CrossFloatConventionContainer.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
* 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>CrossFloatConventionContainer</i> contains the Conventions of Standard OTC Cross-Currency Float-Float
* Swaps.
*
* <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 CrossFloatConventionContainer {
private static java.util.Map<java.lang.String, org.drip.market.otc.CrossFloatSwapConvention>
_mapConvention = null;
private static final boolean AddCrossCurrencyConvention (
final org.drip.market.otc.CrossFloatStreamConvention referenceConvention,
final org.drip.market.otc.CrossFloatStreamConvention derivedConvention)
{
org.drip.market.otc.CrossFloatSwapConvention xccyConvention = null;
try {
xccyConvention = new org.drip.market.otc.CrossFloatSwapConvention (referenceConvention,
derivedConvention, org.drip.param.period.FixingSetting.FIXING_PRESET_STATIC, false, 2);
} catch (java.lang.Exception e) {
e.printStackTrace();
return false;
}
java.lang.String strDerivedCurrency = derivedConvention.currency();
java.lang.String strReferenceCurrency = referenceConvention.currency();
_mapConvention.put (strReferenceCurrency + "_" + strDerivedCurrency, xccyConvention);
_mapConvention.put (strDerivedCurrency + "_" + strReferenceCurrency, xccyConvention);
return true;
}
/**
* Initialize the Cross-Currency Float-Float Conventions Container with the pre-set Floating Stream
* Contracts
*
* @return TRUE - The Cross-Currency Float-Float Conventions Container successfully initialized
*/
public static final boolean Init()
{
if (null != _mapConvention) return true;
_mapConvention = new java.util.TreeMap<java.lang.String,
org.drip.market.otc.CrossFloatSwapConvention>();
try {
org.drip.market.otc.CrossFloatStreamConvention referenceConventionDerivedQuote = new
org.drip.market.otc.CrossFloatStreamConvention ("USD", "3M", false);
if (!AddCrossCurrencyConvention (referenceConventionDerivedQuote, new
org.drip.market.otc.CrossFloatStreamConvention ("AUD", "3M", true)))
return false;
if (!AddCrossCurrencyConvention (referenceConventionDerivedQuote, new
org.drip.market.otc.CrossFloatStreamConvention ("CAD", "3M", true)))
return false;
if (!AddCrossCurrencyConvention (referenceConventionDerivedQuote, new
org.drip.market.otc.CrossFloatStreamConvention ("CHF", "3M", true)))
return false;
if (!AddCrossCurrencyConvention (referenceConventionDerivedQuote, new
org.drip.market.otc.CrossFloatStreamConvention ("DKK", "3M", true)))
return false;
if (!AddCrossCurrencyConvention (referenceConventionDerivedQuote, new
org.drip.market.otc.CrossFloatStreamConvention ("EUR", "3M", true)))
return false;
if (!AddCrossCurrencyConvention (referenceConventionDerivedQuote, new
org.drip.market.otc.CrossFloatStreamConvention ("GBP", "3M", true)))
return false;
if (!AddCrossCurrencyConvention (referenceConventionDerivedQuote, new
org.drip.market.otc.CrossFloatStreamConvention ("JPY", "3M", true)))
return false;
if (!AddCrossCurrencyConvention (referenceConventionDerivedQuote, new
org.drip.market.otc.CrossFloatStreamConvention ("NOK", "3M", true)))
return false;
if (!AddCrossCurrencyConvention (referenceConventionDerivedQuote, new
org.drip.market.otc.CrossFloatStreamConvention ("PLN", "3M", true)))
return false;
if (!AddCrossCurrencyConvention (referenceConventionDerivedQuote, new
org.drip.market.otc.CrossFloatStreamConvention ("SEK", "3M", true)))
return false;
org.drip.market.otc.CrossFloatStreamConvention referenceConventionReferenceQuote = new
org.drip.market.otc.CrossFloatStreamConvention ("USD", "3M", true);
if (!AddCrossCurrencyConvention (referenceConventionReferenceQuote, new
org.drip.market.otc.CrossFloatStreamConvention ("CLP", "3M", false)))
return false;
if (!AddCrossCurrencyConvention (referenceConventionReferenceQuote, new
org.drip.market.otc.CrossFloatStreamConvention ("MXN", "3M", false)))
return false;
return true;
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return false;
}
/**
* Retrieve the Cross-Currency Float-Float Convention Instance from the Jurisdiction Name
*
* @param strCurrency The Jurisdiction Name
*
* @return The Float-Float Convention Instance
*/
public static final org.drip.market.otc.CrossFloatSwapConvention ConventionFromJurisdiction (
final java.lang.String strCurrency)
{
if (null == strCurrency || strCurrency.isEmpty()) return null;
java.lang.String strKey = "USD_" + strCurrency;
return !_mapConvention.containsKey (strKey) ? null : _mapConvention.get (strKey);
}
/**
* Retrieve the Cross-Currency Float-Float Convention Instance from the Reference/Derived Jurisdiction
* Names
*
* @param strReferenceCurrency The Reference Jurisdiction Name
* @param strDerivedCurrency The Derived Jurisdiction Name
*
* @return The Float-Float Convention Instance
*/
public static final org.drip.market.otc.CrossFloatSwapConvention ConventionFromJurisdiction (
final java.lang.String strReferenceCurrency,
final java.lang.String strDerivedCurrency)
{
if (null == strReferenceCurrency || strReferenceCurrency.isEmpty() || null == strDerivedCurrency ||
strDerivedCurrency.isEmpty())
return null;
java.lang.String strKey = strReferenceCurrency + "_" + strDerivedCurrency;
return !_mapConvention.containsKey (strKey) ? null : _mapConvention.get (strKey);
}
}