CrossFloatSwapConvention.java

  1. package org.drip.market.otc;

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

  81. /**
  82.  * <i>CrossFloatSwapConvention</i> contains the Details of the Cross-Currency Floating Swap of an OTC
  83.  * Contract.
  84.  *
  85.  *  <br><br>
  86.  *  <ul>
  87.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  88.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics Library</a></li>
  89.  *      <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>
  90.  *      <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>
  91.  *  </ul>
  92.  *
  93.  * @author Lakshmi Krishnamurthy
  94.  */

  96. public class CrossFloatSwapConvention {
  97.     private int _iSpotLag = -1;
  98.     private int _iFixingType = -1;
  99.     private boolean _bFXMTM = false;
  100.     private org.drip.market.otc.CrossFloatStreamConvention _crossStreamDerived = null;
  101.     private org.drip.market.otc.CrossFloatStreamConvention _crossStreamReference = null;

  103.     private org.drip.product.rates.Stream floatingStream (
  104.         final org.drip.analytics.date.JulianDate dtEffective,
  105.         final org.drip.market.otc.CrossFloatStreamConvention cfsc,
  106.         final org.drip.param.period.FixingSetting fxFixingSetting,
  107.         final java.lang.String strMaturityTenor,
  108.         final double dblBasis,
  109.         final double dblNotional)
  110.     {
  111.         java.lang.String strFloaterTenor = cfsc.tenor();

  113.         org.drip.state.identifier.ForwardLabel forwardLabel = org.drip.state.identifier.ForwardLabel.Create
  114.             (org.drip.market.definition.IBORIndexContainer.IndexFromJurisdiction (cfsc.currency()),
  115.                 strFloaterTenor);

  117.         if (null == forwardLabel) return null;

  119.         try {
  120.             org.drip.param.period.ComposableFloatingUnitSetting cfusReference = new
  121.                 org.drip.param.period.ComposableFloatingUnitSetting (strFloaterTenor,
  122.                     org.drip.analytics.support.CompositePeriodBuilder.EDGE_DATE_SEQUENCE_REGULAR, null,
  123.                         forwardLabel,
  124.                             org.drip.analytics.support.CompositePeriodBuilder.REFERENCE_PERIOD_IN_ADVANCE,
  125.                                 cfsc.applySpread() ? dblBasis : 0.);

  127.             org.drip.param.period.CompositePeriodSetting cpsReference = new
  128.                 org.drip.param.period.CompositePeriodSetting
  129.                     (org.drip.analytics.support.Helper.TenorToFreq (strFloaterTenor),
  130.                         strFloaterTenor, _crossStreamReference.currency(), null, dblNotional, null, null,
  131.                             fxFixingSetting, null);

  133.             java.util.List<java.lang.Integer> lsReferenceEdgeDate =
  134.                 org.drip.analytics.support.CompositePeriodBuilder.RegularEdgeDates (dtEffective,
  135.                     strFloaterTenor, strMaturityTenor, null);

  137.             return new org.drip.product.rates.Stream
  138.                 (org.drip.analytics.support.CompositePeriodBuilder.FloatingCompositeUnit
  139.                     (lsReferenceEdgeDate, cpsReference, cfusReference));
  140.         } catch (java.lang.Exception e) {
  141.             e.printStackTrace();
  142.         }

  144.         return null;
  145.     }

  147.     /**
  148.      * CrossFloatSwapConvention Constructor
  149.      * 
  150.      * @param crossStreamReference Reference Cross Float Stream
  151.      * @param crossStreamDerived Derived Cross Float Stream
  152.      * @param iFixingType Fixing Type
  153.      * @param bFXMTM TRUE - The Cross Currency Swap is of the FX MTM type
  154.      * @param iSpotLag Spot Lag
  155.      * 
  156.      * @throws java.lang.Exception Thrown if Inputs are Invalid
  157.      */

