CreditPricerParams.java

package org.drip.param.pricer;

/*
 * -*- 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
 * Copyright (C) 2013 Lakshmi Krishnamurthy
 * Copyright (C) 2012 Lakshmi Krishnamurthy
 * Copyright (C) 2011 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>CreditPricerParams</i> contains the Credit Pricer Parameters - the discrete unit size, calibration mode
 * on/off, survival to pay/end date, and the discretization scheme.
 *
 *  <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/pricer/README.md">Pricing Parameters Customization Settings Control</a></li>
 *  </ul>
 *
 * @author Lakshmi Krishnamurthy
 */

public class CreditPricerParams implements org.drip.param.pricer.PricerParams {

    /*
     * Loss period Grid discretization scheme
     */

    /**
     * Minimum number of days per unit
     */

    public static final int PERIOD_DAY_STEPS_MINIMUM = 7;

    /**
     * Discretization as a sequence of day steps
     */

    public static final int PERIOD_DISCRETIZATION_DAY_STEP = 1;

    /**
     * Discretization as a sequence of time space divided periods
     */

    public static final int PERIOD_DISCRETIZATION_PERIOD_STEP = 2;

    /**
     * No discretization at all - just the full coupon period
     */

    public static final int PERIOD_DISCRETIZATION_FULL_COUPON = 3;

    private int _iUnitSize = 7;
    private boolean _bSurvToPayDate = false;
    private int _iDiscretizationScheme = PERIOD_DISCRETIZATION_DAY_STEP;
    private org.drip.param.definition.CalibrationParams _calibParams = null;

    /**
     * Create the standard Credit pricer parameters object instance
     * 
     * @return CreditPricerParams object instance
     */

    public static final CreditPricerParams Standard()
    {
        return new CreditPricerParams (7, null, false, PERIOD_DISCRETIZATION_DAY_STEP);
    }

    /**
     * Create the pricer parameters from the discrete unit size, calibration mode on/off, survival to
     *  pay/end date, and the discretization scheme
     * 
     * @param iUnitSize Discretization Unit Size
     * @param calibParams Optional Calibration Params
     * @param bSurvToPayDate Survival to Pay Date (True) or Period End Date (false)
     * @param iDiscretizationScheme Discretization Scheme In Use
     */

    public CreditPricerParams (
        final int iUnitSize,
        final org.drip.param.definition.CalibrationParams calibParams,
        final boolean bSurvToPayDate,
        final int iDiscretizationScheme)
    {
        _iUnitSize = iUnitSize;
        _calibParams = calibParams;
        _bSurvToPayDate = bSurvToPayDate;
        _iDiscretizationScheme = iDiscretizationScheme;
    }

    /**
     * Retrieve the Discretized Loss Unit Size
     * 
     * @return The Discretized Loss Unit Size
     */

    public int unitSize()
    {
        return _iUnitSize;
    }

    /**
     * Retrieve the Calibration Parameters Instance
     * 
     * @return The Calibration Parameters Instance
     */

    public org.drip.param.definition.CalibrationParams calibParams()
    {
        return _calibParams;
    }

    /**
     * Retrieve the flag indicating whether the Survival is to be computed to the Pay Date (TRUE) or not
     * 
     * @return TRUE - Survival is to be computed to the Pay Date
     */

    public boolean survivalToPayDate()
    {
        return _bSurvToPayDate;
    }

    /**
     * Retrieve the Discretization Scheme
     * 
     * @return The Discretization Scheme
     */

    public int discretizationScheme()
    {
        return _iDiscretizationScheme;
    }
}