ValuationCustomizationParams.java

package org.drip.param.valuation;

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

/*!
 * 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 risk, transaction costs, exposure, margin
 *      calculations, and portfolio construction within and across fixed income, credit, commodity, equity,
 *      FX, and structured products.
 *  
 *      https://lakshmidrip.github.io/DROP/
 *  
 *  DROP is composed of three main modules:
 *  
 *  - DROP Analytics Core - https://lakshmidrip.github.io/DROP-Analytics-Core/
 *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
 *  - DROP Numerical Core - https://lakshmidrip.github.io/DROP-Numerical-Core/
 * 
 *  DROP Analytics Core implements libraries for the following:
 *  - Fixed Income Analytics
 *  - Asset Backed Analytics
 *  - XVA Analytics
 *  - Exposure and Margin Analytics
 * 
 *  DROP Portfolio Core implements libraries for the following:
 *  - Asset Allocation Analytics
 *  - Transaction Cost Analytics
 * 
 *  DROP Numerical Core implements libraries for the following:
 *  - Statistical Learning Library
 *  - Numerical Optimizer Library
 *  - Machine Learning Library
 *  - Spline Builder Library
 * 
 *  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
 *  - 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>ValuationCustomizationParams</i> holds the parameters needed to interpret the input quotes. It contains
 * the quote day count, the quote frequency, the quote EOM Adjustment, the quote Act/Act parameters, the
 * quote Calendar, the Core Collateralization Parameters, and the Switchable Alternate Collateralization
 * Parameters. It also indicates if the native quote is spread based.
 *
 *  <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/valuation">Valuation Settlement and Valuation Customization Parameters</a></li>
 *  </ul>
 * 
 * @author Lakshmi Krishnamurthy
 */

public class ValuationCustomizationParams {
    private int _iYieldFrequency = 0;
    private boolean _bSpreadQuoted = false;
    private java.lang.String _strYieldDC = "";
    private boolean _bYieldApplyEOMAdj = false;
    private boolean _bApplyFlatForwardRate = false;
    private java.lang.String _strYieldCalendar = "";
    private org.drip.analytics.daycount.ActActDCParams _aapYield = null;

    /**
     * Construct the BondEquivalent Instance of ValuationCustomizationParams
     * 
     * @param strCalendar The Calendar
     * 
     * @return The BondEquivalent Instance of ValuationCustomizationParams
     */

    public static final ValuationCustomizationParams BondEquivalent (
        final java.lang.String strCalendar)
    {
        try {
            return new ValuationCustomizationParams ("30/360", 2, false, null, strCalendar, false, false);
        } catch (java.lang.Exception e) {
            e.printStackTrace();
        }

        return null;
    }

    /**
     * Construct ValuationCustomizationParams from the Day Count and the Frequency parameters
     * 
     * @param strDC Quoting Day Count
     * @param iFrequency Quoting Frequency
     * @param bApplyEOMAdj TRUE - Apply the EOM Adjustment
     * @param aap - Quoting Act/Act Parameters
     * @param strCalendar - Quoting Calendar
     * @param bSpreadQuoted - TRUE - Market Quotes are Spread Quoted
     * @param bApplyFlatForwardRate - TRUE - Apply Flat Forward Rate
     * 
     * @throws java.lang.Exception Thrown if inputs are invalid
     */

    public ValuationCustomizationParams (
        final java.lang.String strDC,
        final int iFrequency,
        final boolean bApplyEOMAdj,
        final org.drip.analytics.daycount.ActActDCParams aap,
        final java.lang.String strCalendar,
        final boolean bSpreadQuoted,
        final boolean bApplyFlatForwardRate)
        throws java.lang.Exception
    {
        if (null == strDC || strDC.isEmpty() || 0 == iFrequency)
            throw new java.lang.Exception ("ValuationCustomizationParams ctr: Invalid quoting params!");

        _aapYield = aap;
        _strYieldDC = strDC;
        _iYieldFrequency = iFrequency;
        _bSpreadQuoted = bSpreadQuoted;
        _strYieldCalendar = strCalendar;
        _bYieldApplyEOMAdj = bApplyEOMAdj;
        _bApplyFlatForwardRate = bApplyFlatForwardRate;
    }

    /**
     * Retrieve the Yield Act Act Day Count Parameters
     * 
     * @return The Yield Act Act Day Count Parameters
     */

    public org.drip.analytics.daycount.ActActDCParams yieldAAP()
    {
        return _aapYield;
    }

    /**
     * Retrieve the Yield Day Count
     * 
     * @return The Yield Day Count
     */

    public java.lang.String yieldDayCount()
    {
        return _strYieldDC;
    }

    /**
     * Retrieve the Yield Frequency
     * 
     * @return The Yield Frequency
     */

    public int yieldFreq()
    {
        return _iYieldFrequency;
    }

    /**
     * Indicate if spread Quoted
     * 
     * @return TRUE - Spread Quoted
     */

    public boolean spreadQuoted()
    {
        return _bSpreadQuoted;
    }

    /**
     * Retrieve the Yield Calendar
     * 
     * @return The Yield Calendar
     */

    public java.lang.String yieldCalendar()
    {
        return _strYieldCalendar;
    }

    /**
     * Indicate if EOM Adjustment is to be made for the Yield Calculation
     * 
     * @return TRUE - EOM Adjustment is to be made for the Yield Calculation
     */

    public boolean applyYieldEOMAdj()
    {
        return _bYieldApplyEOMAdj;
    }

    /**
     * Indicate if Forward Rate is to be Projected using its Current Value
     * 
     * @return TRUE - Forward Rate is to be Projected using its Current Value
     */

    public boolean applyFlatForwardRate()
    {
        return _bApplyFlatForwardRate;
    }
}