FundingFuturesClosesReconstitutor.java

package org.drip.feed.transformer;

/*
 * -*- 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
 * 
 *  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>FundingFuturesClosesReconstitutor</i> transforms the Funding Futures Closes- Feed Inputs into Formats
 * suitable for Valuation Metrics and Sensitivities Generation.
 *
 *  <br><br>
 *  <ul>
 *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
 *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationSupportLibrary.md">Computation Support</a></li>
 *      <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>
 *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/feed/transformer/README.md">Market Data Reconstitutive Feed Transformer</a></li>
 *  </ul>
 * 
 * @author Lakshmi Krishnamurthy
 */

public class FundingFuturesClosesReconstitutor {

    /**
     * Regularize the Funding Futures Feed Closes
     * 
     * @param strClosesLocation The Closes Location
     * @param iSpotDateIndex Spot Date Column Index
     * @param iLastPriceIndex Last Price Column Index
     * @param iFuturesExpiryDateIndex Futures Expiry Date Column Index
     * 
     * @return TRUE - The Regularization is Successful
     */

    public static final boolean RegularizeCloses (
        final java.lang.String strClosesLocation,
        final int iSpotDateIndex,
        final int iLastPriceIndex,
        final int iFuturesExpiryDateIndex)
    {
        org.drip.feed.loader.CSVGrid csvGrid = org.drip.feed.loader.CSVParser.StringGrid (strClosesLocation,
            true);

        if (null == csvGrid) return false;

        org.drip.analytics.date.JulianDate[] adtSpot = csvGrid.dateArrayAtColumn (iSpotDateIndex);

        if (null == adtSpot) return false;

        int iNumClose = adtSpot.length;
        double[] adblForwardRate = new double[iNumClose];

        if (0 == iNumClose) return false;

        double[] adblLastPrice = csvGrid.doubleArrayAtColumn (iLastPriceIndex);

        if (null == adblLastPrice || iNumClose != adblLastPrice.length) return false;

        for (int i = 0; i < iNumClose; ++i)
            adblForwardRate[i] = 0.01 * (100. - adblLastPrice[i]);

        org.drip.analytics.date.JulianDate[] adtFuturesExpiry = csvGrid.dateArrayAtColumn
            (iFuturesExpiryDateIndex);

        if (null == adtFuturesExpiry || iNumClose != adtFuturesExpiry.length) return false;

        System.out.println ("CloseDate,Price,ForwardRate,FuturesExpiry");

        for (int i = 0; i < iNumClose; ++i)
            System.out.println (adtSpot[i] + "," + adblLastPrice[i] + "," + adblForwardRate[i] + "," +
                adtFuturesExpiry[i]);

        return true;
    }
}