FuturesOptionsContainer.java
package org.drip.market.exchange;
/*
* -*- 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>FuturesOptionsContainer</i> holds the short term futures options contracts.
*
* <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/exchange">Deliverable Swap, STIR, Treasury Futures</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class FuturesOptionsContainer {
private static java.util.Map<java.lang.String, org.drip.market.exchange.FuturesOptions>
_mapFuturesOptions = null;
/**
* Initialize the Overnight Index Container with the Overnight Indexes
*
* @return TRUE - The Overnight Index Container successfully initialized with the indexes
*/
public static final boolean Init()
{
if (null != _mapFuturesOptions) return true;
_mapFuturesOptions = new
java.util.TreeMap<java.lang.String, org.drip.market.exchange.FuturesOptions>();
try {
org.drip.product.params.LastTradingDateSetting ltdsMidCurveQuarterly = new
org.drip.product.params.LastTradingDateSetting
(org.drip.product.params.LastTradingDateSetting.MID_CURVE_OPTION_QUARTERLY, "",
java.lang.Integer.MIN_VALUE);
org.drip.product.params.LastTradingDateSetting ltdsMidCurve1M = new
org.drip.product.params.LastTradingDateSetting
(org.drip.product.params.LastTradingDateSetting.MID_CURVE_OPTION, "1M",
java.lang.Integer.MIN_VALUE);
org.drip.product.params.LastTradingDateSetting ltdsMidCurve2M = new
org.drip.product.params.LastTradingDateSetting
(org.drip.product.params.LastTradingDateSetting.MID_CURVE_OPTION, "2M",
java.lang.Integer.MIN_VALUE);
org.drip.product.params.LastTradingDateSetting ltdsMidCurve1Y = new
org.drip.product.params.LastTradingDateSetting
(org.drip.product.params.LastTradingDateSetting.MID_CURVE_OPTION, "1Y",
java.lang.Integer.MIN_VALUE);
org.drip.product.params.LastTradingDateSetting ltdsMidCurve2Y = new
org.drip.product.params.LastTradingDateSetting
(org.drip.product.params.LastTradingDateSetting.MID_CURVE_OPTION, "2Y",
java.lang.Integer.MIN_VALUE);
org.drip.product.params.LastTradingDateSetting[] s_aLTDSMidCurveAll = new
org.drip.product.params.LastTradingDateSetting[] {ltdsMidCurveQuarterly, ltdsMidCurve1M,
ltdsMidCurve2M, ltdsMidCurve1Y, ltdsMidCurve2Y, new
org.drip.product.params.LastTradingDateSetting
(org.drip.product.params.LastTradingDateSetting.MID_CURVE_OPTION, "4Y",
java.lang.Integer.MIN_VALUE)};
org.drip.market.exchange.FuturesOptions foCHFLIBOR3M_MARGIN = new
org.drip.market.exchange.FuturesOptions ("CHF-LIBOR-3M", "MARGIN");
foCHFLIBOR3M_MARGIN.setLDTS ("LIFFE", new org.drip.product.params.LastTradingDateSetting[]
{ltdsMidCurveQuarterly});
_mapFuturesOptions.put ("CHF-LIBOR-3M|MARGIN", foCHFLIBOR3M_MARGIN);
org.drip.market.exchange.FuturesOptions foGBPLIBOR3M_MARGIN = new
org.drip.market.exchange.FuturesOptions ("GBP-LIBOR-3M", "MARGIN");
foGBPLIBOR3M_MARGIN.setLDTS ("LIFFE", new org.drip.product.params.LastTradingDateSetting[]
{ltdsMidCurveQuarterly, ltdsMidCurve1M, ltdsMidCurve2M, ltdsMidCurve2Y});
