CompositePeriodSetting.java
package org.drip.param.period;
/*
* -*- 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
* Copyright (C) 2014 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>CompositePeriodSetting</i> implements the custom setting parameters for the composite coupon period.
*
* <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</a></li>
* <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/param/README.md">Product Cash Flow, Valuation, Market, Pricing, and Quoting Parameters</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/param/period">Composite Composable Period Builder Settings</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class CompositePeriodSetting {
private int _iFreq = -1;
private java.lang.String _strTenor = "";
private java.lang.String _strPayCurrency = "";
private double _dblBaseNotional = java.lang.Double.NaN;
private org.drip.numerical.common.Array2D _fsCoupon = null;
private org.drip.numerical.common.Array2D _fsNotional = null;
private org.drip.state.identifier.EntityCDSLabel _creditLabel = null;
private org.drip.param.period.FixingSetting _fxFixingSetting = null;
private org.drip.analytics.daycount.DateAdjustParams _dapPay = null;
/**
* CompositePeriodSetting Constructor
*
* @param iFreq The Frequency
* @param strTenor The Period Tenor
* @param strPayCurrency The Pay Currency
* @param dapPay Composite Pay Date Adjust Parameters
* @param dblBaseNotional The Period Base Notional
* @param fsCoupon The Period Coupon Schedule
* @param fsNotional The Period Notional Schedule
* @param fxFixingSetting The FX Fixing Setting
* @param creditLabel The Period Credit Label
*
* @throws java.lang.Exception Thrown if Inputs are invalid
*/
public CompositePeriodSetting (
final int iFreq,
final java.lang.String strTenor,
final java.lang.String strPayCurrency,
final org.drip.analytics.daycount.DateAdjustParams dapPay,
final double dblBaseNotional,
final org.drip.numerical.common.Array2D fsCoupon,
final org.drip.numerical.common.Array2D fsNotional,
final org.drip.param.period.FixingSetting fxFixingSetting,
final org.drip.state.identifier.EntityCDSLabel creditLabel)
throws java.lang.Exception
{
if (0 >= (_iFreq = iFreq) || null == (_strTenor = strTenor) || _strTenor.isEmpty() || null ==
(_strPayCurrency = strPayCurrency) || _strPayCurrency.isEmpty() ||
!org.drip.numerical.common.NumberUtil.IsValid (_dblBaseNotional = dblBaseNotional))
throw new java.lang.Exception ("CompositePeriodSetting ctr: Invalid Inputs");
_dapPay = dapPay;
_creditLabel = creditLabel;
_fxFixingSetting = fxFixingSetting;
if (null == (_fsCoupon = fsCoupon)) _fsCoupon = org.drip.numerical.common.Array2D.BulletSchedule();
if (null == (_fsNotional = fsNotional))
_fsNotional = org.drip.numerical.common.Array2D.BulletSchedule();
}
/**
* Retrieve the Frequency
*
* @return The Frequency
*/
public int freq()
{
return _iFreq;
}
/**
* Retrieve the Tenor
*
* @return The Tenor
*/
public java.lang.String tenor()
{
return _strTenor;
}
/**
* Retrieve the Pay Currency
*
* @return The Pay Currency
*/
public java.lang.String payCurrency()
{
return _strPayCurrency;
}
/**
* Retrieve the Pay DAP
*
* @return The Pay DAP
*/
public org.drip.analytics.daycount.DateAdjustParams dapPay()
{
return _dapPay;
}
/**
* Retrieve the Base Notional
*
* @return The Base Notional
*/
public double baseNotional()
{
return _dblBaseNotional;
}
/**
* Retrieve the Notional Schedule
*
* @return The Notional Schedule
*/
public org.drip.numerical.common.Array2D notionalSchedule()
{
return _fsNotional;
}
/**
* Retrieve the Coupon Schedule
*
* @return The Coupon Schedule
*/
public org.drip.numerical.common.Array2D couponSchedule()
{
return _fsCoupon;
}
/**
* Retrieve the FX Fixing Setting
*
* @return The FX Fixing Setting
*/
public org.drip.param.period.FixingSetting fxFixingSetting()
{
return _fxFixingSetting;
}
/**
* Retrieve the Credit Label
*
* @return The Credit Label
*/
public org.drip.state.identifier.EntityCDSLabel creditLabel()
{
return _creditLabel;
}
}