FuturesOptionsContainer.java

  1. package org.drip.market.exchange;

  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>FuturesOptionsContainer</i> holds the short term futures options contracts.
  84.  *
  85.  *  <br><br>
  86.  *  <ul>
  87.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  88.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics Library</a></li>
  89.  *      <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>
  90.  *      <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>
  91.  *  </ul>
  92.  *
  93.  * @author Lakshmi Krishnamurthy
  94.  */

  96. public class FuturesOptionsContainer {
  97.     private static java.util.Map<java.lang.String, org.drip.market.exchange.FuturesOptions>
  98.         _mapFuturesOptions = null;

  100.     /**
  101.      * Initialize the Overnight Index Container with the Overnight Indexes
  102.      * 
  103.      * @return TRUE - The Overnight Index Container successfully initialized with the indexes
  104.      */

  106.     public static final boolean Init()
  107.     {
  108.         if (null != _mapFuturesOptions) return true;

  110.         _mapFuturesOptions = new
  111.             java.util.TreeMap<java.lang.String, org.drip.market.exchange.FuturesOptions>();

  113.         try {
  114.             org.drip.product.params.LastTradingDateSetting ltdsMidCurveQuarterly = new
  115.                 org.drip.product.params.LastTradingDateSetting
  116.                     (org.drip.product.params.LastTradingDateSetting.MID_CURVE_OPTION_QUARTERLY, "",
  117.                         java.lang.Integer.MIN_VALUE);

  119.             org.drip.product.params.LastTradingDateSetting ltdsMidCurve1M = new
  120.                 org.drip.product.params.LastTradingDateSetting
  121.                     (org.drip.product.params.LastTradingDateSetting.MID_CURVE_OPTION, "1M",
  122.                         java.lang.Integer.MIN_VALUE);

  124.             org.drip.product.params.LastTradingDateSetting ltdsMidCurve2M = new
  125.                 org.drip.product.params.LastTradingDateSetting
  126.                     (org.drip.product.params.LastTradingDateSetting.MID_CURVE_OPTION, "2M",
  127.                         java.lang.Integer.MIN_VALUE);

  129.             org.drip.product.params.LastTradingDateSetting ltdsMidCurve1Y = new
  130.                 org.drip.product.params.LastTradingDateSetting
  131.                     (org.drip.product.params.LastTradingDateSetting.MID_CURVE_OPTION, "1Y",
  132.                         java.lang.Integer.MIN_VALUE);

  134.             org.drip.product.params.LastTradingDateSetting ltdsMidCurve2Y = new
  135.                 org.drip.product.params.LastTradingDateSetting
  136.                     (org.drip.product.params.LastTradingDateSetting.MID_CURVE_OPTION, "2Y",
  137.                         java.lang.Integer.MIN_VALUE);

  139.             org.drip.product.params.LastTradingDateSetting[] s_aLTDSMidCurveAll = new
  140.                 org.drip.product.params.LastTradingDateSetting[] {ltdsMidCurveQuarterly, ltdsMidCurve1M,
  141.                     ltdsMidCurve2M, ltdsMidCurve1Y, ltdsMidCurve2Y, new
  142.                         org.drip.product.params.LastTradingDateSetting
  143.                             (org.drip.product.params.LastTradingDateSetting.MID_CURVE_OPTION, "4Y",
  144.                                 java.lang.Integer.MIN_VALUE)};

  146.             org.drip.market.exchange.FuturesOptions foCHFLIBOR3M_MARGIN = new
  147.                 org.drip.market.exchange.FuturesOptions ("CHF-LIBOR-3M", "MARGIN");

  149.             foCHFLIBOR3M_MARGIN.setLDTS ("LIFFE", new org.drip.product.params.LastTradingDateSetting[]
  150.                 {ltdsMidCurveQuarterly});

  152.             _mapFuturesOptions.put ("CHF-LIBOR-3M|MARGIN", foCHFLIBOR3M_MARGIN);

  154.             org.drip.market.exchange.FuturesOptions foGBPLIBOR3M_MARGIN = new
  155.                 org.drip.market.exchange.FuturesOptions ("GBP-LIBOR-3M", "MARGIN");

  157.             foGBPLIBOR3M_MARGIN.setLDTS ("LIFFE", new org.drip.product.params.LastTradingDateSetting[]
  158.                 {ltdsMidCurveQuarterly, ltdsMidCurve1M, ltdsMidCurve2M, ltdsMidCurve2Y});

  160.             _mapFuturesOptions.put ("GBP-LIBOR-3M|MARGIN", foGBPLIBOR3M_MARGIN);

  162.             org.drip.market.exchange.FuturesOptions foEUREURIBOR3M_MARGIN = new
  163.                 org.drip.market.exchange.FuturesOptions ("EUR-EURIBOR-3M", "MARGIN");

