InstrumentSetTenorQuote.java

  1. package org.drip.feed.loader;

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

  80. /**
  81.  * <i>InstrumentSetTenorQuote</i> holds the Instrument Set Tenor and Closing Quote Group.
  82.  *
  83.  *  <br><br>
  84.  *  <ul>
  85.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  86.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationSupportLibrary.md">Computation Support</a></li>
  87.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/feed/README.md">Load, Transform, and compute Target Metrics across Feeds</a></li>
  88.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/feed/loader/README.md">Reference/Market Data Feed Loader</a></li>
  89.  *  </ul>
  90.  * 
  91.  * @author Lakshmi Krishnamurthy
  92.  */

  94. public class InstrumentSetTenorQuote {
  95.     private org.drip.analytics.support.CaseInsensitiveHashMap<java.util.Map<java.lang.Integer,
  96.         org.drip.feed.loader.TenorQuote>> _mapOrderedInstrumentTenorQuote = new
  97.             org.drip.analytics.support.CaseInsensitiveHashMap<java.util.Map<java.lang.Integer,
  98.                 org.drip.feed.loader.TenorQuote>>();

  100.     /**
  101.      * Empty InstrumentSetTenorQuote Constructor
  102.      */

  104.     public InstrumentSetTenorQuote()
  105.     {
  106.     }

  108.     /**
  109.      * Add the Instrument/Tenor/Quote/Scale Field Set
  110.      * 
  111.      * @param strInstrument Quote Instrument
  112.      * @param strTenor Quote Tenor
  113.      * @param dblQuote Quote Value
  114.      * @param dblScale Quote Scale
  115.      * 
  116.      * @return TRUE - Group Set successfully added
  117.      */

  119.     public boolean add (
  120.         final java.lang.String strInstrument,
  121.         final java.lang.String strTenor,
  122.         final double dblQuote,
  123.         final double dblScale)
  124.     {
  125.         int iTenorDays = -1;
  126.         org.drip.feed.loader.TenorQuote tq = null;

  128.         try {
  129.             tq = new org.drip.feed.loader.TenorQuote (strTenor, dblQuote * dblScale);

  131.             if (0 >= (iTenorDays = org.drip.analytics.support.Helper.TenorToDays (strTenor))) return false;
  132.         } catch (java.lang.Exception e) {
  133.             return false;
  134.         }

  136.         java.util.Map<java.lang.Integer, org.drip.feed.loader.TenorQuote> mapOrderedTenorQuote =
  137.             _mapOrderedInstrumentTenorQuote.containsKey (strInstrument) ? _mapOrderedInstrumentTenorQuote.get
  138.                 (strInstrument) : new java.util.TreeMap<java.lang.Integer,
  139.                     org.drip.feed.loader.TenorQuote>();

  141.         mapOrderedTenorQuote.put (iTenorDays, tq);

  143.         _mapOrderedInstrumentTenorQuote.put (strInstrument, mapOrderedTenorQuote);

  145.         return true;
  146.     }

  148.     /**
  149.      * Retrieve the Named Instrument Group Quote Map
  150.      * 
  151.      * @param strInstrument The Instrument Group Name
  152.      * 
  153.      * @return The Named Instrument Group Quote Map
  154.      */

  156.     public java.util.Map<java.lang.Integer, org.drip.feed.loader.TenorQuote> instrumentTenorQuote (
  157.         final java.lang.String strInstrument)
  158.     {
  159.         return null == strInstrument || !_mapOrderedInstrumentTenorQuote.containsKey (strInstrument) ? null :
  160.             _mapOrderedInstrumentTenorQuote.get (strInstrument);
  161.     }

  163.     /**
  164.      * Retrieve the Named Instrument Tenors
  165.      * 
  166.      * @param strInstrument The Instrument Group Name
  167.      * 
  168.      * @return The Named Instrument Tenors
  169.      */

  171.     public java.lang.String[] instrumentTenor (
  172.         final java.lang.String strInstrument)
  173.     {
  174.         java.util.Map<java.lang.Integer, org.drip.feed.loader.TenorQuote> mapTenorQuote =
  175.             instrumentTenorQuote (strInstrument);

  177.         if (null == mapTenorQuote) return null;

  179.         int iNumTenor = mapTenorQuote.size();

  181.         if (0 == iNumTenor) return null;

  183.         int i = 0;
  184.         java.lang.String[] astrTenor = new java.lang.String[iNumTenor];

  186.         for (java.util.Map.Entry<java.lang.Integer, org.drip.feed.loader.TenorQuote> meTQ :
  187.             mapTenorQuote.entrySet())
  188.             astrTenor[i++] = meTQ.getValue().tenor();

  190.         return astrTenor;
  191.     }

  193.     /**
  194.      * Retrieve the Named Instrument Quotes
  195.      * 
  196.      * @param strInstrument The Instrument Group Name
  197.      * 
  198.      * @return The Named Instrument Quotes
  199.      */

  201.     public double[] instrumentQuote (
  202.         final java.lang.String strInstrument)
  203.     {
  204.         java.util.Map<java.lang.Integer, org.drip.feed.loader.TenorQuote> mapTenorQuote =
  205.             instrumentTenorQuote (strInstrument);

  207.         if (null == mapTenorQuote) return null;

  209.         int iNumTenor = mapTenorQuote.size();

  211.         if (0 == iNumTenor) return null;

  213.         int i = 0;
  214.         double[] adblQuote = new double[iNumTenor];

  216.         for (java.util.Map.Entry<java.lang.Integer, org.drip.feed.loader.TenorQuote> meTQ :
  217.             mapTenorQuote.entrySet())
  218.             adblQuote[i++] = meTQ.getValue().quote();

  220.         return adblQuote;
  221.     }

  223.     /**
  224.      * Indicates whether the ISTQ is Empty or not
  225.      * 
  226.      * @return TRUE - ISTQ is Empty
  227.      */

  229.     public boolean isEmpty()
  230.     {
  231.         return 0 == _mapOrderedInstrumentTenorQuote.size();
  232.     }
  233. }
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