FloatStreamConvention.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>FloatStreamConvention</i> contains the details of the Floating Stream of an OTC IBOR/Overnight Fix-
 * Float Swap 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 FloatStreamConvention {
    private java.lang.String _strCompositePeriodTenor = "";
    private org.drip.state.identifier.ForwardLabel _forwardLabel = null;

    /**
     * FloatStreamConvention Constructor
     * 
     * @param forwardLabel The Forward Label
     * @param strCompositePeriodTenor Composite Period Tenor
     * 
     * @throws java.lang.Exception Thrown if Inputs are invalid
     */

    public FloatStreamConvention (
        final org.drip.state.identifier.ForwardLabel forwardLabel,
        final java.lang.String strCompositePeriodTenor)
        throws java.lang.Exception
    {
        if (null == (_forwardLabel = forwardLabel) || null == (_strCompositePeriodTenor =
            strCompositePeriodTenor) || _strCompositePeriodTenor.isEmpty())
            throw new java.lang.Exception ("FloatStreamConvention ctr: Invalid Inputs");
    }

    /**
     * Retrieve the Forward Label
     * 
     * @return The Forward Label
     */

    public org.drip.state.identifier.ForwardLabel floaterIndex()
    {
        return _forwardLabel;
    }

    /**
     * Retrieve the Composite Period Tenor
     * 
     * @return The Composite Period Tenor
     */

    public java.lang.String compositePeriodTenor()
    {
        return _strCompositePeriodTenor;
    }

    /**
     * Create a Floating Stream Instance
     * 
     * @param dtEffective Effective Date
     * @param strMaturityTenor Maturity Tenor
     * @param dblBasis Basis
     * @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 dblBasis,
        final double dblNotional)
    {
        boolean bOvernight = _forwardLabel.overnight();

        try {
            org.drip.param.period.ComposableFloatingUnitSetting cfus = new
                org.drip.param.period.ComposableFloatingUnitSetting (bOvernight ? "ON" :
                    _forwardLabel.tenor(), bOvernight ?
                        org.drip.analytics.support.CompositePeriodBuilder.EDGE_DATE_SEQUENCE_OVERNIGHT :
                            org.drip.analytics.support.CompositePeriodBuilder.EDGE_DATE_SEQUENCE_REGULAR,
                                null, _forwardLabel,
                                    org.drip.analytics.support.CompositePeriodBuilder.REFERENCE_PERIOD_IN_ADVANCE,
                dblBasis);

            org.drip.param.period.CompositePeriodSetting cps = new
                org.drip.param.period.CompositePeriodSetting (bOvernight ? 360 :
                    org.drip.analytics.support.Helper.TenorToFreq (_strCompositePeriodTenor),
                        _strCompositePeriodTenor, _forwardLabel.currency(), null, dblNotional, null, null,
                            null, null);

            java.util.List<java.lang.Integer> lsEdgeDate = bOvernight ? 
                org.drip.analytics.support.CompositePeriodBuilder.OvernightEdgeDates (dtEffective,
                    dtEffective.addTenor (strMaturityTenor), null):
                        org.drip.analytics.support.CompositePeriodBuilder.RegularEdgeDates (dtEffective,
                            _strCompositePeriodTenor, strMaturityTenor, null);

            return new org.drip.product.rates.Stream
                (org.drip.analytics.support.CompositePeriodBuilder.FloatingCompositeUnit (lsEdgeDate, cps,
                    cfus));
        } catch (java.lang.Exception e) {
            e.printStackTrace();
        }

        return null;
    }

    @Override public java.lang.String toString()
    {
        return "[FLOAT: " + _forwardLabel.fullyQualifiedName() + " | " + _strCompositePeriodTenor + "]";
    }
}