TreasuryFuturesClosesReconstitutor.java

  1. package org.drip.feed.transformer;

  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>TreasuryFuturesClosesReconstitutor</i> transforms the Treasury Futures Closes- Feed Inputs into Formats
  82.  * suitable for Valuation Metrics and Sensitivities Generation.
  83.  *
  84.  *  <br><br>
  85.  *  <ul>
  86.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  87.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationSupportLibrary.md">Computation Support</a></li>
  88.  *      <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>
  89.  *      <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>
  90.  *  </ul>
  91.  * 
  92.  * @author Lakshmi Krishnamurthy
  93.  */

  95. public class TreasuryFuturesClosesReconstitutor {

  97.     /**
  98.      * Regularize the Treasury Feed Closes
  99.      * 
  100.      * @param strClosesLocation The Closes Location
  101.      * @param iSpotDateIndex Spot Date Column Index
  102.      * @param iConversionFactorIndex Conversion Factor Column Index
  103.      * @param iCleanPriceIndex Clean Price Column Index
  104.      * @param iCTDCouponIndex CTD Coupon Column Index
  105.      * @param iEffectiveDateIndex Effective Date Column Index
  106.      * @param iMaturityDateIndex Maturity Date Column Index
  107.      * @param iExpiryProxyIndex Expiry Proxy Column Index
  108.      * 
  109.      * @return TRUE - The Regularization Successful
  110.      */

  112.     public static final boolean RegularizeCloses (
  113.         final java.lang.String strClosesLocation,
  114.         final int iSpotDateIndex,
  115.         final int iConversionFactorIndex,
  116.         final int iCleanPriceIndex,
  117.         final int iCTDCouponIndex,
  118.         final int iEffectiveDateIndex,
  119.         final int iMaturityDateIndex,
  120.         final int iExpiryProxyIndex)
  121.     {
  122.         org.drip.feed.loader.CSVGrid csvGrid = org.drip.feed.loader.CSVParser.StringGrid (strClosesLocation,
  123.             true);

  125.         if (null == csvGrid) return false;

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

  129.         if (null == adtSpot) return false;

  131.         int iNumClose = adtSpot.length;
  132.         org.drip.analytics.date.JulianDate[] adtExpiry = new org.drip.analytics.date.JulianDate[iNumClose];

  134.         if (0 == iNumClose) return false;

  136.         double[] adblConversionFactor = csvGrid.doubleArrayAtColumn (iConversionFactorIndex);

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

  140.         double[] adblCleanPrice = csvGrid.doubleArrayAtColumn (iCleanPriceIndex, 0.01);

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

  144.         double[] adblCoupon = csvGrid.doubleArrayAtColumn (iCTDCouponIndex, 0.01);

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

  148.         org.drip.analytics.date.JulianDate[] adtEffective = csvGrid.dateArrayAtColumn (iEffectiveDateIndex);

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

  152.         org.drip.analytics.date.JulianDate[] adtMaturity = csvGrid.dateArrayAtColumn (iMaturityDateIndex);

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

  156.         org.drip.analytics.date.JulianDate[] adtExpiryProxy = csvGrid.dateArrayAtColumn (iExpiryProxyIndex);

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

  160.         try {
  161.             for (int i = 0; i < iNumClose; ++i) {
  162.                 if (null == adtExpiryProxy[i]) return false;

  164.                 int iExpiryProxyDate = adtExpiryProxy[i].julian();

  166.                 int iMonth = org.drip.analytics.date.DateUtil.Month (iExpiryProxyDate);

  168.                 int iYear = 2000 + org.drip.analytics.date.DateUtil.Date (iExpiryProxyDate);

  170.                 if (null == (adtExpiry[i] = org.drip.analytics.date.DateUtil.CreateFromYMD (iYear, iMonth,
  171.                     org.drip.analytics.date.DateUtil.DaysInMonth (iMonth, iYear))))
  172.                     return false;
  173.             }
  174.         } catch (java.lang.Exception e) {
  175.             e.printStackTrace();

  177.             return false;
  178.         }

  180.         System.out.println
  181.             ("CloseDate,ConversionFactor,CTDPrice,CTDCoupon,CTDEffective,CTDMaturity,FuturesExpiry");

  183.         for (int i = 0; i < iNumClose; ++i)
  184.             System.out.println (adtSpot[i] + "," + adblConversionFactor[i] + "," + adblCleanPrice[i] + "," +
  185.                 adblCoupon[i] + "," + adtEffective[i] + "," + adtMaturity[i] + "," + adtExpiry[i]);

  187.         return true;
  188.     }

  190.     /**
  191.      * Regularize the UST Futures Closes Feed
  192.      * 
  193.      * @param strClosesLocation The UST Futures Closes Feed Location
  194.      * 
  195.      * @return TRUE - Regularization Successful
  196.      */

  198.     public static final boolean USTRegularizeCloses (
  199.         final java.lang.String strClosesLocation)
  200.     {
  201.         return RegularizeCloses (strClosesLocation, 0, 1, 4, 9, 10, 8, 13);
  202.     }
  203. }
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