TreasuryFuturesMarketSnap.java

package org.drip.historical.attribution;

/*
 * -*- 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>TreasuryFuturesMarketSnap</i> contains the Metrics Snapshot associated with the relevant Manifest
 * Measures for the given Treasury Futures Position.
 *
 *  <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/historical/README.md">Historical State Processing Utilities</a></li>
 *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/historical/attribution/README.md">Position Market Change Components Attribution</a></li>
 *  </ul>
 *
 * @author Lakshmi Krishnamurthy
 */

public class TreasuryFuturesMarketSnap extends org.drip.historical.attribution.PositionMarketSnap {

    /**
     * TreasuryFuturesMarketSnap Constructor
     * 
     * @param dtSnap The Snapshot Date
     * @param dblMarketValue The Snapshot Market Value
     * 
     * @throws java.lang.Exception Thrown if the Inputs are Invalid
     */

    public TreasuryFuturesMarketSnap (
        final org.drip.analytics.date.JulianDate dtSnap,
        final double dblMarketValue)
        throws java.lang.Exception
    {
        super (dtSnap, dblMarketValue);
    }

    /**
     * Set the Yield Level and Position Sensitivity
     * 
     * @param dblYield The Yield Level
     * @param dblYieldSensitivity The Position Yield Sensitivity
     * @param dblYieldRollDown The Position Yield Roll Down
     * 
     * @return TRUE - The Yield Level and the Position Sensitivity successfully set
     */

    public boolean setYieldMarketFactor (
        final double dblYield,
        final double dblYieldSensitivity,
        final double dblYieldRollDown)
    {
        return addManifestMeasureSnap ("Yield", dblYield, dblYieldSensitivity, dblYieldRollDown);
    }

    /**
     * Set the Expiry Date
     * 
     * @param dtExpiry The Expiry Date
     * 
     * @return TRUE - The Expiry Date successfully set
     */

    public boolean setExpiryDate (
        final org.drip.analytics.date.JulianDate dtExpiry)
    {
        return setDate ("Expiry", dtExpiry);
    }

    /**
     * Retrieve the Expiry Date
     * 
     * @return The Expiry Date
     */

    public org.drip.analytics.date.JulianDate expiryDate()
    {
        return date ("Expiry");
    }

    /**
     * Set the CTD Bond Name
     * 
     * @param strCTDName Name of the CTD Bond
     * 
     * @return TRUE - The CTD Bond Name successfully set
     */

    public boolean setCTDName (
        final java.lang.String strCTDName)
    {
        return setC1 ("CTDBondName", strCTDName);
    }

    /**
     * Retrieve the CTD Name
     * 
     * @return The CTD Name
     */

    public java.lang.String ctdName()
    {
        return c1 ("CTDBondName");
    }

    /**
     * Set the Clean Expiry Price
     * 
     * @param dblExpiryCleanPrice The Clean Price of the CTD at Expiry
     * 
     * @return TRUE - The Clean Expiry Price Successfully Set
     */

    public boolean setCleanExpiryPrice (
        final double dblExpiryCleanPrice)
    {
        return setR1 ("ExpiryCleanPrice", dblExpiryCleanPrice);
    }

    /**
     * Retrieve the Clean Price at Expiry
     * 
     * @return The Clean Price at Expiry
     * 
     * @throws java.lang.Exception Thrown if the Clean Price at Expiry cannot be obtained
     */

    public double expiryCleanPrice()
        throws java.lang.Exception
    {
        return r1 ("ExpiryCleanPrice");
    }

    /**
     * Set the CTD Conversion Factor at Expiry
     * 
     * @param dblConversionFactor The Conversion Factor at Expiry
     * 
     * @return TRUE - The CTD Conversion Factor at Expiry Successfully Set
     */

    public boolean setConversionFactor (
        final double dblConversionFactor)
    {
        return setR1 ("ConversionFactor", dblConversionFactor);
    }

    /**
     * Retrieve the CTD Conversion Factor at Expiry
     * 
     * @return The CTD Conversion Factor at Expiry
     * 
     * @throws java.lang.Exception Thrown if the CTD Conversion Factor cannot be obtained
     */

    public double conversionFactor()
        throws java.lang.Exception
    {
        return r1 ("ConversionFactor");
    }
}