TreasuryFuturesConventionContainer.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
*
* 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>TreasuryFuturesConventionContainer</i> holds the Details of the 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 TreasuryFuturesConventionContainer {
private static java.util.Map<java.lang.String, org.drip.market.exchange.TreasuryFuturesConvention>
_mapFutures = null;
/**
* Initialize the Bond Futures Convention Container with the Conventions
*
* @return TRUE - The Bond Futures Convention Container successfully initialized with the Conventions
*/
public static final boolean Init()
{
if (null != _mapFutures) return true;
_mapFutures = new java.util.TreeMap<java.lang.String,
org.drip.market.exchange.TreasuryFuturesConvention>();
int[] aiStandardDeliveryMonth = {org.drip.analytics.date.DateUtil.FEBRUARY,
org.drip.analytics.date.DateUtil.MAY, org.drip.analytics.date.DateUtil.AUGUST,
org.drip.analytics.date.DateUtil.NOVEMBER};
try {
_mapFutures.put ("AUD-BANK-BILLS-3M", new org.drip.market.exchange.TreasuryFuturesConvention
("AUD-BANKBILLS-3M", new java.lang.String[] {"AUD-BANKBILLS-3M"}, "AUD", "AUD", "3M",
1000000., 0.03125, 100000., new java.lang.String[] {"ASX"}, "BANK", "BILLS", new
org.drip.analytics.eventday.DateInMonth
(org.drip.analytics.eventday.DateInMonth.INSTANCE_GENERATOR_RULE_WEEK_DAY, false,
-1, org.drip.analytics.date.DateUtil.FRIDAY, 2, -1), new
org.drip.market.exchange.TreasuryFuturesEligibility ("85D", "95D", new
java.lang.String[]
{"Australia and New Zealand Banking Group Limited",
"Commonwealth Bank of Australia",
"National Australia Bank Limited",
"Westpac Banking Corporation"}, 0.), new
org.drip.market.exchange.TreasuryFuturesSettle (1, 1,
0, 0,
org.drip.market.exchange.TreasuryFuturesSettle.SETTLE_TYPE_PHYSICAL_DELIVERY,
org.drip.market.exchange.TreasuryFuturesSettle.QUOTE_REFERENCE_INDEX_FLAT, false,
java.lang.Double.NaN, java.lang.Double.NaN, aiStandardDeliveryMonth)));
_mapFutures.put ("AUD-TREASURY-BOND-3Y", new org.drip.market.exchange.TreasuryFuturesConvention
("AUD-TREASURY-BOND-3Y", new java.lang.String[] {"YMA"}, "AUD", "AUD", "3Y", 100000., 0.03125,
0., new java.lang.String[] {"SFE"}, "TREASURY", "BOND", new
org.drip.analytics.eventday.DateInMonth
(org.drip.analytics.eventday.DateInMonth.INSTANCE_GENERATOR_RULE_WEEK_DAY, false,
-1, org.drip.analytics.date.DateUtil.FRIDAY, 2, -1), new
org.drip.market.exchange.TreasuryFuturesEligibility ("2Y", "4Y", new
java.lang.String[] {}, 0.), new
org.drip.market.exchange.TreasuryFuturesSettle (1, 1, 0, 0,
org.drip.market.exchange.TreasuryFuturesSettle.SETTLE_TYPE_CASH,
org.drip.market.exchange.TreasuryFuturesSettle.QUOTE_REFERENCE_INDEX_AUD_BOND_FUTURES_STYLE,
false, java.lang.Double.NaN, java.lang.Double.NaN, aiStandardDeliveryMonth)));
_mapFutures.put ("AUD-TREASURY-BOND-10Y", new org.drip.market.exchange.TreasuryFuturesConvention
