FloatFloatSwapConvention.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>FloatFloatSwapConvention</i> contains the Details of the IBOR Float-Float Component of an OTC contact.
  83.  *
  84.  *  <br><br>
  85.  *  <ul>
  86.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  87.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics Library</a></li>
  88.  *      <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>
  89.  *      <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>
  90.  *  </ul>
  91.  *
  92.  * @author Lakshmi Krishnamurthy
  93.  */

  95. public class FloatFloatSwapConvention {
  96.     private int _iSpotLag = -1;
  97.     private boolean _bIsComponentPair = false;
  98.     private java.lang.String _strCurrency = "";
  99.     private boolean _bBasisOnDerivedStream = true;
  100.     private boolean _bBasisOnDerivedComponent = true;
  101.     private java.lang.String _strReferenceTenor = "";
  102.     private boolean _bIsDerivedCompoundedToReference = true;

  104.     private org.drip.product.rates.FixFloatComponent fixFloatComponent (
  105.         final org.drip.analytics.date.JulianDate dtEffective,
  106.         final java.lang.String strFloaterTenor,
  107.         final java.lang.String strMaturityTenor,
  108.         final double dblFixedCoupon,
  109.         final double dblBasis,
  110.         final double dblNotional)
  111.     {
  112.         org.drip.market.otc.FixedFloatSwapConvention ffConv =
  113.             org.drip.market.otc.IBORFixedFloatContainer.ConventionFromJurisdiction (_strCurrency);

  115.         if (null == ffConv) return null;

  117.         org.drip.market.otc.FixedStreamConvention fixedConv = ffConv.fixedStreamConvention();

  119.         org.drip.product.rates.Stream streamFixed = fixedConv.createStream (dtEffective, strMaturityTenor,
  120.             dblFixedCoupon + (_bBasisOnDerivedStream ? 0. : dblBasis), dblNotional);

  122.         org.drip.state.identifier.ForwardLabel forwardLabel = org.drip.state.identifier.ForwardLabel.Create
  123.             (org.drip.market.definition.IBORIndexContainer.IndexFromJurisdiction (_strCurrency),
  124.                 strFloaterTenor);

  126.         java.lang.String strFloaterTenorComposite = _bIsDerivedCompoundedToReference ?
  127.             fixedConv.compositePeriodTenor() : strFloaterTenor;

  129.         try {
  130.             org.drip.param.period.ComposableFloatingUnitSetting cfus = new
  131.                 org.drip.param.period.ComposableFloatingUnitSetting (strFloaterTenor,
  132.                     org.drip.analytics.support.CompositePeriodBuilder.EDGE_DATE_SEQUENCE_REGULAR, null,
  133.                         forwardLabel,
  134.                             org.drip.analytics.support.CompositePeriodBuilder.REFERENCE_PERIOD_IN_ADVANCE,
  135.                                 _bBasisOnDerivedStream ? dblBasis : 0.);

  137.             org.drip.param.period.CompositePeriodSetting cps = new
  138.                 org.drip.param.period.CompositePeriodSetting
  139.                     (org.drip.analytics.support.Helper.TenorToFreq (strFloaterTenorComposite),
  140.                         strFloaterTenorComposite, _strCurrency, null, -1. * dblNotional, null, null, null,
  141.                             null);

  143.             java.util.List<java.lang.Integer> lsEdgeDate =
  144.                 org.drip.analytics.support.CompositePeriodBuilder.RegularEdgeDates (dtEffective,
  145.                     strFloaterTenorComposite, strMaturityTenor, null);

  147.             org.drip.product.rates.Stream streamFloater = new org.drip.product.rates.Stream
  148.                 (org.drip.analytics.support.CompositePeriodBuilder.FloatingCompositeUnit (lsEdgeDate, cps,
  149.                     cfus));

  151.             org.drip.product.rates.FixFloatComponent ffc = new org.drip.product.rates.FixFloatComponent
  152.                 (streamFixed, streamFloater, null);