  165.             foEUREURIBOR3M_MARGIN.setLDTS ("EUREX", new org.drip.product.params.LastTradingDateSetting[]
  166.                 {ltdsMidCurveQuarterly, ltdsMidCurve1Y});

  168.             foEUREURIBOR3M_MARGIN.setLDTS ("LIFFE", new org.drip.product.params.LastTradingDateSetting[]
  169.                 {ltdsMidCurveQuarterly, ltdsMidCurve1M, ltdsMidCurve2M, ltdsMidCurve2Y});

  171.             _mapFuturesOptions.put ("EUR-EURIBOR-3M|MARGIN", foEUREURIBOR3M_MARGIN);

  173.             org.drip.market.exchange.FuturesOptions foJPYLIBOR3M_PREMIUM = new
  174.                 org.drip.market.exchange.FuturesOptions ("JPY-LIBOR-3M", "PREMIUM");

  176.             foJPYLIBOR3M_PREMIUM.setLDTS ("SGX", s_aLTDSMidCurveAll);

  178.             _mapFuturesOptions.put ("JPY-LIBOR-3M|PREMIUM", foJPYLIBOR3M_PREMIUM);

  180.             org.drip.market.exchange.FuturesOptions foJPYTIBOR3M_PREMIUM = new
  181.                 org.drip.market.exchange.FuturesOptions ("JPY-TIBOR-3M", "PREMIUM");

  183.             foJPYTIBOR3M_PREMIUM.setLDTS ("SGX", s_aLTDSMidCurveAll);

  185.             _mapFuturesOptions.put ("JPY-TIBOR-3M|PREMIUM", foJPYTIBOR3M_PREMIUM);

  187.             org.drip.market.exchange.FuturesOptions foUSDLIBOR1M_PREMIUM = new
  188.                 org.drip.market.exchange.FuturesOptions ("USD-LIBOR-1M", "PREMIUM");

  190.             foUSDLIBOR1M_PREMIUM.setLDTS ("CME", s_aLTDSMidCurveAll);

  192.             _mapFuturesOptions.put ("USD-LIBOR-1M|PREMIUM", foUSDLIBOR1M_PREMIUM);

  194.             org.drip.market.exchange.FuturesOptions foUSDLIBOR3M_MARGIN = new
  195.                 org.drip.market.exchange.FuturesOptions ("USD-LIBOR-3M", "MARGIN");

  197.             foUSDLIBOR3M_MARGIN.setLDTS ("LIFFE", new org.drip.product.params.LastTradingDateSetting[]
  198.                 {ltdsMidCurveQuarterly, ltdsMidCurve1M, ltdsMidCurve2M});

  200.             _mapFuturesOptions.put ("USD-LIBOR-3M|MARGIN", foUSDLIBOR3M_MARGIN);

  202.             org.drip.market.exchange.FuturesOptions foUSDLIBOR3M_PREMIUM = new
  203.                 org.drip.market.exchange.FuturesOptions ("USD-LIBOR-3M", "PREMIUM");

  205.             foUSDLIBOR3M_PREMIUM.setLDTS ("CME", s_aLTDSMidCurveAll);

  207.             foUSDLIBOR3M_PREMIUM.setLDTS ("SGX", s_aLTDSMidCurveAll);

  209.             _mapFuturesOptions.put ("USD-LIBOR-3M|PREMIUM", foUSDLIBOR3M_PREMIUM);
  210.         } catch (java.lang.Exception e) {
  211.             e.printStackTrace();

  213.             return false;
  214.         }

  216.         return true;
  217.     }

  219.     /**
  220.      * Retrieve the FuturesOptions Exchange Info
  221.      * 
  222.      * @param strFullyQualifiedName Fully Qualified Name
  223.      * @param strTradingMode Trading Mode
  224.      * 
  225.      * @return The FuturesOptions Exchange Info
  226.      */

  228.     public static final org.drip.market.exchange.FuturesOptions ExchangeInfo (
  229.         final java.lang.String strFullyQualifiedName,
  230.         final java.lang.String strTradingMode)
  231.     {
  232.         if (null == strFullyQualifiedName || strFullyQualifiedName.isEmpty() || null == strTradingMode ||
  233.             strTradingMode.isEmpty() || !_mapFuturesOptions.containsKey (strFullyQualifiedName + "|" +
  234.                 strTradingMode))
  235.             return null;

  237.         java.lang.String strFuturesOptionsKey = strFullyQualifiedName + "|" + strTradingMode;

  239.         return !_mapFuturesOptions.containsKey (strFuturesOptionsKey) ? null : _mapFuturesOptions.get
  240.             (strFuturesOptionsKey);
  241.     }
  242. }
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