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;
}
}