CompositePeriodBuilder.java

  1. package org.drip.analytics.support;

  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>CompositePeriodBuilder</i> exposes the composite period construction functionality.
  84.  *
  85.  *  <br><br>
  86.  *  <ul>
  87.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  88.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  89.  *      <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>
  90.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/analytics/support/README.md">Assorted Support and Helper Utilities</a></li>
  91.  *  </ul>
  92.  * 
  93.  * @author Lakshmi Krishnamurthy
  94.  */

  96. public class CompositePeriodBuilder {

  98.     /**
  99.      * Edge Date Generation Sequence - Forward
  100.      */

  102.     public static final int EDGE_DATE_SEQUENCE_FORWARD = 0;

  104.     /**
  105.      * Edge Date Generation Sequence - Reverse
  106.      */

  108.     public static final int EDGE_DATE_SEQUENCE_REVERSE = 1;

  110.     /**
  111.      * Edge Date Generation Sequence - Regular
  112.      */

  114.     public static final int EDGE_DATE_SEQUENCE_REGULAR = 2;

  116.     /**
  117.      * Edge Date Generation Sequence - Overnight
  118.      */

  120.     public static final int EDGE_DATE_SEQUENCE_OVERNIGHT = 4;

  122.     /**
  123.      * Edge Date Generation Sequence - Single Edge Date Pair Between Dates
  124.      */

  126.     public static final int EDGE_DATE_SEQUENCE_SINGLE = 8;

  128.     /**
  129.      * Period Set Generation Customization - Short Stub (i.e., No adjustment on either end)
  130.      */

  132.     public static final int SHORT_STUB = 0;

  134.     /**
  135.      * Period Set Generation Customization - Merge the front periods to produce a long front
  136.      */

  138.     public static final int FULL_FRONT_PERIOD = 1;

  140.     /**
  141.      * Period Set Generation Customization - Long Stub (if present) belongs to the front/back end depending
  142.      *  upon backwards/forwards generation scheme
  143.      */

  145.     public static final int LONG_STUB = 2;

  147.     /**
  148.      * Reference Period Fixing is IN-ARREARS (i.e., displaced one period to the right) of the Coupon Period
  149.      */

  151.     public static final int REFERENCE_PERIOD_IN_ARREARS = 0;

  153.     /**
  154.      * Reference Period Fixing is IN-ADVANCE (i.e., the same as that) of the Coupon Period
  155.      */

  157.     public static final int REFERENCE_PERIOD_IN_ADVANCE = 1;

  159.     /**
  160.      * Accrual Compounding Rule - Arithmetic
  161.      */

  163.     public static final int ACCRUAL_COMPOUNDING_RULE_ARITHMETIC = 1;

  165.     /**
  166.      * Accrual Compounding Rule - Geometric
  167.      */

  169.     public static final int ACCRUAL_COMPOUNDING_RULE_GEOMETRIC = 2;

  171.     private static final int DAPAdjust (
  172.         final int iDate,
  173.         final org.drip.analytics.daycount.DateAdjustParams dap)
  174.     {
  175.         if (null == dap) return iDate;

  177.         try {
  178.             return dap.roll (iDate);
  179.         } catch (java.lang.Exception e) {
  180.             e.printStackTrace();
  181.         }

  183.         return iDate;
  184.     }

  186.     /**
  187.      * Verify if the Specified Accrual Compounding Rule is a Valid One
  188.      * 
  189.      * @param iAccrualCompoundingRule The Accrual Compounding Rule
  190.      * 
  191.      * @return TRUE - The Accrual Compounding Rule is valid
  192.      */

  194.     public static final boolean ValidateCompoundingRule (
  195.         final int iAccrualCompoundingRule)
  196.     {
  197.         return ACCRUAL_COMPOUNDING_RULE_ARITHMETIC == iAccrualCompoundingRule ||
  198.             ACCRUAL_COMPOUNDING_RULE_GEOMETRIC == iAccrualCompoundingRule;
  199.     }

  201.     /**
  202.      * Generate a list of period edge dates forward from the start.
  203.      * 
  204.      * @param dtEffective Effective date
  205.      * @param dtMaturity Maturity date
  206.      * @param strTenor Period Tenor
  207.      * @param dap Inner Date Adjustment Parameters
  208.      * @param iPSEC Period Set Edge Customizer Setting
  209.      * 
  210.      * @return List of Period Edge Dates
  211.      */

