TreasuryFuturesClosesReconstitutor.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>TreasuryFuturesClosesReconstitutor</i> transforms the Treasury 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 TreasuryFuturesClosesReconstitutor {
/**
* Regularize the Treasury Feed Closes
*
* @param strClosesLocation The Closes Location
* @param iSpotDateIndex Spot Date Column Index
* @param iConversionFactorIndex Conversion Factor Column Index
* @param iCleanPriceIndex Clean Price Column Index
* @param iCTDCouponIndex CTD Coupon Column Index
* @param iEffectiveDateIndex Effective Date Column Index
* @param iMaturityDateIndex Maturity Date Column Index
* @param iExpiryProxyIndex Expiry Proxy Column Index
*
* @return TRUE - The Regularization Successful
*/
public static final boolean RegularizeCloses (
final java.lang.String strClosesLocation,
final int iSpotDateIndex,
final int iConversionFactorIndex,
final int iCleanPriceIndex,
final int iCTDCouponIndex,
final int iEffectiveDateIndex,
final int iMaturityDateIndex,
final int iExpiryProxyIndex)
{
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;
org.drip.analytics.date.JulianDate[] adtExpiry = new org.drip.analytics.date.JulianDate[iNumClose];
if (0 == iNumClose) return false;
double[] adblConversionFactor = csvGrid.doubleArrayAtColumn (iConversionFactorIndex);
if (null == adblConversionFactor || iNumClose != adblConversionFactor.length) return false;
double[] adblCleanPrice = csvGrid.doubleArrayAtColumn (iCleanPriceIndex, 0.01);
if (null == adblCleanPrice || iNumClose != adblCleanPrice.length) return false;
double[] adblCoupon = csvGrid.doubleArrayAtColumn (iCTDCouponIndex, 0.01);
if (null == adblCoupon || iNumClose != adblCoupon.length) return false;
org.drip.analytics.date.JulianDate[] adtEffective = csvGrid.dateArrayAtColumn (iEffectiveDateIndex);
if (null == adtEffective || iNumClose != adtEffective.length) return false;
org.drip.analytics.date.JulianDate[] adtMaturity = csvGrid.dateArrayAtColumn (iMaturityDateIndex);
if (null == adtMaturity || iNumClose != adtMaturity.length) return false;
org.drip.analytics.date.JulianDate[] adtExpiryProxy = csvGrid.dateArrayAtColumn (iExpiryProxyIndex);
if (null == adtExpiryProxy || iNumClose != adtExpiryProxy.length) return false;
try {
for (int i = 0; i < iNumClose; ++i) {
if (null == adtExpiryProxy[i]) return false;
int iExpiryProxyDate = adtExpiryProxy[i].julian();
int iMonth = org.drip.analytics.date.DateUtil.Month (iExpiryProxyDate);
int iYear = 2000 + org.drip.analytics.date.DateUtil.Date (iExpiryProxyDate);
if (null == (adtExpiry[i] = org.drip.analytics.date.DateUtil.CreateFromYMD (iYear, iMonth,
org.drip.analytics.date.DateUtil.DaysInMonth (iMonth, iYear))))
return false;
}
} catch (java.lang.Exception e) {
e.printStackTrace();
return false;
}
System.out.println
("CloseDate,ConversionFactor,CTDPrice,CTDCoupon,CTDEffective,CTDMaturity,FuturesExpiry");
for (int i = 0; i < iNumClose; ++i)
System.out.println (adtSpot[i] + "," + adblConversionFactor[i] + "," + adblCleanPrice[i] + "," +
adblCoupon[i] + "," + adtEffective[i] + "," + adtMaturity[i] + "," + adtExpiry[i]);
return true;
}
/**
* Regularize the UST Futures Closes Feed
*
* @param strClosesLocation The UST Futures Closes Feed Location
*
* @return TRUE - Regularization Successful
*/
public static final boolean USTRegularizeCloses (
final java.lang.String strClosesLocation)
{
return RegularizeCloses (strClosesLocation, 0, 1, 4, 9, 10, 8, 13);
}
}