ComposableUnitPeriod.java

  1. package org.drip.analytics.cashflow;

  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.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  13.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  14.  * Copyright (C) 2014 Lakshmi Krishnamurthy
  15.  * 
  16.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  17.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  18.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  19.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  20.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  21.  *      and computational support.
  22.  *  
  23.  *      https://lakshmidrip.github.io/DROP/
  24.  *  
  25.  *  DROP is composed of three modules:
  26.  *  
  27.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  28.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  29.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  30.  * 
  31.  *  DROP Product Core implements libraries for the following:
  32.  *  - Fixed Income Analytics
  33.  *  - Loan Analytics
  34.  *  - Transaction Cost Analytics
  35.  * 
  36.  *  DROP Portfolio Core implements libraries for the following:
  37.  *  - Asset Allocation Analytics
  38.  *  - Asset Liability Management Analytics
  39.  *  - Capital Estimation Analytics
  40.  *  - Exposure Analytics
  41.  *  - Margin Analytics
  42.  *  - XVA Analytics
  43.  * 
  44.  *  DROP Computational Core implements libraries for the following:
  45.  *  - Algorithm Support
  46.  *  - Computation Support
  47.  *  - Function Analysis
  48.  *  - Model Validation
  49.  *  - Numerical Analysis
  50.  *  - Numerical Optimizer
  51.  *  - Spline Builder
  52.  *  - Statistical Learning
  53.  * 
  54.  *  Documentation for DROP is Spread Over:
  55.  * 
  56.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  57.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  58.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  59.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  60.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  61.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  62.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  63.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  64.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  65.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  66.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  67.  * 
  68.  *  Licensed under the Apache License, Version 2.0 (the "License");
  69.  *      you may not use this file except in compliance with the License.
  70.  *   
  71.  *  You may obtain a copy of the License at
  72.  *      http://www.apache.org/licenses/LICENSE-2.0
  73.  *  
  74.  *  Unless required by applicable law or agreed to in writing, software
  75.  *      distributed under the License is distributed on an "AS IS" BASIS,
  76.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  77.  *  
  78.  *  See the License for the specific language governing permissions and
  79.  *      limitations under the License.
  80.  */

  82. /**
  83.  * <i>ComposableUnitPeriod</i> represents the Cash Flow Periods' Composable Unit Period Details. Currently it
  84.  * holds the Accrual Start Date, the Accrual End Date, the Fixed Coupon, the Basis Spread, the Coupon and the
  85.  * Accrual Day Counts, as well as the EOM Adjustment Flags.
  86.  *
  87.  *  <br><br>
  88.  *  <ul>
  89.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  90.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  91.  *      <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>
  92.  *      <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>
  93.  *  </ul>
  94.  *
  95.  * @author Lakshmi Krishnamurthy
  96.  */

  98. public abstract class ComposableUnitPeriod {

  100.     /**
  101.      * Node is to the Left of the Period
  102.      */

  104.     public static final int NODE_LEFT_OF_SEGMENT = 1;

  106.     /**
  107.      * Node is Inside the Period
  108.      */

  110.     public static final int NODE_INSIDE_SEGMENT = 2;

  112.     /**
  113.      * Node is to the Right of the Period
  114.      */

  116.     public static final int NODE_RIGHT_OF_SEGMENT = 4;

  118.     private int _iFreq = -1;
  119.     private java.lang.String _strTenor = "";
  120.     private int _iEndDate = java.lang.Integer.MIN_VALUE;
  121.     private int _iStartDate = java.lang.Integer.MIN_VALUE;
  122.     private double _dblFullCouponDCF = java.lang.Double.NaN;
  123.     private org.drip.param.period.UnitCouponAccrualSetting _ucas = null;

  125.     protected ComposableUnitPeriod (
  126.         final int iStartDate,
  127.         final int iEndDate,
  128.         final java.lang.String strTenor,
  129.         final org.drip.param.period.UnitCouponAccrualSetting ucas)
  130.         throws java.lang.Exception
  131.     {
  132.         if (
  133.             (_iStartDate = iStartDate) >= (_iEndDate = iEndDate) ||
  134.             null == (_strTenor = strTenor) || strTenor.isEmpty() ||
  135.             null == (_ucas = ucas)
  136.         )
  137.             throw new java.lang.Exception ("ComposableUnitPeriod ctr: Invalid Inputs");

