MultiSided.java

  1. package org.drip.param.quote;

  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.  * Copyright (C) 2014 Lakshmi Krishnamurthy
  15.  * Copyright (C) 2013 Lakshmi Krishnamurthy
  16.  * Copyright (C) 2012 Lakshmi Krishnamurthy
  17.  * Copyright (C) 2011 Lakshmi Krishnamurthy
  18.  * 
  19.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  20.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  21.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  22.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  23.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  24.  *      and computational support.
  25.  *  
  26.  *      https://lakshmidrip.github.io/DROP/
  27.  *  
  28.  *  DROP is composed of three modules:
  29.  *  
  30.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  31.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  32.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  33.  * 
  34.  *  DROP Product Core implements libraries for the following:
  35.  *  - Fixed Income Analytics
  36.  *  - Loan Analytics
  37.  *  - Transaction Cost Analytics
  38.  * 
  39.  *  DROP Portfolio Core implements libraries for the following:
  40.  *  - Asset Allocation Analytics
  41.  *  - Asset Liability Management Analytics
  42.  *  - Capital Estimation Analytics
  43.  *  - Exposure Analytics
  44.  *  - Margin Analytics
  45.  *  - XVA Analytics
  46.  * 
  47.  *  DROP Computational Core implements libraries for the following:
  48.  *  - Algorithm Support
  49.  *  - Computation Support
  50.  *  - Function Analysis
  51.  *  - Model Validation
  52.  *  - Numerical Analysis
  53.  *  - Numerical Optimizer
  54.  *  - Spline Builder
  55.  *  - Statistical Learning
  56.  * 
  57.  *  Documentation for DROP is Spread Over:
  58.  * 
  59.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  60.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  61.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  62.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  63.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  64.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  65.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  66.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  67.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  68.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  69.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  70.  * 
  71.  *  Licensed under the Apache License, Version 2.0 (the "License");
  72.  *      you may not use this file except in compliance with the License.
  73.  *   
  74.  *  You may obtain a copy of the License at
  75.  *      http://www.apache.org/licenses/LICENSE-2.0
  76.  *  
  77.  *  Unless required by applicable law or agreed to in writing, software
  78.  *      distributed under the License is distributed on an "AS IS" BASIS,
  79.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  80.  *  
  81.  *  See the License for the specific language governing permissions and
  82.  *      limitations under the License.
  83.  */

  85. /**
  86.  * <i>MultiSided</i> implements the Quote interface, which contains the stubs corresponding to a product
  87.  * quote. It contains the quote value, quote instant for the different quote sides (bid/ask/mid).
  88.  *
  89.  *  <br><br>
  90.  *  <ul>
  91.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  92.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  93.  *      <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>
  94.  *      <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>
  95.  *  </ul>
  96.  *   
  97.  * @author Lakshmi Krishnamurthy
  98.  */

  100. public class MultiSided extends org.drip.param.definition.Quote {
  101.     class SingleSided {
  102.         double _dblSize = java.lang.Double.NaN;
  103.         double _dblQuote = java.lang.Double.NaN;
  104.         org.drip.analytics.date.DateTime _dt = null;

  106.         SingleSided (
  107.             final double dblQuote,
  108.             final double dblSize)
  109.             throws java.lang.Exception
  110.         {
  111.             if (!org.drip.numerical.common.NumberUtil.IsValid (_dblQuote = dblQuote))
  112.                 throw new java.lang.Exception ("MultiSided::SingleSided ctr: Invalid Inputs!");

  114.             _dblSize = dblSize;

  116.             _dt = new org.drip.analytics.date.DateTime();
  117.         }

  119.         double quote()
  120.         {
  121.             return _dblQuote;
  122.         }

  124.         double size()
  125.         {
  126.             return _dblSize;
  127.         }

  129.         org.drip.analytics.date.DateTime time()
  130.         {
  131.             return _dt;
  132.         }

