TreasuryFuturesConvention.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>TreasuryFuturesConvention</i> contains the Details for the Futures Basket of the Exchange-Traded
  84.  * Treasury Futures Contracts.
  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/exchange">Deliverable Swap, STIR, Treasury Futures</a></li>
  92.  *  </ul>
  93.  *
  94.  * @author Lakshmi Krishnamurthy
  95.  */

  97. public class TreasuryFuturesConvention {
  98.     private java.lang.String _strName = "";
  99.     private java.lang.String _strCalendar = "";
  100.     private java.lang.String _strCurrency = "";
  101.     private java.lang.String[] _astrCode = null;
  102.     private java.lang.String[] _astrExchange = null;
  103.     private java.lang.String _strMaturityTenor = "";
  104.     private java.lang.String _strUnderlierType = "";
  105.     private java.lang.String _strUnderlierSubtype = "";
  106.     private double _dblBasketNotional = java.lang.Double.NaN;
  107.     private double _dblMinimumPriceMovement = java.lang.Double.NaN;
  108.     private org.drip.market.exchange.TreasuryFuturesSettle _bfs = null;
  109.     private org.drip.analytics.eventday.DateInMonth _dimExpiry = null;
  110.     private double _dblComponentNotionalMinimum = java.lang.Double.NaN;
  111.     private org.drip.market.exchange.TreasuryFuturesEligibility _bfe = null;

  113.     /**
  114.      * TreasuryFuturesConvention Constructor
  115.      * 
  116.      * @param strName The Futures Name
  117.      * @param astrCode The Array of the Futures Codes
  118.      * @param strCurrency The Futures Currency
  119.      * @param strCalendar The Futures Settle Calendar
  120.      * @param strMaturityTenor The Maturity Tenor
  121.      * @param dblBasketNotional Basket Notional
  122.      * @param dblMinimumPriceMovement The Minimum Price Movement
  123.      * @param dblComponentNotionalMinimum The Minimum Component Notional
  124.      * @param astrExchange Exchange Array
  125.      * @param strUnderlierType Underlier Type
  126.      * @param strUnderlierSubtype Underlier Sub-Type
  127.      * @param dimExpiry The Expiry Date-In-Month Setting
  128.      * @param bfe Eligibility Settings
  129.      * @param bfs Settlement Settings
  130.      * 
  131.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  132.      */

  134.     public TreasuryFuturesConvention (
  135.         final java.lang.String strName,
  136.         final java.lang.String[] astrCode,
  137.         final java.lang.String strCurrency,
  138.         final java.lang.String strCalendar,
  139.         final java.lang.String strMaturityTenor,
  140.         final double dblBasketNotional,
  141.         final double dblMinimumPriceMovement,
  142.         final double dblComponentNotionalMinimum,
  143.         final java.lang.String[] astrExchange,
  144.         final java.lang.String strUnderlierType,
  145.         final java.lang.String strUnderlierSubtype,
  146.         final org.drip.analytics.eventday.DateInMonth dimExpiry,
  147.         final org.drip.market.exchange.TreasuryFuturesEligibility bfe,
  148.         final org.drip.market.exchange.TreasuryFuturesSettle bfs)
  149.         throws java.lang.Exception
  150.     {
  151.         if (null == (_strName = strName) || _strName.isEmpty() || null == (_astrCode = astrCode) || 0 ==
  152.             _astrCode.length || null == (_strCurrency = strCurrency) || _strCurrency.isEmpty() || null ==
  153.                 (_strMaturityTenor = strMaturityTenor) || _strMaturityTenor.isEmpty() ||
  154.                     !org.drip.numerical.common.NumberUtil.IsValid (_dblBasketNotional = dblBasketNotional) ||
  155.                         !org.drip.numerical.common.NumberUtil.IsValid (_dblMinimumPriceMovement =
  156.                             dblMinimumPriceMovement) || !org.drip.numerical.common.NumberUtil.IsValid
  157.                                 (_dblComponentNotionalMinimum = dblComponentNotionalMinimum) || null ==
  158.                                     (_astrExchange = astrExchange) || 0 == _astrExchange.length || null ==
  159.                                         (_strUnderlierType = strUnderlierType) || _strUnderlierType.isEmpty()
  160.                                             || null == (_strUnderlierSubtype = strUnderlierSubtype) ||
  161.                                                 _strUnderlierSubtype.isEmpty() || null == (_dimExpiry =
  162.                                                     dimExpiry) || null == (_bfe = bfe) || null == (_bfs =
  163.                                                         bfs))
  164.             throw new java.lang.Exception ("TreasuryFuturesConvention ctr: Invalid Inputs");

  166.         _strCalendar = strCalendar;
  167.     }

  169.     /**
  170.      * Retrieve the Treasury Futures Name
  171.      * 
  172.      * @return The Treasury Futures Name
  173.      */

  175.     public java.lang.String name()
  176.     {
  177.         return _strName;
  178.     }

