GovvieBuilderSettings.java
package org.drip.state.sequence;
/*
* -*- 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
*
* 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>GovvieBuilderSettings</i> exposes the Functionality to generate a Sequence of Govvie Curve Realizations
* across Multiple Paths.
*
* <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/sequence/README.md">Monte Carlo Path State Realizations</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class GovvieBuilderSettings {
private double[] _adblTreasuryYield = null;
private double[] _adblTreasuryCoupon = null;
private java.lang.String[] _astrTenor = null;
private java.lang.String _strTreasuryCode = "";
private double[] _adblForwardYieldGround = null;
private org.drip.analytics.date.JulianDate _dtSpot = null;
private org.drip.state.curve.BasisSplineGovvieYield _bsgyGround = null;
protected static final org.drip.state.curve.BasisSplineGovvieYield GovvieCurve (
final org.drip.analytics.date.JulianDate dtSpot,
final java.lang.String strCode,
final java.lang.String[] astrTenor,
final double[] adblCoupon,
final double[] adblYield)
throws Exception
{
int iNumInstrument = astrTenor.length;
org.drip.analytics.date.JulianDate[] adtMaturity = new
org.drip.analytics.date.JulianDate[iNumInstrument];
org.drip.analytics.date.JulianDate[] adtEffective = new
org.drip.analytics.date.JulianDate[iNumInstrument];
for (int i = 0; i < iNumInstrument; ++i)
adtMaturity[i] = (adtEffective[i] = dtSpot).addTenor (astrTenor[i]);
return (org.drip.state.curve.BasisSplineGovvieYield)
org.drip.service.template.LatentMarketStateBuilder.GovvieCurve (strCode, dtSpot, adtEffective,
adtMaturity, adblCoupon, adblYield, "Yield",
org.drip.service.template.LatentMarketStateBuilder.SHAPE_PRESERVING);
}
/**
* GovvieBuilderSettings Constructor
*
* @param dtSpot The Spot Date
* @param strTreasuryCode The Treasury Code
* @param astrTenor Array of Maturity Tenors
* @param adblTreasuryCoupon Array of Treasury Coupon
* @param adblTreasuryYield Array of Treasury Yield
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public GovvieBuilderSettings (
final org.drip.analytics.date.JulianDate dtSpot,
final java.lang.String strTreasuryCode,
final java.lang.String[] astrTenor,
final double[] adblTreasuryCoupon,
final double[] adblTreasuryYield)
throws java.lang.Exception
{
if (null == (_bsgyGround = GovvieCurve (_dtSpot = dtSpot, _strTreasuryCode = strTreasuryCode,
_astrTenor = astrTenor, _adblTreasuryCoupon = adblTreasuryCoupon, _adblTreasuryYield =
adblTreasuryYield)))
throw new java.lang.Exception ("GovvieBuilderSettings Constructor => Invalid Inputs");
org.drip.state.nonlinear.FlatForwardDiscountCurve ffdcGround = _bsgyGround.flatForward (_astrTenor);
if (null == ffdcGround || null == (_adblForwardYieldGround = ffdcGround.nodeValues()))
throw new java.lang.Exception ("GovvieBuilderSettings Constructor => Invalid Inputs");
}
/**
* Retrieve the Spot Date
*
* @return The Spot Date
*/
public org.drip.analytics.date.JulianDate spot()
{
return _dtSpot;
}
/**
* Retrieve the Treasury Code
*
* @return The Treasury Code
*/
public java.lang.String code()
{
return _strTreasuryCode;
}
/**
* Retrieve the Treasury Maturity Tenor Array
*
* @return The Treasury Maturity Tenor Array
*/
public java.lang.String[] tenors()
{
return _astrTenor;
}
/**
* Retrieve the Calibration Treasury Coupon Array
*
* @return The Calibration Treasury Coupon Array
*/
public double[] coupon()
{
return _adblTreasuryCoupon;
}
/**
* Retrieve the Calibration Treasury Yield Array
*
* @return The Calibration Treasury Yield Array
*/
public double[] yield()
{
return _adblTreasuryYield;
}
/**
* Retrieve the Ground State Govvie Curve
*
* @return The Ground State Govvie Curve
*/
public org.drip.state.curve.BasisSplineGovvieYield groundState()
{
return _bsgyGround;
}
/**
* Retrieve the Ground Forward Yield Array
*
* @return The Ground Forward Yield Array
*/
public double[] groundForwardYield()
{
return _adblForwardYieldGround;
}
/**
* Retrieve the Calibration Instrument Dimension
*
* @return The Calibration Instrument Dimension
*/
public int dimension()
{
return _astrTenor.length;
}
}