  159.     public CrossFloatSwapConvention (
  160.         final org.drip.market.otc.CrossFloatStreamConvention crossStreamReference,
  161.         final org.drip.market.otc.CrossFloatStreamConvention crossStreamDerived,
  162.         final int iFixingType,
  163.         final boolean bFXMTM,
  164.         final int iSpotLag)
  165.         throws java.lang.Exception
  166.     {
  167.         if (null == (_crossStreamReference = crossStreamReference) || null == (_crossStreamDerived =
  168.             crossStreamDerived) || !org.drip.param.period.FixingSetting.ValidateType (_iFixingType =
  169.                 iFixingType) || 0 > (_iSpotLag = iSpotLag))
  170.             throw new java.lang.Exception ("CrossFloatSwapConvention ctr: Invalid Inputs");

  172.         _bFXMTM = bFXMTM;
  173.     }

  175.     /**
  176.      * Retrieve the Reference Convention
  177.      * 
  178.      * @return The Reference Convention
  179.      */

  181.     public org.drip.market.otc.CrossFloatStreamConvention referenceConvention()
  182.     {
  183.         return _crossStreamReference;
  184.     }

  186.     /**
  187.      * Retrieve the Derived Convention
  188.      * 
  189.      * @return The Derived Convention
  190.      */

  192.     public org.drip.market.otc.CrossFloatStreamConvention derivedConvention()
  193.     {
  194.         return _crossStreamDerived;
  195.     }

  197.     /**
  198.      * Retrieve the Fixing Setting Type
  199.      * 
  200.      * @return The Fixing Setting Type
  201.      */

  203.     public int fixingType()
  204.     {
  205.         return _iFixingType;
  206.     }

  208.     /**
  209.      * Retrieve the Spot Lag
  210.      * 
  211.      * @return The Spot Lag
  212.      */

  214.     public int spotLag()
  215.     {
  216.         return _iSpotLag;
  217.     }

  219.     /**
  220.      * Retrieve the FX MTM Flag
  221.      * 
  222.      * @return The FX MTM Flag
  223.      */

  225.     public boolean isFXMTM()
  226.     {
  227.         return _bFXMTM;
  228.     }

  230.     /**
  231.      * Create an Instance of the Float-Float Component
  232.      * 
  233.      * @param dtSpot Spot Date
  234.      * @param strMaturityTenor The Maturity Tenor
  235.      * @param dblBasis Basis
  236.      * @param dblReferenceNotional Notional of the Reference Stream
  237.      * @param dblDerivedNotional Notional of the Derived Stream
  238.      * 
  239.      * @return Instance of the Float-Float Component
  240.      */

  242.     public org.drip.product.rates.FloatFloatComponent createFloatFloatComponent (
  243.         final org.drip.analytics.date.JulianDate dtSpot,
  244.         final java.lang.String strMaturityTenor,
  245.         final double dblBasis,
  246.         final double dblReferenceNotional,
  247.         final double dblDerivedNotional)
  248.     {
  249.         if (null == dtSpot) return null;

  251.         org.drip.analytics.date.JulianDate dtEffective = dtSpot.addBusDays (_iSpotLag,
  252.             org.drip.market.definition.IBORIndexContainer.IndexFromJurisdiction
  253.                 (_crossStreamReference.currency()).calendar() + "," +
  254.                     org.drip.market.definition.IBORIndexContainer.IndexFromJurisdiction
  255.                         (_crossStreamDerived.currency()).calendar());

  257.         try {
  258.             org.drip.param.period.FixingSetting fxFixingSetting = _bFXMTM ? null : new
  259.                 org.drip.param.period.FixingSetting (_iFixingType, null, dtEffective.julian());

  261.             return new org.drip.product.rates.FloatFloatComponent (floatingStream (dtEffective,
  262.                 _crossStreamReference, fxFixingSetting, strMaturityTenor, dblBasis, dblReferenceNotional),
  263.                     floatingStream (dtEffective, _crossStreamDerived, fxFixingSetting, strMaturityTenor,
  264.                         dblBasis, dblDerivedNotional), null);
  265.         } catch (java.lang.Exception e) {
  266.             e.printStackTrace();
  267.         }

  269.         return null;
  270.     }

  272.     @Override public java.lang.String toString()
  273.     {
  274.         return _crossStreamReference + " " + _crossStreamDerived + " " + _iFixingType + " " + _iSpotLag + " "
  275.             + _bFXMTM;
  276.     }
  277. }
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