  213.     public static final java.util.List<java.lang.Integer> ForwardEdgeDates (
  214.         final org.drip.analytics.date.JulianDate dtEffective,
  215.         final org.drip.analytics.date.JulianDate dtMaturity,
  216.         final java.lang.String strTenor,
  217.         final org.drip.analytics.daycount.DateAdjustParams dap,
  218.         final int iPSEC)
  219.     {
  220.         if (null == dtEffective || null == dtMaturity || null == strTenor || strTenor.isEmpty()) return null;

  222.         java.lang.String strPeriodRollTenor = "";
  223.         org.drip.analytics.date.JulianDate dtEdge = dtEffective;

  225.         int iMaturityDate = dtMaturity.julian();

  227.         int iEdgeDate = dtEdge.julian();

  229.         if (iEdgeDate >= iMaturityDate) return null;

  231.         java.util.List<java.lang.Integer> lsEdgeDate = new java.util.ArrayList<java.lang.Integer>();

  233.         while (iEdgeDate < iMaturityDate) {
  234.             lsEdgeDate.add (iEdgeDate);

  236.             strPeriodRollTenor = org.drip.analytics.support.Helper.AggregateTenor
  237.                 (strPeriodRollTenor, strTenor);

  239.             if (null == (dtEdge = dtMaturity.addTenor (strPeriodRollTenor))) return null;

  241.             iEdgeDate = dtEdge.julian();
  242.         }

  244.         if (iEdgeDate > iMaturityDate) {
  245.             if (SHORT_STUB == iPSEC)
  246.                 lsEdgeDate.add (iMaturityDate);
  247.             else if (LONG_STUB == iPSEC) {
  248.                 if (1 != lsEdgeDate.size()) lsEdgeDate.remove (lsEdgeDate.size() - 1);

  250.                 lsEdgeDate.add (iMaturityDate);
  251.             }
  252.         } else if (iEdgeDate == iMaturityDate)
  253.             lsEdgeDate.add (iMaturityDate);

  255.         java.util.List<java.lang.Integer> lsAdjustedEdgeDate = new java.util.ArrayList<java.lang.Integer>();

  257.         lsAdjustedEdgeDate.add (lsEdgeDate.get (0));

  259.         int iNumDate = lsEdgeDate.size();

  261.         for (int i = 1; i < iNumDate - 1; ++i)
  262.             lsAdjustedEdgeDate.add (DAPAdjust (lsEdgeDate.get (i), dap));

  264.         lsAdjustedEdgeDate.add (lsEdgeDate.get (iNumDate - 1));

  266.         if (1 == lsAdjustedEdgeDate.size()) lsAdjustedEdgeDate.add (1, iMaturityDate);

  268.         return lsAdjustedEdgeDate;
  269.     }

  271.     /**
  272.      * Generate a list of period edge dates backward from the end.
  273.      * 
  274.      * @param dtEffective Effective date
  275.      * @param dtMaturity Maturity date
  276.      * @param strTenor Period Tenor
  277.      * @param dap Inner Date Adjustment Parameters
  278.      * @param iPSEC Period Set Edge Customizer Setting
  279.      * 
  280.      * @return List of Period Edge Dates
  281.      */

  283.     public static final java.util.List<java.lang.Integer> BackwardEdgeDates (
  284.         final org.drip.analytics.date.JulianDate dtEffective,
  285.         final org.drip.analytics.date.JulianDate dtMaturity,
  286.         final java.lang.String strTenor,
  287.         final org.drip.analytics.daycount.DateAdjustParams dap,
  288.         final int iPSEC)
  289.     {
  290.         if (null == dtEffective || null == dtMaturity || null == strTenor || strTenor.isEmpty()) return null;

  292.         int iEffectiveDate = dtEffective.julian();

  294.         java.lang.String strPeriodRollTenor = "";
  295.         org.drip.analytics.date.JulianDate dtEdge = dtMaturity;

  297.         int iEdgeDate = dtEdge.julian();

  299.         if (iEffectiveDate >= iEdgeDate) return null;

  301.         java.util.List<java.lang.Integer> lsEdgeDate = new java.util.ArrayList<java.lang.Integer>();

  303.         while (iEdgeDate > iEffectiveDate) {
  304.             lsEdgeDate.add (0, iEdgeDate);

  306.             strPeriodRollTenor = org.drip.analytics.support.Helper.AggregateTenor (strPeriodRollTenor,
  307.                 strTenor);

  309.             if (null == (dtEdge = dtMaturity.subtractTenor (strPeriodRollTenor))) return null;

