FloaterIndex.java
package org.drip.market.definition;
/*
* -*- 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
* Copyright (C) 2015 Lakshmi Krishnamurthy
* Copyright (C) 2014 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>FloaterIndex</i> contains the definitions of the floating rate indexes of different jurisdictions.
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics Library</a></li>
* <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/market">Static Market Fields - the Definitions, the OTC/Exchange Traded Products, and Treasury Settings</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/market/definition">IBOR, FX, Overnight Index Container</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
abstract public class FloaterIndex {
private java.lang.String _strName = "";
private java.lang.String _strFamily = "";
private int _iAccrualCompoundingRule = -1;
private java.lang.String _strCalendar = "";
private java.lang.String _strCurrency = "";
private java.lang.String _strDayCount = "";
/**
* FloaterIndex Constructor
*
* @param strName Index Name
* @param strFamily Index Family
* @param strCurrency Index Currency
* @param strDayCount Index Day Count
* @param strCalendar Index Holiday Calendar
* @param iAccrualCompoundingRule Accrual Compounding Rule
*
* @throws java.lang.Exception Thrown if Inputs are invalid
*/
public FloaterIndex (
final java.lang.String strName,
final java.lang.String strFamily,
final java.lang.String strCurrency,
final java.lang.String strDayCount,
final java.lang.String strCalendar,
final int iAccrualCompoundingRule)
throws java.lang.Exception
{
if (null == (_strName = strName) || _strName.isEmpty() || null == (_strFamily = strFamily) ||
_strFamily.isEmpty() || null == (_strCurrency = strCurrency) || _strCurrency.isEmpty() || null ==
(_strDayCount = strDayCount) || _strDayCount.isEmpty() ||
!org.drip.analytics.support.CompositePeriodBuilder.ValidateCompoundingRule
(_iAccrualCompoundingRule = iAccrualCompoundingRule))
throw new java.lang.Exception ("FloaterIndex ctr: Invalid Inputs");
_strCalendar = strCalendar;
}
/**
* Retrieve the Index Name
*
* @return The Index Name
*/
public java.lang.String name()
{
return _strName;
}
/**
* Retrieve the Index Family
*
* @return The Index Family
*/
public java.lang.String family()
{
return _strFamily;
}
/**
* Retrieve the Index Holiday Calendar
*
* @return The Index Holiday Calendar
*/
public java.lang.String calendar()
{
return _strCalendar;
}
/**
* Retrieve the Index Currency
*
* @return The Index Currency
*/
public java.lang.String currency()
{
return _strCurrency;
}
/**
* Retrieve the Index Day Count Convention
*
* @return The Index Day Count Convention
*/
public java.lang.String dayCount()
{
return _strDayCount;
}
/**
* Retrieve the Accrual Compounding Rule
*
* @return The Accrual Compounding Rule
*/
public int accrualCompoundingRule()
{
return _iAccrualCompoundingRule;
}
/**
* Retrieve the Spot Lag DAP with Date Roll Previous
*
* @return The Spot Lag DAP with Date Roll Previous
*/
public org.drip.analytics.daycount.DateAdjustParams spotLagDAPBackward()
{
return new org.drip.analytics.daycount.DateAdjustParams
(org.drip.analytics.daycount.Convention.DATE_ROLL_PREVIOUS, spotLag(), _strCalendar);
}
/**
* Retrieve the Spot Lag DAP with Date Roll Following
*
* @return The Spot Lag DAP with Date Roll Following
*/
public org.drip.analytics.daycount.DateAdjustParams spotLagDAPForward()
{
return new org.drip.analytics.daycount.DateAdjustParams
(org.drip.analytics.daycount.Convention.DATE_ROLL_FOLLOWING, spotLag(), _strCalendar);
}
/**
* Retrieve the Index Spot Lag
*
* @return The Index Spot Lag
*/
abstract public int spotLag();
}