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

  79. /**
  80.  * <i>StreamBuilder</i> contains Utility Functions to construct Fixed, Floating, and Mixed Streams.
  81.  *
  82.  *  <br><br>
  83.  *  <ul>
  84.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  85.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  86.  *      <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>
  87.  *      <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>
  88.  *  </ul>
  89.  * <br><br>
  90.  *
  91.  * @author Lakshmi Krishnamurthy
  92.  */

  94. public class StreamBuilder {

  96.     /**
  97.      * Generate the Fixed Stream Off of the specified Parameters
  98.      * 
  99.      * @param iStreamStartDate The Stream Start Date
  100.      * @param iStreamEndDate The Stream End Date
  101.      * @param iFirstCouponDate The First Coupon Date
  102.      * @param iPenultimateCouponDate The Penultimate Coupon Date
  103.      * @param iFreq Coupon Frequency
  104.      * @param dblCoupon Coupon Rate
  105.      * @param strCouponDC Coupon Day Count
  106.      * @param strAccrualDC Accrual Day Count
  107.      * @param dapPay Pay Date Adjustment Parameters
  108.      * @param dapStreamEnd Stream End Date Adjustment Parameters
  109.      * @param dapAccrualEnd Accrual End Date Adjustment Parameters
  110.      * @param strCurrency Coupon/Pay Currency
  111.      * @param creditLabel The Stream Credit Label
  112.      * 
  113.      * @return The Fixed Stream
  114.      */

  116.     public static final java.util.List<org.drip.analytics.cashflow.CompositePeriod>
  117.         FirstPenultimateDateFixedStream (
  118.             final int iStreamStartDate,
  119.             final int iStreamEndDate,
  120.             final int iFirstCouponDate,
  121.             final int iPenultimateCouponDate,
  122.             final int iFreq,
  123.             final double dblCoupon,
  124.             final java.lang.String strCouponDC,
  125.             final java.lang.String strAccrualDC,
  126.             final org.drip.analytics.daycount.DateAdjustParams dapPay,
  127.             final org.drip.analytics.daycount.DateAdjustParams dapStreamEnd,
  128.             final org.drip.analytics.daycount.DateAdjustParams dapAccrualEnd,
  129.             final java.lang.String strCurrency,
  130.             final org.drip.state.identifier.EntityCDSLabel creditLabel)
  131.     {
  132.         boolean bCouponEOMAdj = null == strCouponDC ? false : strCouponDC.toUpperCase().contains ("EOM");

  134.         int iCouponDCIndex = null == strCouponDC ? -1 : strCouponDC.indexOf (" NON");

  136.         java.lang.String strCouponDCAdj = -1 != iCouponDCIndex ? strCouponDC.substring (0, iCouponDCIndex) :
  137.             strCouponDC;

  139.         boolean bAccrualEOMAdj = null == strAccrualDC ? false : strAccrualDC.toUpperCase().contains ("EOM");

  141.         int iAccrualDCIndex = null == strAccrualDC ? -1 : strAccrualDC.indexOf (" NON");

  143.         java.lang.String strAccrualDCAdj = -1 != iAccrualDCIndex ? strAccrualDC.substring (0,
  144.             iAccrualDCIndex) : strAccrualDC;

  146.         org.drip.analytics.date.JulianDate dtFirstCoupon = new org.drip.analytics.date.JulianDate
  147.             (iFirstCouponDate);

  149.         org.drip.analytics.date.JulianDate dtPenultimateCoupon = new org.drip.analytics.date.JulianDate
  150.             (iPenultimateCouponDate);

  152.         java.lang.String strTenor = (12 / iFreq) + "M";

  154.         try {
  155.             java.util.List<java.lang.Integer> lsStreamEdgeDate =
  156.                 org.drip.analytics.support.CompositePeriodBuilder.BackwardEdgeDates (
  157.                     dtFirstCoupon,
  158.                     dtPenultimateCoupon,
  159.                     strTenor,
  160.                     dapAccrualEnd,
  161.                     org.drip.analytics.support.CompositePeriodBuilder.LONG_STUB
  162.                 );

  164.             if (null == lsStreamEdgeDate) return null;

  166.             lsStreamEdgeDate.add (0, iStreamStartDate);

  168.             lsStreamEdgeDate.add (null == dapStreamEnd ? iStreamEndDate : dapStreamEnd.roll
  169.                 (iStreamEndDate));

  171.             return org.drip.analytics.support.CompositePeriodBuilder.FixedCompositeUnit (
  172.                 lsStreamEdgeDate,
  173.                 new org.drip.param.period.CompositePeriodSetting (
  174.                     iFreq,
  175.                     strTenor,
  176.                     strCurrency,
  177.                     dapPay,
  178.                     1.,
  179.                     null,
  180.                     null,
  181.                     null,
  182.                     creditLabel
  183.                 ),
  184.                 new org.drip.param.period.UnitCouponAccrualSetting (
  185.                     iFreq,
  186.                     strCouponDCAdj,
  187.                     bCouponEOMAdj,
  188.                     strAccrualDCAdj,
  189.                     bAccrualEOMAdj,
  190.                     strCurrency,
  191.                     false,
  192.                     org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC
  193.                 ),
  194.                 new org.drip.param.period.ComposableFixedUnitSetting (
  195.                     strTenor,
  196.                     org.drip.analytics.support.CompositePeriodBuilder.EDGE_DATE_SEQUENCE_SINGLE,
  197.                     null,
  198.                     dblCoupon,
  199.                     0.,
  200.                     strCurrency
  201.                 )
  202.             );
  203.         } catch (java.lang.Exception e) {
  204.             e.printStackTrace();
  205.         }

