BondProductBuilder.java
package org.drip.product.creator;
/*
* -*- 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>BondProductBuilder</i> holds the static parameters of the bond product needed for the full bond
* valuation. It contains the bond identifier parameters (ISIN, CUSIP), the issuer level parameters (Ticker,
* SPN or the credit curve string), coupon parameters (coupon rate, coupon frequency, coupon type, day
* count), maturity parameters (maturity date, maturity type, final maturity, redemption value), date
* parameters (announce, first settle, first coupon, interest accrual start, and issue dates), embedded
* option parameters (callable, putable, has been exercised), currency parameters (trade, coupon, and
* redemption currencies), floater parameters (floater flag, floating coupon convention, current coupon, rate
* index, spread), and whether the bond is perpetual or has defaulted.
*
* <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/product/README.md">Product Components/Baskets for Credit, FRA, FX, Govvie, Rates, and Option AssetClasses</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/product/creator/README.md">Streams and Products Construction Utilities</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*
*/
public class BondProductBuilder {
private static final boolean m_bBlog = false;
private static final boolean m_bDisplayWarnings = true;
/**
* ISIN
*/
public java.lang.String _strISIN = "";
/**
* CUSIP
*/
public java.lang.String _strCUSIP = "";
/**
* Ticker
*/
public java.lang.String _strTicker = "";
/**
* Coupon
*/
public double _dblCoupon = java.lang.Double.NaN;
/**
* Maturity
*/
public org.drip.analytics.date.JulianDate _dtMaturity = null;
/**
* Coupon Frequency
*/
public int _iCouponFreq = 0;
/**
* Coupon Type
*/
public java.lang.String _strCouponType = "";
/**
* Maturity Type
*/
public java.lang.String _strMaturityType = "";
/**
* Calculation Type
*/
public java.lang.String _strCalculationType = "";
/**
* Day count Code
*/
public java.lang.String _strDayCountCode = "";
/**
* Redemption Value
*/
public double _dblRedemptionValue = java.lang.Double.NaN;
/**
* Announce Date
*/
public org.drip.analytics.date.JulianDate _dtAnnounce = null;
/**
* First Settle Date
*/
public org.drip.analytics.date.JulianDate _dtFirstSettle = null;
/**
* First Coupon Date
*/
public org.drip.analytics.date.JulianDate _dtFirstCoupon = null;
/**
* Interest Accrual Start Date
*/
public org.drip.analytics.date.JulianDate _dtInterestAccrualStart = null;
/**
* Issue Date
*/
public org.drip.analytics.date.JulianDate _dtIssue = null;
/**
* Callable flag
*/
public boolean _bIsCallable = false;
/**
* Putable flag
*/
public boolean _bIsPutable = false;
/**
* Sinkable flag
*/
public boolean _bIsSinkable = false;
/**
* Redemption Currency
*/
public java.lang.String _strRedemptionCurrency = "";
/**
* Coupon Currency
*/
public java.lang.String _strCouponCurrency = "";
/**
* Trade Currency
*/
public java.lang.String _strTradeCurrency = "";
/**
* Has Been Exercised flag
*/
public boolean _bHasBeenCalled = false;
/**
* Floater Coupon Day Count Convention
*/
public java.lang.String _strFloatCouponConvention = "";
/**
* Current Coupon
*/
public double _dblCurrentCoupon = java.lang.Double.NaN;
/**
* Is Floater flag
*/
public boolean _bIsFloater = false;
/**
* Final Maturity Date
*/
public org.drip.analytics.date.JulianDate _dtFinalMaturity = null;
/**
* Is Perpetual flag
*/
public boolean _bIsPerpetual = false;
/**
* Is Defaulted flag
*/
public boolean _bIsDefaulted = false;
/**
* Floater Spread
*/
public double _dblFloatSpread = java.lang.Double.NaN;
/**
* Rate Index
*/
public java.lang.String _strRateIndex = "";
/**
* Issuer SPN
*/
public java.lang.String _strIssuerSPN = "";
private static final java.lang.String DES (
final BondProductBuilder bpb)
{
return bpb._strTicker + " " + bpb._dtMaturity.toString() + "[" + bpb._strISIN + "]";
}
private org.drip.analytics.date.JulianDate reconcileStartDate()
{
if (null != _dtInterestAccrualStart) return _dtInterestAccrualStart;
if (null != _dtIssue) return _dtIssue;
if (null != _dtFirstSettle) return _dtFirstSettle;
return _dtAnnounce;
}
/**
* Create BondProductBuilder from the SQL ResultSet and the input MPC
*
* @param rs SQL ResultSet
* @param mpc org.drip.param.definition.MarketParams to help fill some of the fields in
*
* @return BondProductBuilder object
*/
public static final BondProductBuilder CreateFromResultSet (
final java.sql.ResultSet rs,
final org.drip.param.definition.ScenarioMarketParams mpc)