_mapFuturesOptions.put ("GBP-LIBOR-3M|MARGIN", foGBPLIBOR3M_MARGIN);
org.drip.market.exchange.FuturesOptions foEUREURIBOR3M_MARGIN = new
org.drip.market.exchange.FuturesOptions ("EUR-EURIBOR-3M", "MARGIN");
foEUREURIBOR3M_MARGIN.setLDTS ("EUREX", new org.drip.product.params.LastTradingDateSetting[]
{ltdsMidCurveQuarterly, ltdsMidCurve1Y});
foEUREURIBOR3M_MARGIN.setLDTS ("LIFFE", new org.drip.product.params.LastTradingDateSetting[]
{ltdsMidCurveQuarterly, ltdsMidCurve1M, ltdsMidCurve2M, ltdsMidCurve2Y});
_mapFuturesOptions.put ("EUR-EURIBOR-3M|MARGIN", foEUREURIBOR3M_MARGIN);
org.drip.market.exchange.FuturesOptions foJPYLIBOR3M_PREMIUM = new
org.drip.market.exchange.FuturesOptions ("JPY-LIBOR-3M", "PREMIUM");
foJPYLIBOR3M_PREMIUM.setLDTS ("SGX", s_aLTDSMidCurveAll);
_mapFuturesOptions.put ("JPY-LIBOR-3M|PREMIUM", foJPYLIBOR3M_PREMIUM);
org.drip.market.exchange.FuturesOptions foJPYTIBOR3M_PREMIUM = new
org.drip.market.exchange.FuturesOptions ("JPY-TIBOR-3M", "PREMIUM");
foJPYTIBOR3M_PREMIUM.setLDTS ("SGX", s_aLTDSMidCurveAll);
_mapFuturesOptions.put ("JPY-TIBOR-3M|PREMIUM", foJPYTIBOR3M_PREMIUM);
org.drip.market.exchange.FuturesOptions foUSDLIBOR1M_PREMIUM = new
org.drip.market.exchange.FuturesOptions ("USD-LIBOR-1M", "PREMIUM");
foUSDLIBOR1M_PREMIUM.setLDTS ("CME", s_aLTDSMidCurveAll);
_mapFuturesOptions.put ("USD-LIBOR-1M|PREMIUM", foUSDLIBOR1M_PREMIUM);
org.drip.market.exchange.FuturesOptions foUSDLIBOR3M_MARGIN = new
org.drip.market.exchange.FuturesOptions ("USD-LIBOR-3M", "MARGIN");
foUSDLIBOR3M_MARGIN.setLDTS ("LIFFE", new org.drip.product.params.LastTradingDateSetting[]
{ltdsMidCurveQuarterly, ltdsMidCurve1M, ltdsMidCurve2M});
_mapFuturesOptions.put ("USD-LIBOR-3M|MARGIN", foUSDLIBOR3M_MARGIN);
org.drip.market.exchange.FuturesOptions foUSDLIBOR3M_PREMIUM = new
org.drip.market.exchange.FuturesOptions ("USD-LIBOR-3M", "PREMIUM");
foUSDLIBOR3M_PREMIUM.setLDTS ("CME", s_aLTDSMidCurveAll);
foUSDLIBOR3M_PREMIUM.setLDTS ("SGX", s_aLTDSMidCurveAll);
_mapFuturesOptions.put ("USD-LIBOR-3M|PREMIUM", foUSDLIBOR3M_PREMIUM);
} catch (java.lang.Exception e) {
e.printStackTrace();
return false;
}
return true;
}
/**
* Retrieve the FuturesOptions Exchange Info
*
* @param strFullyQualifiedName Fully Qualified Name
* @param strTradingMode Trading Mode
*
* @return The FuturesOptions Exchange Info
*/
public static final org.drip.market.exchange.FuturesOptions ExchangeInfo (
final java.lang.String strFullyQualifiedName,
final java.lang.String strTradingMode)
{
if (null == strFullyQualifiedName || strFullyQualifiedName.isEmpty() || null == strTradingMode ||
strTradingMode.isEmpty() || !_mapFuturesOptions.containsKey (strFullyQualifiedName + "|" +
strTradingMode))
return null;
java.lang.String strFuturesOptionsKey = strFullyQualifiedName + "|" + strTradingMode;
return !_mapFuturesOptions.containsKey (strFuturesOptionsKey) ? null : _mapFuturesOptions.get
(strFuturesOptionsKey);
}
}