("AUD-TREASURY-BOND-10Y", new java.lang.String[] {"XMA"}, "AUD", "AUD", "10Y", 100000.,
0.03125, 0., new java.lang.String[] {"SFE"}, "TREASURY", "BOND", new
org.drip.analytics.eventday.DateInMonth
(org.drip.analytics.eventday.DateInMonth.INSTANCE_GENERATOR_RULE_WEEK_DAY, false,
-1, org.drip.analytics.date.DateUtil.FRIDAY, 2, -1), new
org.drip.market.exchange.TreasuryFuturesEligibility ("8Y", "12Y", new
java.lang.String[] {}, 0.), new
org.drip.market.exchange.TreasuryFuturesSettle (1, 1, 0, 0,
org.drip.market.exchange.TreasuryFuturesSettle.SETTLE_TYPE_CASH,
org.drip.market.exchange.TreasuryFuturesSettle.QUOTE_REFERENCE_INDEX_AUD_BOND_FUTURES_STYLE,
false, java.lang.Double.NaN, java.lang.Double.NaN, aiStandardDeliveryMonth)));
_mapFutures.put ("USD-TREASURY-BOND-ULTRA", new org.drip.market.exchange.TreasuryFuturesConvention
("ULTRA T-BOND", new java.lang.String[] {"UB", "UL", "UBE"}, "USD", "USD", "ULTRA", 100000.,
0.03125, 0., new java.lang.String[] {"CBOT"}, "TREASURY", "BOND", new
org.drip.analytics.eventday.DateInMonth
(org.drip.analytics.eventday.DateInMonth.INSTANCE_GENERATOR_RULE_EDGE_LAG, true,
7, -1, -1, -1), new org.drip.market.exchange.TreasuryFuturesEligibility ("25Y",
"MAX", new java.lang.String[] {"US Government Bonds"}, 0.), new
org.drip.market.exchange.TreasuryFuturesSettle (1, 1, -1, 0,
org.drip.market.exchange.TreasuryFuturesSettle.SETTLE_TYPE_PHYSICAL_DELIVERY,
org.drip.market.exchange.TreasuryFuturesSettle.QUOTE_REFERENCE_INDEX_CONVERSION_FACTOR, false,
0.06, 0.06, aiStandardDeliveryMonth)));
_mapFutures.put ("USD-TREASURY-BOND-30Y", new org.drip.market.exchange.TreasuryFuturesConvention
("USD 30-YR BOND", new java.lang.String[] {"ZB", "US"}, "USD", "USD", "30Y", 100000., 0.03125,
0., new java.lang.String[] {"CBOT"}, "TREASURY", "BOND", new
org.drip.analytics.eventday.DateInMonth
(org.drip.analytics.eventday.DateInMonth.INSTANCE_GENERATOR_RULE_EDGE_LAG, true,
7, -1, -1, -1), new org.drip.market.exchange.TreasuryFuturesEligibility ("15Y",
"25Y", new java.lang.String[] {"US Government Bonds"}, 0.), new
org.drip.market.exchange.TreasuryFuturesSettle (1, 1, -1, 0,
org.drip.market.exchange.TreasuryFuturesSettle.SETTLE_TYPE_PHYSICAL_DELIVERY,
org.drip.market.exchange.TreasuryFuturesSettle.QUOTE_REFERENCE_INDEX_CONVERSION_FACTOR, false,
0.06, 0.06, aiStandardDeliveryMonth)));
_mapFutures.put ("USD-TREASURY-NOTE-10Y", new org.drip.market.exchange.TreasuryFuturesConvention
("USD 10-YR NOTE", new java.lang.String[] {"ZN", "TY"}, "USD", "USD", "10Y", 100000., 0.03125,
0., new java.lang.String[] {"CBOT"}, "TREASURY", "NOTE", new
org.drip.analytics.eventday.DateInMonth
(org.drip.analytics.eventday.DateInMonth.INSTANCE_GENERATOR_RULE_EDGE_LAG, true,
7, -1, -1, -1), new org.drip.market.exchange.TreasuryFuturesEligibility ("78M",
"10Y", new java.lang.String[] {"US Government Bonds"}, 0.), new
org.drip.market.exchange.TreasuryFuturesSettle (1, 1, -1, 0,
