FixedStreamConvention.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>FixedStreamConvention</i> contains the details of the fixed stream of an OTC fixed-float IBOR/Overnight
  83.  * Swap Contact.
  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 FixedStreamConvention {
  97.     private int _iAccrualCompoundingRule = -1;
  98.     private java.lang.String _strCalendar = "";
  99.     private java.lang.String _strCurrency = "";
  100.     private java.lang.String _strDayCount = "";
  101.     private java.lang.String _strUnitPeriodTenor = "";
  102.     private java.lang.String _strCompositePeriodTenor = "";

  104.     /**
  105.      * FixedStreamConvention Constructor
  106.      * 
  107.      * @param strCurrency Currency
  108.      * @param strDayCount Day Count
  109.      * @param strCalendar Calendar
  110.      * @param strUnitPeriodTenor Unit Period Tenor
  111.      * @param strCompositePeriodTenor Composite Period Tenor
  112.      * @param iAccrualCompoundingRule Accrual Compounding Rule
  113.      * 
  114.      * @throws java.lang.Exception Thrown if the Inputs are invalid
  115.      */

  117.     public FixedStreamConvention (
  118.         final java.lang.String strCurrency,
  119.         final java.lang.String strDayCount,
  120.         final java.lang.String strCalendar,
  121.         final java.lang.String strUnitPeriodTenor,
  122.         final java.lang.String strCompositePeriodTenor,
  123.         final int iAccrualCompoundingRule)
  124.         throws java.lang.Exception
  125.     {
  126.         if (null == (_strCurrency = strCurrency) || _strCurrency.isEmpty() || null == (_strDayCount =
  127.             strDayCount) || _strDayCount.isEmpty() || null == (_strCalendar = strCalendar) ||
  128.                 _strCalendar.isEmpty() || null == (_strUnitPeriodTenor = strUnitPeriodTenor) ||
  129.                     _strUnitPeriodTenor.isEmpty() || null == (_strCompositePeriodTenor =
  130.                         strCompositePeriodTenor) || _strCompositePeriodTenor.isEmpty() ||
  131.                             !org.drip.analytics.support.CompositePeriodBuilder.ValidateCompoundingRule
  132.                                 (_iAccrualCompoundingRule = iAccrualCompoundingRule))
  133.             throw new java.lang.Exception ("FixedStreamConvention ctr => Invalid Inputs!");
  134.     }

  136.     /**
  137.      * Retrieve the Holiday Calendar
  138.      * 
  139.      * @return The Holiday Calendar
  140.      */

  142.     public java.lang.String calendar()
  143.     {
  144.         return _strCalendar;
  145.     }

  147.     /**
  148.      * Retrieve the Currency
  149.      * 
  150.      * @return The Currency
  151.      */

  153.     public java.lang.String currency()
  154.     {
  155.         return _strCurrency;
  156.     }

  158.     /**
  159.      * Retrieve the Day Count Convention
  160.      * 
  161.      * @return The Day Count Convention
  162.      */

  164.     public java.lang.String dayCount()
  165.     {
  166.         return _strDayCount;
  167.     }

  169.     /**
  170.      * Retrieve the Unit Period Tenor
  171.      * 
  172.      * @return The Unit Period Tenor
  173.      */

  175.     public java.lang.String unitPeriodTenor()
  176.     {
  177.         return _strUnitPeriodTenor;
  178.     }

  180.     /**
  181.      * Retrieve the Composite Period Tenor
  182.      * 
  183.      * @return The Composite Period Tenor
  184.      */

  186.     public java.lang.String compositePeriodTenor()
  187.     {
  188.         return _strCompositePeriodTenor;
  189.     }

  191.     /**
  192.      * Retrieve the Accrual Compounding Rule
  193.      * 
  194.      * @return The Accrual Compounding Rule
  195.      */

  197.     public int accrualCompoundingRule()
  198.     {
  199.         return _iAccrualCompoundingRule;
  200.     }

  202.     /**
  203.      * Create a Fixed Stream Instance
  204.      * 
  205.      * @param dtEffective Effective Date
  206.      * @param strMaturityTenor Maturity Tenor
  207.      * @param dblCoupon Coupon
  208.      * @param dblNotional Notional
  209.      * 
  210.      * @return The Fixed Stream Instance
  211.      */

  213.     public org.drip.product.rates.Stream createStream (
  214.         final org.drip.analytics.date.JulianDate dtEffective,
  215.         final java.lang.String strMaturityTenor,
  216.         final double dblCoupon,
  217.         final double dblNotional)
  218.     {
  219.         try {
  220.             org.drip.param.period.UnitCouponAccrualSetting ucas = new
  221.                 org.drip.param.period.UnitCouponAccrualSetting
  222.                     (org.drip.analytics.support.Helper.TenorToFreq (_strUnitPeriodTenor),
  223.                         _strDayCount, false, _strDayCount, false, _strCurrency, false,
  224.                             org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC);

  226.             org.drip.param.period.ComposableFixedUnitSetting cfus = new
  227.                 org.drip.param.period.ComposableFixedUnitSetting (_strUnitPeriodTenor,
  228.                     org.drip.analytics.support.CompositePeriodBuilder.EDGE_DATE_SEQUENCE_REGULAR, null,
  229.                         dblCoupon, 0., _strCurrency);

  231.             org.drip.param.period.CompositePeriodSetting cps = new
  232.                 org.drip.param.period.CompositePeriodSetting
  233.                     (org.drip.analytics.support.Helper.TenorToFreq (_strCompositePeriodTenor),
  234.                         _strCompositePeriodTenor, _strCurrency, null, dblNotional, null, null, null, null);

  236.             java.util.List<java.lang.Integer> lsEdgeDate =
  237.                 org.drip.analytics.support.CompositePeriodBuilder.RegularEdgeDates (dtEffective,
  238.                     _strCompositePeriodTenor, strMaturityTenor, null);

  240.             return new org.drip.product.rates.Stream
  241.                 (org.drip.analytics.support.CompositePeriodBuilder.FixedCompositeUnit (lsEdgeDate, cps, ucas,
  242.                     cfus));
  243.         } catch (java.lang.Exception e) {
  244.             e.printStackTrace();
  245.         }

  247.         return null;
  248.     }

  250.     @Override public java.lang.String toString()
  251.     {
  252.         return "[FIXED: " + _strCurrency + " | " + _strDayCount + " | " + _strCalendar + " | " +
  253.             _strUnitPeriodTenor + " | " + _strCompositePeriodTenor + " | " + _iAccrualCompoundingRule + "]";
  254.     }
  255. }
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