TreasuryFuturesEligibility.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>TreasuryFuturesEligibility</i> contains the Eligibility Criterion for a Bond in the Futures Basket of
* the Exchange-Traded 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 TreasuryFuturesEligibility {
private java.lang.String[] _astrIssuer = null;
private java.lang.String _strMaturityFloor = "";
private java.lang.String _strMaturityCeiling = "";
private double _dblMinimumOutstandingNotional = java.lang.Double.NaN;
/**
* TreasuryFuturesEligibility Constructor
*
* @param strMaturityFloor Maturity Floor
* @param strMaturityCeiling Maturity Floor
* @param astrIssuer Array of Issuers
* @param dblMinimumOutstandingNotional Minimum Outstanding Notional
*
* @throws java.lang.Exception Thrown if the Inputs are invalid
*/
public TreasuryFuturesEligibility (
final java.lang.String strMaturityFloor,
final java.lang.String strMaturityCeiling,
final java.lang.String[] astrIssuer,
final double dblMinimumOutstandingNotional)
throws java.lang.Exception
{
if (null == (_strMaturityFloor = strMaturityFloor) || _strMaturityFloor.isEmpty() || null ==
(_strMaturityCeiling = strMaturityCeiling) || _strMaturityCeiling.isEmpty() ||
!org.drip.numerical.common.NumberUtil.IsValid (_dblMinimumOutstandingNotional =
dblMinimumOutstandingNotional))
throw new java.lang.Exception ("TreasuryFuturesEligibility ctr: Invalid Inputs");
if (null != (_astrIssuer = astrIssuer)) {
int iNumIssuer = _astrIssuer.length;
for (int i = 0; i < iNumIssuer; ++i) {
if (null == _astrIssuer[i] || _astrIssuer[i].isEmpty())
throw new java.lang.Exception ("TreasuryFuturesEligibility ctr: Invalid Issuer");
}
}
}
/**
* Retrieve the Eligible Maturity Floor
*
* @return Array of Eligible Maturity Floor
*/
public java.lang.String maturityFloor()
{
return _strMaturityFloor;
}
/**
* Retrieve the Eligible Maturity Ceiling
*
* @return Array of Eligible Maturity Ceiling
*/
public java.lang.String maturityCeiling()
{
return _strMaturityCeiling;
}
/**
* Retrieve the Array of Eligible Issuers
*
* @return Array of Eligible Issuers
*/
public java.lang.String[] issuer()
{
return _astrIssuer;
}
/**
* Retrieve the Minimum Outstanding Notional
*
* @return The Minimum Outstanding Notional
*/
public double minimumOutstandingNotional()
{
return _dblMinimumOutstandingNotional;
}
/**
* Indicate whether the given bond is eligible to be delivered
*
* @param dtValue The Value Date
* @param bond The Bond whose Eligibility is to be evaluated
* @param dblOutstandingNotional The Outstanding Notional
* @param strIssuer The Issuer
*
* @return TRUE - The given bond is eligible to be delivered
*/
public boolean isEligible (
final org.drip.analytics.date.JulianDate dtValue,
final org.drip.product.definition.Bond bond,
final double dblOutstandingNotional,
final java.lang.String strIssuer)
{
if (null == bond || null == dtValue) return false;
org.drip.analytics.date.JulianDate dtFloorMaturity = dtValue.addTenor (_strMaturityFloor);
org.drip.analytics.date.JulianDate dtCeilingMaturity = dtValue.addTenor (_strMaturityCeiling);
if (null == dtFloorMaturity || null == dtFloorMaturity) return false;
int iValueDate = dtValue.julian();
if (iValueDate < dtFloorMaturity.julian() || iValueDate > dtCeilingMaturity.julian()) return false;
if (0. != _dblMinimumOutstandingNotional && org.drip.numerical.common.NumberUtil.IsValid
(dblOutstandingNotional) && dblOutstandingNotional < _dblMinimumOutstandingNotional)
return false;
if (null == strIssuer || strIssuer.isEmpty() || null == _astrIssuer) return true;
int iNumIssuer = _astrIssuer.length;
if (0 == iNumIssuer) return true;
for (int i = 0; i < iNumIssuer; ++i) {
if (_astrIssuer[i].equalsIgnoreCase (strIssuer)) return true;
}
return false;
}
@Override public java.lang.String toString()
{
java.lang.String strDump = "[Futures Eligibility => Maturity Band: " + _strMaturityFloor + " -> " +
_strMaturityCeiling + "] [Issuers: ";
if (null == _astrIssuer) return strDump + "]";
for (int i = 0; i < _astrIssuer.length; ++i) {
if (0 != i) strDump += " | ";
strDump += _astrIssuer[i];
}
return strDump + "] [Minimum Outstanding Notional: " + _dblMinimumOutstandingNotional + "]";
}
}