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;
    }
}