SingleStreamOptionBuilder.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
*
* 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>SingleStreamOptionBuilder</i> contains the suite of helper functions for creating the Options Product
* Instance off of a single stream underlying.
*
* <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 SingleStreamOptionBuilder {
/**
* Create a Standard Futures Option
*
* @param dtEffective Effective date
* @param forwardLabel The Forward Label
* @param dblStrike The Option Strike
* @param strManifestMeasure Measure of the Underlying Component
* @param bIsCaplet Is the Futures Option a Caplet? TRUE - YES
* @param csp Cash Settle Parameters
*
* @return The Standard Futures Option Instance
*/
public static final org.drip.product.fra.FRAStandardCapFloorlet FuturesOption (
final org.drip.analytics.date.JulianDate dtEffective,
final org.drip.state.identifier.ForwardLabel forwardLabel,
final double dblStrike,
final java.lang.String strManifestMeasure,
final boolean bIsCaplet,
final org.drip.param.valuation.CashSettleParams csp)
{
org.drip.product.fra.FRAStandardComponent fraStandard =
org.drip.product.creator.SingleStreamComponentBuilder.ForwardRateFutures (dtEffective,
forwardLabel);
try {
return null == fraStandard? null : new org.drip.product.fra.FRAStandardCapFloorlet
(fraStandard.name() + "::OPT", fraStandard, strManifestMeasure, bIsCaplet, dblStrike, 1., new
org.drip.product.params.LastTradingDateSetting
(org.drip.product.params.LastTradingDateSetting.MID_CURVE_OPTION_QUARTERLY, "",
java.lang.Integer.MIN_VALUE), new org.drip.pricer.option.BlackScholesAlgorithm(),
csp);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* Create an Exchange-traded Standard Futures Option
*
* @param dtEffective Effective date
* @param forwardLabel The Forward Label
* @param dblStrike The Option Strike
* @param strManifestMeasure Measure of the Underlying Component
* @param bIsCaplet Is the Futures Option a Caplet? TRUE - YES
* @param strTradingMode The Trading Mode
* @param strExchange The Exchange
*
* @return The Standard Futures Option Instance
*/
public static final org.drip.product.fra.FRAStandardCapFloorlet ExchangeTradedFuturesOption (
final org.drip.analytics.date.JulianDate dtEffective,
final org.drip.state.identifier.ForwardLabel forwardLabel,
final double dblStrike,
final java.lang.String strManifestMeasure,
final boolean bIsCaplet,
final java.lang.String strTradingMode,
final java.lang.String strExchange)
{
if (null == forwardLabel) return null;
org.drip.market.exchange.FuturesOptions fo =
org.drip.market.exchange.FuturesOptionsContainer.ExchangeInfo (forwardLabel.fullyQualifiedName(),
strTradingMode);
if (null == fo) return null;
java.util.Set<java.lang.String> setExchanges = fo.exchanges();
if (null == setExchanges || !setExchanges.contains (strExchange)) return null;
org.drip.product.fra.FRAStandardComponent fraStandard =
org.drip.product.creator.SingleStreamComponentBuilder.ForwardRateFutures (dtEffective,
forwardLabel);
try {
return null == fraStandard ? null : new org.drip.product.fra.FRAStandardCapFloorlet
(fraStandard.name() + "::OPT", fraStandard, strManifestMeasure, bIsCaplet, dblStrike, 1.,
fo.ltdsArray (strExchange)[0], new org.drip.pricer.option.BlackScholesAlgorithm(), null);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
}