org.drip.market.exchange.TreasuryFuturesSettle.SETTLE_TYPE_PHYSICAL_DELIVERY,
org.drip.market.exchange.TreasuryFuturesSettle.QUOTE_REFERENCE_INDEX_CONVERSION_FACTOR, false,
0.06, 0.06, aiStandardDeliveryMonth)));
_mapFutures.put ("USD-TREASURY-NOTE-5Y", new org.drip.market.exchange.TreasuryFuturesConvention
("USD 5-YR NOTE", new java.lang.String[] {"ZF", "FV"}, "USD", "USD", "5Y", 100000., 0.03125,
0., new java.lang.String[] {"CBOT"}, "TREASURY", "NOTE", new
org.drip.analytics.eventday.DateInMonth
(org.drip.analytics.eventday.DateInMonth.INSTANCE_GENERATOR_RULE_EDGE_LAG, true,
0, -1, -1, -1), new org.drip.market.exchange.TreasuryFuturesEligibility ("50M",
"63M", new java.lang.String[] {"US Government Bonds"}, 0.), new
org.drip.market.exchange.TreasuryFuturesSettle (3, 3, 0, 0,
org.drip.market.exchange.TreasuryFuturesSettle.SETTLE_TYPE_PHYSICAL_DELIVERY,
org.drip.market.exchange.TreasuryFuturesSettle.QUOTE_REFERENCE_INDEX_CONVERSION_FACTOR, false,
0.06, 0.06, aiStandardDeliveryMonth)));
_mapFutures.put ("USD-TREASURY-NOTE-3Y", new org.drip.market.exchange.TreasuryFuturesConvention
("USD 3-YR NOTE", new java.lang.String[] {"Z3N", "3YR"}, "USD", "USD", "3Y", 200000., 0.03125,
0., new java.lang.String[] {"CBOT"}, "TREASURY", "NOTE", new
org.drip.analytics.eventday.DateInMonth
(org.drip.analytics.eventday.DateInMonth.INSTANCE_GENERATOR_RULE_EDGE_LAG, true,
0, -1, -1, -1), new org.drip.market.exchange.TreasuryFuturesEligibility ("33M",
"3Y", new java.lang.String[] {"US Government Bonds"}, 0.), new
org.drip.market.exchange.TreasuryFuturesSettle (1, 1, 0, 0,
org.drip.market.exchange.TreasuryFuturesSettle.SETTLE_TYPE_PHYSICAL_DELIVERY,
org.drip.market.exchange.TreasuryFuturesSettle.QUOTE_REFERENCE_INDEX_CONVERSION_FACTOR, false,
0.06, 0.06, aiStandardDeliveryMonth)));
_mapFutures.put ("USD-TREASURY-NOTE-2Y", new org.drip.market.exchange.TreasuryFuturesConvention
("USD 2-YR NOTE", new java.lang.String[] {"ZT", "TU"}, "USD", "USD", "2Y", 200000., 0.03125,
0., new java.lang.String[] {"CBOT"}, "TREASURY", "NOTE", new
org.drip.analytics.eventday.DateInMonth
(org.drip.analytics.eventday.DateInMonth.INSTANCE_GENERATOR_RULE_EDGE_LAG, true,
0, -1, -1, -1), new org.drip.market.exchange.TreasuryFuturesEligibility ("21M",
"2Y", new java.lang.String[] {"US Government Bonds"}, 0.), new
org.drip.market.exchange.TreasuryFuturesSettle (1, 1, 0, 0,
org.drip.market.exchange.TreasuryFuturesSettle.SETTLE_TYPE_PHYSICAL_DELIVERY,
org.drip.market.exchange.TreasuryFuturesSettle.QUOTE_REFERENCE_INDEX_CONVERSION_FACTOR, false,
0.06, 0.06, aiStandardDeliveryMonth)));
_mapFutures.put ("EUR-EURO-BUXL-30Y", new org.drip.market.exchange.TreasuryFuturesConvention
("EUR EURO-BUXL", new java.lang.String[] {"BUXL"}, "EUR", "EUR", "30Y", 100000., 0.03125, 0.,
new java.lang.String[] {"EUREX"}, "EURO", "BUXL", new
org.drip.analytics.eventday.DateInMonth
(org.drip.analytics.eventday.DateInMonth.INSTANCE_GENERATOR_RULE_EDGE_LAG, true,
