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 + "]";
    }
}