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);
    }
}