10, -1, -1, -1), new org.drip.market.exchange.TreasuryFuturesEligibility ("24Y",
"35Y", new java.lang.String[] {"EUR-Germany BUXL Bonds"}, 5000000000.),
new org.drip.market.exchange.TreasuryFuturesSettle (1, 1, 0, 2,
org.drip.market.exchange.TreasuryFuturesSettle.SETTLE_TYPE_PHYSICAL_DELIVERY,
org.drip.market.exchange.TreasuryFuturesSettle.QUOTE_REFERENCE_INDEX_CONVERSION_FACTOR, false,
0.04, 0.04, aiStandardDeliveryMonth)));
_mapFutures.put ("EUR-EURO-BUND-10Y", new org.drip.market.exchange.TreasuryFuturesConvention
("EUR EURO-BUND", new java.lang.String[] {"BUND"}, "EUR", "EUR", "10Y", 100000., 0.03125, 0.,
new java.lang.String[] {"EUREX", "NLX"}, "EURO", "BUND", new
org.drip.analytics.eventday.DateInMonth
(org.drip.analytics.eventday.DateInMonth.INSTANCE_GENERATOR_RULE_EDGE_LAG, true,
10, -1, -1, -1), new org.drip.market.exchange.TreasuryFuturesEligibility ("102M",
"126M", new java.lang.String[] {"EUR-Germany BUND Bonds"}, 5000000000.),
new org.drip.market.exchange.TreasuryFuturesSettle (1, 1, 0, 2,
org.drip.market.exchange.TreasuryFuturesSettle.SETTLE_TYPE_PHYSICAL_DELIVERY,
org.drip.market.exchange.TreasuryFuturesSettle.QUOTE_REFERENCE_INDEX_CONVERSION_FACTOR, false,
0.06, 0.06, aiStandardDeliveryMonth)));
_mapFutures.put ("EUR-EURO-BOBL-5Y", new org.drip.market.exchange.TreasuryFuturesConvention
("EUR EURO-BUND", new java.lang.String[] {"BOBL"}, "EUR", "EUR", "5Y", 100000., 0.03125, 0.,
new java.lang.String[] {"EUREX", "NLX"}, "EURO", "BOBL", new
org.drip.analytics.eventday.DateInMonth
(org.drip.analytics.eventday.DateInMonth.INSTANCE_GENERATOR_RULE_EDGE_LAG, true,
10, -1, -1, -1), new org.drip.market.exchange.TreasuryFuturesEligibility ("54M",
"66M", new java.lang.String[] {"EUR-Germany BOBL Bonds"}, 5000000000.),
new org.drip.market.exchange.TreasuryFuturesSettle (1, 1, 0, 2,
org.drip.market.exchange.TreasuryFuturesSettle.SETTLE_TYPE_PHYSICAL_DELIVERY,
org.drip.market.exchange.TreasuryFuturesSettle.QUOTE_REFERENCE_INDEX_CONVERSION_FACTOR, false,
0.06, 0.06, aiStandardDeliveryMonth)));
_mapFutures.put ("EUR-EURO-SCHATZ-2Y", new org.drip.market.exchange.TreasuryFuturesConvention
("EUR EURO-BUND", new java.lang.String[] {"SCHATZ"}, "EUR", "EUR", "2Y", 100000., 0.03125, 0.,
new java.lang.String[] {"EUREX", "NLX"}, "EURO", "SCHATZ", new
org.drip.analytics.eventday.DateInMonth
(org.drip.analytics.eventday.DateInMonth.INSTANCE_GENERATOR_RULE_EDGE_LAG, true,
10, -1, -1, -1), new org.drip.market.exchange.TreasuryFuturesEligibility ("21M",
"27M", new java.lang.String[] {"EUR-Germany SCHATZ Bonds"}, 5000000000.),
new org.drip.market.exchange.TreasuryFuturesSettle (1, 1, 0, 2,
org.drip.market.exchange.TreasuryFuturesSettle.SETTLE_TYPE_PHYSICAL_DELIVERY,
org.drip.market.exchange.TreasuryFuturesSettle.QUOTE_REFERENCE_INDEX_CONVERSION_FACTOR, false,
0.06, 0.06, aiStandardDeliveryMonth)));
_mapFutures.put ("EUR-TREASURY-BONO-10Y", new org.drip.market.exchange.TreasuryFuturesConvention