  311.             iEdgeDate = dtEdge.julian();
  312.         }

  314.         if (iEdgeDate < iEffectiveDate) {
  315.             if (SHORT_STUB == iPSEC)
  316.                 lsEdgeDate.add (0, iEffectiveDate);
  317.             else if (FULL_FRONT_PERIOD == iPSEC)
  318.                 lsEdgeDate.add (0, iEdgeDate);
  319.             else if (LONG_STUB == iPSEC) {
  320.                 if (1 != lsEdgeDate.size()) lsEdgeDate.remove (0);

  322.                 lsEdgeDate.add (0, iEffectiveDate);
  323.             }
  324.         } else if (dtEdge.julian() == iEffectiveDate)
  325.             lsEdgeDate.add (0, iEffectiveDate);

  327.         java.util.List<java.lang.Integer> lsAdjustedEdgeDate = new java.util.ArrayList<java.lang.Integer>();

  329.         lsAdjustedEdgeDate.add (lsEdgeDate.get (0));

  331.         int iNumDate = lsEdgeDate.size();

  333.         for (int i = 1; i < iNumDate - 1; ++i)
  334.             lsAdjustedEdgeDate.add (DAPAdjust (lsEdgeDate.get (i), dap));

  336.         lsAdjustedEdgeDate.add (lsEdgeDate.get (iNumDate - 1));

  338.         return lsAdjustedEdgeDate;
  339.     }

  341.     /**
  342.      * Generate a list of regular period edge dates forward from the start.
  343.      * 
  344.      * @param dtEffective Effective date
  345.      * @param strPeriodTenor Period Tenor
  346.      * @param strMaturityTenor Period Tenor
  347.      * @param dap Inner Date Adjustment Parameters
  348.      * 
  349.      * @return List of Period Edge Dates
  350.      */

  352.     public static final java.util.List<java.lang.Integer> RegularEdgeDates (
  353.         final org.drip.analytics.date.JulianDate dtEffective,
  354.         final java.lang.String strPeriodTenor,
  355.         final java.lang.String strMaturityTenor,
  356.         final org.drip.analytics.daycount.DateAdjustParams dap)
  357.     {
  358.         if (null == dtEffective || null == strPeriodTenor || strPeriodTenor.isEmpty() || null ==
  359.             strMaturityTenor || strMaturityTenor.isEmpty())
  360.             return null;

  362.         int iPeriodTenorMonth = -1;
  363.         int iMaturityTenorMonth = -1;
  364.         int iPeriodMaturityTenorComparison = -1;

  366.         int iMaturityDate = dtEffective.addTenor (strMaturityTenor).julian();

  368.         java.util.List<java.lang.Integer> lsEdgeDate = new java.util.ArrayList<java.lang.Integer>();

  370.         try {
  371.             iPeriodMaturityTenorComparison = org.drip.analytics.support.Helper.TenorCompare (strPeriodTenor,
  372.                 strMaturityTenor);
  373.         } catch (java.lang.Exception e) {
  374.             e.printStackTrace();

  376.             return null;
  377.         }

  379.         if (org.drip.analytics.support.Helper.LEFT_TENOR_EQUALS == iPeriodMaturityTenorComparison ||
  380.             org.drip.analytics.support.Helper.LEFT_TENOR_GREATER == iPeriodMaturityTenorComparison) {
  381.             lsEdgeDate.add (dtEffective.julian());

  383.             lsEdgeDate.add (iMaturityDate);

  385.             return lsEdgeDate;
  386.         }

  388.         try {
  389.             iPeriodTenorMonth = org.drip.analytics.support.Helper.TenorToMonths (strPeriodTenor);

  391.             iMaturityTenorMonth = org.drip.analytics.support.Helper.TenorToMonths (strMaturityTenor);
  392.         } catch (java.lang.Exception e) {
  393.             e.printStackTrace();

  395.             return null;
  396.         }

  398.         org.drip.analytics.date.JulianDate dtEdge = dtEffective;
  399.         int iNumPeriod = iMaturityTenorMonth / iPeriodTenorMonth;

  401.         lsEdgeDate.add (dtEdge.julian());

  403.         for (int i = 0; i < iNumPeriod; ++i) {
  404.             dtEdge = dtEdge.addTenor (strPeriodTenor);

  406.             int iEdgeDate = dtEdge.julian();

  408.             if (iEdgeDate < iMaturityDate) lsEdgeDate.add (DAPAdjust (iEdgeDate, dap));
  409.         }

  411.         lsEdgeDate.add (iMaturityDate);

  413.         return lsEdgeDate;
  414.     }

  416.     /**
  417.      * Generate a list of regular period edge dates forward from the start.
  418.      * 
  419.      * @param iStartDate Start Date
  420.      * @param iEndDate End Date
  421.      * @param strPeriodTenor Period Tenor
  422.      * @param dap Inner Date Adjustment Parameters
  423.      * 
  424.      * @return List of Period Edge Dates
  425.      */

