TreasuryFuturesOptionContainer.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>TreasuryFuturesOptionContainer</i> holds the Details of the Treasury Futures Options 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 TreasuryFuturesOptionContainer {
private static java.util.Map<java.lang.String, org.drip.market.exchange.TreasuryFuturesOptionConvention>
_mapFuturesOptions = null;
/**
* Initialize the Treasury Futures Options Convention Container with the Conventions
*
* @return TRUE - The Treasury Futures Options Convention Container successfully initialized
*/
public static final boolean Init()
{
if (null != _mapFuturesOptions) return true;
_mapFuturesOptions = new java.util.TreeMap<java.lang.String,
org.drip.market.exchange.TreasuryFuturesOptionConvention>();
try {
org.drip.product.params.LastTradingDateSetting[] aLTDS = new
org.drip.product.params.LastTradingDateSetting[] {new
org.drip.product.params.LastTradingDateSetting
(org.drip.product.params.LastTradingDateSetting.MID_CURVE_OPTION, "2D",
java.lang.Integer.MIN_VALUE), new org.drip.product.params.LastTradingDateSetting
(org.drip.product.params.LastTradingDateSetting.MID_CURVE_OPTION_QUARTERLY,
"", java.lang.Integer.MIN_VALUE)};
_mapFuturesOptions.put ("USD-TREASURY-BOND-ULTRA", new
org.drip.market.exchange.TreasuryFuturesOptionConvention (new java.lang.String[] {"OUB",
"OUL"}, "USD-TREASURY-BOND-ULTRA", 100000., true, aLTDS));
_mapFuturesOptions.put ("USD-TREASURY-BOND-30Y", new
org.drip.market.exchange.TreasuryFuturesOptionConvention (new java.lang.String[] {"OZB",
"CG-PG"}, "USD-TREASURY-BOND-30Y", 100000., true, aLTDS));
_mapFuturesOptions.put ("USD-TREASURY-NOTE-10Y", new
org.drip.market.exchange.TreasuryFuturesOptionConvention (new java.lang.String[] {"OZN",
"TC-TP"}, "USD-TREASURY-NOTE-10Y", 100000., true, aLTDS));
_mapFuturesOptions.put ("USD-TREASURY-NOTE-5Y", new
org.drip.market.exchange.TreasuryFuturesOptionConvention (new java.lang.String[] {"OZF",
"FL-FP"}, "USD-TREASURY-NOTE-5Y", 100000., true, aLTDS));
_mapFuturesOptions.put ("USD-TREASURY-NOTE-2Y", new
org.drip.market.exchange.TreasuryFuturesOptionConvention (new java.lang.String[] {"OZT",
"TUC-TUP"}, "USD-TREASURY-NOTE-2Y", 200000., true, aLTDS));
_mapFuturesOptions.put ("EUR-EURO-BUXL-30Y", new
org.drip.market.exchange.TreasuryFuturesOptionConvention (new java.lang.String[] {"BUXL"},
"EUR-EURO-BUXL-30Y", 100000., false, aLTDS));
_mapFuturesOptions.put ("EUR-EURO-BUND-10Y", new
org.drip.market.exchange.TreasuryFuturesOptionConvention (new java.lang.String[] {"BUND"},
"EUR-EURO-BUND-10Y", 100000., false, aLTDS));
_mapFuturesOptions.put ("EUR-EURO-BOBL-5Y", new
org.drip.market.exchange.TreasuryFuturesOptionConvention (new java.lang.String[] {"BOBL"},
"EUR-EURO-BOBL-10Y", 100000., false, aLTDS));
_mapFuturesOptions.put ("EUR-EURO-SCHATZ-2Y", new
org.drip.market.exchange.TreasuryFuturesOptionConvention (new java.lang.String[] {"SCHATZ"},
"EUR-EURO-SCHATZ-10Y", 100000., false, aLTDS));
_mapFuturesOptions.put ("EUR-TREASURY-BONO-10Y", new
org.drip.market.exchange.TreasuryFuturesOptionConvention (new java.lang.String[] {"BONO"},
"EUR-TREASURY-BONO-10Y", 100000., false, aLTDS));
return true;
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return false;
}
/**
* Retrieve the Treasury Futures Option Convention from the Contract Name
*
* @param strContractName The Options Contract Name
*
* @return The Treasury Futures Option Convention
*/
public static final org.drip.market.exchange.TreasuryFuturesOptionConvention FromContract (
final java.lang.String strContractName)
{
return null == strContractName || strContractName.isEmpty() || !_mapFuturesOptions.containsKey
(strContractName) ? null : _mapFuturesOptions.get (strContractName);
}
}