TreasuryFuturesSettle.java

  1. package org.drip.market.exchange;

  3. /*
  4.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  5.  */

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  11.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  12.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  13.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  14.  * Copyright (C) 2014 Lakshmi Krishnamurthy
  15.  * 
  16.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  17.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  18.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  19.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  20.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  21.  *      and computational support.
  22.  *  
  23.  *      https://lakshmidrip.github.io/DROP/
  24.  *  
  25.  *  DROP is composed of three modules:
  26.  *  
  27.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  28.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  29.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  30.  * 
  31.  *  DROP Product Core implements libraries for the following:
  32.  *  - Fixed Income Analytics
  33.  *  - Loan Analytics
  34.  *  - Transaction Cost Analytics
  35.  * 
  36.  *  DROP Portfolio Core implements libraries for the following:
  37.  *  - Asset Allocation Analytics
  38.  *  - Asset Liability Management Analytics
  39.  *  - Capital Estimation Analytics
  40.  *  - Exposure Analytics
  41.  *  - Margin Analytics
  42.  *  - XVA Analytics
  43.  * 
  44.  *  DROP Computational Core implements libraries for the following:
  45.  *  - Algorithm Support
  46.  *  - Computation Support
  47.  *  - Function Analysis
  48.  *  - Model Validation
  49.  *  - Numerical Analysis
  50.  *  - Numerical Optimizer
  51.  *  - Spline Builder
  52.  *  - Statistical Learning
  53.  * 
  54.  *  Documentation for DROP is Spread Over:
  55.  * 
  56.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  57.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  58.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  59.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  60.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  61.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  62.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  63.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  64.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  65.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  66.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  67.  * 
  68.  *  Licensed under the Apache License, Version 2.0 (the "License");
  69.  *      you may not use this file except in compliance with the License.
  70.  *   
  71.  *  You may obtain a copy of the License at
  72.  *      http://www.apache.org/licenses/LICENSE-2.0
  73.  *  
  74.  *  Unless required by applicable law or agreed to in writing, software
  75.  *      distributed under the License is distributed on an "AS IS" BASIS,
  76.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  77.  *  
  78.  *  See the License for the specific language governing permissions and
  79.  *      limitations under the License.
  80.  */

  82. /**
  83.  * <i>TreasuryFuturesSettle</i> contains the Settlement Details for the Futures Basket of the Exchange-Traded
  84.  * Treasury Futures Contracts.
  85.  *
  86.  *  <br><br>
  87.  *  <ul>
  88.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  89.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics Library</a></li>
  90.  *      <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>
  91.  *      <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>
  92.  *  </ul>
  93.  *
  94.  * @author Lakshmi Krishnamurthy
  95.  */

  97. public class TreasuryFuturesSettle {

  99.     /**
  100.      * Cash Settled Futures
  101.      */

  103.     public static final int SETTLE_TYPE_CASH = 1;

  105.     /**
  106.      * Physically Settled Futures
  107.      */

  109.     public static final int SETTLE_TYPE_PHYSICAL_DELIVERY = 2;

  111.     /**
  112.      * Settle Quote Type - AUD Bank Bill Type - Uses a Flat Reference Index
  113.      */

  115.     public static final int QUOTE_REFERENCE_INDEX_FLAT = 1;

  117.     /**
  118.      * Settle Quote Type - Uses a Reference Index Based off of Conversion Factor
  119.      */

  121.     public static final int QUOTE_REFERENCE_INDEX_CONVERSION_FACTOR = 2;

  123.     /**
  124.      * Settle Quote Type - Uses a Reference Index Based off of Conversion Factor Computed AUD Bond Futures
  125.      *  Style
  126.      */

  128.     public static final int QUOTE_REFERENCE_INDEX_AUD_BOND_FUTURES_STYLE = 3;

