PathVertexGovvie.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>PathVertexGovvie</i> exposes the Functionality to generate a Sequence of Path/Vertex Govvie Curves.
  81.  *
  82.  *  <br><br>
  83.  *  <ul>
  84.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  85.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  86.  *      <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>
  87.  *      <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>
  88.  *  </ul>
  89.  * <br><br>
  90.  *
  91.  * @author Lakshmi Krishnamurthy
  92.  */

  94. public class PathVertexGovvie extends org.drip.state.sequence.PathVertexRd {
  95.     private org.drip.state.sequence.GovvieBuilderSettings _gbs = null;

  97.     private org.drip.state.govvie.GovvieCurve[][] curveVertex (
  98.         final double[][][] aaadblPathForward)
  99.     {
  100.         if (null == aaadblPathForward) return null;

  102.         org.drip.measure.discrete.CorrelatedPathVertexDimension cpvd = cpvd();

  104.         int iNumPath = cpvd.numPath();

  106.         int iNumVertex = cpvd.numVertex();

  108.         java.lang.String[] astrTenor = _gbs.tenors();

  110.         java.lang.String strTreasuryCode = _gbs.code();

  112.         org.drip.analytics.date.JulianDate dtSpot = _gbs.spot();

  114.         java.lang.String strCurrency = _gbs.groundState().currency();

  116.         org.drip.state.nonlinear.FlatForwardGovvieCurve[][] aaFFGC = new
  117.             org.drip.state.nonlinear.FlatForwardGovvieCurve[iNumPath][iNumVertex];

  119.         for (int iTimeVertex = 0; iTimeVertex < iNumVertex; ++iTimeVertex) {
  120.             org.drip.analytics.date.JulianDate dtEvent = dtSpot.addYears (iTimeVertex + 1);

  122.             if (null == dtEvent) return null;

  124.             int iEventDate = dtEvent.julian();

  126.             int[] aiDate = org.drip.analytics.support.Helper.TenorToDate (dtEvent, astrTenor);

  128.             for (int iPath = 0; iPath < iNumPath; ++iPath) {
  129.                 try {
  130.                     if (null == (aaFFGC[iPath][iTimeVertex] = new
  131.                         org.drip.state.nonlinear.FlatForwardGovvieCurve (iEventDate, strTreasuryCode,
  132.                             strCurrency, aiDate, aaadblPathForward[iPath][iTimeVertex])))
  133.                         return null;
  134.                 } catch (java.lang.Exception e) {
  135.                     e.printStackTrace();

  137.                     return null;
  138.                 }
  139.             }
  140.         }

  142.         return aaFFGC;
  143.     }

  145.     /**
  146.      * Generate a Standard Instance of PathVertexGovvie
  147.      * 
  148.      * @param gbs Govvie Builder Settings Instance
  149.      * @param cpvd Latent State Evolver CPVD Instance
  150.      * @param de The Latent State Diffusion Evolver
  151.      * 
  152.      * @return Standard Instance of PathVertexGovvie
  153.      */

  155.     public static final PathVertexGovvie Standard (
  156.         final org.drip.state.sequence.GovvieBuilderSettings gbs,
  157.         final org.drip.measure.discrete.CorrelatedPathVertexDimension cpvd,
  158.         final org.drip.measure.process.DiffusionEvolver de)
  159.     {
  160.         if (null == cpvd || null == de) return null;

  162.         int iNumDimension = cpvd.numDimension();

  164.         org.drip.measure.process.DiffusionEvolver[] aDE = new
  165.             org.drip.measure.process.DiffusionEvolver[iNumDimension];

  167.         for (int iDimension = 0; iDimension < iNumDimension; ++iDimension)
  168.             aDE[iDimension] = de;

  170.         try {
  171.             return new PathVertexGovvie (gbs, cpvd, aDE);
  172.         } catch (java.lang.Exception e) {
  173.             e.printStackTrace();
  174.         }

  176.         return null;
  177.     }

  179.     /**
  180.      * PathVertexGovvie Constructor
  181.      * 
  182.      * @param gbs Govvie Builder Settings
  183.      * @param cpvd Latent State Evolver CPVD Instance
  184.      * @param aDE Array of the Latent State Diffusion Evolvers
  185.      * 
  186.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  187.      */

  189.     public PathVertexGovvie (
  190.         final org.drip.state.sequence.GovvieBuilderSettings gbs,
  191.         final org.drip.measure.discrete.CorrelatedPathVertexDimension cpvd,
  192.         final org.drip.measure.process.DiffusionEvolver[] aDE)
  193.         throws java.lang.Exception
  194.     {
  195.         super (cpvd, aDE);

  197.         if (null == (_gbs = gbs))
  198.             throw new java.lang.Exception ("PathVertexGovvie Constructor => Invalid Inputs");
  199.     }

  201.     /**
  202.      * Generate the Govvie Builder Settings Instance
  203.      * 
  204.      * @return The Govvie Builder Settings Instance
  205.      */

  207.     public org.drip.state.sequence.GovvieBuilderSettings govvieBuilderSettings()
  208.     {
  209.         return _gbs;
  210.     }

  212.     /**
  213.      * Generate the R^d Path/Vertex Govvie Curves using the Initial R^d and the Evolution Time Width
  214.      * 
  215.      * @param adblTimeIncrement Array of the Evolution Time Widths
  216.      * 
  217.      * @return The R^d Path//Vertex Govvie Curves
  218.      */

  220.     public org.drip.state.govvie.GovvieCurve[][] pathVertex (
  221.         final double[] adblTimeIncrement)
  222.     {
  223.         return curveVertex (pathVertex (_gbs.groundForwardYield(), adblTimeIncrement));
  224.     }

  226.     /**
  227.      * Generate the R^d Path/Vertex Govvie Curves using the Initial R^d and the Evolution Time Width
  228.      * 
  229.      * @param dblTimeIncrement The Evolution Time Widths
  230.      * 
  231.      * @return The R^d Path//Vertex Govvie Curves
  232.      */

  234.     public org.drip.state.govvie.GovvieCurve[][] pathVertex (
  235.         final double dblTimeIncrement)
  236.     {
  237.         return curveVertex (pathVertex (_gbs.groundForwardYield(), dblTimeIncrement));
  238.     }

  240.     /**
  241.      * Generate the R^d Path/Vertex Govvie Curves using the Initial R^d and the Array of Event Tenors
  242.      * 
  243.      * @param astrEventTenor The Array of Event Tenors
  244.      * 
  245.      * @return The R^d Path//Vertex Govvie Curves
  246.      */

  248.     public org.drip.state.govvie.GovvieCurve[][] pathVertex (
  249.         final java.lang.String[] astrEventTenor)
  250.     {
  251.         return curveVertex (pathVertex (_gbs.groundForwardYield(), astrEventTenor));
  252.     }

  254.     /**
  255.      * Generate the R^d Path/Vertex Govvie Curves using the Initial R^d and the Array of Event Tenors
  256.      * 
  257.      * @param aiEventDate The Array of Event Dates
  258.      * 
  259.      * @return The R^d Path//Vertex Govvie Curves
  260.      */

  262.     public org.drip.state.govvie.GovvieCurve[][] pathVertex (
  263.         final int[] aiEventDate)
  264.     {
  265.         return curveVertex (pathVertex (_gbs.groundForwardYield(), _gbs.spot().julian(), aiEventDate));
  266.     }
  267. }
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