OvernightFixedFloatContainer.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>OvernightFixedFloatContainer</i> holds the settings of the standard OTC Overnight Fix-Float Swap
  83.  * Contract 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 OvernightFixedFloatContainer {
  97.     private static java.util.Map<java.lang.String, org.drip.market.otc.FixedFloatSwapConvention>
  98.         _mapFundConvention = null;

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

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

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

  114.         try {
  115.             _mapFundConvention.put ("AUD", new org.drip.market.otc.FixedFloatSwapConvention (new
  116.                 org.drip.market.otc.FixedStreamConvention ("AUD", "Act/365", "AUD", "1Y", "1Y",
  117.                     org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC),
  118.                         new org.drip.market.otc.FloatStreamConvention
  119.                             (org.drip.state.identifier.ForwardLabel.Create
  120.                                 (org.drip.market.definition.OvernightIndexContainer.IndexFromJurisdiction
  121.                                     ("AUD"), "ON"), "ON"), 1));

  123.             _mapFundConvention.put ("CAD", new org.drip.market.otc.FixedFloatSwapConvention (new
  124.                 org.drip.market.otc.FixedStreamConvention ("CAD", "Act/365", "CAD", "1Y", "1Y",
  125.                     org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC),
  126.                         new org.drip.market.otc.FloatStreamConvention (
  127.                             org.drip.state.identifier.ForwardLabel.Create (
  128.                                 org.drip.market.definition.OvernightIndexContainer.IndexFromJurisdiction
  129.                                     ("CAD"), "ON"), "ON"), 0));

  131.             _mapFundConvention.put ("CHF", new org.drip.market.otc.FixedFloatSwapConvention (new
  132.                 org.drip.market.otc.FixedStreamConvention ("CHF", "Act/360", "CHF", "1Y", "1Y",
  133.                     org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC),
  134.                         new org.drip.market.otc.FloatStreamConvention (
  135.                             org.drip.state.identifier.ForwardLabel.Create (
  136.                                 org.drip.market.definition.OvernightIndexContainer.IndexFromJurisdiction
  137.                                     ("CHF"), "ON"), "ON"), 2));

  139.             _mapFundConvention.put ("EUR", new org.drip.market.otc.FixedFloatSwapConvention (new
  140.                 org.drip.market.otc.FixedStreamConvention ("EUR", "Act/360", "EUR", "1Y", "1Y",
  141.                     org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC),
  142.                         new org.drip.market.otc.FloatStreamConvention (
  143.                             org.drip.state.identifier.ForwardLabel.Create (
  144.                                 org.drip.market.definition.OvernightIndexContainer.IndexFromJurisdiction
  145.                                     ("EUR"), "ON"), "ON"), 2));

  147.             _mapFundConvention.put ("GBP", new org.drip.market.otc.FixedFloatSwapConvention (new
  148.                 org.drip.market.otc.FixedStreamConvention ("GBP", "Act/365", "GBP", "1Y", "1Y",
  149.                     org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC),
  150.                         new org.drip.market.otc.FloatStreamConvention (
  151.                             org.drip.state.identifier.ForwardLabel.Create (
  152.                                 org.drip.market.definition.OvernightIndexContainer.IndexFromJurisdiction
  153.                                     ("GBP"), "ON"), "ON"), 1));

  155.             _mapFundConvention.put ("INR", new org.drip.market.otc.FixedFloatSwapConvention (new
  156.                 org.drip.market.otc.FixedStreamConvention ("INR", "Act/365", "INR", "1Y", "1Y",
  157.                     org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC),
  158.                         new org.drip.market.otc.FloatStreamConvention (
  159.                             org.drip.state.identifier.ForwardLabel.Create (
  160.                                 org.drip.market.definition.OvernightIndexContainer.IndexFromJurisdiction
  161.                                     ("INR"), "ON"), "ON"), 1));

  163.             _mapFundConvention.put ("JPY", new org.drip.market.otc.FixedFloatSwapConvention (new
  164.                 org.drip.market.otc.FixedStreamConvention ("JPY", "Act/365", "JPY", "1Y", "1Y",
  165.                     org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC),
  166.                         new org.drip.market.otc.FloatStreamConvention (
  167.                             org.drip.state.identifier.ForwardLabel.Create (
  168.                                 org.drip.market.definition.OvernightIndexContainer.IndexFromJurisdiction
  169.                                     ("JPY"), "ON"), "ON"), 2));

  171.             _mapFundConvention.put ("NZD", new org.drip.market.otc.FixedFloatSwapConvention (new
  172.                 org.drip.market.otc.FixedStreamConvention ("NZD", "Act/365", "NZD", "1Y", "1Y",
  173.                     org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC),
  174.                         new org.drip.market.otc.FloatStreamConvention
  175.                             (org.drip.state.identifier.ForwardLabel.Create
  176.                                 (org.drip.market.definition.OvernightIndexContainer.IndexFromJurisdiction
  177.                                     ("NZD"), "ON"), "ON"), 1));

