ValuationParams.java

package org.drip.param.valuation;

/*
 * -*- 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>ValuationParams</i> is the place-holder for the valuation parameters for a given product. It contains
 * the valuation and the cash pay/settle dates, as well as the calendar. It also exposes a number of methods
 * to construct standard valuation parameters.
 *
 *  <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 ValuationParams {
    private java.lang.String _strCalendar = "";
    private int _iValueDate = java.lang.Integer.MIN_VALUE;
    private int _iCashPayDate = java.lang.Integer.MIN_VALUE;

    /**
     * Create the valuation parameters object instance from the valuation date, the cash settle lag, and the
     *  settle calendar.
     * 
     * @param dtValue Valuation Date
     * @param iCashSettleLag Cash settle lag
     * @param strCalendar Calendar Set
     * @param iAdjustMode The Adjustment Mode Flag
     * 
     * @return Valuation Parameters instance
     */

    public static final ValuationParams Spot (
        final org.drip.analytics.date.JulianDate dtValue,
        final int iCashSettleLag,
        final java.lang.String strCalendar,
        final int iAdjustMode)
    {
        try {
            return null == dtValue ? null : new ValuationParams (dtValue, new
                org.drip.analytics.date.JulianDate (org.drip.analytics.daycount.Convention.Adjust
                    (dtValue.addDays (iCashSettleLag).julian(), strCalendar, iAdjustMode)), strCalendar);
        } catch (java.lang.Exception e) {
            e.printStackTrace();
        }

        return null;
    }

    /**
     * Create the spot valuation parameters for the given valuation date (uses the T+0 settle)
     *  
     * @param iDate Valuation Date
     * 
     * @return Valuation Parameters instance
     */

    public static final ValuationParams Spot (
        final int iDate)
    {
        org.drip.analytics.date.JulianDate dtValue = new org.drip.analytics.date.JulianDate (iDate);

        try {
            return new ValuationParams (dtValue, dtValue, "");
        } catch (java.lang.Exception e) {
            e.printStackTrace();
        }

        return null;
    }

    /**
     * Create the standard T+2B settle parameters for the given valuation date and calendar
     *  
     * @param dtValue Valuation Date
     * @param strCalendar Settle Calendar
     * 
     * @return Valuation Parameters instance
     */

    public static final ValuationParams Standard (
        final org.drip.analytics.date.JulianDate dtValue,
        final java.lang.String strCalendar)
    {
        return Spot (dtValue, 2, strCalendar, org.drip.analytics.daycount.Convention.DATE_ROLL_FOLLOWING);
    }

    /**
     * Construct ValuationParams from the Valuation Date and the Cash Pay Date parameters
     * 
     * @param dtValue Valuation Date
     * @param dtCashPay Cash Pay Date
     * @param strCalendar Calendar Set
     * 
     * @throws java.lang.Exception Thrown if inputs are invalid
     */

    public ValuationParams (
        final org.drip.analytics.date.JulianDate dtValue,
        final org.drip.analytics.date.JulianDate dtCashPay,
        final java.lang.String strCalendar)
        throws java.lang.Exception
    {
        if (null == dtValue || null ==  dtCashPay)
            throw new java.lang.Exception ("ValuationParams ctr: Invalid settle/Cash pay into Val Params!");

        _iValueDate = dtValue.julian();

        _iCashPayDate = dtCashPay.julian();

        _strCalendar = strCalendar;
    }

    /**
     * Retrieve the Valuation Date
     * 
     * @return The Valuation Date
     */

    public int valueDate()
    {
        return _iValueDate;
    }

    /**
     * Retrieve the Cash Pay Date
     * 
     * @return The Cash Pay Date
     */

    public int cashPayDate()
    {
        return _iCashPayDate;
    }

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

    public java.lang.String calendar()
    {
        return _strCalendar;
    }
}