OvernightFixedFloatContainer.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>OvernightFixedFloatContainer</i> holds the settings of the standard OTC Overnight Fix-Float Swap
* Contract Conventions.
*
* <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 OvernightFixedFloatContainer {
private static java.util.Map<java.lang.String, org.drip.market.otc.FixedFloatSwapConvention>
_mapFundConvention = null;
/**
* Initialize the Fix-Float Conventions Container with the pre-set Fix-Float Contracts
*
* @return TRUE - The Fix-Float Conventions Container successfully initialized with the pre-set
* Fix-Float Contracts
*/
public static final boolean Init()
{
if (null != _mapFundConvention) return true;
_mapFundConvention = new java.util.TreeMap<java.lang.String,
org.drip.market.otc.FixedFloatSwapConvention>();
try {
_mapFundConvention.put ("AUD", new org.drip.market.otc.FixedFloatSwapConvention (new
org.drip.market.otc.FixedStreamConvention ("AUD", "Act/365", "AUD", "1Y", "1Y",
org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC),
new org.drip.market.otc.FloatStreamConvention
(org.drip.state.identifier.ForwardLabel.Create
(org.drip.market.definition.OvernightIndexContainer.IndexFromJurisdiction
("AUD"), "ON"), "ON"), 1));
_mapFundConvention.put ("CAD", new org.drip.market.otc.FixedFloatSwapConvention (new
org.drip.market.otc.FixedStreamConvention ("CAD", "Act/365", "CAD", "1Y", "1Y",
org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC),
new org.drip.market.otc.FloatStreamConvention (
org.drip.state.identifier.ForwardLabel.Create (
org.drip.market.definition.OvernightIndexContainer.IndexFromJurisdiction
("CAD"), "ON"), "ON"), 0));
_mapFundConvention.put ("CHF", new org.drip.market.otc.FixedFloatSwapConvention (new
org.drip.market.otc.FixedStreamConvention ("CHF", "Act/360", "CHF", "1Y", "1Y",
org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC),
new org.drip.market.otc.FloatStreamConvention (
org.drip.state.identifier.ForwardLabel.Create (
org.drip.market.definition.OvernightIndexContainer.IndexFromJurisdiction
("CHF"), "ON"), "ON"), 2));
_mapFundConvention.put ("EUR", new org.drip.market.otc.FixedFloatSwapConvention (new
org.drip.market.otc.FixedStreamConvention ("EUR", "Act/360", "EUR", "1Y", "1Y",
org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC),
new org.drip.market.otc.FloatStreamConvention (
org.drip.state.identifier.ForwardLabel.Create (
org.drip.market.definition.OvernightIndexContainer.IndexFromJurisdiction
("EUR"), "ON"), "ON"), 2));
_mapFundConvention.put ("GBP", new org.drip.market.otc.FixedFloatSwapConvention (new
org.drip.market.otc.FixedStreamConvention ("GBP", "Act/365", "GBP", "1Y", "1Y",
org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC),
new org.drip.market.otc.FloatStreamConvention (
org.drip.state.identifier.ForwardLabel.Create (
org.drip.market.definition.OvernightIndexContainer.IndexFromJurisdiction
("GBP"), "ON"), "ON"), 1));
_mapFundConvention.put ("INR", new org.drip.market.otc.FixedFloatSwapConvention (new
org.drip.market.otc.FixedStreamConvention ("INR", "Act/365", "INR", "1Y", "1Y",
org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC),
new org.drip.market.otc.FloatStreamConvention (
org.drip.state.identifier.ForwardLabel.Create (
org.drip.market.definition.OvernightIndexContainer.IndexFromJurisdiction
("INR"), "ON"), "ON"), 1));
_mapFundConvention.put ("JPY", new org.drip.market.otc.FixedFloatSwapConvention (new
org.drip.market.otc.FixedStreamConvention ("JPY", "Act/365", "JPY", "1Y", "1Y",
org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC),
new org.drip.market.otc.FloatStreamConvention (
org.drip.state.identifier.ForwardLabel.Create (