  179.             _mapFundConvention.put ("SEK", new org.drip.market.otc.FixedFloatSwapConvention (new
  180.                 org.drip.market.otc.FixedStreamConvention ("SEK", "Act/360", "SEK", "1Y", "1Y",
  181.                     org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC),
  182.                         new org.drip.market.otc.FloatStreamConvention (
  183.                             org.drip.state.identifier.ForwardLabel.Create (
  184.                                 org.drip.market.definition.OvernightIndexContainer.IndexFromJurisdiction
  185.                                     ("SEK"), "ON"), "ON"), 2));

  187.             _mapFundConvention.put ("SGD", new org.drip.market.otc.FixedFloatSwapConvention (new
  188.                 org.drip.market.otc.FixedStreamConvention ("SGD", "Act/365", "SGD", "1Y", "1Y",
  189.                     org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC),
  190.                         new org.drip.market.otc.FloatStreamConvention (
  191.                             org.drip.state.identifier.ForwardLabel.Create (
  192.                                 org.drip.market.definition.OvernightIndexContainer.IndexFromJurisdiction
  193.                                     ("SGD"), "ON"), "ON"), 2));

  195.             _mapFundConvention.put ("USD", new org.drip.market.otc.FixedFloatSwapConvention (new
  196.                 org.drip.market.otc.FixedStreamConvention ("USD", "Act/360", "USD", "1Y", "1Y",
  197.                     org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC),
  198.                         new org.drip.market.otc.FloatStreamConvention (
  199.                             org.drip.state.identifier.ForwardLabel.Create (
  200.                                 org.drip.market.definition.OvernightIndexContainer.IndexFromJurisdiction
  201.                                     ("USD"), "ON"), "ON"), 2));
  202.         } catch (java.lang.Exception e) {
  203.             e.printStackTrace();

  205.             return false;
  206.         }

  208.         return true;
  209.     }

  211.     /**
  212.      * Retrieve the Fix-Float Overnight Fund Convention for the specified Jurisdiction
  213.      * 
  214.      * @param strJurisdictionName The Jurisdiction Name
  215.      * 
  216.      * @return The Fix-Float Overnight Fund Convention
  217.      */

  219.     public static final org.drip.market.otc.FixedFloatSwapConvention FundConventionFromJurisdiction (
  220.         final java.lang.String strJurisdictionName)
  221.     {
  222.         return null == strJurisdictionName || strJurisdictionName.isEmpty() ||
  223.             !_mapFundConvention.containsKey (strJurisdictionName) ? null : _mapFundConvention.get
  224.                 (strJurisdictionName);
  225.     }

  227.     /**
  228.      * Retrieve the Fix-Float Overnight Index Convention for the specified Jurisdiction
  229.      * 
  230.      * @param strJurisdictionName The Jurisdiction Name
  231.      * @param strMaturityTenor The Maturity Tenor
  232.      * 
  233.      * @return The Fix-Float Overnight Index Convention
  234.      */

  236.     public static final org.drip.market.otc.FixedFloatSwapConvention IndexConventionFromJurisdiction (
  237.         final java.lang.String strJurisdictionName,
  238.         final java.lang.String strMaturityTenor)
  239.     {
  240.         org.drip.market.otc.FixedFloatSwapConvention ffscFund = null == strJurisdictionName ||
  241.             strJurisdictionName.isEmpty() || !_mapFundConvention.containsKey (strJurisdictionName) ? null :
  242.                 _mapFundConvention.get (strJurisdictionName);

  244.         if (null == ffscFund) return null;

  246.         org.drip.market.otc.FloatStreamConvention fundFloatConvention = ffscFund.floatStreamConvention();

  248.         try {
  249.             org.drip.market.otc.FloatStreamConvention overnightFloatConvention = new
  250.                 org.drip.market.otc.FloatStreamConvention (fundFloatConvention.floaterIndex(),
  251.                     org.drip.analytics.support.Helper.LEFT_TENOR_LESSER ==
  252.                         org.drip.analytics.support.Helper.TenorCompare (strMaturityTenor, "1Y") ?
  253.                             strMaturityTenor : "1Y");

  255.             return new org.drip.market.otc.FixedFloatSwapConvention (ffscFund.fixedStreamConvention(),
  256.                 overnightFloatConvention, ffscFund.spotLag());
  257.         } catch (java.lang.Exception e) {
  258.             e.printStackTrace();
  259.         }

  261.         return null;
  262.     }
  263. }
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