  427.     public static final java.util.List<java.lang.Integer> RegularEdgeDates (
  428.         final int iStartDate,
  429.         final int iEndDate,
  430.         final java.lang.String strPeriodTenor,
  431.         final org.drip.analytics.daycount.DateAdjustParams dap)
  432.     {
  433.         if (iStartDate >= iEndDate || null == strPeriodTenor || strPeriodTenor.isEmpty()) return null;

  435.         java.util.List<java.lang.Integer> lsEdgeDate = new java.util.ArrayList<java.lang.Integer>();

  437.         int iEdgeDate = iStartDate;

  439.         org.drip.analytics.date.JulianDate dtEdge = new org.drip.analytics.date.JulianDate (iStartDate);

  441.         while (iEdgeDate < iEndDate) {
  442.             int iAdjustedEdgeDate = DAPAdjust (iEdgeDate, dap);

  444.             if (!lsEdgeDate.contains (iAdjustedEdgeDate)) lsEdgeDate.add (iAdjustedEdgeDate);

  446.             if (null == (dtEdge = dtEdge.addTenor (strPeriodTenor))) return null;

  448.             iEdgeDate = dtEdge.julian();
  449.         }

  451.         if (!lsEdgeDate.contains (iEndDate)) lsEdgeDate.add (iEndDate);

  453.         return lsEdgeDate;
  454.     }

  456.     /**
  457.      * Generate a list of the IMM period edge dates forward from the spot date.
  458.      * 
  459.      * @param dtSpot Spot Date
  460.      * @param iRollMonths Number of Months to Roll to the Next IMM Date
  461.      * @param strPeriodTenor Period Tenor
  462.      * @param strMaturityTenor Period Tenor
  463.      * @param dap Inner Date Adjustment Parameters
  464.      * 
  465.      * @return List of IMM Period Edge Dates
  466.      */

  468.     public static final java.util.List<java.lang.Integer> IMMEdgeDates (
  469.         final org.drip.analytics.date.JulianDate dtSpot,
  470.         final int iRollMonths,
  471.         final java.lang.String strPeriodTenor,
  472.         final java.lang.String strMaturityTenor,
  473.         final org.drip.analytics.daycount.DateAdjustParams dap)
  474.     {
  475.         if (null == dtSpot) return null;

  477.         try {
  478.             return RegularEdgeDates (dtSpot.nextRatesFuturesIMM (iRollMonths), strPeriodTenor,
  479.                 strMaturityTenor, dap);
  480.         } catch (java.lang.Exception e) {
  481.             e.printStackTrace();
  482.         }

  484.         return null;
  485.     }

  487.     /**
  488.      * Generate the List of Overnight Edge Dates between the specified dates, using the specified Calendar
  489.      * 
  490.      * @param dtStart Start Date
  491.      * @param dtEnd End Date
  492.      * @param strCalendar Calendar
  493.      * 
  494.      * @return List of Overnight Edge Dates
  495.      */

  497.     public static final java.util.List<java.lang.Integer> OvernightEdgeDates (
  498.         final org.drip.analytics.date.JulianDate dtStart,
  499.         final org.drip.analytics.date.JulianDate dtEnd,
  500.         final java.lang.String strCalendar)
  501.     {
  502.         if (null == dtStart || null == dtEnd) return null;

  504.         org.drip.analytics.date.JulianDate dtEdge = dtStart;

  506.         int iEndDate = dtEnd.julian();

  508.         int iEdgeDate = dtEdge.julian();

  510.         if (iEndDate <= iEdgeDate) return null;

  512.         java.util.List<java.lang.Integer> lsOvernightEdgeDate = new java.util.ArrayList<java.lang.Integer>();

  514.         while (iEdgeDate < iEndDate) {
  515.             lsOvernightEdgeDate.add (iEdgeDate);

  517.             if (null == (dtEdge = dtEdge.addBusDays (1, strCalendar))) return null;

  519.             iEdgeDate = dtEdge.julian();
  520.         }

  522.         lsOvernightEdgeDate.add (iEndDate);

  524.         return lsOvernightEdgeDate;
  525.     }

  527.     /**
  528.      * Generate a single Spanning Edge Pair between the specified dates, using the specified Calendar
  529.      * 
  530.      * @param dtStart Start Date
  531.      * @param dtEnd End Date
  532.      * 
  533.      * @return List Containing the Pair
  534.      */