  154.             ffc.setPrimaryCode ("IRS::" + ffc.forwardLabel().get ("DERIVED").fullyQualifiedName() + "." +
  155.                 strMaturityTenor);

  157.             return ffc;
  158.         } catch (java.lang.Exception e) {
  159.             e.printStackTrace();
  160.         }

  162.         return null;
  163.     }

  165.     /**
  166.      * FloatFloatSwapConvention Constructor
  167.      * 
  168.      * @param strCurrency The Currency
  169.      * @param strReferenceTenor The Reference Tenor
  170.      * @param bBasisOnDerivedStream TRUE - Apply the Basis to the Derived Stream
  171.      * @param bBasisOnDerivedComponent TRUE - Apply the Basis to the Derived Component
  172.      * @param bIsDerivedCompoundedToReference TRUE - The Derived Periods are Compounded onto the Reference
  173.      * @param bIsComponentPair TRUE - The Float-Float Swap is a Component Pair of 2 Fix-Float Swaps
  174.      * @param iSpotLag Spot Lag
  175.      * 
  176.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  177.      */

  179.     public FloatFloatSwapConvention (
  180.         final java.lang.String strCurrency,
  181.         final java.lang.String strReferenceTenor,
  182.         final boolean bBasisOnDerivedStream,
  183.         final boolean bBasisOnDerivedComponent,
  184.         final boolean bIsDerivedCompoundedToReference,
  185.         final boolean bIsComponentPair,
  186.         final int iSpotLag)
  187.         throws java.lang.Exception
  188.     {
  189.         if (null == (_strCurrency = strCurrency) || _strCurrency.isEmpty() || null == (_strReferenceTenor =
  190.             strReferenceTenor) || _strReferenceTenor.isEmpty() || 0 > (_iSpotLag = iSpotLag))
  191.             throw new java.lang.Exception ("FloatFloatSwapConvention ctr: Invalid Inputs");

  193.         _bIsComponentPair = bIsComponentPair;
  194.         _bBasisOnDerivedStream = bBasisOnDerivedStream;
  195.         _bBasisOnDerivedComponent = bBasisOnDerivedComponent;
  196.         _bIsDerivedCompoundedToReference = bIsDerivedCompoundedToReference;
  197.     }

  199.     /**
  200.      * Retrieve the Currency
  201.      * 
  202.      * @return The Currency
  203.      */

  205.     public java.lang.String currency()
  206.     {
  207.         return _strCurrency;
  208.     }

  210.     /**
  211.      * Retrieve the Reference Tenor
  212.      * 
  213.      * @return The Reference Tenor
  214.      */

  216.     public java.lang.String referenceTenor()
  217.     {
  218.         return _strReferenceTenor;
  219.     }

  221.     /**
  222.      * Retrieve the Flag indicating whether the Basis is to be applied to the Derived or the Reference Stream
  223.      * 
  224.      * @return TRUE - The Basis is applied to the Derived Stream
  225.      */

  227.     public boolean basisOnDerivedStream()
  228.     {
  229.         return _bBasisOnDerivedStream;
  230.     }

  232.     /**
  233.      * Retrieve the Flag indicating whether the Basis is to be applied to the Derived or the Reference
  234.      *  Component
  235.      * 
  236.      * @return TRUE - The Basis is applied to the Derived Component
  237.      */

  239.     public boolean basisOnDerivedComponent()
  240.     {
  241.         return _bBasisOnDerivedComponent;
  242.     }

  244.     /**
  245.      * Retrieve the Flag indicating whether the Derived Periods are to be compounded onto the Reference
  246.      *  Period
  247.      * 
  248.      * @return TRUE - The Derived Periods are Compounded onto the Reference
  249.      */

  251.     public boolean derivedCompoundedToReference()
  252.     {
  253.         return _bIsDerivedCompoundedToReference;
  254.     }

  256.     /**
  257.      * Retrieve the Flag indicating whether the Float-Float Swap is a Component Pair of 2 Fix-Float Swaps
  258.      * 
  259.      * @return TRUE - The Float-Float Swap is a Component Pair of 2 Fix-Float Swaps
  260.      */

