ReferenceIndexPeriod.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
*
* 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>ReferenceIndexPeriod</i> contains the Cash Flow Period Details. Currently it holds the Start Date, the
* End Date, the Fixing Date, and the Reference Latent State Label.
*
* <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 ReferenceIndexPeriod
{
private double _dblDCF = java.lang.Double.NaN;
private int _iEndDate = java.lang.Integer.MIN_VALUE;
private int _iStartDate = java.lang.Integer.MIN_VALUE;
private int _iFixingDate = java.lang.Integer.MIN_VALUE;
private org.drip.state.identifier.FloaterLabel _floaterLabel = null;
/**
* Standard Instance of ReferenceIndexPeriod
*
* @param iStartDate Reference Period Start Date
* @param iEndDate Reference Period End Date
* @param floaterLabel Period Forward Label
*
* @return The ReferenceIndexPeriod Instance
*/
public static final ReferenceIndexPeriod Standard (
final int iStartDate,
final int iEndDate,
final org.drip.state.identifier.FloaterLabel floaterLabel)
{
if (null == floaterLabel) return null;
org.drip.analytics.daycount.DateAdjustParams dapFixing =
floaterLabel.floaterIndex().spotLagDAPBackward();
org.drip.param.period.UnitCouponAccrualSetting ucas = floaterLabel.ucas();
try {
return new ReferenceIndexPeriod (
iStartDate,
iEndDate,
null == dapFixing ? iStartDate : dapFixing.roll (iStartDate),
ucas.couponDCFOffOfFreq() ? 1. / ucas.freq() :
org.drip.analytics.daycount.Convention.YearFraction (
iStartDate,
iEndDate,
ucas.couponDC(),
ucas.couponEOMAdjustment(),
null,
ucas.calendar()
),
floaterLabel
);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* The ReferenceIndexPeriod Constructor
*
* @param iStartDate Reference Period Start Date
* @param iEndDate Reference Period End Date
* @param iFixingDate Reference Period Fixing Date
* @param dblDCF Reference Period Day Count Fraction
* @param floaterLabel Period Floater Label
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public ReferenceIndexPeriod (
final int iStartDate,
final int iEndDate,
final int iFixingDate,
final double dblDCF,
final org.drip.state.identifier.FloaterLabel floaterLabel)
throws java.lang.Exception
{
if ((_iEndDate = iEndDate) <= (_iStartDate = iStartDate) ||
(_iFixingDate = iFixingDate) > _iStartDate ||
!org.drip.numerical.common.NumberUtil.IsValid (_dblDCF = dblDCF) ||
null == (_floaterLabel = floaterLabel))
throw new java.lang.Exception ("ReferenceIndexPeriod ctr: Invalid Inputs");
}
/**
* Reference Period Start Date
*
* @return The Reference Period Start Date
*/
public int startDate()
{
return _iStartDate;
}
/**
* Reference Period End Date
*
* @return The Reference Period End Date
*/
public int endDate()
{
return _iEndDate;
}
/**
* Reference Period Fixing Date
*
* @return The Reference Period Fixing Date
*/
public int fixingDate()
{
return _iFixingDate;
}
/**
* Retrieve the Floater Label
*
* @return The Floater Label
*/
public org.drip.state.identifier.FloaterLabel floaterLabel()
{
return _floaterLabel;
}
/**
* Retrieve the Reference Period Day Count Fraction
*
* @return The Reference Period Day Count Fraction
*/
public double dcf()
{
return _dblDCF;
}
}