  536.     public static final java.util.List<java.lang.Integer> EdgePair (
  537.         final org.drip.analytics.date.JulianDate dtStart,
  538.         final org.drip.analytics.date.JulianDate dtEnd)
  539.     {
  540.         if (null == dtStart || null == dtEnd) return null;

  542.         int iEndDate = dtEnd.julian();

  544.         int iStartDate = dtStart.julian();

  546.         if (iEndDate <= iStartDate) return null;

  548.         java.util.List<java.lang.Integer> lsOvernightEdgeDate = new java.util.ArrayList<java.lang.Integer>();

  550.         lsOvernightEdgeDate.add (iStartDate);

  552.         lsOvernightEdgeDate.add (iEndDate);

  554.         return lsOvernightEdgeDate;
  555.     }

  557.     /**
  558.      * Construct a Reference Period using the Start/End Dates, the Floater Label, and the Reference Period
  559.      *  Arrears Type
  560.      * 
  561.      * @param dtStart Start Date
  562.      * @param dtEnd End Date
  563.      * @param floaterLabel Floater Label
  564.      * @param iReferencePeriodArrearsType Reference Period Arrears Type
  565.      * 
  566.      * @return The Reference Period
  567.      */

  569.     public static final org.drip.analytics.cashflow.ReferenceIndexPeriod ReferencePeriod (
  570.         final org.drip.analytics.date.JulianDate dtStart,
  571.         final org.drip.analytics.date.JulianDate dtEnd,
  572.         final org.drip.state.identifier.FloaterLabel floaterLabel,
  573.         final int iReferencePeriodArrearsType)
  574.     {
  575.         if (null == dtStart || null == dtEnd || null == floaterLabel) return null;

  577.         java.lang.String strForwardTenor = "";

  579.         if (floaterLabel instanceof org.drip.state.identifier.ForwardLabel)
  580.             strForwardTenor = floaterLabel.tenor();
  581.         else if (floaterLabel instanceof org.drip.state.identifier.OTCFixFloatLabel)
  582.             strForwardTenor = ((org.drip.state.identifier.OTCFixFloatLabel) floaterLabel).fixFloatTenor();

  584.         try {
  585.             return org.drip.analytics.cashflow.ReferenceIndexPeriod.Standard (
  586.                 REFERENCE_PERIOD_IN_ARREARS == iReferencePeriodArrearsType ? dtStart.addTenor
  587.                     (strForwardTenor).julian() : dtStart.julian(),
  588.                 REFERENCE_PERIOD_IN_ARREARS == iReferencePeriodArrearsType ? dtEnd.addTenor
  589.                     (strForwardTenor).julian() : dtEnd.julian(),
  590.                 floaterLabel
  591.             );
  592.         } catch (java.lang.Exception e) {
  593.             e.printStackTrace();
  594.         }

  596.         return null;
  597.     }

  599.     /**
  600.      * Generate a list of period edge dates forward from the start.
  601.      * 
  602.      * @param iEffective Effective Date
  603.      * @param iMaturity Maturity Date
  604.      * @param strTenor Period Tenor
  605.      * @param dap Inner Date Adjustment Parameters
  606.      * @param iPSEC Period Set Edge Customizer Setting
  607.      * 
  608.      * @return List of Period Edge Dates
  609.      */

  611.     public static final java.util.List<java.lang.Integer> ForwardEdgeDates (
  612.         final int iEffective,
  613.         final int iMaturity,
  614.         final java.lang.String strTenor,
  615.         final org.drip.analytics.daycount.DateAdjustParams dap,
  616.         final int iPSEC)
  617.     {
  618.         return ForwardEdgeDates (new org.drip.analytics.date.JulianDate (iEffective), new
  619.             org.drip.analytics.date.JulianDate (iMaturity), strTenor, dap, iPSEC);
  620.     }

  622.     /**
  623.      * Generate a list of period edge dates backward from the end.
  624.      * 
  625.      * @param iEffective Effective Date
  626.      * @param iMaturity Maturity Date
  627.      * @param strTenor Period Tenor
  628.      * @param dap Inner Date Adjustment Parameters
  629.      * @param iPSEC Period Set Edge Customizer Setting
  630.      * 
  631.      * @return List of Period Edge Dates
  632.      */

  634.     public static final java.util.List<java.lang.Integer> BackwardEdgeDates (
  635.         final int iEffective,
  636.         final int iMaturity,
  637.         final java.lang.String strTenor,
  638.         final org.drip.analytics.daycount.DateAdjustParams dap,
  639.         final int iPSEC)
  640.     {
  641.         return BackwardEdgeDates (new org.drip.analytics.date.JulianDate (iEffective), new
  642.             org.drip.analytics.date.JulianDate (iMaturity), strTenor, dap, iPSEC);
  643.     }

