TreasuryFuturesOptionConvention.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>TreasuryFuturesOptionConvention</i> contains the Details for the Exchange-Traded Options 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 TreasuryFuturesOptionConvention {
    private boolean _bPremiumType = false;
    private java.lang.String[] _astrCode = null;
    private double _dblNotional = java.lang.Double.NaN;
    private java.lang.String _strTreasuryFuturesIndex = "";
    private org.drip.product.params.LastTradingDateSetting[] _aLTDS = null;

    /**
     * TreasuryFuturesOptionConvention Constructor
     * 
     * @param astrCode Array of Option Codes
     * @param strTreasuryFuturesIndex Underlying Futures Index
     * @param dblNotional Exchange Notional
     * @param bPremiumType TRUE - Premium Up-front Type; FALSE - Margin Type
     * @param aLTDS Array of Last Trading Date Settings
     * 
     * @throws java.lang.Exception Thrown if the Inputs are invalid
     */

    public TreasuryFuturesOptionConvention (
        final java.lang.String[] astrCode,
        final java.lang.String strTreasuryFuturesIndex,
        final double dblNotional,
        final boolean bPremiumType,
        final org.drip.product.params.LastTradingDateSetting[] aLTDS)
        throws java.lang.Exception
    {
        if (null == (_astrCode = astrCode) || null == (_strTreasuryFuturesIndex = strTreasuryFuturesIndex) ||
            !org.drip.numerical.common.NumberUtil.IsValid (_dblNotional = dblNotional) || null == (_aLTDS =
                aLTDS))
            throw new java.lang.Exception ("TreasuryFuturesOptionConvention ctr: Invalid Inputs!");

        _bPremiumType = bPremiumType;
        int iNumLTDS = _aLTDS.length;
        int iNumCode = _astrCode.length;

        if (0 == iNumLTDS || 0 == iNumCode)
            throw new java.lang.Exception ("TreasuryFuturesOptionConvention ctr: Invalid Inputs!");

        for (java.lang.String strCode : _astrCode) {
            if (null == strCode || strCode.isEmpty())
                throw new java.lang.Exception ("TreasuryFuturesOptionConvention ctr: Invalid Inputs!");
        }

        for (org.drip.product.params.LastTradingDateSetting ltds : _aLTDS) {
            if (null == ltds)
                throw new java.lang.Exception ("TreasuryFuturesOptionConvention ctr: Invalid Inputs!");
        }
    }

    /**
     * Retrieve the Array of the Exchange Codes
     * 
     * @return The Array of the Exchange Codes
     */

    public java.lang.String[] codes()
    {
        return _astrCode;
    }

    /**
     * Retrieve the Array of Last Trading Date Settings
     * 
     * @return The Array of Last Trading Date Settings
     */

    public org.drip.product.params.LastTradingDateSetting[] ltds()
    {
        return _aLTDS;
    }

    /**
     * Retrieve the Treasury Futures Index
     * 
     * @return The Treasury Futures Index
     */

    public java.lang.String FuturesIndex()
    {
        return _strTreasuryFuturesIndex;
    }

    /**
     * Retrieve the Option Exchange Notional
     * 
     * @return The Option Exchange Notional
     */

    public double notional()
    {
        return _dblNotional;
    }

    /**
     * Retrieve the Trading Type PREMIUM/MARGIN
     * 
     * @return TRUE - Trading Type is PREMIUM
     */

    public boolean premiumType()
    {
        return _bPremiumType;
    }

    @Override public java.lang.String toString()
    {
        java.lang.String strDump = "TreasuryFuturesIndex: " + _strTreasuryFuturesIndex + " | Premium Type: "
            + (_bPremiumType ? "PREMIUM" : "MARGIN ");

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

            strDump += _astrCode[i];

            if (_astrCode.length - 1 == i) strDump += "}";
        }

        for (int i = 0; i < _aLTDS.length; ++i)
            strDump += "\n\t" + _aLTDS[i];

        return strDump;
    }
}