FixedStreamConvention.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>FixedStreamConvention</i> contains the details of the fixed stream of an OTC fixed-float IBOR/Overnight
* Swap Contact.
*
* <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 FixedStreamConvention {
private int _iAccrualCompoundingRule = -1;
private java.lang.String _strCalendar = "";
private java.lang.String _strCurrency = "";
private java.lang.String _strDayCount = "";
private java.lang.String _strUnitPeriodTenor = "";
private java.lang.String _strCompositePeriodTenor = "";
/**
* FixedStreamConvention Constructor
*
* @param strCurrency Currency
* @param strDayCount Day Count
* @param strCalendar Calendar
* @param strUnitPeriodTenor Unit Period Tenor
* @param strCompositePeriodTenor Composite Period Tenor
* @param iAccrualCompoundingRule Accrual Compounding Rule
*
* @throws java.lang.Exception Thrown if the Inputs are invalid
*/
public FixedStreamConvention (
final java.lang.String strCurrency,
final java.lang.String strDayCount,
final java.lang.String strCalendar,
final java.lang.String strUnitPeriodTenor,
final java.lang.String strCompositePeriodTenor,
final int iAccrualCompoundingRule)
throws java.lang.Exception
{
if (null == (_strCurrency = strCurrency) || _strCurrency.isEmpty() || null == (_strDayCount =
strDayCount) || _strDayCount.isEmpty() || null == (_strCalendar = strCalendar) ||
_strCalendar.isEmpty() || null == (_strUnitPeriodTenor = strUnitPeriodTenor) ||
_strUnitPeriodTenor.isEmpty() || null == (_strCompositePeriodTenor =
strCompositePeriodTenor) || _strCompositePeriodTenor.isEmpty() ||
!org.drip.analytics.support.CompositePeriodBuilder.ValidateCompoundingRule
(_iAccrualCompoundingRule = iAccrualCompoundingRule))
throw new java.lang.Exception ("FixedStreamConvention ctr => Invalid Inputs!");
}
/**
* Retrieve the Holiday Calendar
*
* @return The Holiday Calendar
*/
public java.lang.String calendar()
{
return _strCalendar;
}
/**
* Retrieve the Currency
*
* @return The Currency
*/
public java.lang.String currency()
{
return _strCurrency;
}
/**
* Retrieve the Day Count Convention
*
* @return The Day Count Convention
*/
public java.lang.String dayCount()
{
return _strDayCount;
}
/**
* Retrieve the Unit Period Tenor
*
* @return The Unit Period Tenor
*/
public java.lang.String unitPeriodTenor()
{
return _strUnitPeriodTenor;
}
/**
* Retrieve the Composite Period Tenor
*
* @return The Composite Period Tenor
*/
public java.lang.String compositePeriodTenor()
{
return _strCompositePeriodTenor;
}
/**
* Retrieve the Accrual Compounding Rule
*
* @return The Accrual Compounding Rule
*/
public int accrualCompoundingRule()
{
return _iAccrualCompoundingRule;
}
/**
* Create a Fixed Stream Instance
*
* @param dtEffective Effective Date
* @param strMaturityTenor Maturity Tenor
* @param dblCoupon Coupon
* @param dblNotional Notional
*
* @return The Fixed Stream Instance
*/
public org.drip.product.rates.Stream createStream (
final org.drip.analytics.date.JulianDate dtEffective,
final java.lang.String strMaturityTenor,
final double dblCoupon,
final double dblNotional)
{
try {
org.drip.param.period.UnitCouponAccrualSetting ucas = new
org.drip.param.period.UnitCouponAccrualSetting
(org.drip.analytics.support.Helper.TenorToFreq (_strUnitPeriodTenor),
_strDayCount, false, _strDayCount, false, _strCurrency, false,
org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC);
org.drip.param.period.ComposableFixedUnitSetting cfus = new
org.drip.param.period.ComposableFixedUnitSetting (_strUnitPeriodTenor,
org.drip.analytics.support.CompositePeriodBuilder.EDGE_DATE_SEQUENCE_REGULAR, null,
dblCoupon, 0., _strCurrency);
org.drip.param.period.CompositePeriodSetting cps = new
org.drip.param.period.CompositePeriodSetting
(org.drip.analytics.support.Helper.TenorToFreq (_strCompositePeriodTenor),
_strCompositePeriodTenor, _strCurrency, null, dblNotional, null, null, null, null);
java.util.List<java.lang.Integer> lsEdgeDate =
org.drip.analytics.support.CompositePeriodBuilder.RegularEdgeDates (dtEffective,
_strCompositePeriodTenor, strMaturityTenor, null);
return new org.drip.product.rates.Stream
(org.drip.analytics.support.CompositePeriodBuilder.FixedCompositeUnit (lsEdgeDate, cps, ucas,
cfus));
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
@Override public java.lang.String toString()
{
return "[FIXED: " + _strCurrency + " | " + _strDayCount + " | " + _strCalendar + " | " +
_strUnitPeriodTenor + " | " + _strCompositePeriodTenor + " | " + _iAccrualCompoundingRule + "]";
}
}