  645.     /**
  646.      * Generate a list of regular period edge dates forward from the start.
  647.      * 
  648.      * @param iEffective Effective Date
  649.      * @param strPeriodTenor Period Tenor
  650.      * @param strMaturityTenor Period Tenor
  651.      * @param dap Inner Date Adjustment Parameters
  652.      * 
  653.      * @return List of Period Edge Dates
  654.      */

  656.     public static final java.util.List<java.lang.Integer> RegularEdgeDates (
  657.         final int iEffective,
  658.         final java.lang.String strPeriodTenor,
  659.         final java.lang.String strMaturityTenor,
  660.         final org.drip.analytics.daycount.DateAdjustParams dap)
  661.     {
  662.         return RegularEdgeDates (new org.drip.analytics.date.JulianDate (iEffective), strPeriodTenor,
  663.             strMaturityTenor, dap);
  664.     }

  666.     /**
  667.      * Generate the List of Overnight Edge Dates between the specified dates, using the specified Calendar
  668.      * 
  669.      * @param iStartDate Start Date
  670.      * @param iEndDate End Date
  671.      * @param strCalendar Calendar
  672.      * 
  673.      * @return List of Overnight Edge Dates
  674.      */

  676.     public static final java.util.List<java.lang.Integer> OvernightEdgeDates (
  677.         final int iStartDate,
  678.         final int iEndDate,
  679.         final java.lang.String strCalendar)
  680.     {
  681.         return OvernightEdgeDates (new org.drip.analytics.date.JulianDate (iStartDate), new
  682.             org.drip.analytics.date.JulianDate (iEndDate), strCalendar);
  683.     }

  685.     /**
  686.      * Construct a Reference Index Period using the Start/End Dates, the Floater Label, and the Reference
  687.      *  Period Arrears Type
  688.      * 
  689.      * @param iStartDate Start Date
  690.      * @param iEndDate End Date
  691.      * @param floaterLabel Floater Label
  692.      * @param iReferencePeriodArrearsType Reference Period Arrears Type
  693.      * 
  694.      * @return The Reference Period
  695.      */

  697.     public static final org.drip.analytics.cashflow.ReferenceIndexPeriod ReferencePeriod (
  698.         final int iStartDate,
  699.         final int iEndDate,
  700.         final org.drip.state.identifier.FloaterLabel floaterLabel,
  701.         final int iReferencePeriodArrearsType)
  702.     {
  703.         return ReferencePeriod (
  704.             new org.drip.analytics.date.JulianDate (iStartDate),
  705.             new org.drip.analytics.date.JulianDate (iEndDate),
  706.             floaterLabel,
  707.             iReferencePeriodArrearsType
  708.         );
  709.     }

  711.     /**
  712.      * Retrieve the List of Edge Dates across all Units
  713.      * 
  714.      * @param iUnitPeriodStartDate Unit Period Start Date
  715.      * @param iUnitPeriodEndDate Unit Period End Date
  716.      * @param strCalendar Unit Date Generation Calendar
  717.      * @param cubs Composable Unit Builder Setting
  718.      * 
  719.      * @return List of Edge Dates across all Units
  720.      */

  722.     public static final java.util.List<java.lang.Integer> UnitDateEdges (
  723.         final int iUnitPeriodStartDate,
  724.         final int iUnitPeriodEndDate,
  725.         final java.lang.String strCalendar,
  726.         final org.drip.param.period.ComposableUnitBuilderSetting cubs)
  727.     {
  728.         if (null == cubs) return null;

  730.         int iEdgeDateSequenceScheme = cubs.edgeDateSequenceScheme();

  732.         if (EDGE_DATE_SEQUENCE_SINGLE == iEdgeDateSequenceScheme) {
  733.             if (iUnitPeriodStartDate >= iUnitPeriodEndDate) return null;

  735.             java.util.List<java.lang.Integer> lsEdgeDates = new java.util.ArrayList<java.lang.Integer>();

  737.             lsEdgeDates.add (iUnitPeriodStartDate);

  739.             lsEdgeDates.add (iUnitPeriodEndDate);

  741.             return lsEdgeDates;
  742.         }

  744.         if (EDGE_DATE_SEQUENCE_REGULAR == iEdgeDateSequenceScheme)
  745.             return RegularEdgeDates (iUnitPeriodStartDate, iUnitPeriodEndDate, cubs.tenor(), cubs.dapEdge());