  139.         _iFreq = org.drip.analytics.support.Helper.TenorToFreq (_strTenor);

  141.         _dblFullCouponDCF = _ucas.couponDCFOffOfFreq() ? 1. / _iFreq :
  142.             org.drip.analytics.daycount.Convention.YearFraction (
  143.                 _iStartDate,
  144.                 _iEndDate,
  145.                 _ucas.couponDC(),
  146.                 _ucas.couponEOMAdjustment(),
  147.                 org.drip.analytics.daycount.ActActDCParams.FromFrequency (_iFreq),
  148.                 _ucas.calendar()
  149.             );
  150.     }

  152.     /**
  153.      * Retrieve the Accrual Start Date
  154.      * 
  155.      * @return The Accrual Start Date
  156.      */

  158.     public int startDate()
  159.     {
  160.         return _iStartDate;
  161.     }

  163.     /**
  164.      * Retrieve the Accrual End Date
  165.      * 
  166.      * @return The Accrual End Date
  167.      */

  169.     public int endDate()
  170.     {
  171.         return _iEndDate;
  172.     }

  174.     /**
  175.      * Retrieve the Coupon Frequency
  176.      * 
  177.      * @return The Coupon Frequency
  178.      */

  180.     public int freq()
  181.     {
  182.         return _iFreq;
  183.     }

  185.     /**
  186.      * Retrieve the Coupon Day Count
  187.      * 
  188.      * @return The Coupon Day Count
  189.      */

  191.     public java.lang.String couponDC()
  192.     {
  193.         return _ucas.couponDC();
  194.     }

  196.     /**
  197.      * Retrieve the Coupon EOM Adjustment Flag
  198.      * 
  199.      * @return The Coupon EOM Adjustment Flag
  200.      */

  202.     public boolean couponEOMAdjustment()
  203.     {
  204.         return _ucas.couponEOMAdjustment();
  205.     }

  207.     /**
  208.      * Retrieve the Accrual Day Count
  209.      * 
  210.      * @return The Accrual Day Count
  211.      */

  213.     public java.lang.String accrualDC()
  214.     {
  215.         return _ucas.accrualDC();
  216.     }

  218.     /**
  219.      * Retrieve the Accrual EOM Adjustment Flag
  220.      * 
  221.      * @return The Accrual EOM Adjustment Flag
  222.      */

  224.     public boolean accrualEOMAdjustment()
  225.     {
  226.         return _ucas.accrualEOMAdjustment();
  227.     }

  229.     /**
  230.      * Retrieve the Flag indicating whether Coupon DCF is computed off of the DCF Flag
  231.      * 
  232.      * @return true - The Flag indicating whether Coupon DCF is computed off of the DCF Flag
  233.      */

  235.     public boolean couponDCFOffOfFreq()
  236.     {
  237.         return _ucas.couponDCFOffOfFreq();
  238.     }

  240.     /**
  241.      * Retrieve the Calendar
  242.      * 
  243.      * @return The Calendar
  244.      */

  246.     public java.lang.String calendar()
  247.     {
  248.         return _ucas.calendar();
  249.     }

  251.     /**
  252.      * Retrieve the Accrual Compounding Rule
  253.      * 
  254.      * @return The Accrual Compounding Rule
  255.      */

  257.     public int accrualCompoundingRule()
  258.     {
  259.         return _ucas.accrualCompoundingRule();
  260.     }

  262.     /**
  263.      * Retrieve the Period Full Coupon DCF
  264.      * 
  265.      * @return The Period Full Coupon DCF
  266.      */

  268.     public double fullCouponDCF()
  269.     {
  270.         return _dblFullCouponDCF;
  271.     }

  273.     /**
  274.      * Convert the Coupon Frequency into a Tenor
  275.      * 
  276.      * @return The Coupon Frequency converted into a Tenor
  277.      */

