OvernightIndexContainer.java

  1. package org.drip.market.definition;

  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.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  14.  * Copyright (C) 2014 Lakshmi Krishnamurthy
  15.  * 
  16.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  17.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  18.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  19.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  20.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  21.  *      and computational support.
  22.  *  
  23.  *      https://lakshmidrip.github.io/DROP/
  24.  *  
  25.  *  DROP is composed of three modules:
  26.  *  
  27.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  28.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  29.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  30.  * 
  31.  *  DROP Product Core implements libraries for the following:
  32.  *  - Fixed Income Analytics
  33.  *  - Loan Analytics
  34.  *  - Transaction Cost Analytics
  35.  * 
  36.  *  DROP Portfolio Core implements libraries for the following:
  37.  *  - Asset Allocation Analytics
  38.  *  - Asset Liability Management Analytics
  39.  *  - Capital Estimation Analytics
  40.  *  - Exposure Analytics
  41.  *  - Margin Analytics
  42.  *  - XVA Analytics
  43.  * 
  44.  *  DROP Computational Core implements libraries for the following:
  45.  *  - Algorithm Support
  46.  *  - Computation Support
  47.  *  - Function Analysis
  48.  *  - Model Validation
  49.  *  - Numerical Analysis
  50.  *  - Numerical Optimizer
  51.  *  - Spline Builder
  52.  *  - Statistical Learning
  53.  * 
  54.  *  Documentation for DROP is Spread Over:
  55.  * 
  56.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  57.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  58.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  59.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  60.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  61.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  62.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  63.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  64.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  65.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  66.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  67.  * 
  68.  *  Licensed under the Apache License, Version 2.0 (the "License");
  69.  *      you may not use this file except in compliance with the License.
  70.  *   
  71.  *  You may obtain a copy of the License at
  72.  *      http://www.apache.org/licenses/LICENSE-2.0
  73.  *  
  74.  *  Unless required by applicable law or agreed to in writing, software
  75.  *      distributed under the License is distributed on an "AS IS" BASIS,
  76.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  77.  *  
  78.  *  See the License for the specific language governing permissions and
  79.  *      limitations under the License.
  80.  */

  82. /**
  83.  * <i>OvernightIndexContainer</i> holds the definitions of the overnight index definitions corresponding to
  84.  * different jurisdictions.
  85.  *
  86.  *  <br><br>
  87.  *  <ul>
  88.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  89.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics Library</a></li>
  90.  *      <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>
  91.  *      <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>
  92.  *  </ul>
  93.  *
  94.  * @author Lakshmi Krishnamurthy
  95.  */

  97. public class OvernightIndexContainer {
  98.     private static
  99.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.market.definition.OvernightIndex>
  100.             _mapNamedOvernightIndex = null;
  101.     private static
  102.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.market.definition.OvernightIndex>
  103.             _mapJurisdictionOvernightIndex = null;

  105.     /**
  106.      * Initialize the Overnight Index Container with the Overnight Indexes
  107.      * 
  108.      * @return TRUE - The Overnight Index Container successfully initialized with the indexes
  109.      */

  111.     public static final boolean Init()
  112.     {
  113.         if (null != _mapNamedOvernightIndex) return true;

  115.         _mapNamedOvernightIndex = new
  116.             org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.market.definition.OvernightIndex>();

  118.         _mapJurisdictionOvernightIndex = new
  119.             org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.market.definition.OvernightIndex>();

  121.         try {
  122.             org.drip.market.definition.OvernightIndex oiAUD = new org.drip.market.definition.OvernightIndex
  123.                 ("AUD-RBA ON AONIA", "AONIA", "AUD", "Act/365", "AUD", "ON", 0,
  124.                     org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC);

  126.             _mapJurisdictionOvernightIndex.put ("AUD", oiAUD);

  128.             _mapNamedOvernightIndex.put ("AUD-AONIA", oiAUD);

  130.             _mapNamedOvernightIndex.put ("AUD-RBA ON AONIA", oiAUD);

  132.             org.drip.market.definition.OvernightIndex oiBRL = new org.drip.market.definition.OvernightIndex
  133.                 ("BRL-CETIP", "CETIP", "BRL", "Bus/252", "BRL", "ON", 1,
  134.                     org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC);

  136.             _mapJurisdictionOvernightIndex.put ("BRL", oiBRL);

  138.             _mapNamedOvernightIndex.put ("BRL-CETIP", oiBRL);

  140.             _mapNamedOvernightIndex.put ("BRL-DI", oiBRL);

  142.             org.drip.market.definition.OvernightIndex oiCAD = new org.drip.market.definition.OvernightIndex
  143.                 ("CAD-CORRA", "CORRA", "CAD", "Act/365", "CAD", "ON", 1,
  144.                     org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC);