{
try {
BondProductBuilder bpb = new BondProductBuilder();
if (null == (bpb._strISIN = rs.getString ("ISIN"))) {
System.out.println ("No ISIN!");
return null;
}
if (m_bBlog) System.out.println ("Loading " + bpb._strISIN + " ...");
if (null == (bpb._strCUSIP = rs.getString ("CUSIP"))) {
System.out.println ("No CUSIP!");
return null;
}
bpb._strTicker = rs.getString ("Ticker");
if (!org.drip.numerical.common.NumberUtil.IsValid (bpb._dblCoupon = 0.01 * rs.getDouble ("Coupon")))
{
System.out.println ("Invalid coupon for ISIN " + bpb._strISIN);
return null;
}
if (null == (bpb._dtMaturity = org.drip.analytics.date.DateUtil.MakeJulianFromRSEntry (rs.getDate
("Maturity")))) {
System.out.println ("Invalid maturity for ISIN " + bpb._strISIN);
return null;
}
bpb._iCouponFreq = rs.getInt ("CouponFreq");
bpb._strCouponType = rs.getString ("CouponType");
bpb._strMaturityType = rs.getString ("MaturityType");
bpb._strCalculationType = rs.getString ("CalculationType");
bpb._strDayCountCode = rs.getString ("DayCountConv");
bpb._dblRedemptionValue = rs.getDouble ("RedemptionValue");
if (null == (bpb._dtAnnounce = org.drip.analytics.date.DateUtil.MakeJulianFromRSEntry (rs.getDate
("AnnounceDate")))) {
System.out.println ("Invalid announce date for ISIN " + DES (bpb));
return null;
}
if (null == (bpb._dtFirstSettle = org.drip.analytics.date.DateUtil.MakeJulianFromRSEntry
(rs.getDate ("FirstSettleDate")))) {
System.out.println ("Invalid first settle date for ISIN " + DES (bpb));
return null;
}
if (null == (bpb._dtFirstCoupon = org.drip.analytics.date.DateUtil.MakeJulianFromRSEntry
(rs.getDate ("FirstCouponDate")))) {
if (m_bBlog) System.out.println ("Invalid first coupon date for ISIN " + DES (bpb));
}
if (null == (bpb._dtInterestAccrualStart = org.drip.analytics.date.DateUtil.MakeJulianFromRSEntry
(rs.getDate ("AccrualStartDate")))) {
System.out.println ("Invalid accrual start date for " + DES (bpb));
return null;
}
if (null == (bpb._dtIssue = org.drip.analytics.date.DateUtil.MakeJulianFromRSEntry (rs.getDate
("IssueDate")))) {
System.out.println ("Invalid issue date for " + DES (bpb));
return null;
}
bpb._bIsCallable = org.drip.numerical.common.StringUtil.ParseFromUnitaryString (rs.getString
("IsCallable"));
bpb._bIsPutable = org.drip.numerical.common.StringUtil.ParseFromUnitaryString (rs.getString
("IsPutable"));
bpb._bIsSinkable = org.drip.numerical.common.StringUtil.ParseFromUnitaryString (rs.getString
("IsSinkable"));
bpb._strRedemptionCurrency = org.drip.analytics.support.Helper.SwitchIRCurve
(rs.getString ("RedemptionCurrency"));
if (null == bpb._strRedemptionCurrency || bpb._strRedemptionCurrency.isEmpty()) {
System.out.println ("Invalid redemption currency for " + DES (bpb));
return null;
}
bpb._strCouponCurrency = org.drip.analytics.support.Helper.SwitchIRCurve
(rs.getString ("CouponCurrency"));
if (null == bpb._strCouponCurrency || bpb._strCouponCurrency.isEmpty()) {
System.out.println ("Invalid coupon currency for " + DES (bpb));
return null;
}
bpb._strTradeCurrency = org.drip.analytics.support.Helper.SwitchIRCurve
(rs.getString ("TradeCurrency"));
if (null == bpb._strTradeCurrency || bpb._strTradeCurrency.isEmpty()) {
System.out.println ("Invalid trade currency for " + DES (bpb));
return null;
}
bpb._bHasBeenCalled = org.drip.numerical.common.StringUtil.ParseFromUnitaryString (rs.getString
("Called"));
bpb._strFloatCouponConvention = rs.getString ("FloatCouponConvention");
bpb._bIsFloater = org.drip.numerical.common.StringUtil.ParseFromUnitaryString (rs.getString
("Floater"));
// bpb._dblCurrentCoupon = 0.01 * rs.getDouble ("CurrentCoupon");
bpb._dtFinalMaturity = org.drip.analytics.date.DateUtil.MakeJulianFromRSEntry (rs.getDate
("FinalMaturity"));
bpb._bIsPerpetual = org.drip.numerical.common.StringUtil.ParseFromUnitaryString (rs.getString
("Perpetual"));
bpb._bIsDefaulted = org.drip.numerical.common.StringUtil.ParseFromUnitaryString (rs.getString
("Defaulted"));
bpb._dblFloatSpread = 0.0001 * rs.getDouble ("FloatSpread");
bpb._strRateIndex = rs.getString ("RateIndex");
if (bpb._bIsFloater && !org.drip.numerical.common.NumberUtil.IsValid (bpb._dblFloatSpread) && (null ==
bpb._strRateIndex || bpb._strRateIndex.isEmpty())) {
System.out.println ("Invalid float spread for " + DES (bpb));
return null;
}
bpb._strIssuerSPN = rs.getString ("SPN");
if (!bpb.validate (mpc)) return null;
if (m_bBlog) System.out.println ("Loaded " + DES (bpb) + ".");
return bpb;
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* Create BondProductBuilder from the JSON Map and the input MPC