("EUR 10Y BONO", new java.lang.String[] {"10Y-BONO"}, "EUR", "EUR", "10Y", 100000., 0.03125,
0., new java.lang.String[] {"MEFF", "SENAF"}, "TREASURY", "BONO", new
org.drip.analytics.eventday.DateInMonth
(org.drip.analytics.eventday.DateInMonth.INSTANCE_GENERATOR_RULE_SPECIFIC_DAY_OF_MONTH,
false, 7, -1, -1, 10), new org.drip.market.exchange.TreasuryFuturesEligibility ("102M", "MAX",
new java.lang.String[] {"EUR BONO"}, 0.), new org.drip.market.exchange.TreasuryFuturesSettle
(1, 1, -2, -2,
org.drip.market.exchange.TreasuryFuturesSettle.SETTLE_TYPE_PHYSICAL_DELIVERY,
org.drip.market.exchange.TreasuryFuturesSettle.QUOTE_REFERENCE_INDEX_CONVERSION_FACTOR,
false, 0.06, 0.06, aiStandardDeliveryMonth)));
_mapFutures.put ("GBP-SHORT-GILT-2Y", new org.drip.market.exchange.TreasuryFuturesConvention
("GBP SHORT-GILT", new java.lang.String[] {"SHORT-GILT"}, "GBP", "GBP", "2Y", 100000.,
0.03125, 0., new java.lang.String[] {"LIFFE"}, "SHORT", "GILT", new
org.drip.analytics.eventday.DateInMonth
(org.drip.analytics.eventday.DateInMonth.INSTANCE_GENERATOR_RULE_EDGE_LAG, true,
2, -1, -1, -1), new org.drip.market.exchange.TreasuryFuturesEligibility ("18M",
"39M", new java.lang.String[] {"GBP Short GILT Bonds"}, 0.), new
org.drip.market.exchange.TreasuryFuturesSettle (0, 22, -2, 0,
org.drip.market.exchange.TreasuryFuturesSettle.SETTLE_TYPE_PHYSICAL_DELIVERY,
org.drip.market.exchange.TreasuryFuturesSettle.QUOTE_REFERENCE_INDEX_CONVERSION_FACTOR, false,
0.04, 0.06, aiStandardDeliveryMonth)));
_mapFutures.put ("GBP-MEDIUM-GILT-5Y", new org.drip.market.exchange.TreasuryFuturesConvention
("GBP MEDIUM-GILT", new java.lang.String[] {"MEDIUM-GILT"}, "GBP", "GBP", "5Y", 100000.,
0.03125, 0., new java.lang.String[] {"LIFFE"}, "MEDIUM", "GILT", new
org.drip.analytics.eventday.DateInMonth
(org.drip.analytics.eventday.DateInMonth.INSTANCE_GENERATOR_RULE_EDGE_LAG, true,
2, -1, -1, -1), new org.drip.market.exchange.TreasuryFuturesEligibility ("4Y",
"75M", new java.lang.String[] {"GBP Medium GILT Bonds"}, 0.), new
org.drip.market.exchange.TreasuryFuturesSettle (0, 22, -2, 0,
org.drip.market.exchange.TreasuryFuturesSettle.SETTLE_TYPE_PHYSICAL_DELIVERY,
org.drip.market.exchange.TreasuryFuturesSettle.QUOTE_REFERENCE_INDEX_CONVERSION_FACTOR, false,
0.04, 0.06, aiStandardDeliveryMonth)));
_mapFutures.put ("GBP-LONG-GILT-10Y", new org.drip.market.exchange.TreasuryFuturesConvention
("GBP LONG-GILT", new java.lang.String[] {"LONG-GILT"}, "GBP", "GBP", "10Y", 100000., 0.03125,
0., new java.lang.String[] {"LIFFE", "NLX"}, "MEDIUM", "GILT", new
org.drip.analytics.eventday.DateInMonth
(org.drip.analytics.eventday.DateInMonth.INSTANCE_GENERATOR_RULE_EDGE_LAG, true,
2, -1, -1, -1), new org.drip.market.exchange.TreasuryFuturesEligibility ("105M",
"13Y", new java.lang.String[] {"GBP Long GILT Bonds"}, 0.), new
org.drip.market.exchange.TreasuryFuturesSettle (0, 22, -2, 0,
