IBORFloatFloatContainer.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>IBORFloatFloatContainer</i> holds the settings of the standard OTC float-float swap contract
  83.  * Conventions.
  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 IBORFloatFloatContainer {
  97.     private static java.util.Map<java.lang.String, org.drip.market.otc.FloatFloatSwapConvention>
  98.         _mapConvention = null;

  100.     /**
  101.      * Initialize the Float-Float Conventions Container with the pre-set Float-Float Contracts
  102.      * 
  103.      * @return TRUE - The Float-Float Conventions Container successfully initialized with the pre-set
  104.      *  Float-Float Contracts
  105.      */

  107.     public static final boolean Init()
  108.     {
  109.         if (null != _mapConvention) return true;

  111.         _mapConvention = new java.util.TreeMap<java.lang.String,
  112.             org.drip.market.otc.FloatFloatSwapConvention>();

  114.         try {
  115.             _mapConvention.put ("AUD", new org.drip.market.otc.FloatFloatSwapConvention ("AUD", "6M", true,
  116.                 false, true, false, 1));

  118.             _mapConvention.put ("CAD", new org.drip.market.otc.FloatFloatSwapConvention ("CAD", "6M", true,
  119.                 false, true, false, 0));

  121.             _mapConvention.put ("CHF", new org.drip.market.otc.FloatFloatSwapConvention ("CHF", "6M", true,
  122.                 false, true, false, 2));

  124.             _mapConvention.put ("CNY", new org.drip.market.otc.FloatFloatSwapConvention ("CNY", "6M", true,
  125.                 false, true, false, 2));

  127.             _mapConvention.put ("DKK", new org.drip.market.otc.FloatFloatSwapConvention ("DKK", "6M", true,
  128.                 false, true, false, 2));

  130.             _mapConvention.put ("EUR", new org.drip.market.otc.FloatFloatSwapConvention ("EUR", "6M", false,
  131.                 true, false, true, 2));

  133.             _mapConvention.put ("GBP", new org.drip.market.otc.FloatFloatSwapConvention ("GBP", "6M", true,
  134.                 false, true, false, 0));

  136.             _mapConvention.put ("HKD", new org.drip.market.otc.FloatFloatSwapConvention ("HKD", "6M", true,
  137.                 false, true, false, 0));

  139.             _mapConvention.put ("INR", new org.drip.market.otc.FloatFloatSwapConvention ("INR", "6M", true,
  140.                 false, true, false, 2));

  142.             _mapConvention.put ("JPY", new org.drip.market.otc.FloatFloatSwapConvention ("JPY", "6M", true,
  143.                 false, true, false, 2));

  145.             _mapConvention.put ("NOK", new org.drip.market.otc.FloatFloatSwapConvention ("NOK", "6M", true,
  146.                 false, true, false, 2));

  148.             _mapConvention.put ("NZD", new org.drip.market.otc.FloatFloatSwapConvention ("NZD", "6M", true,
  149.                 false, true, false, 0));

  151.             _mapConvention.put ("PLN", new org.drip.market.otc.FloatFloatSwapConvention ("PLN", "6M", true,
  152.                 false, true, false, 2));

  154.             _mapConvention.put ("SEK", new org.drip.market.otc.FloatFloatSwapConvention ("SEK", "6M", true,
  155.                 false, true, false, 2));

  157.             _mapConvention.put ("SGD", new org.drip.market.otc.FloatFloatSwapConvention ("SGD", "6M", true,
  158.                 false, true, false, 2));

  160.             _mapConvention.put ("USD", new org.drip.market.otc.FloatFloatSwapConvention ("USD", "6M", true,
  161.                 false, true, false, 2));

  163.             _mapConvention.put ("ZAR", new org.drip.market.otc.FloatFloatSwapConvention ("ZAR", "6M", true,
  164.                 false, true, false, 0));
  165.         } catch (java.lang.Exception e) {
  166.             e.printStackTrace();

  168.             return false;
  169.         }

  171.         return true;
  172.     }

  174.     /**
  175.      * Retrieve the Float-Float Convention Instance from the Jurisdiction Name
  176.      * 
  177.      * @param strCurrency The Jurisdiction Name
  178.      * 
  179.      * @return The Float-Float Convention Instance
  180.      */

  182.     public static final org.drip.market.otc.FloatFloatSwapConvention ConventionFromJurisdiction (
  183.         final java.lang.String strCurrency)
  184.     {
  185.         return null == strCurrency || strCurrency.isEmpty() || !_mapConvention.containsKey (strCurrency) ?
  186.             null : _mapConvention.get (strCurrency);
  187.     }
  188. }
Created with JaCoCo 0.7.9.201702052155