  130.     private int _iSettleType = -1;
  131.     private int _iSettleQuoteStyle = -1;
  132.     private int[] _aiDeliveryMonth = null;
  133.     private int _iExpiryLastTradingLag = -1;
  134.     private boolean _bWildCardOption = false;
  135.     private int _iExpiryFirstDeliveryLag = -1;
  136.     private int _iExpiryFinalDeliveryLag = -1;
  137.     private int _iExpiryDeliveryNoticeLag = -1;
  138.     private double _dblReferenceCouponCurrent = java.lang.Double.NaN;
  139.     private double _dblReferenceCouponOriginal = java.lang.Double.NaN;

  141.     /**
  142.      * TreasuryFuturesSettle Constructor
  143.      * 
  144.      * @param iExpiryFirstDeliveryLag Lag Between the Expiry and the First Delivery Dates
  145.      * @param iExpiryFinalDeliveryLag Lag Between the Expiry and the Final Delivery Dates
  146.      * @param iExpiryDeliveryNoticeLag Lag between the Expiry and the Delivery Notice
  147.      * @param iExpiryLastTradingLag Lag between the Expiry and the Last Trading Day
  148.      * @param iSettleType Settlement Type
  149.      * @param iSettleQuoteStyle Settlement Quote Style
  150.      * @param bWildCardOption TRUE - Turn ON the Wild Card Option
  151.      * @param dblReferenceCouponCurrent The Current Reference Coupon
  152.      * @param dblReferenceCouponOriginal The Original Reference Coupon
  153.      * @param aiDeliveryMonth Array of the Delivery Months
  154.      * 
  155.      * @throws java.lang.Exception Thrown if the Inputs are invalid
  156.      */

  158.     public TreasuryFuturesSettle (
  159.         final int iExpiryFirstDeliveryLag,
  160.         final int iExpiryFinalDeliveryLag,
  161.         final int iExpiryDeliveryNoticeLag,
  162.         final int iExpiryLastTradingLag,
  163.         final int iSettleType,
  164.         final int iSettleQuoteStyle,
  165.         final boolean bWildCardOption,
  166.         final double dblReferenceCouponCurrent,
  167.         final double dblReferenceCouponOriginal,
  168.         final int[] aiDeliveryMonth)
  169.         throws java.lang.Exception
  170.     {
  171.         if ((_iExpiryFinalDeliveryLag = iExpiryFinalDeliveryLag) < (_iExpiryFirstDeliveryLag =
  172.             iExpiryFirstDeliveryLag) || _iExpiryFirstDeliveryLag < 0)
  173.             throw new java.lang.Exception ("TreasuryFuturesSettle ctr: Invalid Inputs");

  175.         _iSettleType = iSettleType;
  176.         _aiDeliveryMonth = aiDeliveryMonth;
  177.         _bWildCardOption = bWildCardOption;
  178.         _iSettleQuoteStyle = iSettleQuoteStyle;
  179.         _iExpiryLastTradingLag = iExpiryLastTradingLag;
  180.         _iExpiryFirstDeliveryLag = iExpiryFirstDeliveryLag;
  181.         _iExpiryFinalDeliveryLag = iExpiryFinalDeliveryLag;
  182.         _iExpiryDeliveryNoticeLag = iExpiryDeliveryNoticeLag;
  183.         _dblReferenceCouponCurrent = dblReferenceCouponCurrent;
  184.         _dblReferenceCouponOriginal = dblReferenceCouponOriginal;
  185.     }

  187.     /**
  188.      * Retrieve the Lag Between the Expiry and the First Delivery Dates
  189.      * 
  190.      * @return The Lag Between the Expiry and the First Delivery Dates
  191.      */

  193.     public int expiryFirstDeliveryLag()
  194.     {
  195.         return _iExpiryFirstDeliveryLag;
  196.     }

  198.     /**
  199.      * Retrieve the Lag Between the Expiry and the Final Delivery Dates
  200.      * 
  201.      * @return The Lag Between the Expiry and the Final Delivery Dates
  202.      */

  204.     public int expiryFinalDeliveryLag()
  205.     {
  206.         return _iExpiryFinalDeliveryLag;
  207.     }