  262.     public boolean componentPair()
  263.     {
  264.         return _bIsComponentPair;
  265.     }

  267.     /**
  268.      * Retrieve the Spot Lag
  269.      * 
  270.      * @return The Spot Lag
  271.      */

  273.     public int spotLag()
  274.     {
  275.         return _iSpotLag;
  276.     }

  278.     /**
  279.      * Create an Instance of the Float-Float Component
  280.      * 
  281.      * @param dtSpot Spot Date
  282.      * @param strDerivedTenor The Derived Tenor
  283.      * @param strMaturityTenor The Maturity Tenor
  284.      * @param dblBasis Basis
  285.      * @param dblNotional Notional
  286.      * 
  287.      * @return Instance of the Float-Float Component
  288.      */

  290.     public org.drip.product.rates.FloatFloatComponent createFloatFloatComponent (
  291.         final org.drip.analytics.date.JulianDate dtSpot,
  292.         final java.lang.String strDerivedTenor,
  293.         final java.lang.String strMaturityTenor,
  294.         final double dblBasis,
  295.         final double dblNotional)
  296.     {
  297.         if (_bIsComponentPair || null == dtSpot) return null;

  299.         org.drip.state.identifier.ForwardLabel forwardLabelReference =
  300.             org.drip.state.identifier.ForwardLabel.Create
  301.                 (org.drip.market.definition.IBORIndexContainer.IndexFromJurisdiction (_strCurrency),
  302.                     _strReferenceTenor);

  304.         if (null == forwardLabelReference) return null;

  306.         org.drip.analytics.date.JulianDate dtEffective = dtSpot.addBusDays (_iSpotLag,
  307.             forwardLabelReference.floaterIndex().calendar());

  309.         org.drip.state.identifier.ForwardLabel forwardLabelDerived =
  310.             org.drip.state.identifier.ForwardLabel.Create
  311.                 (org.drip.market.definition.IBORIndexContainer.IndexFromJurisdiction (_strCurrency),
  312.                     strDerivedTenor);

  314.         if (null == forwardLabelDerived) return null;

  316.         java.lang.String strDerivedTenorComposite = _bIsDerivedCompoundedToReference ? _strReferenceTenor :
  317.             strDerivedTenor;

  319.         try {
  320.             org.drip.param.period.ComposableFloatingUnitSetting cfusReference = new
  321.                 org.drip.param.period.ComposableFloatingUnitSetting (_strReferenceTenor,
  322.                     org.drip.analytics.support.CompositePeriodBuilder.EDGE_DATE_SEQUENCE_REGULAR, null,
  323.                         forwardLabelReference,
  324.                             org.drip.analytics.support.CompositePeriodBuilder.REFERENCE_PERIOD_IN_ADVANCE,
  325.                                 !_bBasisOnDerivedStream ? dblBasis : 0.);

  327.             org.drip.param.period.CompositePeriodSetting cpsReference = new
  328.                 org.drip.param.period.CompositePeriodSetting
  329.                     (org.drip.analytics.support.Helper.TenorToFreq (_strReferenceTenor),
  330.                         _strReferenceTenor, _strCurrency, null, dblNotional, null, null, null, null);

  332.             java.util.List<java.lang.Integer> lsReferenceEdgeDate =
  333.                 org.drip.analytics.support.CompositePeriodBuilder.RegularEdgeDates (dtEffective,
  334.                     _strReferenceTenor, strMaturityTenor, null);

  336.             org.drip.product.rates.Stream streamReference = new org.drip.product.rates.Stream
  337.                 (org.drip.analytics.support.CompositePeriodBuilder.FloatingCompositeUnit
  338.                     (lsReferenceEdgeDate, cpsReference, cfusReference));