*
* @param mapJSON The JSON Ref Data Map
* @param mpc org.drip.param.definition.MarketParams to help fill some of the fields in
*
* @return BondProductBuilder object
*/
public static final BondProductBuilder CreateFromJSONMap (
final org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.String> mapJSON,
final org.drip.param.definition.ScenarioMarketParams mpc)
{
/* if (null == mapJSON || 0 == mapJSON.size() || !mapJSON.containsKey ("isin") || !mapJSON.containsKey
("cusip") || !mapJSON.containsKey ("ticker") || !mapJSON.containsKey ("coupon") ||
!mapJSON.containsKey ("maturity") || !mapJSON.containsKey ("frequency") ||
!mapJSON.containsKey ("couponType") || !mapJSON.containsKey ("maturityType") ||
!mapJSON.containsKey ("calcType") || !mapJSON.containsKey ("dayCount") ||
!mapJSON.containsKey ("redempValue") || !mapJSON.containsKey ("redempCrncy") ||
!mapJSON.containsKey ("cpnCrncy") || !mapJSON.containsKey ("tradeCrncy") ||
!mapJSON.containsKey ("firstCpnDate") || !mapJSON.containsKey
("issueDate") || !mapJSON.containsKey ("called") ||
!mapJSON.containsKey ("defaulted") || !mapJSON.containsKey
("quotedMargin"))
return null; */
BondProductBuilder bpb = new BondProductBuilder();
if (null == (bpb._strISIN = mapJSON.get ("isin"))) return null;
if (null == (bpb._strCUSIP = mapJSON.get ("cusip"))) return null;
if (null == (bpb._strTicker = mapJSON.get ("ticker"))) return null;
if (!org.drip.numerical.common.NumberUtil.IsValid (bpb._dblCoupon = 0.01 * java.lang.Double.parseDouble
(mapJSON.get ("coupon"))))
return null;
if (null == (bpb._dtMaturity = org.drip.analytics.date.DateUtil.MakeJulianFromYYYYMMDD
(mapJSON.get ("maturity"), "-")))
return null;
bpb._iCouponFreq = java.lang.Integer.parseInt (mapJSON.get ("frequency"));
bpb._strCouponType = mapJSON.get ("couponType");
bpb._strMaturityType = mapJSON.get ("maturityType");
bpb._strCalculationType = mapJSON.get ("calcType");
bpb._strDayCountCode = mapJSON.get ("dayCount");
bpb._dblRedemptionValue = java.lang.Double.parseDouble (mapJSON.get ("redempValue"));
if (null == (bpb._strRedemptionCurrency = mapJSON.get ("redempCrncy")) ||
bpb._strRedemptionCurrency.isEmpty()) {
System.out.println ("Invalid redemption currency for " + DES (bpb));
return null;
}
if (null == (bpb._strCouponCurrency = mapJSON.get ("cpnCrncy")) || bpb._strCouponCurrency.isEmpty())
{
System.out.println ("Invalid Coupon currency for " + DES (bpb));
return null;
}
if (null == (bpb._strTradeCurrency = mapJSON.get ("tradeCrncy")) || bpb._strTradeCurrency.isEmpty())
{
System.out.println ("Invalid Trade currency for " + DES (bpb));
return null;
}
if (null == (bpb._dtFirstCoupon = org.drip.analytics.date.DateUtil.MakeJulianFromYYYYMMDD
(mapJSON.get ("firstCpnDate"), "-")))
return null;
if (null == (bpb._dtIssue = org.drip.analytics.date.DateUtil.MakeJulianFromYYYYMMDD
(mapJSON.get ("issueDate"), "-")))
return null;
try {
bpb._bIsCallable = java.lang.Boolean.parseBoolean (mapJSON.get ("callable"));
bpb._bIsPutable = java.lang.Boolean.parseBoolean (mapJSON.get ("putable"));
bpb._bIsSinkable = java.lang.Boolean.parseBoolean (mapJSON.get ("sinkable"));
bpb._bHasBeenCalled = java.lang.Boolean.parseBoolean (mapJSON.get ("called"));
// bpb._strFloatCouponConvention = rs.getString ("FloatCouponConvention");
bpb._bIsFloater = java.lang.Boolean.parseBoolean (mapJSON.get ("floater"));
// bpb._dblCurrentCoupon = 0.01 * rs.getDouble ("CurrentCoupon");
if (null == (bpb._dtFinalMaturity = org.drip.analytics.date.DateUtil.MakeJulianFromYYYYMMDD
(mapJSON.get ("finalMaturityDt"), "-")))
return null;
bpb._bIsPerpetual = java.lang.Boolean.parseBoolean (mapJSON.get ("perpetual"));
bpb._bIsDefaulted = java.lang.Boolean.parseBoolean (mapJSON.get ("defaulted"));
// bpb._dblFloatSpread = java.lang.Double.parseDouble (mapJSON.get ("quotedMargin"));
bpb._strRateIndex = mapJSON.get ("resetIndex");
if (bpb._bIsFloater && !org.drip.numerical.common.NumberUtil.IsValid (bpb._dblFloatSpread) && (null ==
bpb._strRateIndex || bpb._strRateIndex.isEmpty())) {
System.out.println ("Invalid float spread for " + DES (bpb));
return null;
}
// bpb._strIssuerSPN = rs.getString ("SPN");
if (!bpb.validate (mpc)) return null;
if (m_bBlog) System.out.println ("Loaded " + DES (bpb) + ".");
return bpb;
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* Empty BondProductBuilder ctr - uninitialized members
*/
public BondProductBuilder()
{
}
/**
* Set the Bond ISIN
*
* @param strISIN ISIN input
*
* @return Success (true), failure (false)
*/
