.drip.analytics.date.JulianDate _dtSpot = null;
  102.     private org.drip.state.curve.BasisSplineGovvieYield _bsgyGround = null;

  104.     protected static final org.drip.state.curve.BasisSplineGovvieYield GovvieCurve (
  105.         final org.drip.analytics.date.JulianDate dtSpot,
  106.         final java.lang.String strCode,
  107.         final java.lang.String[] astrTenor,
  108.         final double[] adblCoupon,
  109.         final double[] adblYield)
  110.         throws Exception
  111.     {
  112.         int iNumInstrument = astrTenor.length;
  113.         org.drip.analytics.date.JulianDate[] adtMaturity = new
  114.             org.drip.analytics.date.JulianDate[iNumInstrument];
  115.         org.drip.analytics.date.JulianDate[] adtEffective = new
  116.             org.drip.analytics.date.JulianDate[iNumInstrument];

  118.         for (int i = 0; i < iNumInstrument; ++i)
  119.             adtMaturity[i] = (adtEffective[i] = dtSpot).addTenor (astrTenor[i]);

  121.         return (org.drip.state.curve.BasisSplineGovvieYield)
  122.             org.drip.service.template.LatentMarketStateBuilder.GovvieCurve (strCode, dtSpot, adtEffective,
  123.                 adtMaturity, adblCoupon, adblYield, "Yield",
  124.                     org.drip.service.template.LatentMarketStateBuilder.SHAPE_PRESERVING);
  125.     }

  127.     /**
  128.      * GovvieBuilderSettings Constructor
  129.      * 
  130.      * @param dtSpot The Spot Date
  131.      * @param strTreasuryCode The Treasury Code
  132.      * @param astrTenor Array of Maturity Tenors
  133.      * @param adblTreasuryCoupon Array of Treasury Coupon
  134.      * @param adblTreasuryYield Array of Treasury Yield
  135.      * 
  136.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  137.      */

  139.     public GovvieBuilderSettings (
  140.         final org.drip.analytics.date.JulianDate dtSpot,
  141.         final java.lang.String strTreasuryCode,
  142.         final java.lang.String[] astrTenor,
  143.         final double[] adblTreasuryCoupon,
  144.         final double[] adblTreasuryYield)
  145.         throws java.lang.Exception
  146.     {
  147.         if (null == (_bsgyGround = GovvieCurve (_dtSpot = dtSpot, _strTreasuryCode = strTreasuryCode,
  148.             _astrTenor = astrTenor, _adblTreasuryCoupon = adblTreasuryCoupon, _adblTreasuryYield =
  149.                 adblTreasuryYield)))
  150.             throw new java.lang.Exception ("GovvieBuilderSettings Constructor => Invalid Inputs");

  152.         org.drip.state.nonlinear.FlatForwardDiscountCurve ffdcGround = _bsgyGround.flatForward (_astrTenor);

  154.         if (null == ffdcGround || null == (_adblForwardYieldGround = ffdcGround.nodeValues()))
  155.             throw new java.lang.Exception ("GovvieBuilderSettings Constructor => Invalid Inputs");
  156.     }

  158.     /**
  159.      * Retrieve the Spot Date
  160.      * 
  161.      * @return The Spot Date
  162.      */

  164.     public org.drip.analytics.date.JulianDate spot()
  165.     {
  166.         return _dtSpot;
  167.     }

  169.     /**
  170.      * Retrieve the Treasury Code
  171.      * 
  172.      * @return The Treasury Code
  173.      */

  175.     public java.lang.String code()
  176.     {
  177.         return _strTreasuryCode;
  178.     }

  180.     /**
  181.      * Retrieve the Treasury Maturity Tenor Array
  182.      * 
  183.      * @return The Treasury Maturity Tenor Array
  184.      */

  186.     public java.lang.String[] tenors()
  187.     {
  188.         return _astrTenor;
  189.     }

  191.     /**
  192.      * Retrieve the Calibration Treasury Coupon Array
  193.      * 
  194.      * @return The Calibration Treasury Coupon Array
  195.      */

  197.     public double[] coupon()
  198.     {
  199.         return _adblTreasuryCoupon;
  200.     }

  202.     /**
  203.      * Retrieve the Calibration Treasury Yield Array
  204.      * 
  205.      * @return The Calibration Treasury Yield Array
  206.      */

  208.     public double[] yield()
  209.     {
  210.         return _adblTreasuryYield;
  211.     }

  213.     /**
  214.      * Retrieve the Ground State Govvie Curve
  215.      * 
  216.      * @return The Ground State Govvie Curve
  217.      */

  219.     public org.drip.state.curve.BasisSplineGovvieYield groundState()
  220.     {
  221.         return _bsgyGround;
  222.     }

  224.     /**
  225.      * Retrieve the Ground Forward Yield Array
  226.      * 
  227.      * @return The Ground Forward Yield Array
  228.      */

  230.     public double[] groundForwardYield()
  231.     {
  232.         return _adblForwardYieldGround;
  233.     }

  235.     /**
  236.      * Retrieve the Calibration Instrument Dimension
  237.      * 
  238.      * @return The Calibration Instrument Dimension
  239.      */

  241.     public int dimension()
  242.     {
  243.         return _astrTenor.length;
  244.     }
  245. }
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