CreditIndexConvention.java
package org.drip.market.otc;
/*
* -*- 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
*
* 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>CreditIndexConvention</i> contains the details of the Credit Index of an OTC Index CDS Contract.
*
* <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/otc">OTC Dual Stream Option Container</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class CreditIndexConvention {
private int _iFreq = -1;
private int _iNumConstituent = -1;
private java.lang.String _strTenor = "";
private java.lang.String _strCurrency = "";
private java.lang.String _strDayCount = "";
private java.lang.String _strIndexType = "";
private java.lang.String _strSeriesName = "";
private java.lang.String _strIndexSubType = "";
private double _dblFixedCoupon = java.lang.Double.NaN;
private double _dblRecoveryRate = java.lang.Double.NaN;
private org.drip.analytics.date.JulianDate _dtMaturity = null;
private org.drip.analytics.date.JulianDate _dtEffective = null;
/**
* CreditIndexConvention Constructor
*
* @param strIndexType Index Type
* @param strIndexSubType Index Sub-Type
* @param strSeriesName Series Name
* @param strTenor Index Tenor
* @param strCurrency Index Currency
* @param dtEffective Effective Date
* @param dtMaturity Maturity Date
* @param iFreq Coupon/Pay Frequency
* @param strDayCount Index Day Count
* @param dblFixedCoupon Index Fixed Coupon
* @param dblRecoveryRate Fixed Recovery Rate
* @param iNumConstituent Number of Constituents
*
* @throws java.lang.Exception Thrown if Inputs are Invalid
*/
public CreditIndexConvention (
final java.lang.String strIndexType,
final java.lang.String strIndexSubType,
final java.lang.String strSeriesName,
final java.lang.String strTenor,
final java.lang.String strCurrency,
final org.drip.analytics.date.JulianDate dtEffective,
final org.drip.analytics.date.JulianDate dtMaturity,
final int iFreq,
final java.lang.String strDayCount,
final double dblFixedCoupon,
final double dblRecoveryRate,
final int iNumConstituent)
throws java.lang.Exception
{
if (null == (_strIndexType = strIndexType) || _strIndexType.isEmpty() || null == (_strIndexSubType =
strIndexSubType) || _strIndexType.isEmpty() || null == (_strSeriesName = strSeriesName) ||
_strSeriesName.isEmpty() || null == (_strTenor = strTenor) || _strTenor.isEmpty() || null ==
(_strCurrency = strCurrency) || _strCurrency.isEmpty() || null == (_dtEffective =
dtEffective) || null == (_dtMaturity = dtMaturity) || 0 >= (_iFreq = iFreq) || null
== (_strDayCount = strDayCount) || _strDayCount.isEmpty() ||
!org.drip.numerical.common.NumberUtil.IsValid (_dblFixedCoupon = dblFixedCoupon)
|| !org.drip.numerical.common.NumberUtil.IsValid (_dblRecoveryRate =
dblRecoveryRate) || 0 >= (_iNumConstituent = iNumConstituent))
throw new java.lang.Exception ("CreditIndexConvention Constructor => Invalid Inputs");
}
/**
* Retrieve the Index Type
*
* @return The Index Type
*/
public java.lang.String indexType()
{
return _strIndexType;
}
/**
* Retrieve the Index Sub-Type
*
* @return The Index Sub-Type
*/
public java.lang.String indexSubType()
{
return _strIndexSubType;
}
/**
* Retrieve the Series Name
*
* @return The Series Name
*/
public java.lang.String seriesName()
{
return _strSeriesName;
}
/**
* Retrieve the Tenor
*
* @return The Tenor
*/
public java.lang.String tenor()
{
return _strTenor;
}
/**
* Retrieve the Currency
*
* @return The Currency
*/
public java.lang.String currency()
{
return _strCurrency;
}
/**
* Retrieve the Effective Date
*
* @return The Effective Date
*/
public org.drip.analytics.date.JulianDate effectiveDate()
{
return _dtEffective;
}
/**
* Retrieve the Maturity Date
*
* @return The Maturity Date
*/
public org.drip.analytics.date.JulianDate maturityDate()
{
return _dtMaturity;
}
/**
* Retrieve the Coupon Frequency
*
* @return The Coupon Frequency
*/
public int frequency()
{
return _iFreq;
}
/**
* Retrieve the Day Count
*
* @return The Day Count
*/
public java.lang.String dayCount()
{
return _strDayCount;
}
/**
* Retrieve the Fixed Coupon
*
* @return The Fixed Coupon
*/
public double fixedCoupon()
{
return _dblFixedCoupon;
}
/**
* Retrieve the Recovery Rate
*
* @return The Recovery Rate
*/
public double recoveryRate()
{
return _dblRecoveryRate;
}
/**
* Retrieve the Number of Constituents
*
* @return The Number of Constituents
*/
public int numberOfConstituents()
{
return _iNumConstituent;
}
/**
* Retrieve the Full Name of the Credit Index
*
* @return The Full Name of the Credit Index
*/
public java.lang.String fullName()
{
return _strIndexType + "." + _strIndexSubType + "." + _strSeriesName + "." + _strTenor;
}
/**
* Create an Instance of the Specified Index CDS Product
*
* @return Instance of the Specified Index CDS Product
*/
public org.drip.product.definition.CreditDefaultSwap indexCDS()
{
org.drip.product.params.CreditSetting cs = new org.drip.product.params.CreditSetting (30,
_dblRecoveryRate, false, _strIndexType + "." + _strIndexSubType + "." + _strSeriesName, true);
return cs.validate() ? org.drip.product.creator.CDSBuilder.CreateCDS (_dtEffective, _dtMaturity,
_dblFixedCoupon, _strCurrency, cs, _strCurrency, true) : null;
}
}