net.finmath.smartcontract.valuation.marketdata.curvecalibration.CalibrationDataset Maven / Gradle / Ivy

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package net.finmath.smartcontract.valuation.marketdata.curvecalibration;

import com.fasterxml.jackson.databind.ObjectMapper;
import net.finmath.smartcontract.model.MarketDataList;
import net.finmath.smartcontract.valuation.marketdata.data.MarketDataPoint;

import java.time.LocalDateTime;
import java.time.format.DateTimeFormatter;
import java.util.*;
import java.util.stream.Collectors;
import java.util.stream.Stream;

/**
 * IR Market Data Scenario Class holds a SecnarioDate an a Map containing CurveData
 *
 * @author Peter Kohl-Landgraf
 */
@SuppressWarnings("java:S125")
public class CalibrationDataset {

	private static final String FIXING = "Fixing";
	LocalDateTime scenarioDate;
	Set calibrationDataItems;
	Set fixingDataItems;

	public CalibrationDataset(final Set curveDataPointSet, final LocalDateTime scenarioDate) {
		this.scenarioDate = scenarioDate;
		this.fixingDataItems = curveDataPointSet.stream().filter(dataItem -> dataItem.getProductName().equals(FIXING)).sorted(Comparator.comparing(CalibrationDataItem::getDate)).collect(Collectors.toCollection(LinkedHashSet::new));
		this.calibrationDataItems = curveDataPointSet.stream().filter(dataItem -> !dataItem.getProductName().equals(FIXING)).sorted(Comparator.comparing(CalibrationDataItem::getDaysToMaturity)).collect(Collectors.toCollection(LinkedHashSet::new));
	}

	public CalibrationDataset getScaled(double scaleFactor) {

		Set scaledSet = calibrationDataItems.stream().map(point -> point.getClonedScaled(scaleFactor)).collect(Collectors.toCollection(LinkedHashSet::new));
		return new CalibrationDataset(scaledSet, scenarioDate);
	}

	public Set getFixingDataItems() {
		return this.fixingDataItems;
	}

	/*public Map  getFixingDataMap(){
		return fixingDataItems.stream().sorted(Comparator.comparing(CalibrationDataItem::getDate))
				.collect(Collectors.toMap(item->item.getMaturity(), item->item.getQuote(), (x, y) -> y, LinkedHashMap::new));
	}*/

	public CalibrationDataset getClonedFixingsAdded(Set newFixingDataItems) {
		// @todo - do several checks i.e. what if a fixing already exists at that date or if dataTiem is not a fixing
		Set clone = new LinkedHashSet<>(); /*Deep Clone*/
		clone.addAll(this.calibrationDataItems);
		clone.addAll(this.fixingDataItems);
		newFixingDataItems.stream().forEach(newFixing -> {
			if (newFixing.getProductName().equals(FIXING)) {
				if (!this.fixingDataItems.stream().filter(fixing -> fixing.getCurveName().equals(newFixing.getCurveName()) && fixing.getDate().equals(newFixing.getDate())).findAny().isPresent())
					clone.add(newFixing);
			}
		});
		return new CalibrationDataset(clone, this.scenarioDate);
	}

	public MarketDataList toMarketDataList() {
		List marketDataPointList = calibrationDataItems.stream().map(item -> new MarketDataPoint(item.getSpec().getKey(), item.getQuote(), item.getDateTime())).toList();
		List fixings = fixingDataItems.stream().map(item -> new MarketDataPoint(item.getSpec().getKey(), item.getQuote(), item.getDateTime())).toList();
		MarketDataList marketDataList = new MarketDataList();
		marketDataPointList.forEach(marketDataList::add);
		fixings.forEach(marketDataList::add);
		return marketDataList;
	}

	public String serializeToJson() {
		ObjectMapper mapper = new ObjectMapper();

		String date = LocalDateTime.now().format(DateTimeFormatter.ofPattern("yyyyMMdd-HHmmss"));
		String quoteKey = "Quotes";
		String fixingKey = "Fixings";

		Map>>>> nestedMap = new LinkedHashMap<>();
		nestedMap.put(date, new LinkedHashMap<>());
		nestedMap.get(date).put(quoteKey, new LinkedHashMap<>());
		/* Serialize Quotes */
		for (CalibrationDataItem item : this.calibrationDataItems) {
			if (!nestedMap.get(date).get(quoteKey).containsKey(item.getSpec().getCurveName()))
				nestedMap.get(date).get(quoteKey).put(item.getSpec().getCurveName(), new LinkedHashMap<>());
			if (!nestedMap.get(date).get(quoteKey).get(item.getSpec().getCurveName()).containsKey(item.getSpec().getProductName()))
				nestedMap.get(date).get(quoteKey).get(item.getSpec().getCurveName()).put(item.getSpec().getProductName(), new LinkedHashMap<>());
			nestedMap.get(date).get(quoteKey).get(item.getSpec().getCurveName()).get(item.getSpec().getProductName()).put(item.getSpec().getMaturity(), item.getQuote()); /*Maturity is mapped to Quote*/
		}
		/* Serialize Fixings */
		nestedMap.get(date).put(fixingKey, new LinkedHashMap<>());
		for (CalibrationDataItem item : this.fixingDataItems) {
			if (!nestedMap.get(date).get(fixingKey).containsKey(item.getSpec().getCurveName()))
				nestedMap.get(date).get(fixingKey).put(item.getSpec().getCurveName(), new LinkedHashMap<>());
			if (!nestedMap.get(date).get(fixingKey).get(item.getSpec().getCurveName()).containsKey(item.getSpec().getProductName()))
				nestedMap.get(date).get(fixingKey).get(item.getSpec().getCurveName()).put(item.getSpec().getProductName(), new LinkedHashMap<>());
			nestedMap.get(date).get(fixingKey).get(item.getSpec().getCurveName()).get(item.getSpec().getProductName()).put(item.getDateString(), item.getQuote()); /*Date is mapped to Fixing*/
		}
		try {
			return mapper.writerWithDefaultPrettyPrinter().writeValueAsString(nestedMap);
		} catch (Exception e) {
			return null;
		}

	}


	/**
	 * Returns a Stream of CalibrationSpecs, curveData provided as calibration data points, will be converted to calibration specs
	 * Currently Swap-Rates, FRAS and Deposit Specs are used.
	 *
	 * @param parser Object implementing a CalibrationParser.
	 * @return Stream of calibration spec providers.
	 */
	public Stream getDataAsCalibrationDataPointStream(final CalibrationParser parser) {
		// TODO There are possilby items that have maturity 0D. These are filteres out here. TODO - check why items with maturity 0D occure.
		/* Return only calibraiton specs EXCEPT Past Fixings and spot data */
		return parser.parse(calibrationDataItems.stream().filter(dataItem -> !dataItem.getProductName().equals(FIXING) && !dataItem.getProductName().equals("Deposit") && !dataItem.getSpec().getMaturity().equals("0D")));
	}

	public Set getDataPoints() {
		Set allItems = new HashSet<>();
		allItems.addAll(this.calibrationDataItems);
		allItems.addAll(this.fixingDataItems);
		return allItems;
	}

	public LocalDateTime getDate() {
		return scenarioDate;
	}
}