public boolean setISIN (
final java.lang.String strISIN)
{
if (null == strISIN || strISIN.trim().isEmpty() || "null".equalsIgnoreCase (strISIN.trim()))
return false;
_strISIN = strISIN;
return true;
}
/**
* Set the Bond CUSIP
*
* @param strCUSIP CUSIP input
*
* @return Success (true), failure (false)
*/
public boolean setCUSIP (
final java.lang.String strCUSIP)
{
if (null == strCUSIP || strCUSIP.trim().isEmpty() || "null".equalsIgnoreCase (strCUSIP.trim()))
return false;
_strCUSIP = strCUSIP;
return true;
}
/**
* Set the Bond Ticker
*
* @param strTicker Ticker input
*
* @return Success (true), failure (false)
*/
public boolean setTicker (
final java.lang.String strTicker)
{
if (null == (_strTicker = strTicker.trim())) _strTicker = "";
return true;
}
/**
* Set the Bond Coupon
*
* @param strCoupon Coupon input
*
* @return Success (true), failure (false)
*/
public boolean setCoupon (
final java.lang.String strCoupon)
{
if (null == strCoupon || strCoupon.trim().isEmpty() || "null".equalsIgnoreCase (strCoupon.trim()))
_dblCoupon = 0.;
try {
_dblCoupon = java.lang.Double.parseDouble (strCoupon.trim());
return true;
} catch (java.lang.Exception e) {
if (m_bBlog) System.out.println ("Bad coupon " + strCoupon + " for ISIN " + _strISIN);
}
return false;
}
/**
* Set the Bond Maturity
*
* @param strMaturity Maturity input
*
* @return Success (true), failure (false)
*/
public boolean setMaturity (
final java.lang.String strMaturity)
{
try {
if (null == (_dtMaturity = org.drip.analytics.date.DateUtil.MakeJulianDateFromBBGDate
(strMaturity.trim())))
return false;
return true;
} catch (java.lang.Exception e) {
if (m_bBlog) System.out.println ("Bad Maturity " + strMaturity + " for ISIN " + _strISIN);
}
return false;
}
/**
* Set the Bond Coupon Frequency
*
* @param strCouponFreq Coupon Frequency input
*
* @return Success (true), failure (false)
*/
public boolean setCouponFreq (
final java.lang.String strCouponFreq)
{
if (null == strCouponFreq || strCouponFreq.isEmpty() || "null".equalsIgnoreCase (strCouponFreq))
_iCouponFreq = 0;
else {
try {
_iCouponFreq = (int) java.lang.Double.parseDouble (strCouponFreq.trim());
} catch (java.lang.Exception e) {
if (m_bBlog) System.out.println ("Bad Cpn Freq " + strCouponFreq + " for ISIN " + _strISIN);
return false;
}
}
return true;
}
/**
* Set the Bond Coupon Type
*
* @param strCouponType Coupon Type input
*
* @return Success (true), failure (false)
*/
public boolean setCouponType (
final java.lang.String strCouponType)
{
if (null == (_strCouponType = strCouponType.trim())) _strCouponType = "";
return true;
}
/**
* Set the Bond Maturity Type
*
* @param strMaturityType Maturity Type input
*
* @return Success (true), failure (false)
*/
public boolean setMaturityType (
final java.lang.String strMaturityType)
{
if (null == (_strMaturityType = strMaturityType.trim())) _strMaturityType = "";
return true;
}
/**
* Set the Bond Calculation Type
*
* @param strCalculationType Calculation Type input
*
* @return Success (true), failure (false)
*/
public boolean setCalculationType (
final java.lang.String strCalculationType)
{
if (null == (_strCalculationType = strCalculationType.trim())) _strCalculationType = "";
return true;
}
/**
* Set the Bond Day Count Code
*
* @param strDayCountCode Day Count Code input
*
* @return Success (true), failure (false)
*/
public boolean setDayCountCode (
final java.lang.String strDayCountCode)
{
_strDayCountCode = "Unknown DC";
try {
_strDayCountCode = org.drip.analytics.support.Helper.ParseFromBBGDCCode
(strDayCountCode.trim());
return true;
} catch (java.lang.Exception e) {
}
return false;
}
/**
* Set the Bond Redemption Value
*
* @param strRedemptionValue Redemption Value input
*
* @return Success (true), failure (false)
*/
public boolean setRedemptionValue (
final java.lang.String strRedemptionValue)
{
try {
_dblRedemptionValue = java.lang.Double.parseDouble (strRedemptionValue.trim());
return true;
} catch (java.lang.Exception e) {
System.out.println ("Bad Redemption Value " + strRedemptionValue + " for ISIN " + _strISIN);
}
return false;
}
/**
* Set the Bond Announce
*
* @param strAnnounce Announce Date String
*
* @return Success (true), failure (false)
*/
public boolean setAnnounce (
final java.lang.String strAnnounce)
{
try {
_dtAnnounce = org.drip.analytics.date.DateUtil.MakeJulianDateFromBBGDate (strAnnounce.trim());
return true;
} catch (java.lang.Exception e) {
if (m_bBlog) System.out.println ("Bad Announce " + strAnnounce + " for ISIN " + _strISIN);
}
return false;
}
/**
* Set the Bond First Settle