  146.             _mapJurisdictionOvernightIndex.put ("CAD", oiCAD);

  148.             _mapNamedOvernightIndex.put ("CAD-CORRA", oiCAD);

  150.             org.drip.market.definition.OvernightIndex oiCHF = new org.drip.market.definition.OvernightIndex
  151.                 ("CHF-TOIS", "TOIS", "CHF", "Act/360", "CHF", "TN", -1,
  152.                     org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC);

  154.             _mapJurisdictionOvernightIndex.put ("CHF", oiCHF);

  156.             _mapNamedOvernightIndex.put ("CHF-TOIS", oiCHF);

  158.             org.drip.market.definition.OvernightIndex oiCZK = new org.drip.market.definition.OvernightIndex
  159.                 ("CZK-CZEONIA", "CZEONIA", "CZK", "Act/360", "CZK", "ON", 0,
  160.                     org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC);

  162.             _mapJurisdictionOvernightIndex.put ("CZK", oiCZK);

  164.             _mapNamedOvernightIndex.put ("CZK-CZEONIA", oiCZK);

  166.             org.drip.market.definition.OvernightIndex oiDKK = new org.drip.market.definition.OvernightIndex
  167.                 ("DKK-DNB TN", "DNBTN", "DKK", "Act/360", "DKK", "TN", -1,
  168.                     org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC);

  170.             _mapJurisdictionOvernightIndex.put ("DKK", oiDKK);

  172.             _mapNamedOvernightIndex.put ("DKK-DNBTN", oiDKK);

  174.             _mapNamedOvernightIndex.put ("DKK-DNB TN", oiDKK);

  176.             org.drip.market.definition.OvernightIndex oiEUR = new org.drip.market.definition.OvernightIndex
  177.                 ("EUR-EONIA", "EONIA", "EUR", "Act/360", "EUR", "ON", 0,
  178.                     org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC);

  180.             _mapJurisdictionOvernightIndex.put ("EUR", oiEUR);

  182.             _mapNamedOvernightIndex.put ("EUR-EONIA", oiEUR);

  184.             org.drip.market.definition.OvernightIndex oiGBP = new org.drip.market.definition.OvernightIndex
  185.                 ("GBP-SONIA", "SONIA", "GBP", "Act/365", "GBP", "ON", 0,
  186.                     org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC);

  188.             _mapJurisdictionOvernightIndex.put ("GBP", oiGBP);

  190.             _mapNamedOvernightIndex.put ("GBP-SONIA", oiGBP);

  192.             org.drip.market.definition.OvernightIndex oiHKD = new org.drip.market.definition.OvernightIndex
  193.                 ("HKD-HONIX", "HONIX", "HKD", "Act/365", "HKD", "ON", 0,
  194.                     org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC);

  196.             _mapJurisdictionOvernightIndex.put ("HKD", oiHKD);

  198.             _mapNamedOvernightIndex.put ("HKD-HONIX", oiHKD);

  200.             org.drip.market.definition.OvernightIndex oiHUF = new org.drip.market.definition.OvernightIndex
  201.                 ("HUF-HUFONIA", "HUFONIA", "HUF", "Act/360", "HUF", "ON", 0,
  202.                     org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC);

  204.             _mapJurisdictionOvernightIndex.put ("HUF", oiHUF);

  206.             _mapNamedOvernightIndex.put ("HUF-HUFONIA", oiHUF);

  208.             org.drip.market.definition.OvernightIndex oiINR = new org.drip.market.definition.OvernightIndex
  209.                 ("INR-ON MIBOR", "MIBOR", "INR", "Act/365", "INR", "ON", 0,
  210.                     org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC);

  212.             _mapJurisdictionOvernightIndex.put ("INR", oiINR);

  214.             _mapNamedOvernightIndex.put ("INR-MIBOR", oiINR);

  216.             _mapNamedOvernightIndex.put ("INR-ON MIBOR", oiINR);

  218.             org.drip.market.definition.OvernightIndex oiINR2 = new org.drip.market.definition.OvernightIndex
  219.                 ("INR-MITOR", "MITOR", "INR", "Act/365", "INR", "TN", 0,
  220.                     org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC);

  222.             _mapJurisdictionOvernightIndex.put ("INR2", oiINR2);

  224.             _mapNamedOvernightIndex.put ("INR-MITOR", oiINR2);

  226.             org.drip.market.definition.OvernightIndex oiJPY = new org.drip.market.definition.OvernightIndex
  227.                 ("JPY-TONAR", "TONAR", "JPY", "Act/365", "JPY", "ON", 1,
  228.                     org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC);

  230.             _mapJurisdictionOvernightIndex.put ("JPY", oiJPY);

  232.             _mapNamedOvernightIndex.put ("JPY-TONAR", oiJPY);