  180.     /**
  181.      * Retrieve the Treasury Futures Settle Calendar
  182.      * 
  183.      * @return The Treasury Futures Settle Calendar
  184.      */

  186.     public java.lang.String calendar()
  187.     {
  188.         return _strCalendar;
  189.     }

  191.     /**
  192.      * Retrieve the Treasury Futures Code Array
  193.      * 
  194.      * @return The Treasury Futures Code Array
  195.      */

  197.     public java.lang.String[] codes()
  198.     {
  199.         return _astrCode;
  200.     }

  202.     /**
  203.      * Retrieve the Treasury Futures Currency
  204.      * 
  205.      * @return The Treasury Futures Currency
  206.      */

  208.     public java.lang.String currency()
  209.     {
  210.         return _strCurrency;
  211.     }

  213.     /**
  214.      * Retrieve the Treasury Futures Maturity Tenor
  215.      * 
  216.      * @return The Treasury Futures Maturity Tenor
  217.      */

  219.     public java.lang.String maturityTenor()
  220.     {
  221.         return _strMaturityTenor;
  222.     }

  224.     /**
  225.      * Retrieve the Treasury Futures Basket Notional
  226.      * 
  227.      * @return The Treasury Futures Basket Notional
  228.      */

  230.     public double basketNotional()
  231.     {
  232.         return _dblBasketNotional;
  233.     }

  235.     /**
  236.      * Retrieve the Minimimum Price Movement - a.k.a Tick
  237.      * 
  238.      * @return The Minimum Price Movement
  239.      */

  241.     public double minimumPriceMovement()
  242.     {
  243.         return _dblMinimumPriceMovement;
  244.     }

  246.     /**
  247.      * Retrieve the Minimum Treasury Futures Component Notional
  248.      * 
  249.      * @return The Minimum Treasury Futures Component Notional
  250.      */

  252.     public double minimumComponentNotional()
  253.     {
  254.         return _dblComponentNotionalMinimum;
  255.     }

  257.     /**
  258.      * Retrieve the Bond Futures Exchanges Array
  259.      * 
  260.      * @return The Bond Futures Exchanges Array
  261.      */

  263.     public java.lang.String[] exchanges()
  264.     {
  265.         return _astrExchange;
  266.     }

  268.     /**
  269.      * Retrieve the Treasury Futures Underlier Type
  270.      * 
  271.      * @return The Treasury Futures Underlier Type
  272.      */

  274.     public java.lang.String underlierType()
  275.     {
  276.         return _strUnderlierType;
  277.     }

  279.     /**
  280.      * Retrieve the Treasury Futures Underlier Sub-type
  281.      * 
  282.      * @return The Treasury Futures Underlier Sub-type
  283.      */

  285.     public java.lang.String underlierSubtype()
  286.     {
  287.         return _strUnderlierSubtype;
  288.     }

  290.     /**
  291.      * Retrieve the Date In Month Expiry Settings
  292.      * 
  293.      * @return The Date In Month Expiry Settings
  294.      */

  296.     public org.drip.analytics.eventday.DateInMonth dimExpiry()
  297.     {
  298.         return _dimExpiry;
  299.     }

  301.     /**
  302.      * Retrieve the Treasury Futures Eligibility Settings
  303.      * 
  304.      * @return The Treasury Futures Eligibility Settings
  305.      */

  307.     public org.drip.market.exchange.TreasuryFuturesEligibility eligibility()
  308.     {
  309.         return _bfe;
  310.     }

  312.     /**
  313.      * Retrieve the Treasury Futures Settle Settings
  314.      * 
  315.      * @return The Treasury Futures Settle Settings
  316.      */

  318.     public org.drip.market.exchange.TreasuryFuturesSettle settle()
  319.     {
  320.         return _bfs;
  321.     }

  323.     /**
  324.      * Retrieve the TreasuryFuturesEventDates Instance corresponding to the Futures Expiry Year/Month
  325.      * 
  326.      * @param iYear Futures Year
  327.      * @param iMonth Futures Month
  328.      * 
  329.      * @return The TreasuryFuturesEventDates Instance
  330.      */

  332.     public org.drip.market.exchange.TreasuryFuturesEventDates eventDates (
  333.         final int iYear,
  334.         final int iMonth)
  335.     {
  336.         org.drip.analytics.date.JulianDate dtExpiry = _dimExpiry.instanceDay (iYear, iMonth, _strCalendar);

  338.         if (null == dtExpiry) return null;

  340.         try {
  341.             return new org.drip.market.exchange.TreasuryFuturesEventDates (dtExpiry, dtExpiry.addBusDays
  342.                 (_bfs.expiryFirstDeliveryLag(), _strCalendar), dtExpiry.addBusDays
  343.                     (_bfs.expiryFinalDeliveryLag(), _strCalendar), dtExpiry.addBusDays
  344.                         (_bfs.expiryDeliveryNoticeLag(), _strCalendar), dtExpiry.addBusDays
  345.                             (_bfs.expiryFirstDeliveryLag(), _strCalendar));
  346.         } catch (java.lang.Exception e) {
  347.             e.printStackTrace();
  348.         }