*
* @param strFirstSettle First Settle Date String
*
* @return Success (true), failure (false)
*/
public boolean setFirstSettle (
final java.lang.String strFirstSettle)
{
try {
_dtFirstSettle = org.drip.analytics.date.DateUtil.MakeJulianDateFromBBGDate
(strFirstSettle.trim());
return true;
} catch (java.lang.Exception e) {
if (m_bBlog) System.out.println ("Bad First Settle " + strFirstSettle + " for ISIN " + _strISIN);
}
return false;
}
/**
* Set the Bond First Coupon Date
*
* @param strFirstCoupon First Coupon Date String
*
* @return Success (true), failure (false)
*/
public boolean setFirstCoupon (
final java.lang.String strFirstCoupon)
{
try {
_dtFirstCoupon = org.drip.analytics.date.DateUtil.MakeJulianDateFromBBGDate
(strFirstCoupon.trim());
return true;
} catch (java.lang.Exception e) {
if (m_bBlog) System.out.println ("Bad First Coupon " + strFirstCoupon + " for ISIN " + _strISIN);
}
return false;
}
/**
* Set the Bond Interest Accrual Start Date
*
* @param strInterestAccrualStart Interest Accrual Start Date String
*
* @return Success (true), failure (false)
*/
public boolean setInterestAccrualStart (
final java.lang.String strInterestAccrualStart)
{
try {
_dtInterestAccrualStart = org.drip.analytics.date.DateUtil.MakeJulianDateFromBBGDate
(strInterestAccrualStart.trim());
return true;
} catch (java.lang.Exception e) {
if (m_bBlog)
System.out.println ("Bad Announce " + strInterestAccrualStart + " for ISIN " + _strISIN);
}
return false;
}
/**
* Set the Bond Issue Date
*
* @param strIssue Issue Date String
*
* @return Success (true), failure (false)
*/
public boolean setIssue (
final java.lang.String strIssue)
{
try {
_dtIssue = org.drip.analytics.date.DateUtil.MakeJulianDateFromBBGDate (strIssue.trim());
return true;
} catch (java.lang.Exception e) {
if (m_bBlog) System.out.println ("Bad Issue " + strIssue + " for ISIN " + _strISIN);
}
return false;
}
/**
* Set whether the Bond Is Callable
*
* @param strCallable Callable String
*
* @return Success (true), failure (false)
*/
public boolean setIsCallable (
final java.lang.String strCallable)
{
if (null == strCallable) _bIsCallable = false;
if ("1".equalsIgnoreCase (strCallable.trim()))
_bIsCallable = true;
else
_bIsCallable = false;
return true;
}
/**
* Set whether the Bond Is Putable
*
* @param strPutable Putable String
*
* @return Success (true), failure (false)
*/
public boolean setIsPutable (
final java.lang.String strPutable)
{
if (null == strPutable) _bIsPutable = false;
if ("1".equalsIgnoreCase (strPutable.trim()))
_bIsPutable = true;
else
_bIsPutable = false;
return true;
}
/**
* Set whether the Bond Is Sinkable
*
* @param strSinkable Sinkable String
*
* @return Success (true), failure (false)
*/
public boolean setIsSinkable (
final java.lang.String strSinkable)
{
if (null == strSinkable) _bIsSinkable = false;
if ("1".equalsIgnoreCase (strSinkable.trim()))
_bIsSinkable = true;
else
_bIsSinkable = false;
return true;
}
/**
* Set The redemption Currency
*
* @param strRedemptionCurrency Redemption Currency String
*
* @return Success (true), failure (false)
*/
public boolean setRedemptionCurrency (
final java.lang.String strRedemptionCurrency)
{
if (null == (_strRedemptionCurrency = strRedemptionCurrency.trim()) || "null".equalsIgnoreCase
(strRedemptionCurrency.trim()))
return false;
return true;
}
/**
* Set The Coupon Currency
*
* @param strCouponCurrency Coupon Currency String
*
* @return Success (true), failure (false)
*/
public boolean setCouponCurrency (
final java.lang.String strCouponCurrency)
{
if (null == (_strCouponCurrency = strCouponCurrency.trim()) || "null".equalsIgnoreCase
(strCouponCurrency.trim()))
return false;
return true;
}
/**
* Set The Trade Currency
*
* @param strTradeCurrency Trade Currency String
*
* @return Success (true), failure (false)
*/
public boolean setTradeCurrency (
final java.lang.String strTradeCurrency)
{
if (null == (_strTradeCurrency = strTradeCurrency.trim()) || "null".equalsIgnoreCase
(strTradeCurrency.trim()))
return false;
return true;
}
/**
* Set whether the bond Has Been Called
*
* @param strHasBeenCalled Has Been Called String
*
* @return Success (true), failure (false)
*/
public boolean setHasBeenCalled (
final java.lang.String strHasBeenCalled)
{
if (null == strHasBeenCalled) _bHasBeenCalled = false;
if ("1".equalsIgnoreCase (strHasBeenCalled.trim()))
_bHasBeenCalled = true;
else
_bHasBeenCalled = false;
return true;
}
/**
* Set the bond's Float Coupon Convention
*
* @param strFloatCouponConvention Float Coupon Convention String
