SingleStreamOptionBuilder.java

  1. package org.drip.product.creator;

  3. /*
  4.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  5.  */

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  11.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  12.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  13.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  14.  * Copyright (C) 2014 Lakshmi Krishnamurthy
  15.  * 
  16.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  17.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  18.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  19.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  20.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  21.  *      and computational support.
  22.  *  
  23.  *      https://lakshmidrip.github.io/DROP/
  24.  *  
  25.  *  DROP is composed of three modules:
  26.  *  
  27.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  28.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  29.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  30.  * 
  31.  *  DROP Product Core implements libraries for the following:
  32.  *  - Fixed Income Analytics
  33.  *  - Loan Analytics
  34.  *  - Transaction Cost Analytics
  35.  * 
  36.  *  DROP Portfolio Core implements libraries for the following:
  37.  *  - Asset Allocation Analytics
  38.  *  - Asset Liability Management Analytics
  39.  *  - Capital Estimation Analytics
  40.  *  - Exposure Analytics
  41.  *  - Margin Analytics
  42.  *  - XVA Analytics
  43.  * 
  44.  *  DROP Computational Core implements libraries for the following:
  45.  *  - Algorithm Support
  46.  *  - Computation Support
  47.  *  - Function Analysis
  48.  *  - Model Validation
  49.  *  - Numerical Analysis
  50.  *  - Numerical Optimizer
  51.  *  - Spline Builder
  52.  *  - Statistical Learning
  53.  * 
  54.  *  Documentation for DROP is Spread Over:
  55.  * 
  56.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  57.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  58.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  59.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  60.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  61.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  62.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  63.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  64.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  65.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  66.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  67.  * 
  68.  *  Licensed under the Apache License, Version 2.0 (the "License");
  69.  *      you may not use this file except in compliance with the License.
  70.  *   
  71.  *  You may obtain a copy of the License at
  72.  *      http://www.apache.org/licenses/LICENSE-2.0
  73.  *  
  74.  *  Unless required by applicable law or agreed to in writing, software
  75.  *      distributed under the License is distributed on an "AS IS" BASIS,
  76.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  77.  *  
  78.  *  See the License for the specific language governing permissions and
  79.  *      limitations under the License.
  80.  */

  82. /**
  83.  * <i>SingleStreamOptionBuilder</i> contains the suite of helper functions for creating the Options Product
  84.  * Instance off of a single stream underlying.
  85.  *
  86.  *  <br><br>
  87.  *  <ul>
  88.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  89.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  90.  *      <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>
  91.  *      <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>
  92.  *  </ul>
  93.  * <br><br>
  94.  * 
  95.  * @author Lakshmi Krishnamurthy
  96.  */

  98. public class SingleStreamOptionBuilder {

  100.     /**
  101.      * Create a Standard Futures Option
  102.      * 
  103.      * @param dtEffective Effective date
  104.      * @param forwardLabel The Forward Label
  105.      * @param dblStrike The Option Strike
  106.      * @param strManifestMeasure Measure of the Underlying Component
  107.      * @param bIsCaplet Is the Futures Option a Caplet? TRUE - YES
  108.      * @param csp Cash Settle Parameters
  109.      * 
  110.      * @return The Standard Futures Option Instance
  111.      */

  113.     public static final org.drip.product.fra.FRAStandardCapFloorlet FuturesOption (
  114.         final org.drip.analytics.date.JulianDate dtEffective,
  115.         final org.drip.state.identifier.ForwardLabel forwardLabel,
  116.         final double dblStrike,
  117.         final java.lang.String strManifestMeasure,
  118.         final boolean bIsCaplet,
  119.         final org.drip.param.valuation.CashSettleParams csp)
  120.     {
  121.         org.drip.product.fra.FRAStandardComponent fraStandard =
  122.             org.drip.product.creator.SingleStreamComponentBuilder.ForwardRateFutures (dtEffective,
  123.                 forwardLabel);

  125.         try {
  126.             return null == fraStandard? null : new org.drip.product.fra.FRAStandardCapFloorlet
  127.                 (fraStandard.name() + "::OPT", fraStandard, strManifestMeasure, bIsCaplet, dblStrike, 1., new
  128.                     org.drip.product.params.LastTradingDateSetting
  129.                         (org.drip.product.params.LastTradingDateSetting.MID_CURVE_OPTION_QUARTERLY, "",
  130.                             java.lang.Integer.MIN_VALUE), new org.drip.pricer.option.BlackScholesAlgorithm(),
  131.                                 csp);
  132.         } catch (java.lang.Exception e) {
  133.             e.printStackTrace();
  134.         }

  136.         return null;
  137.     }

  139.     /**
  140.      * Create an Exchange-traded Standard Futures Option
  141.      * 
  142.      * @param dtEffective Effective date
  143.      * @param forwardLabel The Forward Label
  144.      * @param dblStrike The Option Strike
  145.      * @param strManifestMeasure Measure of the Underlying Component
  146.      * @param bIsCaplet Is the Futures Option a Caplet? TRUE - YES
  147.      * @param strTradingMode The Trading Mode
  148.      * @param strExchange The Exchange
  149.      * 
  150.      * @return The Standard Futures Option Instance
  151.      */

  153.     public static final org.drip.product.fra.FRAStandardCapFloorlet ExchangeTradedFuturesOption (
  154.         final org.drip.analytics.date.JulianDate dtEffective,
  155.         final org.drip.state.identifier.ForwardLabel forwardLabel,
  156.         final double dblStrike,
  157.         final java.lang.String strManifestMeasure,
  158.         final boolean bIsCaplet,
  159.         final java.lang.String strTradingMode,
  160.         final java.lang.String strExchange)
  161.     {
  162.         if (null == forwardLabel) return null;

  164.         org.drip.market.exchange.FuturesOptions fo =
  165.             org.drip.market.exchange.FuturesOptionsContainer.ExchangeInfo (forwardLabel.fullyQualifiedName(),
  166.                 strTradingMode);

  168.         if (null == fo) return null;

  170.         java.util.Set<java.lang.String> setExchanges = fo.exchanges();

  172.         if (null == setExchanges || !setExchanges.contains (strExchange)) return null;

  174.         org.drip.product.fra.FRAStandardComponent fraStandard =
  175.             org.drip.product.creator.SingleStreamComponentBuilder.ForwardRateFutures (dtEffective,
  176.                 forwardLabel);

  178.         try {
  179.             return null == fraStandard ? null : new org.drip.product.fra.FRAStandardCapFloorlet
  180.                 (fraStandard.name() + "::OPT", fraStandard, strManifestMeasure, bIsCaplet, dblStrike, 1.,
  181.                     fo.ltdsArray (strExchange)[0], new org.drip.pricer.option.BlackScholesAlgorithm(), null);
  182.         } catch (java.lang.Exception e) {
  183.             e.printStackTrace();
  184.         }

  186.         return null;
  187.     }
  188. }
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