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;
}
}