CrossFloatSwapConvention.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>CrossFloatSwapConvention</i> contains the Details of the Cross-Currency Floating Swap of an OTC
* 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 CrossFloatSwapConvention {
private int _iSpotLag = -1;
private int _iFixingType = -1;
private boolean _bFXMTM = false;
private org.drip.market.otc.CrossFloatStreamConvention _crossStreamDerived = null;
private org.drip.market.otc.CrossFloatStreamConvention _crossStreamReference = null;
private org.drip.product.rates.Stream floatingStream (
final org.drip.analytics.date.JulianDate dtEffective,
final org.drip.market.otc.CrossFloatStreamConvention cfsc,
final org.drip.param.period.FixingSetting fxFixingSetting,
final java.lang.String strMaturityTenor,
final double dblBasis,
final double dblNotional)
{
java.lang.String strFloaterTenor = cfsc.tenor();
org.drip.state.identifier.ForwardLabel forwardLabel = org.drip.state.identifier.ForwardLabel.Create
(org.drip.market.definition.IBORIndexContainer.IndexFromJurisdiction (cfsc.currency()),
strFloaterTenor);
if (null == forwardLabel) return null;
try {
org.drip.param.period.ComposableFloatingUnitSetting cfusReference = new
org.drip.param.period.ComposableFloatingUnitSetting (strFloaterTenor,
org.drip.analytics.support.CompositePeriodBuilder.EDGE_DATE_SEQUENCE_REGULAR, null,
forwardLabel,
org.drip.analytics.support.CompositePeriodBuilder.REFERENCE_PERIOD_IN_ADVANCE,
cfsc.applySpread() ? dblBasis : 0.);
org.drip.param.period.CompositePeriodSetting cpsReference = new
org.drip.param.period.CompositePeriodSetting
(org.drip.analytics.support.Helper.TenorToFreq (strFloaterTenor),
strFloaterTenor, _crossStreamReference.currency(), null, dblNotional, null, null,
fxFixingSetting, null);
java.util.List<java.lang.Integer> lsReferenceEdgeDate =
org.drip.analytics.support.CompositePeriodBuilder.RegularEdgeDates (dtEffective,
strFloaterTenor, strMaturityTenor, null);
return new org.drip.product.rates.Stream
(org.drip.analytics.support.CompositePeriodBuilder.FloatingCompositeUnit
(lsReferenceEdgeDate, cpsReference, cfusReference));
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* CrossFloatSwapConvention Constructor
*
* @param crossStreamReference Reference Cross Float Stream
* @param crossStreamDerived Derived Cross Float Stream
* @param iFixingType Fixing Type
* @param bFXMTM TRUE - The Cross Currency Swap is of the FX MTM type
* @param iSpotLag Spot Lag
*
* @throws java.lang.Exception Thrown if Inputs are Invalid
*/
public CrossFloatSwapConvention (
final org.drip.market.otc.CrossFloatStreamConvention crossStreamReference,
final org.drip.market.otc.CrossFloatStreamConvention crossStreamDerived,
final int iFixingType,
final boolean bFXMTM,
final int iSpotLag)
throws java.lang.Exception
{
if (null == (_crossStreamReference = crossStreamReference) || null == (_crossStreamDerived =
crossStreamDerived) || !org.drip.param.period.FixingSetting.ValidateType (_iFixingType =
iFixingType) || 0 > (_iSpotLag = iSpotLag))
throw new java.lang.Exception ("CrossFloatSwapConvention ctr: Invalid Inputs");
_bFXMTM = bFXMTM;
}
/**
* Retrieve the Reference Convention
*
* @return The Reference Convention
*/
public org.drip.market.otc.CrossFloatStreamConvention referenceConvention()
{
return _crossStreamReference;
}
/**
* Retrieve the Derived Convention
*
* @return The Derived Convention
*/
public org.drip.market.otc.CrossFloatStreamConvention derivedConvention()
{
return _crossStreamDerived;
}
/**
* Retrieve the Fixing Setting Type
*
* @return The Fixing Setting Type
*/
public int fixingType()
{
return _iFixingType;
}
/**
* Retrieve the Spot Lag
*
* @return The Spot Lag
*/
public int spotLag()
{
return _iSpotLag;
}
/**
* Retrieve the FX MTM Flag
*
* @return The FX MTM Flag
*/
public boolean isFXMTM()
{
return _bFXMTM;
}
/**
* Create an Instance of the Float-Float Component
*
* @param dtSpot Spot Date
* @param strMaturityTenor The Maturity Tenor
* @param dblBasis Basis
* @param dblReferenceNotional Notional of the Reference Stream
* @param dblDerivedNotional Notional of the Derived Stream
*
* @return Instance of the Float-Float Component
*/
public org.drip.product.rates.FloatFloatComponent createFloatFloatComponent (
final org.drip.analytics.date.JulianDate dtSpot,
final java.lang.String strMaturityTenor,
final double dblBasis,
final double dblReferenceNotional,
final double dblDerivedNotional)
{
if (null == dtSpot) return null;
org.drip.analytics.date.JulianDate dtEffective = dtSpot.addBusDays (_iSpotLag,
org.drip.market.definition.IBORIndexContainer.IndexFromJurisdiction
(_crossStreamReference.currency()).calendar() + "," +
org.drip.market.definition.IBORIndexContainer.IndexFromJurisdiction
(_crossStreamDerived.currency()).calendar());
try {
org.drip.param.period.FixingSetting fxFixingSetting = _bFXMTM ? null : new
org.drip.param.period.FixingSetting (_iFixingType, null, dtEffective.julian());
return new org.drip.product.rates.FloatFloatComponent (floatingStream (dtEffective,
_crossStreamReference, fxFixingSetting, strMaturityTenor, dblBasis, dblReferenceNotional),
floatingStream (dtEffective, _crossStreamDerived, fxFixingSetting, strMaturityTenor,
dblBasis, dblDerivedNotional), null);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
@Override public java.lang.String toString()
{
return _crossStreamReference + " " + _crossStreamDerived + " " + _iFixingType + " " + _iSpotLag + " "
+ _bFXMTM;
}
}