  279.     public java.lang.String tenor()
  280.     {
  281.         return _strTenor;
  282.     }

  284.     /**
  285.      * Place the Date Node Location in Relation to the Segment Location
  286.      * 
  287.      * @param iDateNode The Node Ordinate
  288.      * 
  289.      * @return One of NODE_LEFT_OF_SEGMENT, NODE_RIGHT_OF_SEGMENT, or NODE_INSIDE_SEGMENT
  290.      */

  292.     public int dateLocation (
  293.         final int iDateNode)
  294.     {
  295.         if (iDateNode < _iStartDate) return NODE_LEFT_OF_SEGMENT;

  297.         if (iDateNode > _iEndDate) return NODE_RIGHT_OF_SEGMENT;

  299.         return NODE_INSIDE_SEGMENT;
  300.     }

  302.     /**
  303.      * Get the Period Accrual Day Count Fraction to an Accrual End Date
  304.      * 
  305.      * @param iAccrualEnd Accrual End Date
  306.      * 
  307.      * @return The Accrual DCF
  308.      * 
  309.      * @throws java.lang.Exception Thrown if Inputs are Invalid, or if the Date does not lie within the
  310.      *  Period
  311.      */

  313.     public double accrualDCF (
  314.         final int iAccrualEnd)
  315.         throws java.lang.Exception
  316.     {
  317.         if (NODE_INSIDE_SEGMENT != dateLocation (iAccrualEnd))
  318.             throw new java.lang.Exception
  319.                 ("ComposableUnitPeriod::accrualDCF => Invalid in-period accrual date!");

  321.         org.drip.analytics.daycount.ActActDCParams aap = new org.drip.analytics.daycount.ActActDCParams (
  322.             _iFreq,
  323.             _iEndDate - _iStartDate
  324.         );

  326.         java.lang.String strAccrualDC = accrualDC();

  328.         java.lang.String strCalendar = calendar();

  330.         boolean bAccrualEOMAdjustment = accrualEOMAdjustment();

  332.         return org.drip.analytics.daycount.Convention.YearFraction (
  333.             _iStartDate,
  334.             iAccrualEnd,
  335.             strAccrualDC,
  336.             bAccrualEOMAdjustment,
  337.             aap,
  338.             strCalendar
  339.         ) / org.drip.analytics.daycount.Convention.YearFraction (
  340.             _iStartDate,
  341.             _iEndDate,
  342.             strAccrualDC,
  343.             bAccrualEOMAdjustment,
  344.             aap,
  345.             strCalendar
  346.         ) * _dblFullCouponDCF;
  347.     }

  349.     /**
  350.      * Get the Period Full Coupon Rate
  351.      * 
  352.      * @param csqc The Market Curve and Surface
  353.      * 
  354.      * @return The Period Full Coupon Rate
  355.      * 
  356.      * @throws java.lang.Exception Thrown if the Full Coupon Rate cannot be calculated
  357.      */

  359.     public double fullCouponRate (
  360.         final org.drip.param.market.CurveSurfaceQuoteContainer csqc)
  361.         throws java.lang.Exception
  362.     {
  363.         return baseRate (csqc) + basis();
  364.     }

  366.     /**
  367.      * Get the Period Base Coupon Rate
  368.      * 
  369.      * @param csqc The Market Curve and Surface
  370.      * 
  371.      * @return The Period Base Coupon Rate
  372.      * 
  373.      * @throws java.lang.Exception Thrown if the base Coupon Rate cannot be calculated
  374.      */

  376.     public abstract double baseRate (
  377.         final org.drip.param.market.CurveSurfaceQuoteContainer csqc)
  378.         throws java.lang.Exception;

  380.     /**
  381.      * Get the Period Coupon Basis
  382.      * 
  383.      * @return The Period Coupon Basis
  384.      */

  386.     public abstract double basis();

  388.     /**
  389.      * Get the Period Coupon Currency
  390.      * 
  391.      * @return The Period Coupon Currency
  392.      */

  394.     public abstract java.lang.String couponCurrency();
  395. }
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