  747.         if (EDGE_DATE_SEQUENCE_OVERNIGHT == iEdgeDateSequenceScheme)
  748.             return OvernightEdgeDates (iUnitPeriodStartDate, iUnitPeriodEndDate, strCalendar);

  750.         return null;
  751.     }

  753.     /**
  754.      * Construct the List of Composable Fixed Units from the inputs
  755.      * 
  756.      * @param iUnitPeriodStartDate Unit Period Start Date
  757.      * @param iUnitPeriodEndDate Unit Period End Date
  758.      * @param ucas Unit Coupon/Accrual Setting
  759.      * @param cfus Composable Fixed Unit Setting
  760.      * 
  761.      * @return The List of Composable Floating Units
  762.      */

  764.     public static final java.util.List<org.drip.analytics.cashflow.ComposableUnitPeriod> FixedUnits (
  765.         final int iUnitPeriodStartDate,
  766.         final int iUnitPeriodEndDate,
  767.         final org.drip.param.period.UnitCouponAccrualSetting ucas,
  768.         final org.drip.param.period.ComposableFixedUnitSetting cfus)
  769.     {
  770.         if (null == cfus) return null;

  772.         java.util.List<java.lang.Integer> lsUnitEdgeDate = UnitDateEdges (iUnitPeriodStartDate,
  773.             iUnitPeriodEndDate, ucas.calendar(), cfus);

  775.         if (null == lsUnitEdgeDate) return null;

  777.         int iNumDate = lsUnitEdgeDate.size();

  779.         if (2 > iNumDate) return null;

  781.         java.util.List<org.drip.analytics.cashflow.ComposableUnitPeriod> lsCUP = new
  782.             java.util.ArrayList<org.drip.analytics.cashflow.ComposableUnitPeriod>();

  784.         for (int i = 1; i < iNumDate; ++i) {
  785.             try {
  786.                 lsCUP.add (new org.drip.analytics.cashflow.ComposableUnitFixedPeriod (lsUnitEdgeDate.get
  787.                     (i - 1), lsUnitEdgeDate.get (i), ucas, cfus));
  788.             } catch (java.lang.Exception e) {
  789.                 e.printStackTrace();

  791.                 return null;
  792.             }
  793.         }

  795.         return lsCUP;
  796.     }

  798.     /**
  799.      * Construct the List of Composable Floating Units from the inputs
  800.      * 
  801.      * @param iUnitPeriodStartDate Unit Period Start Date
  802.      * @param iUnitPeriodEndDate Unit Period End Date
  803.      * @param cfus Composable Floating Unit Setting
  804.      * 
  805.      * @return The List of Composable Floating Units
  806.      */

  808.     public static final java.util.List<org.drip.analytics.cashflow.ComposableUnitPeriod> FloatingUnits (
  809.         final int iUnitPeriodStartDate,
  810.         final int iUnitPeriodEndDate,
  811.         final org.drip.param.period.ComposableFloatingUnitSetting cfus)
  812.     {
  813.         if (null == cfus) return null;

  815.         org.drip.state.identifier.FloaterLabel floaterLabel = cfus.floaterLabel();

  817.         java.lang.String strCalendar = floaterLabel.floaterIndex().calendar();

  819.         java.util.List<java.lang.Integer> lsUnitEdgeDate = UnitDateEdges (iUnitPeriodStartDate,
  820.             iUnitPeriodEndDate, strCalendar, cfus);

  822.         if (null == lsUnitEdgeDate) return null;

  824.         int iNumDate = lsUnitEdgeDate.size();

  826.         if (2 > iNumDate) return null;

  828.         java.util.List<org.drip.analytics.cashflow.ComposableUnitPeriod> lsCUP = new
  829.             java.util.ArrayList<org.drip.analytics.cashflow.ComposableUnitPeriod>();

  831.         double dblSpread = cfus.spread();

  833.         java.lang.String strUnitTenor = cfus.tenor();

  835.         java.lang.String strForwardTenor = floaterLabel.tenor();

  837.         int iReferencePeriodArrearsType = cfus.referencePeriodArrearsType();

  839.         boolean bComposableForwardPeriodsMatch = cfus.tenor().equalsIgnoreCase (strForwardTenor);

  841.         for (int i = 1; i < iNumDate; ++i) {
  842.             int iUnitStartDate = lsUnitEdgeDate.get (i - 1);

  844.             int iUnitEndDate = lsUnitEdgeDate.get (i);

  846.             int iReferencePeriodEndDate = iUnitEndDate;