  340.             org.drip.param.period.ComposableFloatingUnitSetting cfusDerived = new
  341.                 org.drip.param.period.ComposableFloatingUnitSetting (strDerivedTenor,
  342.                     org.drip.analytics.support.CompositePeriodBuilder.EDGE_DATE_SEQUENCE_REGULAR, null,
  343.                         forwardLabelDerived,
  344.                             org.drip.analytics.support.CompositePeriodBuilder.REFERENCE_PERIOD_IN_ADVANCE,
  345.                                 _bBasisOnDerivedStream ? dblBasis : 0.);

  347.             org.drip.param.period.CompositePeriodSetting cpsDerived = new
  348.                 org.drip.param.period.CompositePeriodSetting
  349.                     (org.drip.analytics.support.Helper.TenorToFreq (strDerivedTenorComposite),
  350.                         strDerivedTenorComposite, _strCurrency, null, -1. * dblNotional, null, null, null,
  351.                             null);

  353.             java.util.List<java.lang.Integer> lsDerivedEdgeDate =
  354.                 org.drip.analytics.support.CompositePeriodBuilder.RegularEdgeDates (dtEffective,
  355.                     strDerivedTenor, strMaturityTenor, null);

  357.             org.drip.product.rates.Stream streamDerived = new org.drip.product.rates.Stream
  358.                 (org.drip.analytics.support.CompositePeriodBuilder.FloatingCompositeUnit (lsDerivedEdgeDate,
  359.                     cpsDerived, cfusDerived));

  361.             return new org.drip.product.rates.FloatFloatComponent (streamReference, streamDerived, null);
  362.         } catch (java.lang.Exception e) {
  363.             e.printStackTrace();
  364.         }

  366.         return null;
  367.     }

  369.     /**
  370.      * Create an Instance of the Fix-Float Component Pair
  371.      * 
  372.      * @param dtSpot Spot Date
  373.      * @param strDerivedTenor The Derived Tenor
  374.      * @param strMaturityTenor The Maturity Tenor
  375.      * @param dblReferenceFixedCoupon Fixed Coupon Rate for the Reference Component
  376.      * @param dblDerivedFixedCoupon Fixed Coupon Rate for the Derived Component
  377.      * @param dblBasis Basis
  378.      * @param dblNotional Notional
  379.      * 
  380.      * @return Instance of the Fix-Float Component Pair
  381.      */

  383.     public org.drip.product.fx.ComponentPair createFixFloatComponentPair (
  384.         final org.drip.analytics.date.JulianDate dtSpot,
  385.         final java.lang.String strDerivedTenor,
  386.         final java.lang.String strMaturityTenor,
  387.         final double dblReferenceFixedCoupon,
  388.         final double dblDerivedFixedCoupon,
  389.         final double dblBasis,
  390.         final double dblNotional)
  391.     {
  392.         if (!_bIsComponentPair || null == dtSpot) return null;

  394.         org.drip.market.definition.IBORIndex floaterIndex =
  395.             org.drip.market.definition.IBORIndexContainer.IndexFromJurisdiction (_strCurrency);

  397.         if (null == floaterIndex) return null;

  399.         org.drip.analytics.date.JulianDate dtEffective = dtSpot.addBusDays (_iSpotLag,
  400.             floaterIndex.calendar());

  402.         org.drip.product.rates.FixFloatComponent ffcReference = fixFloatComponent (dtEffective,
  403.             _strReferenceTenor, strMaturityTenor, dblReferenceFixedCoupon, !_bBasisOnDerivedComponent ?
  404.                 dblBasis : 0., dblNotional);

  406.         org.drip.product.rates.FixFloatComponent ffcDerived = fixFloatComponent (dtEffective,
  407.             strDerivedTenor, strMaturityTenor, dblDerivedFixedCoupon, _bBasisOnDerivedComponent ? dblBasis :
  408.                 0., -1. * dblNotional);

  410.         try {
  411.             return new org.drip.product.fx.ComponentPair (_strCurrency + "::" + _strReferenceTenor + "/" +
  412.                 strDerivedTenor + "_" + strMaturityTenor, ffcReference, ffcDerived, null);
  413.         } catch (java.lang.Exception e) {
  414.             e.printStackTrace();
  415.         }

  417.         return null;
  418.     }
  419. }
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