org.drip.market.definition.OvernightIndexContainer.IndexFromJurisdiction
("JPY"), "ON"), "ON"), 2));
_mapFundConvention.put ("NZD", new org.drip.market.otc.FixedFloatSwapConvention (new
org.drip.market.otc.FixedStreamConvention ("NZD", "Act/365", "NZD", "1Y", "1Y",
org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC),
new org.drip.market.otc.FloatStreamConvention
(org.drip.state.identifier.ForwardLabel.Create
(org.drip.market.definition.OvernightIndexContainer.IndexFromJurisdiction
("NZD"), "ON"), "ON"), 1));
_mapFundConvention.put ("SEK", new org.drip.market.otc.FixedFloatSwapConvention (new
org.drip.market.otc.FixedStreamConvention ("SEK", "Act/360", "SEK", "1Y", "1Y",
org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC),
new org.drip.market.otc.FloatStreamConvention (
org.drip.state.identifier.ForwardLabel.Create (
org.drip.market.definition.OvernightIndexContainer.IndexFromJurisdiction
("SEK"), "ON"), "ON"), 2));
_mapFundConvention.put ("SGD", new org.drip.market.otc.FixedFloatSwapConvention (new
org.drip.market.otc.FixedStreamConvention ("SGD", "Act/365", "SGD", "1Y", "1Y",
org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC),
new org.drip.market.otc.FloatStreamConvention (
org.drip.state.identifier.ForwardLabel.Create (
org.drip.market.definition.OvernightIndexContainer.IndexFromJurisdiction
("SGD"), "ON"), "ON"), 2));
_mapFundConvention.put ("USD", new org.drip.market.otc.FixedFloatSwapConvention (new
org.drip.market.otc.FixedStreamConvention ("USD", "Act/360", "USD", "1Y", "1Y",
org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC),
new org.drip.market.otc.FloatStreamConvention (
org.drip.state.identifier.ForwardLabel.Create (
org.drip.market.definition.OvernightIndexContainer.IndexFromJurisdiction
("USD"), "ON"), "ON"), 2));
} catch (java.lang.Exception e) {
e.printStackTrace();
return false;
}
return true;
}
/**
* Retrieve the Fix-Float Overnight Fund Convention for the specified Jurisdiction
*
* @param strJurisdictionName The Jurisdiction Name
*
* @return The Fix-Float Overnight Fund Convention
*/
public static final org.drip.market.otc.FixedFloatSwapConvention FundConventionFromJurisdiction (
final java.lang.String strJurisdictionName)
{
return null == strJurisdictionName || strJurisdictionName.isEmpty() ||
!_mapFundConvention.containsKey (strJurisdictionName) ? null : _mapFundConvention.get
(strJurisdictionName);
}
/**
* Retrieve the Fix-Float Overnight Index Convention for the specified Jurisdiction
*
* @param strJurisdictionName The Jurisdiction Name
* @param strMaturityTenor The Maturity Tenor
*
* @return The Fix-Float Overnight Index Convention
*/
public static final org.drip.market.otc.FixedFloatSwapConvention IndexConventionFromJurisdiction (
final java.lang.String strJurisdictionName,
final java.lang.String strMaturityTenor)
{
org.drip.market.otc.FixedFloatSwapConvention ffscFund = null == strJurisdictionName ||
strJurisdictionName.isEmpty() || !_mapFundConvention.containsKey (strJurisdictionName) ? null :
_mapFundConvention.get (strJurisdictionName);
if (null == ffscFund) return null;
org.drip.market.otc.FloatStreamConvention fundFloatConvention = ffscFund.floatStreamConvention();
try {
org.drip.market.otc.FloatStreamConvention overnightFloatConvention = new
org.drip.market.otc.FloatStreamConvention (fundFloatConvention.floaterIndex(),
org.drip.analytics.support.Helper.LEFT_TENOR_LESSER ==
org.drip.analytics.support.Helper.TenorCompare (strMaturityTenor, "1Y") ?
strMaturityTenor : "1Y");
return new org.drip.market.otc.FixedFloatSwapConvention (ffscFund.fixedStreamConvention(),
overnightFloatConvention, ffscFund.spotLag());
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
}