ComposableUnitPeriod.java
package org.drip.analytics.cashflow;
/*
* -*- 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
* Copyright (C) 2016 Lakshmi Krishnamurthy
* Copyright (C) 2015 Lakshmi Krishnamurthy
* Copyright (C) 2014 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>ComposableUnitPeriod</i> represents the Cash Flow Periods' Composable Unit Period Details. Currently it
* holds the Accrual Start Date, the Accrual End Date, the Fixed Coupon, the Basis Spread, the Coupon and the
* Accrual Day Counts, as well as the EOM Adjustment Flags.
*
* <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/analytics/README.md">Date, Cash Flow, and Cash Flow Period Measure Generation Utilities</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/analytics/cashflow/README.md">Unit and Composite Cash Flow Periods</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public abstract class ComposableUnitPeriod {
/**
* Node is to the Left of the Period
*/
public static final int NODE_LEFT_OF_SEGMENT = 1;
/**
* Node is Inside the Period
*/
public static final int NODE_INSIDE_SEGMENT = 2;
/**
* Node is to the Right of the Period
*/
public static final int NODE_RIGHT_OF_SEGMENT = 4;
private int _iFreq = -1;
private java.lang.String _strTenor = "";
private int _iEndDate = java.lang.Integer.MIN_VALUE;
private int _iStartDate = java.lang.Integer.MIN_VALUE;
private double _dblFullCouponDCF = java.lang.Double.NaN;
private org.drip.param.period.UnitCouponAccrualSetting _ucas = null;
protected ComposableUnitPeriod (
final int iStartDate,
final int iEndDate,
final java.lang.String strTenor,
final org.drip.param.period.UnitCouponAccrualSetting ucas)
throws java.lang.Exception
{
if (
(_iStartDate = iStartDate) >= (_iEndDate = iEndDate) ||
null == (_strTenor = strTenor) || strTenor.isEmpty() ||
null == (_ucas = ucas)
)
throw new java.lang.Exception ("ComposableUnitPeriod ctr: Invalid Inputs");
_iFreq = org.drip.analytics.support.Helper.TenorToFreq (_strTenor);
_dblFullCouponDCF = _ucas.couponDCFOffOfFreq() ? 1. / _iFreq :
org.drip.analytics.daycount.Convention.YearFraction (
_iStartDate,
_iEndDate,
_ucas.couponDC(),
_ucas.couponEOMAdjustment(),
org.drip.analytics.daycount.ActActDCParams.FromFrequency (_iFreq),
_ucas.calendar()
);
}
/**
* Retrieve the Accrual Start Date
*
* @return The Accrual Start Date
*/
public int startDate()
{
return _iStartDate;
}
/**
* Retrieve the Accrual End Date
*
* @return The Accrual End Date
*/
public int endDate()
{
return _iEndDate;
}
/**
* Retrieve the Coupon Frequency
*
* @return The Coupon Frequency
*/
public int freq()
{
return _iFreq;
}
/**
* Retrieve the Coupon Day Count
*
* @return The Coupon Day Count
*/
public java.lang.String couponDC()
{
return _ucas.couponDC();
}
/**
* Retrieve the Coupon EOM Adjustment Flag
*
* @return The Coupon EOM Adjustment Flag
*/
public boolean couponEOMAdjustment()
{
return _ucas.couponEOMAdjustment();
}
/**
* Retrieve the Accrual Day Count
*
* @return The Accrual Day Count
*/
public java.lang.String accrualDC()
{
return _ucas.accrualDC();
}
/**
* Retrieve the Accrual EOM Adjustment Flag
*
* @return The Accrual EOM Adjustment Flag
*/
public boolean accrualEOMAdjustment()
{
return _ucas.accrualEOMAdjustment();
}
/**
* Retrieve the Flag indicating whether Coupon DCF is computed off of the DCF Flag
*
* @return true - The Flag indicating whether Coupon DCF is computed off of the DCF Flag
*/
public boolean couponDCFOffOfFreq()
{
return _ucas.couponDCFOffOfFreq();
}
/**
* Retrieve the Calendar
*
* @return The Calendar
*/
public java.lang.String calendar()
{
return _ucas.calendar();
}
/**
* Retrieve the Accrual Compounding Rule
*
* @return The Accrual Compounding Rule
*/
public int accrualCompoundingRule()
{
return _ucas.accrualCompoundingRule();
}
/**
* Retrieve the Period Full Coupon DCF
*
* @return The Period Full Coupon DCF
*/
public double fullCouponDCF()
{
return _dblFullCouponDCF;
}
/**
* Convert the Coupon Frequency into a Tenor
*
* @return The Coupon Frequency converted into a Tenor
*/
public java.lang.String tenor()
{
return _strTenor;
}
/**
* Place the Date Node Location in Relation to the Segment Location
*
* @param iDateNode The Node Ordinate
*
* @return One of NODE_LEFT_OF_SEGMENT, NODE_RIGHT_OF_SEGMENT, or NODE_INSIDE_SEGMENT
*/
public int dateLocation (
final int iDateNode)
{
if (iDateNode < _iStartDate) return NODE_LEFT_OF_SEGMENT;
if (iDateNode > _iEndDate) return NODE_RIGHT_OF_SEGMENT;
return NODE_INSIDE_SEGMENT;
}
/**
* Get the Period Accrual Day Count Fraction to an Accrual End Date
*
* @param iAccrualEnd Accrual End Date
*
* @return The Accrual DCF
*
* @throws java.lang.Exception Thrown if Inputs are Invalid, or if the Date does not lie within the
* Period
*/
public double accrualDCF (
final int iAccrualEnd)
throws java.lang.Exception
{
if (NODE_INSIDE_SEGMENT != dateLocation (iAccrualEnd))
throw new java.lang.Exception
("ComposableUnitPeriod::accrualDCF => Invalid in-period accrual date!");
org.drip.analytics.daycount.ActActDCParams aap = new org.drip.analytics.daycount.ActActDCParams (
_iFreq,
_iEndDate - _iStartDate
);
java.lang.String strAccrualDC = accrualDC();
java.lang.String strCalendar = calendar();
boolean bAccrualEOMAdjustment = accrualEOMAdjustment();
return org.drip.analytics.daycount.Convention.YearFraction (
_iStartDate,
iAccrualEnd,
strAccrualDC,
bAccrualEOMAdjustment,
aap,
strCalendar
) / org.drip.analytics.daycount.Convention.YearFraction (
_iStartDate,
_iEndDate,
strAccrualDC,
bAccrualEOMAdjustment,
aap,
strCalendar
) * _dblFullCouponDCF;
}
/**
* Get the Period Full Coupon Rate
*
* @param csqc The Market Curve and Surface
*
* @return The Period Full Coupon Rate
*
* @throws java.lang.Exception Thrown if the Full Coupon Rate cannot be calculated
*/
public double fullCouponRate (
final org.drip.param.market.CurveSurfaceQuoteContainer csqc)
throws java.lang.Exception
{
return baseRate (csqc) + basis();
}
/**
* Get the Period Base Coupon Rate
*
* @param csqc The Market Curve and Surface
*
* @return The Period Base Coupon Rate
*
* @throws java.lang.Exception Thrown if the base Coupon Rate cannot be calculated
*/
public abstract double baseRate (
final org.drip.param.market.CurveSurfaceQuoteContainer csqc)
throws java.lang.Exception;
/**
* Get the Period Coupon Basis
*
* @return The Period Coupon Basis
*/
public abstract double basis();
/**
* Get the Period Coupon Currency
*
* @return The Period Coupon Currency
*/
public abstract java.lang.String couponCurrency();
}