  848.             int iReferencePeriodStartDate = bComposableForwardPeriodsMatch ? iUnitStartDate : new
  849.                 org.drip.analytics.date.JulianDate (iUnitEndDate).subtractTenorAndAdjust (strForwardTenor,
  850.                     strCalendar).julian();

  852.             try {
  853.                 lsCUP.add (
  854.                     new org.drip.analytics.cashflow.ComposableUnitFloatingPeriod (
  855.                         iUnitStartDate,
  856.                         iUnitEndDate,
  857.                         strUnitTenor,
  858.                         ReferencePeriod (
  859.                             iReferencePeriodStartDate,
  860.                             iReferencePeriodEndDate,
  861.                             floaterLabel,
  862.                             iReferencePeriodArrearsType
  863.                         ),
  864.                         dblSpread
  865.                     )
  866.                 );
  867.             } catch (java.lang.Exception e) {
  868.                 e.printStackTrace();

  870.                 return null;
  871.             }
  872.         }

  874.         return lsCUP;
  875.     }

  877.     /**
  878.      * Construct the List of Composite Fixed Periods from the corresponding Composable Fixed Period Units
  879.      * 
  880.      * @param lsCompositeEdgeDate The Composite Period Edge Dates
  881.      * @param cps Composite Period Setting Instance
  882.      * @param ucas Unit Coupon/Accrual Setting
  883.      * @param cfus Composable Fixed Unit Setting
  884.      * 
  885.      * @return List of Composite Fixed Periods
  886.      */

  888.     public static final java.util.List<org.drip.analytics.cashflow.CompositePeriod> FixedCompositeUnit (
  889.         final java.util.List<java.lang.Integer> lsCompositeEdgeDate,
  890.         final org.drip.param.period.CompositePeriodSetting cps,
  891.         final org.drip.param.period.UnitCouponAccrualSetting ucas,
  892.         final org.drip.param.period.ComposableFixedUnitSetting cfus)
  893.     {
  894.         if (null == lsCompositeEdgeDate) return null;

  896.         int iNumEdge = lsCompositeEdgeDate.size();

  898.         if (2 > iNumEdge) return null;

  900.         java.util.List<org.drip.analytics.cashflow.CompositePeriod> lsCFP = new
  901.             java.util.ArrayList<org.drip.analytics.cashflow.CompositePeriod>();

  903.         for (int i = 1; i < iNumEdge; ++i) {
  904.             try {
  905.                 lsCFP.add (new org.drip.analytics.cashflow.CompositeFixedPeriod (cps, FixedUnits
  906.                     (lsCompositeEdgeDate.get (i - 1), lsCompositeEdgeDate.get (i), ucas, cfus)));
  907.             } catch (java.lang.Exception e) {
  908.                 e.printStackTrace();

  910.                 return null;
  911.             }
  912.         }

  914.         return lsCFP;
  915.     }

  917.     /**
  918.      * Construct the List of Composite Floating Period from the corresponding Composable Floating Period
  919.      *  Units
  920.      * 
  921.      * @param lsCompositeEdgeDate The Composite Period Edge Dates
  922.      * @param cps Composite Period Setting Instance
  923.      * @param cfus Composable Floating Unit Setting
  924.      * 
  925.      * @return List of Composite Floating Periods
  926.      */

  928.     public static final java.util.List<org.drip.analytics.cashflow.CompositePeriod> FloatingCompositeUnit (
  929.         final java.util.List<java.lang.Integer> lsCompositeEdgeDate,
  930.         final org.drip.param.period.CompositePeriodSetting cps,
  931.         final org.drip.param.period.ComposableFloatingUnitSetting cfus)
  932.     {
  933.         if (null == lsCompositeEdgeDate) return null;

  935.         int iNumEdge = lsCompositeEdgeDate.size();

  937.         if (2 > iNumEdge) return null;

  939.         java.util.List<org.drip.analytics.cashflow.CompositePeriod> lsCFP = new
  940.             java.util.ArrayList<org.drip.analytics.cashflow.CompositePeriod>();

  942.         for (int i = 1; i < iNumEdge; ++i) {
  943.             try {
  944.                 lsCFP.add (new org.drip.analytics.cashflow.CompositeFloatingPeriod (cps, FloatingUnits
  945.                     (lsCompositeEdgeDate.get (i - 1), lsCompositeEdgeDate.get (i), cfus)));
  946.             } catch (java.lang.Exception e) {
  947.                 e.printStackTrace();

  949.                 return null;
  950.             }
  951.         }

  953.         return lsCFP;
  954.     }
  955. }
Created with JaCoCo 0.7.9.201702052155