*
* @return Success (true), failure (false)
*/
public boolean setFloatCouponConvention (
final java.lang.String strFloatCouponConvention)
{
if (null == (_strFloatCouponConvention = strFloatCouponConvention.trim()))
_strFloatCouponConvention = "";
return true;
}
/**
* Set the bond's Current Coupon
*
* @param strCurrentCoupon Current Coupon String
*
* @return Success (true), failure (false)
*/
public boolean setCurrentCoupon (
final java.lang.String strCurrentCoupon)
{
if (null == strCurrentCoupon || strCurrentCoupon.trim().isEmpty() || "null".equalsIgnoreCase
(strCurrentCoupon.trim()))
_dblCurrentCoupon = 0.;
else {
try {
_dblCurrentCoupon = java.lang.Double.parseDouble (strCurrentCoupon.trim());
return true;
} catch (java.lang.Exception e) {
if (m_bBlog)
System.out.println ("Bad Curr Cpn " + strCurrentCoupon + " for ISIN " + _strISIN);
}
}
return false;
}
/**
* Set whether the bond is a floater or not
*
* @param strIsFloater String indicating whether the bond is a floater
*
* @return Success (true), failure (false)
*/
public boolean setIsFloater (
final java.lang.String strIsFloater)
{
if (null == strIsFloater) _bIsFloater = false;
if ("1".equalsIgnoreCase (strIsFloater.trim()))
_bIsFloater = true;
else
_bIsFloater = false;
return true;
}
/**
* Set the final maturity of the bond
*
* @param strFinalMaturity String representing the bond's final maturity
*
* @return Success (true), failure (false)
*/
public boolean setFinalMaturity (
final java.lang.String strFinalMaturity)
{
try {
_dtFinalMaturity = org.drip.analytics.date.DateUtil.MakeJulianDateFromBBGDate
(strFinalMaturity.trim());
return true;
} catch (java.lang.Exception e) {
if (m_bBlog)
System.out.println ("Bad Final Maturity " + strFinalMaturity + " for ISIN " + _strISIN);
}
return false;
}
/**
* Set whether the bond is perpetual or not
*
* @param strIsPerpetual String representing whether the bond is perpetual or not
*
* @return Success (true), failure (false)
*/
public boolean setIsPerpetual (
final java.lang.String strIsPerpetual)
{
if (null == strIsPerpetual) _bIsPerpetual = false;
if ("1".equalsIgnoreCase (strIsPerpetual.trim()))
_bIsPerpetual = true;
else
_bIsPerpetual = false;
return true;
}
/**
* Set whether the bond is defaulted or not
*
* @param strIsDefaulted String representing whether the bond is defaulted or not
*
* @return Success (true), failure (false)
*/
public boolean setIsDefaulted (
final java.lang.String strIsDefaulted)
{
if (null == strIsDefaulted) _bIsDefaulted = false;
if ("1".equalsIgnoreCase (strIsDefaulted.trim()))
_bIsDefaulted = true;
else
_bIsDefaulted = false;
return true;
}
/**
* Set the bond's floating rate spread
*
* @param strFloatSpread String representing the bond's floating spread
*
* @return Success (true), failure (false)
*/
public boolean setFloatSpread (
final java.lang.String strFloatSpread)
{
try {
_dblFloatSpread = java.lang.Double.parseDouble (strFloatSpread.trim());
return true;
} catch (java.lang.Exception e) {
if (m_bBlog) System.out.println ("Bad Float Spread " + strFloatSpread + " for ISIN " + _strISIN);
}
return false;
}
/**
* Set the bond's floating rate spread from the MPC
*
* @param mpc org.drip.param.definition.MarketParams
*
* @return Success (true), failure (false)
*/
public boolean setFloatSpread (
final org.drip.param.definition.ScenarioMarketParams mpc)
{
if (!org.drip.numerical.common.NumberUtil.IsValid (_dblCurrentCoupon)) {
System.out.println ("Curr cpn for ISIN " + _strISIN + " is NaN!");
return false;
}
if (null == mpc || null == mpc.scenarioDiscountCurveMap() || null == mpc.scenarioDiscountCurveMap().get (_strCouponCurrency) ||
null == mpc.scenarioDiscountCurveMap().get (_strCouponCurrency).base()) {
if (m_bBlog) System.out.println ("Bad mpc In for ISIN " + _strISIN);
return false;
}
try {
if (0. != _dblCurrentCoupon) {
org.drip.state.discount.MergedDiscountForwardCurve dcBase = mpc.scenarioDiscountCurveMap().get (_strCouponCurrency).base();
_dblFloatSpread = _dblCurrentCoupon - 100. * dcBase.libor (dcBase.epoch().julian(),
(org.drip.analytics.support.Helper.GetTenorFromFreq (_iCouponFreq)));
} else
_dblFloatSpread = 0.;
return true;
} catch (java.lang.Exception e) {
if (m_bBlog) e.printStackTrace();
}
return false;
}
/**
* Set the bond's Rate Index
*
* @param strRateIndex Rate Index
*
* @return Success (true), failure (false)
*/
public boolean setRateIndex (
final java.lang.String strRateIndex)
{
if (null == (_strRateIndex = strRateIndex)) _strRateIndex = "";
return true;
}
/**
* Set the bond's Issuer SPN
*