  350.         return null;
  351.     }

  353.     /**
  354.      * Compute the Reference Bond Price from the Quoted Futures Index Level
  355.      * 
  356.      * @param dblFuturesQuotedIndex The Quoted Futures Index Level
  357.      * 
  358.      * @return The Reference Price
  359.      * 
  360.      * @throws java.lang.Exception Thrown if the Inputs are invalid
  361.      */

  363.     public double referencePrice (
  364.         final double dblFuturesQuotedIndex)
  365.         throws java.lang.Exception
  366.     {
  367.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblFuturesQuotedIndex))
  368.             throw new java.lang.Exception ("TreasuryFuturesConvention::referencePrice => Invalid Inputs!");

  370.         double dblPeriodReferenceYield = 0.5 * (1. - dblFuturesQuotedIndex);

  372.         double dblCompoundedDF = java.lang.Math.pow (1. / (1. + dblPeriodReferenceYield),
  373.             org.drip.analytics.support.Helper.TenorToMonths (_strMaturityTenor) / 6);

  375.         return dblCompoundedDF + 0.5 * _bfs.currentReferenceYield() * (1. - dblCompoundedDF) /
  376.             dblPeriodReferenceYield;
  377.     }

  379.     /**
  380.      * Compute the Reference Bond Price from the Quoted Futures Index Level
  381.      * 
  382.      * @param dtValue The Valuation Date
  383.      * @param bond The Bond Instance
  384.      * @param dblFuturesQuotedIndex The Quoted Futures Index Level
  385.      * 
  386.      * @return The Reference Price
  387.      * 
  388.      * @throws java.lang.Exception Thrown if the Treasury Futures Price Generic cannot be computed
  389.      */

  391.     public double referencePrice (
  392.         final org.drip.analytics.date.JulianDate dtValue,
  393.         final org.drip.product.definition.Bond bond,
  394.         final double dblFuturesQuotedIndex)
  395.         throws java.lang.Exception
  396.     {
  397.         if (null == dtValue || null == bond) return referencePrice (dblFuturesQuotedIndex);

  399.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblFuturesQuotedIndex))
  400.             throw new java.lang.Exception ("AnalyticsHelper::referencePrice => Invalid Inputs");

  402.         return bond.priceFromYield (new org.drip.param.valuation.ValuationParams (dtValue, dtValue, null),
  403.             null, null, 1. - dblFuturesQuotedIndex);
  404.     }

  406.     /**
  407.      * Indicate whether the given bond is eligible to be delivered
  408.      * 
  409.      * @param dtValue The Value Date
  410.      * @param bond The Bond whose Eligibility is to be evaluated
  411.      * @param dblOutstandingNotional The Outstanding Notional
  412.      * @param strIssuer The Issuer
  413.      * 
  414.      * @return TRUE - The given bond is eligible to be delivered
  415.      */

  417.     public boolean isEligible (
  418.         final org.drip.analytics.date.JulianDate dtValue,
  419.         final org.drip.product.definition.Bond bond,
  420.         final double dblOutstandingNotional,
  421.         final java.lang.String strIssuer)
  422.     {
  423.         return _bfe.isEligible (dtValue, bond, dblOutstandingNotional, strIssuer);
  424.     }

  426.     @Override public java.lang.String toString()
  427.     {
  428.         java.lang.String strDump = "Name: " + _strName + " | Currency: " + _strCurrency + " | Calendar: " +
  429.             _strCalendar + " | Underlier Type: " + _strUnderlierType + " | Underlier Sub-type: " +
  430.                 _strUnderlierSubtype + " | Maturity Tenor: " + _strMaturityTenor + " | Basket Notional: " +
  431.                     _dblBasketNotional + " | Minimum Price Movement: " + _dblMinimumPriceMovement +
  432.                         " | Component Notional Minimum: " + _dblComponentNotionalMinimum;

  434.         for (int i = 0; i < _astrCode.length; ++i) {
  435.             if (0 == i)
  436.                 strDump += " | CODES => {";
  437.             else
  438.                 strDump += ", ";

  440.             strDump += _astrCode[i];

  442.             if (_astrExchange.length - 1 == i) strDump += "}";
  443.         }

  445.         for (int i = 0; i < _astrExchange.length; ++i) {
  446.             if (0 == i)
  447.                 strDump += " | EXCHANGES => (";
  448.             else
  449.                 strDump += ", ";

  451.             strDump += _astrExchange[i];

  453.             if (_astrExchange.length - 1 == i) strDump += ") ";
  454.         }

  456.         return strDump + "\n\t\t" + _dimExpiry + "\n\t\t" + _bfe + "\n\t\t" + _bfs;
  457.     }
  458. }
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