TreasuryFuturesContractContainer.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
*
* 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>TreasuryFuturesContractContainer</i> holds the Details of some of the Common Treasury Futures 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 TreasuryFuturesContractContainer {
private static
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.market.exchange.TreasuryFuturesContract>
_mapNameContract = null;
private static
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.market.exchange.TreasuryFuturesContract>
_mapCodeTenorContract = null;
private static final boolean AddContract (
final java.lang.String[] astrName,
final java.lang.String strID,
final java.lang.String strCode,
final java.lang.String strType,
final java.lang.String strTenor)
{
try {
org.drip.market.exchange.TreasuryFuturesContract tfc = new
org.drip.market.exchange.TreasuryFuturesContract (strID, strCode, strType, strTenor);
for (java.lang.String strName : astrName)
_mapNameContract.put (strName, tfc);
_mapCodeTenorContract.put (strCode + "::" + strTenor, tfc);
return true;
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return false;
}
/**
* Initialize the Treasury Futures Contract Container with the Conventions
*
* @return TRUE - The Treasury Futures Contracts Container successfully initialized with the Contracts
*/
public static final boolean Init()
{
if (null != _mapNameContract) return true;
_mapNameContract = new
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.market.exchange.TreasuryFuturesContract>();
_mapCodeTenorContract = new
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.market.exchange.TreasuryFuturesContract>();
/*
* Australian Treasury Futures
*/
if (!AddContract (new java.lang.String[] {"YM1"}, "YM1", "AGB", "NOTE", "03Y")) return false;
if (!AddContract (new java.lang.String[] {"XM1"}, "XM1", "AGB", "NOTE", "10Y")) return false;
/*
* Canadian Treasury Futures
*/
if (!AddContract (new java.lang.String[] {"CN1"}, "CN1", "CAN", "NOTE", "10Y")) return false;
/*
* Danish Treasury Futures
*/
if (!AddContract (new java.lang.String[] {"DGB"}, "DGB", "DGB", "NOTE", "10Y")) return false;
/*
* French Treasury Futures
*/
if (!AddContract (new java.lang.String[] {"OAT1"}, "OAT1", "FRTR", "NOTE", "10Y")) return false;
/*
* German Treasury Futures
*/
if (!AddContract (new java.lang.String[] {"DU1", "SCHATZ"}, "DU1", "DBR", "NOTE", "02Y"))
return false;
if (!AddContract (new java.lang.String[] {"OE1", "BOBL"}, "OE1", "DBR", "NOTE", "05Y")) return false;
if (!AddContract (new java.lang.String[] {"RX1", "BUND"}, "RX1", "DBR", "NOTE", "10Y")) return false;
if (!AddContract (new java.lang.String[] {"UB1", "BUXL"}, "UB1", "DBR", "NOTE", "30Y")) return false;
/*
* Italian Treasury Futures
*/
if (!AddContract (new java.lang.String[] {"IK1"}, "IK1", "BTPS", "NOTE", "10Y")) return false;
/*
* Japanese Treasury Futures
*/
if (!AddContract (new java.lang.String[] {"JB1"}, "JB1", "JGB", "NOTE", "10Y")) return false;
/*
* Spanish Treasury Futures
*/
if (!AddContract (new java.lang.String[] {"FBB1"}, "FBB1", "SPGB", "NOTE", "10Y")) return false;
/*
* Swiss Treasury Futures
*/
if (!AddContract (new java.lang.String[] {"GSWISS"}, "GSWISS", "GSWISS", "NOTE", "10Y"))
return false;
/*
* UK Treasury Futures
*/
if (!AddContract (new java.lang.String[] {"WB1"}, "WB1", "GILT", "NOTE", "02Y")) return false;
if (!AddContract (new java.lang.String[] {"G1"}, "G1", "GILT", "NOTE", "10Y")) return false;
/*
* US Treasury Futures
*/
if (!AddContract (new java.lang.String[] {"TU1"}, "TU1", "UST", "NOTE", "02Y")) return false;
if (!AddContract (new java.lang.String[] {"FV1"}, "FV1", "UST", "NOTE", "05Y")) return false;
if (!AddContract (new java.lang.String[] {"TY1"}, "TY1", "UST", "NOTE", "10Y")) return false;
if (!AddContract (new java.lang.String[] {"US1"}, "US1", "UST", "NOTE", "20Y")) return false;
if (!AddContract (new java.lang.String[] {"WN1", "ULTRA"}, "WN1", "UST", "NOTE", "30Y"))
return false;
return true;
}
/**
* Retrieve the Treasury Futures Contract by Name
*
* @param strTreasuryFuturesName The Treasury Futures Name
*
* @return The Treasury Futures Contract
*/
public static final org.drip.market.exchange.TreasuryFuturesContract TreasuryFuturesContract (
final java.lang.String strTreasuryFuturesName)
{
return !_mapNameContract.containsKey (strTreasuryFuturesName) ? null : _mapNameContract.get
(strTreasuryFuturesName);
}
/**
* Retrieve the Treasury Futures Contract by Code and Tenor
*
* @param strCode The Treasury Code
* @param strTenor The Futures Tenor
*
* @return The Treasury Futures Contract
*/
public static final org.drip.market.exchange.TreasuryFuturesContract TreasuryFuturesContract (
final java.lang.String strCode,
final java.lang.String strTenor)
{
java.lang.String strCodeTenor = strCode + "::" + strTenor;
return !_mapNameContract.containsKey (strCodeTenor) ? null : _mapNameContract.get (strCodeTenor);
}
}