CompositeFixedPeriod.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>CompositeFixedPeriod</i> implements the composed fixed coupon period functionality. It customizes the
 * Period Quote Set and the Basis Quote for the Fixed Period.
 *
 *  <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 class CompositeFixedPeriod extends org.drip.analytics.cashflow.CompositePeriod {

    /**
     * CompositeFixedPeriod Constructor
     * 
     * @param cps Composite Period Setting Instance
     * @param lsCUP List of Composable Unit Fixed Periods
     * 
     * @throws java.lang.Exception Thrown if the Accrual Compounding Rule is invalid
     */

    public CompositeFixedPeriod (
        final org.drip.param.period.CompositePeriodSetting cps,
        final java.util.List<org.drip.analytics.cashflow.ComposableUnitPeriod> lsCUP)
        throws java.lang.Exception
    {
        super (
            cps,
            lsCUP
        );
    }

    @Override public org.drip.product.calib.CompositePeriodQuoteSet periodQuoteSet (
        final org.drip.product.calib.ProductQuoteSet pqs,
        final org.drip.param.market.CurveSurfaceQuoteContainer csqs)
    {
        if (null == pqs || !(pqs instanceof org.drip.product.calib.FixedStreamQuoteSet)) return null;

        org.drip.product.calib.FixedStreamQuoteSet fsqs = (org.drip.product.calib.FixedStreamQuoteSet) pqs;

        org.drip.analytics.cashflow.ComposableUnitPeriod cup = periods().get (0);

        try {
            org.drip.product.calib.CompositePeriodQuoteSet cpqs = new
                org.drip.product.calib.CompositePeriodQuoteSet (pqs.lss());

            if (!cpqs.setBaseRate (fsqs.containsCoupon() ? fsqs.coupon() : cup.baseRate (csqs))) return null;

            if (!cpqs.setBasis (fsqs.containsCouponBasis() ? fsqs.couponBasis() : basis())) return null;

            return cpqs;
        } catch (java.lang.Exception e) {
            e.printStackTrace();
        }

        return null;
    }

    @Override public double basisQuote (
        final org.drip.product.calib.ProductQuoteSet pqs)
    {
        double dblBasis = basis();

        if (null == pqs || !(pqs instanceof org.drip.product.calib.FixedStreamQuoteSet)) return dblBasis;

        org.drip.product.calib.FixedStreamQuoteSet fsqs = (org.drip.product.calib.FixedStreamQuoteSet) pqs;

        try {
            if (fsqs.containsCouponBasis()) return fsqs.couponBasis();
        } catch (java.lang.Exception e) {
            e.printStackTrace();
        }

        return dblBasis;
    }
}