TreasuryFuturesSettle.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
* Copyright (C) 2014 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>TreasuryFuturesSettle</i> contains the Settlement Details for 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 TreasuryFuturesSettle {
/**
* Cash Settled Futures
*/
public static final int SETTLE_TYPE_CASH = 1;
/**
* Physically Settled Futures
*/
public static final int SETTLE_TYPE_PHYSICAL_DELIVERY = 2;
/**
* Settle Quote Type - AUD Bank Bill Type - Uses a Flat Reference Index
*/
public static final int QUOTE_REFERENCE_INDEX_FLAT = 1;
/**
* Settle Quote Type - Uses a Reference Index Based off of Conversion Factor
*/
public static final int QUOTE_REFERENCE_INDEX_CONVERSION_FACTOR = 2;
/**
* Settle Quote Type - Uses a Reference Index Based off of Conversion Factor Computed AUD Bond Futures
* Style
*/
public static final int QUOTE_REFERENCE_INDEX_AUD_BOND_FUTURES_STYLE = 3;
private int _iSettleType = -1;
private int _iSettleQuoteStyle = -1;
private int[] _aiDeliveryMonth = null;
private int _iExpiryLastTradingLag = -1;
private boolean _bWildCardOption = false;
private int _iExpiryFirstDeliveryLag = -1;
private int _iExpiryFinalDeliveryLag = -1;
private int _iExpiryDeliveryNoticeLag = -1;
private double _dblReferenceCouponCurrent = java.lang.Double.NaN;
private double _dblReferenceCouponOriginal = java.lang.Double.NaN;
/**
* TreasuryFuturesSettle Constructor
*
* @param iExpiryFirstDeliveryLag Lag Between the Expiry and the First Delivery Dates
* @param iExpiryFinalDeliveryLag Lag Between the Expiry and the Final Delivery Dates
* @param iExpiryDeliveryNoticeLag Lag between the Expiry and the Delivery Notice
* @param iExpiryLastTradingLag Lag between the Expiry and the Last Trading Day
* @param iSettleType Settlement Type
* @param iSettleQuoteStyle Settlement Quote Style
* @param bWildCardOption TRUE - Turn ON the Wild Card Option
* @param dblReferenceCouponCurrent The Current Reference Coupon
* @param dblReferenceCouponOriginal The Original Reference Coupon
* @param aiDeliveryMonth Array of the Delivery Months
*
* @throws java.lang.Exception Thrown if the Inputs are invalid
*/
public TreasuryFuturesSettle (
final int iExpiryFirstDeliveryLag,
final int iExpiryFinalDeliveryLag,
final int iExpiryDeliveryNoticeLag,
final int iExpiryLastTradingLag,
final int iSettleType,
final int iSettleQuoteStyle,
final boolean bWildCardOption,
final double dblReferenceCouponCurrent,
final double dblReferenceCouponOriginal,
final int[] aiDeliveryMonth)
throws java.lang.Exception
{
if ((_iExpiryFinalDeliveryLag = iExpiryFinalDeliveryLag) < (_iExpiryFirstDeliveryLag =
iExpiryFirstDeliveryLag) || _iExpiryFirstDeliveryLag < 0)
throw new java.lang.Exception ("TreasuryFuturesSettle ctr: Invalid Inputs");
_iSettleType = iSettleType;
_aiDeliveryMonth = aiDeliveryMonth;
_bWildCardOption = bWildCardOption;
_iSettleQuoteStyle = iSettleQuoteStyle;
_iExpiryLastTradingLag = iExpiryLastTradingLag;
_iExpiryFirstDeliveryLag = iExpiryFirstDeliveryLag;
_iExpiryFinalDeliveryLag = iExpiryFinalDeliveryLag;
_iExpiryDeliveryNoticeLag = iExpiryDeliveryNoticeLag;
_dblReferenceCouponCurrent = dblReferenceCouponCurrent;
_dblReferenceCouponOriginal = dblReferenceCouponOriginal;
}
/**
* Retrieve the Lag Between the Expiry and the First Delivery Dates
*
* @return The Lag Between the Expiry and the First Delivery Dates
*/
public int expiryFirstDeliveryLag()
{
return _iExpiryFirstDeliveryLag;
}
/**
* Retrieve the Lag Between the Expiry and the Final Delivery Dates
*
* @return The Lag Between the Expiry and the Final Delivery Dates
*/
public int expiryFinalDeliveryLag()
{
return _iExpiryFinalDeliveryLag;
}
/**
* Retrieve the Lag Between the Expiry and the Delivery Notice Dates
*
* @return The Lag Between the Expiry and the Delivery Notice Dates
*/
public int expiryDeliveryNoticeLag()
{
return _iExpiryDeliveryNoticeLag;
}
/**
* Retrieve the Lag Between the Expiry and the Last Trading Dates
*
* @return The Lag Between the Expiry and the Last Trading Dates
*/
public int expiryLastTradingLag()
{
return _iExpiryLastTradingLag;
}
/**
* Retrieve the Settle Type
*
* @return The Settle Type
*/
public int settleType()
{
return _iSettleType;
}
/**
* Retrieve the Settle Quote Style
*
* @return The Settle Quote Style
*/
public int settleQuoteStyle()
{
return _iSettleQuoteStyle;
}
/**
* Retrieve the Bond Futures Wild Card Option Setting
*
* @return Bond Futures Wild Card Option Setting
*/
public boolean wildCardOption()
{
return _bWildCardOption;
}
/**
* Retrieve the Current Reference Coupon
*
* @return The Current Reference Coupon
*/
public double currentReferenceYield()
{
return _dblReferenceCouponCurrent;
}
/**
* Retrieve the Original Reference Coupon
*
* @return The Original Reference Coupon
*/
public double originalReferenceCoupon()
{
return _dblReferenceCouponOriginal;
}
/**
* Retrieve the Delivery Months
*
* @return The Array of Delivery Months
*/
public int[] deliveryMonths()
{
return _aiDeliveryMonth;
}
@Override public java.lang.String toString()
{
java.lang.String strDeliveryMonths = "";
int iNumDeliveryMonth = null == _aiDeliveryMonth ? 0 : _aiDeliveryMonth.length;
if (0 != iNumDeliveryMonth) {
for (int i = 0; i < iNumDeliveryMonth; ++i) {
if (0 == i)
strDeliveryMonths += " | Delivery Months: {";
else
strDeliveryMonths += ",";
strDeliveryMonths += org.drip.analytics.date.DateUtil.MonthChar (_aiDeliveryMonth[i]);
}
strDeliveryMonths += "}";
}
return "[Futures Settle => Expiry To First Delivery Lag: " + _iExpiryFirstDeliveryLag +
" | Expiry To Final Delivery Lag: " + _iExpiryFinalDeliveryLag +
" | Expiry To Delivery Notice Lag: " + _iExpiryDeliveryNoticeLag +
" | Expiry To Last Trading Lag: " + _iExpiryLastTradingLag + " | Settlement Type: " +
_iSettleType + " | Settlement Quote Style: " + _iSettleQuoteStyle + " | Wild Card: "
+ _bWildCardOption + " | Current Reference Coupon: " + _dblReferenceCouponCurrent
+ " | Original Reference Coupon: " + _dblReferenceCouponOriginal +
strDeliveryMonths + "]";
}
}