* @param strIssuerSPN Issuer SPN String
*
* @return Success (true), failure (false)
*/
public boolean setIssuerSPN (
final java.lang.String strIssuerSPN)
{
if (null == (_strIssuerSPN = strIssuerSPN)) _strIssuerSPN = "";
return true;
}
/**
* Validate the state
*
* @param mpc org.drip.param.definition.MarketParams
*
* @return Success (true), failure (false)
*/
public boolean validate (
final org.drip.param.definition.ScenarioMarketParams mpc)
{
if (null == _strISIN || _strISIN.isEmpty() || null == _strCUSIP || _strCUSIP.isEmpty()) {
if (m_bDisplayWarnings)
System.out.println ("Check ISIN[" + _strISIN + "] or CUSIP[" + _strCUSIP + "]");
return false;
}
if (0 == _iCouponFreq && 0. != _dblCoupon) {
if (m_bDisplayWarnings)
System.out.println ("Coupon Freq and Cpn amt both not sero for ISIN[" + _strISIN + "]");
return false;
}
if (49 == _iCouponFreq || 52 == _iCouponFreq) {
if (m_bDisplayWarnings)
System.out.println ("ISIN[" + _strISIN + "] has cpn freq of " + _iCouponFreq + "!");
return false;
}
if (null == _dtInterestAccrualStart) {
if (null == (_dtInterestAccrualStart = reconcileStartDate())) {
if (m_bDisplayWarnings)
System.out.println ("All possible date init candidates are null for ISIN " + _strISIN);
return false;
}
}
if (_bIsFloater && (null == _strRateIndex || _strRateIndex.isEmpty()) &&
!org.drip.numerical.common.NumberUtil.IsValid (_dblFloatSpread) && java.lang.Double.isNaN
(_dblCurrentCoupon)) {
if (m_bDisplayWarnings)
System.out.println ("Invalid Rate index & float spread & current coupon for " + _strISIN);
return false;
}
if (_bIsFloater && (null == _strRateIndex || _strRateIndex.isEmpty())) {
if (null == (_strRateIndex = org.drip.analytics.support.Helper.CalcRateIndex
(_strCouponCurrency, _iCouponFreq))) {
if (m_bDisplayWarnings)
System.out.println ("Warning: Cannot find Rate index for ISIN " + _strISIN);
}
}
if (_bIsFloater && !org.drip.numerical.common.NumberUtil.IsValid (_dblFloatSpread)) {
try {
if (!setFloatSpread (mpc)) {
if (m_bDisplayWarnings)
System.out.println ("Warning: Cannot set float spread for ISIN " + _strISIN +
" and Coupon Currency " + _strCouponCurrency);
}
} catch (java.lang.Exception e) {
if (m_bDisplayWarnings)
System.out.println ("Warning: Cannot set float spread for ISIN " + _strISIN +
" and Coupon Currency " + _strCouponCurrency);
e.printStackTrace();
}
}
if (null == _dtIssue) _dtIssue = reconcileStartDate();
if (null == _dtFirstSettle) _dtFirstSettle = reconcileStartDate();
if (null == _dtAnnounce) _dtAnnounce = reconcileStartDate();
return true;
}
/**
* Create an SQL Insert statement from the object's state
*
* @return String representing the SQL Insert
*/
public java.lang.String makeSQLInsert()
{
java.lang.StringBuilder sb = new java.lang.StringBuilder();
sb.append ("insert into BondValData values(");
sb.append ("'").append (_strISIN).append ("', ");
sb.append ("'").append (_strCUSIP).append ("', ");
sb.append ("'").append (_strTicker).append ("', ");
sb.append (_dblCoupon).append (", ");
sb.append ("'").append (_dtMaturity.toOracleDate()).append ("', ");
sb.append (_iCouponFreq).append (", ");
sb.append ("'").append (_strCouponType).append ("', ");
sb.append ("'").append (_strMaturityType).append ("', ");
sb.append ("'").append (_strCalculationType).append ("', ");
sb.append ("'").append (_strDayCountCode).append ("', ");
sb.append (_dblRedemptionValue).append (", ");
sb.append ("'").append (_dtAnnounce.toOracleDate()).append ("', ");
sb.append ("'").append (_dtFirstSettle.toOracleDate()).append ("', ");
if (null == _dtFirstCoupon)
sb.append ("null, ");
else
sb.append ("'").append (_dtFirstCoupon.toOracleDate()).append ("', ");
sb.append ("'").append (_dtInterestAccrualStart.toOracleDate()).append ("', ");
sb.append ("'").append (_dtIssue.toOracleDate()).append ("', ");
sb.append ("'").append (_bIsCallable ? 1 : 0).append ("', ");
sb.append ("'").append (_bIsPutable ? 1 : 0).append ("', ");
sb.append ("'").append (_bIsSinkable ? 1 : 0).append ("', ");
sb.append ("'").append (_strRedemptionCurrency).append ("', ");
sb.append ("'").append (_strCouponCurrency).append ("', ");
sb.append ("'").append (_strTradeCurrency).append ("', ");
sb.append ("'").append (_bHasBeenCalled ? 1 : 0).append ("', ");
sb.append ("'").append (_strFloatCouponConvention).append ("', ");
if (!org.drip.numerical.common.NumberUtil.IsValid (_dblCurrentCoupon))
sb.append ("null, ");
else
sb.append (_dblCurrentCoupon).append (", ");
sb.append ("'").append (_bIsFloater ? 1 : 0).append ("', ");
if (null == _dtFinalMaturity)
sb.append ("null, ");
