MultiSided.java
package org.drip.param.quote;
/*
* -*- 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>MultiSided</i> implements the Quote interface, which contains the stubs corresponding to a product
* quote. It contains the quote value, quote instant for the different quote sides (bid/ask/mid).
*
* <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/quote/README.md">Multi-sided Multi-Measure Ticks Quotes</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class MultiSided extends org.drip.param.definition.Quote {
class SingleSided {
double _dblSize = java.lang.Double.NaN;
double _dblQuote = java.lang.Double.NaN;
org.drip.analytics.date.DateTime _dt = null;
SingleSided (
final double dblQuote,
final double dblSize)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (_dblQuote = dblQuote))
throw new java.lang.Exception ("MultiSided::SingleSided ctr: Invalid Inputs!");
_dblSize = dblSize;
_dt = new org.drip.analytics.date.DateTime();
}
double quote()
{
return _dblQuote;
}
double size()
{
return _dblSize;
}
org.drip.analytics.date.DateTime time()
{
return _dt;
}
boolean setQuote (
final double dblQuote)
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblQuote)) return false;
_dblQuote = dblQuote;
return true;
}
boolean setSize (
final double dblSize)
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblSize)) return false;
_dblSize = dblSize;
return true;
}
};
private org.drip.analytics.support.CaseInsensitiveTreeMap<SingleSided> _mapSingleSidedQuote = new
org.drip.analytics.support.CaseInsensitiveTreeMap<SingleSided>();
/**
* MultiSidedQuote Constructor: Constructs a Quote object from the quote value and the side string.
*
* @param strSide bid/ask/mid
* @param dblQuote Quote Value
*
* @throws java.lang.Exception Thrown on invalid inputs
*/
public MultiSided (
final java.lang.String strSide,
final double dblQuote)
throws java.lang.Exception
{
if (null == strSide || strSide.isEmpty() || !org.drip.numerical.common.NumberUtil.IsValid (dblQuote))
throw new java.lang.Exception ("MultiSided ctr: Invalid Side/Quote/Size!");
_mapSingleSidedQuote.put (strSide, new SingleSided (dblQuote, java.lang.Double.NaN));
}
/**
* MultiSided Constructor: Constructs a Quote object from the quote size/value and the side string.
*
* @param strSide bid/ask/mid
* @param dblQuote Quote Value
* @param dblSize Size
*
* @throws java.lang.Exception Thrown on invalid inputs
*/
public MultiSided (
final java.lang.String strSide,
final double dblQuote,
final double dblSize)
throws java.lang.Exception
{
if (null == strSide || strSide.isEmpty() || !org.drip.numerical.common.NumberUtil.IsValid (dblQuote))
throw new java.lang.Exception ("MultiSided ctr: Invalid Side/Quote/Size!");
_mapSingleSidedQuote.put (strSide, new SingleSided (dblQuote, dblSize));
}
@Override public double value (
final java.lang.String strSide)
{
if (null == strSide || strSide.isEmpty()) return java.lang.Double.NaN;
return _mapSingleSidedQuote.get (strSide).quote();
}
@Override public double size (
final java.lang.String strSide)
{
if (null == strSide || strSide.isEmpty()) return java.lang.Double.NaN;
return _mapSingleSidedQuote.get (strSide).size();
}
@Override public org.drip.analytics.date.DateTime time (
final java.lang.String strSide)
{
if (null == strSide || strSide.isEmpty()) return null;
return _mapSingleSidedQuote.get (strSide).time();
}
@Override public boolean setSide (
final java.lang.String strSide,
final double dblQuote,
final double dblSize)
{
if (null != strSide && !strSide.isEmpty() && !org.drip.numerical.common.NumberUtil.IsValid (dblQuote))
return false;
try {
_mapSingleSidedQuote.put (strSide, new SingleSided (dblQuote, dblSize));
} catch (java.lang.Exception e) {
e.printStackTrace();
return false;
}
return true;
}
}