  209.     /**
  210.      * Retrieve the Lag Between the Expiry and the Delivery Notice Dates
  211.      * 
  212.      * @return The Lag Between the Expiry and the Delivery Notice Dates
  213.      */

  215.     public int expiryDeliveryNoticeLag()
  216.     {
  217.         return _iExpiryDeliveryNoticeLag;
  218.     }

  220.     /**
  221.      * Retrieve the Lag Between the Expiry and the Last Trading Dates
  222.      * 
  223.      * @return The Lag Between the Expiry and the Last Trading Dates
  224.      */

  226.     public int expiryLastTradingLag()
  227.     {
  228.         return _iExpiryLastTradingLag;
  229.     }

  231.     /**
  232.      * Retrieve the Settle Type
  233.      * 
  234.      * @return The Settle Type
  235.      */

  237.     public int settleType()
  238.     {
  239.         return _iSettleType;
  240.     }

  242.     /**
  243.      * Retrieve the Settle Quote Style
  244.      * 
  245.      * @return The Settle Quote Style
  246.      */

  248.     public int settleQuoteStyle()
  249.     {
  250.         return _iSettleQuoteStyle;
  251.     }

  253.     /**
  254.      * Retrieve the Bond Futures Wild Card Option Setting
  255.      * 
  256.      * @return Bond Futures Wild Card Option Setting
  257.      */

  259.     public boolean wildCardOption()
  260.     {
  261.         return _bWildCardOption;
  262.     }

  264.     /**
  265.      * Retrieve the Current Reference Coupon
  266.      * 
  267.      * @return The Current Reference Coupon
  268.      */

  270.     public double currentReferenceYield()
  271.     {
  272.         return _dblReferenceCouponCurrent;
  273.     }

  275.     /**
  276.      * Retrieve the Original Reference Coupon
  277.      * 
  278.      * @return The Original Reference Coupon
  279.      */

  281.     public double originalReferenceCoupon()
  282.     {
  283.         return _dblReferenceCouponOriginal;
  284.     }

  286.     /**
  287.      * Retrieve the Delivery Months
  288.      * 
  289.      * @return The Array of Delivery Months
  290.      */

  292.     public int[] deliveryMonths()
  293.     {
  294.         return _aiDeliveryMonth;
  295.     }

  297.     @Override public java.lang.String toString()
  298.     {
  299.         java.lang.String strDeliveryMonths = "";
  300.         int iNumDeliveryMonth = null == _aiDeliveryMonth ? 0 : _aiDeliveryMonth.length;

  302.         if (0 != iNumDeliveryMonth) {
  303.             for (int i = 0; i < iNumDeliveryMonth; ++i) {
  304.                 if (0 == i)
  305.                     strDeliveryMonths += " | Delivery Months: {";
  306.                 else
  307.                     strDeliveryMonths += ",";

  309.                 strDeliveryMonths += org.drip.analytics.date.DateUtil.MonthChar (_aiDeliveryMonth[i]);
  310.             }

  312.             strDeliveryMonths += "}";
  313.         }

  315.         return "[Futures Settle => Expiry To First Delivery Lag: " + _iExpiryFirstDeliveryLag +
  316.             " | Expiry To Final Delivery Lag: " + _iExpiryFinalDeliveryLag +
  317.                 " | Expiry To Delivery Notice Lag: " + _iExpiryDeliveryNoticeLag +
  318.                     " | Expiry To Last Trading Lag: " + _iExpiryLastTradingLag + " | Settlement Type:  " +
  319.                         _iSettleType + " | Settlement Quote Style: " + _iSettleQuoteStyle + " | Wild Card: "
  320.                             + _bWildCardOption + " | Current Reference Coupon: " + _dblReferenceCouponCurrent
  321.                                 + " | Original Reference Coupon: " + _dblReferenceCouponOriginal +
  322.                                     strDeliveryMonths + "]";
  323.     }
  324. }
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