  234.             org.drip.market.definition.OvernightIndex oiNZD = new org.drip.market.definition.OvernightIndex
  235.                 ("NZD-NZIONA", "NZIONA", "NZD", "Act/365", "NZD", "ON", 0,
  236.                     org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC);

  238.             _mapJurisdictionOvernightIndex.put ("NZD", oiNZD);

  240.             _mapNamedOvernightIndex.put ("NZD-NZIONA", oiNZD);

  242.             org.drip.market.definition.OvernightIndex oiPLN = new org.drip.market.definition.OvernightIndex
  243.                 ("PLN-POLONIA", "POLONIA", "PLN", "Act/365", "PLN", "ON", 0,
  244.                     org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC);

  246.             _mapJurisdictionOvernightIndex.put ("PLN", oiPLN);

  248.             _mapNamedOvernightIndex.put ("PLN-POLONIA", oiPLN);

  250.             org.drip.market.definition.OvernightIndex oiSEK = new org.drip.market.definition.OvernightIndex
  251.                 ("SEK-SIOR TN STIBOR", "STIBOR", "SEK", "Act/360", "SEK", "ON", -1,
  252.                     org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC);

  254.             _mapJurisdictionOvernightIndex.put ("SEK", oiSEK);

  256.             _mapNamedOvernightIndex.put ("SEK-SIOR", oiSEK);

  258.             _mapNamedOvernightIndex.put ("SEK-SIOR TN STIBOR", oiSEK);

  260.             _mapNamedOvernightIndex.put ("SEK-STIBOR", oiSEK);

  262.             org.drip.market.definition.OvernightIndex oiSGD = new org.drip.market.definition.OvernightIndex
  263.                 ("SGD-SONAR", "SONAR", "SGD", "Act/365", "SGD", "ON", 0,
  264.                     org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC);

  266.             _mapJurisdictionOvernightIndex.put ("SGD", oiSGD);

  268.             _mapNamedOvernightIndex.put ("SGD-SONAR", oiSGD);

  270.             org.drip.market.definition.OvernightIndex oiUSD = new org.drip.market.definition.OvernightIndex
  271.                 ("USD-Fed Fund", "FedFund", "USD", "Act/360", "USD", "ON", 1,
  272.                     org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_ARITHMETIC);

  274.             _mapJurisdictionOvernightIndex.put ("USD", oiUSD);

  276.             _mapNamedOvernightIndex.put ("USD-Fed Fund", oiUSD);

  278.             _mapNamedOvernightIndex.put ("USD-FedFund", oiUSD);

  280.             org.drip.market.definition.OvernightIndex oiZAR = new org.drip.market.definition.OvernightIndex
  281.                 ("ZAR-SAFEX ON Dep Rate", "SAFEX", "ZAR", "Act/365", "ZAR", "ON", 0,
  282.                     org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC);

  284.             _mapJurisdictionOvernightIndex.put ("ZAR", oiZAR);

  286.             _mapNamedOvernightIndex.put ("ZAR-SAFEX", oiZAR);

  288.             _mapNamedOvernightIndex.put ("ZAR-SAFEX ON Dep Rate", oiZAR);

  290.             org.drip.market.definition.OvernightIndex oiZAR2 = new org.drip.market.definition.OvernightIndex
  291.                 ("ZAR-SAONIA", "SAONIA", "ZAR", "Act/365", "ZAR", "ON", 0,
  292.                     org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC);

  294.             _mapJurisdictionOvernightIndex.put ("ZAR2", oiZAR2);

  296.             _mapNamedOvernightIndex.put ("ZAR-SAONIA", oiZAR2);
  297.         } catch (java.lang.Exception e) {
  298.             e.printStackTrace();

  300.             return false;
  301.         }

  303.         return true;
  304.     }

  306.     /**
  307.      * Retrieve the Overnight Index from the Jurisdiction Name
  308.      * 
  309.      * @param strName The Overnight Index Jurisdiction Name
  310.      * 
  311.      * @return The Overnight Index
  312.      */

  314.     public static final org.drip.market.definition.OvernightIndex IndexFromJurisdiction (
  315.         final java.lang.String strName)
  316.     {
  317.         return _mapJurisdictionOvernightIndex.containsKey (strName) ? _mapJurisdictionOvernightIndex.get
  318.             (strName) : null;
  319.     }

  321.     /**
  322.      * Retrieve the Overnight Index from the Index Name
  323.      * 
  324.      * @param strName The Overnight Index Index Name
  325.      * 
  326.      * @return The Overnight Index
  327.      */

  329.     public static final org.drip.market.definition.OvernightIndex IndexFromName (
  330.         final java.lang.String strName)
  331.     {
  332.         return _mapNamedOvernightIndex.containsKey (strName) ? _mapNamedOvernightIndex.get (strName) : null;
  333.     }
  334. }
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