org.drip.market.exchange.TreasuryFuturesSettle.SETTLE_TYPE_PHYSICAL_DELIVERY,
org.drip.market.exchange.TreasuryFuturesSettle.QUOTE_REFERENCE_INDEX_CONVERSION_FACTOR, false,
0.03, 0.06, aiStandardDeliveryMonth)));
_mapFutures.put ("JPY-TREASURY-JGB-5Y", new org.drip.market.exchange.TreasuryFuturesConvention
("JPY 5Y JGB", new java.lang.String[] {"5Y-JGB"}, "JPY", "JPY", "5Y", 1000000000., 0.03125,
0., new java.lang.String[] {"TSE"}, "TREASURY", "JGB", new
org.drip.analytics.eventday.DateInMonth
(org.drip.analytics.eventday.DateInMonth.INSTANCE_GENERATOR_RULE_SPECIFIC_DAY_OF_MONTH,
true, 7, -1, -1, 20), new org.drip.market.exchange.TreasuryFuturesEligibility ("4Y", "63M", new
java.lang.String[] {"JPY JGB"}, 0.), new org.drip.market.exchange.TreasuryFuturesSettle (1,
1, 0, -7, org.drip.market.exchange.TreasuryFuturesSettle.SETTLE_TYPE_PHYSICAL_DELIVERY,
org.drip.market.exchange.TreasuryFuturesSettle.QUOTE_REFERENCE_INDEX_CONVERSION_FACTOR,
false, 0.03, 0.03, aiStandardDeliveryMonth)));
_mapFutures.put ("JPY-TREASURY-JGB-10Y", new org.drip.market.exchange.TreasuryFuturesConvention
("JPY 10Y JGB", new java.lang.String[] {"10Y-JGB"}, "JPY", "JPY", "10Y", 1000000000., 0.03125,
0., new java.lang.String[] {"TSE"}, "TREASURY", "JGB", new
org.drip.analytics.eventday.DateInMonth
(org.drip.analytics.eventday.DateInMonth.INSTANCE_GENERATOR_RULE_SPECIFIC_DAY_OF_MONTH,
true, 7, -1, -1, 20), new org.drip.market.exchange.TreasuryFuturesEligibility ("7Y", "10Y", new
java.lang.String[] {"JPY JGB"}, 0.), new org.drip.market.exchange.TreasuryFuturesSettle (1,
1, 0, -7, org.drip.market.exchange.TreasuryFuturesSettle.SETTLE_TYPE_PHYSICAL_DELIVERY,
org.drip.market.exchange.TreasuryFuturesSettle.QUOTE_REFERENCE_INDEX_CONVERSION_FACTOR,
false, 0.06, 0.06, aiStandardDeliveryMonth)));
} catch (java.lang.Exception e) {
e.printStackTrace();
return false;
}
return true;
}
/**
* Retrieve the Treasury Futures Convention from the Currency, the Type, the Sub-type, and the Maturity
* Tenor
*
* @param strCurrency The Currency
* @param strUnderlierType The Underlier Type
* @param strUnderlierSubtype The Underlier Sub-type
* @param strMaturityTenor The Maturity Tenor
*
* @return The Treasury Futures Instance
*/
public static final org.drip.market.exchange.TreasuryFuturesConvention FromJurisdictionTypeMaturity (
final java.lang.String strCurrency,
final java.lang.String strUnderlierType,
final java.lang.String strUnderlierSubtype,
final java.lang.String strMaturityTenor)
{
if (null == strCurrency || strCurrency.isEmpty() || null == strUnderlierType ||
strUnderlierType.isEmpty() || null == strUnderlierSubtype || strUnderlierSubtype.isEmpty() ||
null == strMaturityTenor || strMaturityTenor.isEmpty())
return null;
java.lang.String strKey = strCurrency + "-" + strUnderlierType + "-" + strUnderlierSubtype + "-" +
strMaturityTenor;
return _mapFutures.containsKey (strKey) ? _mapFutures.get (strKey) : null;
}
}