  134.         boolean setQuote (
  135.             final double dblQuote)
  136.         {
  137.             if (!org.drip.numerical.common.NumberUtil.IsValid (dblQuote)) return false;

  139.             _dblQuote = dblQuote;
  140.             return true;
  141.         }

  143.         boolean setSize (
  144.             final double dblSize)
  145.         {
  146.             if (!org.drip.numerical.common.NumberUtil.IsValid (dblSize)) return false;

  148.             _dblSize = dblSize;
  149.             return true;
  150.         }
  151.     };

  153.     private org.drip.analytics.support.CaseInsensitiveTreeMap<SingleSided> _mapSingleSidedQuote = new
  154.         org.drip.analytics.support.CaseInsensitiveTreeMap<SingleSided>();

  156.     /**
  157.      * MultiSidedQuote Constructor: Constructs a Quote object from the quote value and the side string.
  158.      * 
  159.      * @param strSide bid/ask/mid
  160.      * @param dblQuote Quote Value
  161.      * 
  162.      * @throws java.lang.Exception Thrown on invalid inputs
  163.      */

  165.     public MultiSided (
  166.         final java.lang.String strSide,
  167.         final double dblQuote)
  168.         throws java.lang.Exception
  169.     {
  170.         if (null == strSide || strSide.isEmpty() || !org.drip.numerical.common.NumberUtil.IsValid (dblQuote))
  171.             throw new java.lang.Exception ("MultiSided ctr: Invalid Side/Quote/Size!");

  173.         _mapSingleSidedQuote.put (strSide, new SingleSided (dblQuote, java.lang.Double.NaN));
  174.     }

  176.     /**
  177.      * MultiSided Constructor: Constructs a Quote object from the quote size/value and the side string.
  178.      * 
  179.      * @param strSide bid/ask/mid
  180.      * @param dblQuote Quote Value
  181.      * @param dblSize Size
  182.      * 
  183.      * @throws java.lang.Exception Thrown on invalid inputs
  184.      */

  186.     public MultiSided (
  187.         final java.lang.String strSide,
  188.         final double dblQuote,
  189.         final double dblSize)
  190.         throws java.lang.Exception
  191.     {
  192.         if (null == strSide || strSide.isEmpty() || !org.drip.numerical.common.NumberUtil.IsValid (dblQuote))
  193.             throw new java.lang.Exception ("MultiSided ctr: Invalid Side/Quote/Size!");

  195.         _mapSingleSidedQuote.put (strSide, new SingleSided (dblQuote, dblSize));
  196.     }

  198.     @Override public double value (
  199.         final java.lang.String strSide)
  200.     {
  201.         if (null == strSide || strSide.isEmpty()) return java.lang.Double.NaN;

  203.         return _mapSingleSidedQuote.get (strSide).quote();
  204.     }

  206.     @Override public double size (
  207.         final java.lang.String strSide)
  208.     {
  209.         if (null == strSide || strSide.isEmpty()) return java.lang.Double.NaN;

  211.         return _mapSingleSidedQuote.get (strSide).size();
  212.     }

  214.     @Override public org.drip.analytics.date.DateTime time (
  215.         final java.lang.String strSide)
  216.     {
  217.         if (null == strSide || strSide.isEmpty()) return null;

  219.         return _mapSingleSidedQuote.get (strSide).time();
  220.     }

  222.     @Override public boolean setSide (
  223.         final java.lang.String strSide,
  224.         final double dblQuote,
  225.         final double dblSize)
  226.     {
  227.         if (null != strSide && !strSide.isEmpty() && !org.drip.numerical.common.NumberUtil.IsValid (dblQuote))
  228.             return false;

  230.         try {
  231.             _mapSingleSidedQuote.put (strSide, new SingleSided (dblQuote, dblSize));
  232.         } catch (java.lang.Exception e) {
  233.             e.printStackTrace();

  235.             return false;
  236.         }

  238.         return true;
  239.     }
  240. }
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