SwapOptionSettlement.java

  1. package org.drip.market.otc;

  2. /*
  3.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  4.  */

  5. /*!
  6.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  7.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  8.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  11.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  12.  *
  13.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  14.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  15.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  16.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  17.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  18.  *      and computational support.
  19.  *  
  20.  *      https://lakshmidrip.github.io/DROP/
  21.  *  
  22.  *  DROP is composed of three modules:
  23.  *  
  24.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  25.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  26.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  27.  *
  28.  *  DROP Product Core implements libraries for the following:
  29.  *  - Fixed Income Analytics
  30.  *  - Loan Analytics
  31.  *  - Transaction Cost Analytics
  32.  *
  33.  *  DROP Portfolio Core implements libraries for the following:
  34.  *  - Asset Allocation Analytics
  35.  *  - Asset Liability Management Analytics
  36.  *  - Capital Estimation Analytics
  37.  *  - Exposure Analytics
  38.  *  - Margin Analytics
  39.  *  - XVA Analytics
  40.  *
  41.  *  DROP Computational Core implements libraries for the following:
  42.  *  - Algorithm Support
  43.  *  - Computation Support
  44.  *  - Function Analysis
  45.  *  - Model Validation
  46.  *  - Numerical Analysis
  47.  *  - Numerical Optimizer
  48.  *  - Spline Builder
  49.  *  - Statistical Learning
  50.  *
  51.  *  Documentation for DROP is Spread Over:
  52.  *
  53.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  54.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  55.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  56.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  57.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  58.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  59.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  60.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  61.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  62.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  63.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  64.  *
  65.  *  Licensed under the Apache License, Version 2.0 (the "License");
  66.  *      you may not use this file except in compliance with the License.
  67.  *  
  68.  *  You may obtain a copy of the License at
  69.  *      http://www.apache.org/licenses/LICENSE-2.0
  70.  *  
  71.  *  Unless required by applicable law or agreed to in writing, software
  72.  *      distributed under the License is distributed on an "AS IS" BASIS,
  73.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  74.  *  
  75.  *  See the License for the specific language governing permissions and
  76.  *      limitations under the License.
  77.  */

  78. /**
  79.  * <i>SwapOptionSettlement</i> contains the details of the OTC Swap Option Settlements.
  80.  *
  81.  *  <br><br>
  82.  *  <ul>
  83.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  84.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics Library</a></li>
  85.  *      <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>
  86.  *      <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>
  87.  *  </ul>
  88.  *
  89.  * @author Lakshmi Krishnamurthy
  90.  */

  91. public class SwapOptionSettlement {

  92.     /**
  93.      * Swap Option Settlement Type - Cash Settled
  94.      */

  95.     public static final int SETTLEMENT_TYPE_CASH_SETTLED = 1;

  96.     /**
  97.      * Swap Option Settlement Type - Physical Delivery
  98.      */

  99.     public static final int SETTLEMENT_TYPE_PHYSICAL_DELIVERY = 2;

  100.     /**
  101.      * Swap Option Cash Settlement Quote Method - Internal Rate of Return
  102.      */

  103.     public static final int SETTLEMENT_QUOTE_IRR = 1;

  104.     /**
  105.      * Swap Option Cash Settlement Quote Method - Exact Curve
  106.      */

  107.     public static final int SETTLEMENT_QUOTE_EXACT_CURVE = 2;

  108.     private int _iSettlementType = -1;
  109.     private int _iSettlementQuote = -1;

  110.     /**
  111.      * SwapOptionSettlement Constructor
  112.      *
  113.      * @param iSettlementType Settlement Type
  114.      * @param iSettlementQuote Settlement Quote
  115.      *
  116.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  117.      */

  118.     public SwapOptionSettlement (
  119.         final int iSettlementType,
  120.         final int iSettlementQuote)
  121.         throws java.lang.Exception
  122.     {
  123.         if (SETTLEMENT_TYPE_CASH_SETTLED != (_iSettlementType = iSettlementType) &&
  124.             SETTLEMENT_TYPE_PHYSICAL_DELIVERY != _iSettlementType)
  125.             throw new java.lang.Exception ("SwapOptionSettlement ctr: Invalid Settlement Type");

  126.         if (SETTLEMENT_TYPE_CASH_SETTLED == _iSettlementType && SETTLEMENT_QUOTE_IRR != (_iSettlementQuote =
  127.             iSettlementQuote) && SETTLEMENT_QUOTE_EXACT_CURVE != _iSettlementQuote)
  128.             throw new java.lang.Exception ("SwapOptionSettlement ctr: Invalid Settlement Quote");
  129.     }

  130.     /**
  131.      * Retrieve the Settlement Type
  132.      *
  133.      * @return The Settlement Type
  134.      */

  135.     public int settlementType()
  136.     {
  137.         return _iSettlementType;
  138.     }

  139.     /**
  140.      * Retrieve the Settlement Quote
  141.      *
  142.      * @return The Settlement Quote
  143.      */

  144.     public int settlementQuote()
  145.     {
  146.         return _iSettlementQuote;
  147.     }

  148.     @Override public java.lang.String toString()
  149.     {
  150.         if (SETTLEMENT_TYPE_PHYSICAL_DELIVERY == _iSettlementType) return "PHYSICAL DELIVERY";

  151.         return "CASH SETTLED | " + (SETTLEMENT_QUOTE_IRR == _iSettlementQuote ? "INTERNAL RATE OF RETURN" :
  152.             "EXACT CURVE");
  153.     }
  154. }