PathGovvie.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>PathGovvie</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 PathGovvie extends org.drip.state.sequence.PathRd {
private org.drip.state.sequence.GovvieBuilderSettings _gbs = null;
/**
* PathGovvie Constructor
*
* @param gbs Govvie Builder Settings Instance
* @param dblVolatility Volatility
* @param bLogNormal TRUE - The Generated Random Numbers are Log Normal
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public PathGovvie (
final org.drip.state.sequence.GovvieBuilderSettings gbs,
final double dblVolatility,
final boolean bLogNormal)
throws java.lang.Exception
{
super (gbs.groundForwardYield(), dblVolatility, bLogNormal);
if (null == (_gbs = gbs)) throw new java.lang.Exception ("PathGovvie Constructor => Invalid Inputs");
}
/**
* Generate the Govvie Builder Settings Instance
*
* @return The Govvie Builder Settings Instance
*/
public org.drip.state.sequence.GovvieBuilderSettings govvieBuilderSettings()
{
return _gbs;
}
/**
* Generate the R^d Path Govvie Curves using the Initial R^d and the Evolution Time Width
*
* @param iNumPath Number of Paths
*
* @return The R^d Path//Vertex Govvie Curves
*/
public org.drip.state.govvie.GovvieCurve[] curveSequence (
final int iNumPath)
{
java.lang.String strCurrency = _gbs.groundState().currency();
org.drip.analytics.date.JulianDate dtSpot = _gbs.spot();
double[][] aadblPathSequence = sequence (iNumPath);
java.lang.String strTreasuryCode = _gbs.code();
java.lang.String[] astrTenor = _gbs.tenors();
if (null == aadblPathSequence) return null;
int iEpochDate = dtSpot.julian();
int iNumTenor = astrTenor.length;
int[] aiDate = new int[iNumTenor];
org.drip.state.nonlinear.FlatForwardGovvieCurve[] aFFGC = new
org.drip.state.nonlinear.FlatForwardGovvieCurve[iNumPath];
for (int iTenor = 0; iTenor < iNumTenor; ++iTenor) {
org.drip.analytics.date.JulianDate dtTenor = dtSpot.addTenor (astrTenor[iTenor]);
if (null == dtTenor) return null;
aiDate[iTenor] = dtTenor.julian();
}
for (int iPath = 0; iPath < iNumPath; ++iPath) {
try {
if (null == (aFFGC[iPath] = new org.drip.state.nonlinear.FlatForwardGovvieCurve (iEpochDate,
strTreasuryCode, strCurrency, aiDate, aadblPathSequence[iPath])))
return null;
} catch (java.lang.Exception e) {
e.printStackTrace();
return null;
}
}
return aFFGC;
}
}