else
sb.append ("'").append (_dtFinalMaturity.toOracleDate()).append ("', ");
sb.append ("'").append (_bIsPerpetual ? 1 : 0).append ("', ");
sb.append ("'").append (_bIsDefaulted ? 1 : 0).append ("', ");
if (!org.drip.numerical.common.NumberUtil.IsValid (_dblFloatSpread))
sb.append ("null, ");
else
sb.append (_dblFloatSpread).append (", ");
sb.append ("'").append (_strRateIndex).append ("', ");
sb.append ("'").append (_strIssuerSPN).append ("')");
return sb.toString();
}
/**
* Get the Bond's identifier Parameters
*
* @return BondIdentifierParams object
*/
public org.drip.product.params.IdentifierSet getIdentifierParams()
{
org.drip.product.params.IdentifierSet idParams = new org.drip.product.params.IdentifierSet (_strISIN,
_strCUSIP, _strISIN, _strTicker);
return idParams.validate() ? idParams : null;
}
/**
* Get the Bond's Coupon Parameters
*
* @return BondCouponParams object
*/
public org.drip.product.params.CouponSetting getCouponParams()
{
org.drip.product.params.CouponSetting cpnParams = new org.drip.product.params.CouponSetting
(null, _strCouponType, _dblCoupon, java.lang.Double.NaN, java.lang.Double.NaN);
return cpnParams.validate() ? cpnParams : null;
}
/**
* Get the Bond's Floater Parameters
*
* @return BondFloaterParams object
*/
public org.drip.product.params.FloaterSetting getFloaterParams()
{
if (!_bIsFloater) return null;
org.drip.product.params.FloaterSetting fltParams = new org.drip.product.params.FloaterSetting (
org.drip.state.identifier.ForwardLabel.Standard (_strRateIndex),
_strFloatCouponConvention,
_dblFloatSpread,
_dblCurrentCoupon
);
return fltParams.validate() ? fltParams : null;
}
/**
* Get the Bond's Market Convention
*
* @return MarketConvention object
*/
public org.drip.product.params.QuoteConvention getMarketConvention()
{
org.drip.product.params.QuoteConvention mktConv = new org.drip.product.params.QuoteConvention (null,
_strCalculationType, _dtFirstSettle.julian(), _dblRedemptionValue, 0, "",
org.drip.analytics.daycount.Convention.DATE_ROLL_ACTUAL);
return mktConv.validate() ? mktConv : null;
}
/**
* Get the Bond's Credit Component Parameters
*
* @return CompCRValParams object
*/
public org.drip.product.params.CreditSetting getCRValuationParams()
{
org.drip.product.params.CreditSetting crValParams = new org.drip.product.params.CreditSetting (30,
java.lang.Double.NaN, true, "", true);
return crValParams.validate() ? crValParams : null;
}
/**
* Get the Bond's CF termination event Parameters
*
* @return BondCFTerminationEvent object
*/
public org.drip.product.params.TerminationSetting getCFTEParams()
{
org.drip.product.params.TerminationSetting cfteParams = new
org.drip.product.params.TerminationSetting (_bIsPerpetual, _bIsDefaulted, _bHasBeenCalled, null);
return cfteParams.validate() ? cfteParams : null;
}
/**
* Get the Bond's Notional Parameters
*
* @return BondNotionalParams object
*/
public org.drip.product.params.NotionalSetting getNotionalParams()
{
org.drip.product.params.NotionalSetting notlParams = new org.drip.product.params.NotionalSetting
(100., _strRedemptionCurrency, null,
org.drip.product.params.NotionalSetting.PERIOD_AMORT_AT_START, false);
return notlParams.validate() ? notlParams : null;
}
/**
* Get the Bond's Period Generation Parameters
*
* @return BondPeriodGenerationParams object
*/
public org.drip.product.params.BondStream getPeriodGenParams()
{
return org.drip.product.params.BondStream.Create (_dtMaturity.julian(),
_dtInterestAccrualStart.julian(), null == _dtFinalMaturity ? java.lang.Integer.MIN_VALUE :
_dtFinalMaturity.julian(), null == _dtFirstCoupon ? java.lang.Integer.MIN_VALUE :
_dtFirstCoupon.julian(), _dtInterestAccrualStart.julian(), _iCouponFreq,
_dblCurrentCoupon, _strDayCountCode, _strDayCountCode, null, null, null, null, null,
null, null, null, _strMaturityType, false, _strCouponCurrency,
_strCouponCurrency, !org.drip.numerical.common.StringUtil.IsEmpty (_strRateIndex)
? org.drip.state.identifier.ForwardLabel.Standard (_strRateIndex) : null,
!org.drip.numerical.common.StringUtil.IsEmpty (_strIssuerSPN) ?
org.drip.state.identifier.EntityCDSLabel.Standard (_strIssuerSPN,
_strCouponCurrency) : null);
}
/**
* Create an SQL Delete statement from the object's state
*
* @return String representing the SQL Delete
*/
public java.lang.String makeSQLDelete()
{
java.lang.StringBuilder sb = new java.lang.StringBuilder();
sb.append ("delete from BondValData where ISIN = '").append (_strISIN).append
("' or CUSIP = '").append (_strCUSIP).append ("'");
return sb.toString();
}
}