  207.         return null;
  208.     }

  210.     /**
  211.      * Generate the Float Stream off of the specified Parameters
  212.      * 
  213.      * @param iStreamStartDate The Stream Start Date
  214.      * @param iStreamEndDate The Stream End Date
  215.      * @param iFirstCouponDate The First Coupon Date
  216.      * @param iPenultimateCouponDate The Penultimate Coupon Date
  217.      * @param iFreq Coupon Frequency
  218.      * @param dblSpread The Spread
  219.      * @param dapPay Pay Date Adjustment Parameter
  220.      * @param dapStreamEnd Stream End Date Adjustment Parameter
  221.      * @param dapAccrualEnd Accrual End Date Adjustment Parameter
  222.      * @param floaterLabel Floater Label
  223.      * @param creditLabel Credit Label
  224.      * 
  225.      * @return The Float Stream
  226.      */

  228.     public static final java.util.List<org.drip.analytics.cashflow.CompositePeriod>
  229.         FirstPenultimateDateFloatStream (
  230.             final int iStreamStartDate,
  231.             final int iStreamEndDate,
  232.             final int iFirstCouponDate,
  233.             final int iPenultimateCouponDate,
  234.             final int iFreq,
  235.             final double dblSpread,
  236.             final org.drip.analytics.daycount.DateAdjustParams dapPay,
  237.             final org.drip.analytics.daycount.DateAdjustParams dapStreamEnd,
  238.             final org.drip.analytics.daycount.DateAdjustParams dapAccrualEnd,
  239.             final org.drip.state.identifier.FloaterLabel floaterLabel,
  240.             final org.drip.state.identifier.EntityCDSLabel creditLabel)
  241.     {
  242.         if (null == floaterLabel) return null;

  244.         org.drip.analytics.date.JulianDate dtFirstCoupon = new org.drip.analytics.date.JulianDate
  245.             (iFirstCouponDate);

  247.         org.drip.analytics.date.JulianDate dtPenultimateCoupon = new org.drip.analytics.date.JulianDate
  248.             (iPenultimateCouponDate);

  250.         java.lang.String strTenor = (12 / iFreq) + "M";

  252.         try {
  253.             java.util.List<java.lang.Integer> lsStreamEdgeDate = 
  254.                 org.drip.analytics.support.CompositePeriodBuilder.BackwardEdgeDates (
  255.                     dtFirstCoupon,
  256.                     dtPenultimateCoupon,
  257.                     strTenor,
  258.                     dapAccrualEnd,
  259.                     org.drip.analytics.support.CompositePeriodBuilder.LONG_STUB
  260.                 );

  262.             if (null == lsStreamEdgeDate) return null;

  264.             lsStreamEdgeDate.add (0, iStreamStartDate);

  266.             lsStreamEdgeDate.add (null == dapStreamEnd ? iStreamEndDate : dapStreamEnd.roll
  267.                 (iStreamEndDate));

  269.             return org.drip.analytics.support.CompositePeriodBuilder.FloatingCompositeUnit (
  270.                 lsStreamEdgeDate,
  271.                 new org.drip.param.period.CompositePeriodSetting (
  272.                     iFreq,
  273.                     strTenor,
  274.                     floaterLabel.currency(),
  275.                     dapPay,
  276.                     1.,
  277.                     null,
  278.                     null,
  279.                     null,
  280.                     creditLabel
  281.                 ),
  282.                 new org.drip.param.period.ComposableFloatingUnitSetting (
  283.                     strTenor,
  284.                     org.drip.analytics.support.CompositePeriodBuilder.EDGE_DATE_SEQUENCE_SINGLE,
  285.                     null,
  286.                     floaterLabel,
  287.                     org.drip.analytics.support.CompositePeriodBuilder.REFERENCE_PERIOD_IN_ADVANCE,
  288.                     dblSpread
  289.                 )
  290.             );
  291.         } catch (java.lang.Exception e) {
  292.             e.printStackTrace();
  293.         }

  295.         return null;
  296.     }

  298.     /**
  299.      * Generate Mixed Fixed-Float Stream off of the specified Parameters
  300.      * 
  301.      * @param iStreamStartDate The Stream Start Date
  302.      * @param iFixedStreamEndDate The Fixed Stream End Date
  303.      * @param iFixedFirstCouponDate The Fixed Stream First Coupon Date
  304.      * @param iFixedPenultimateCouponDate The Fixed Penultimate Coupon Date
  305.      * @param iFixedFreq Fixed Coupon Frequency
  306.      * @param dblFixedCoupon Fixed Coupon Rate
  307.      * @param strFixedCouponDC Fixed Coupon Day Count
  308.      * @param strFixedAccrualDC Fixed Accrual Day Count
  309.      * @param iFloatStreamEndDate The Float Stream End Date
  310.      * @param iFloatFirstCouponDate The Float First Coupon Date
  311.      * @param iFloatPenultimateCouponDate The Float Penultimate Coupon Date
  312.      * @param iFloatFreq Float Coupon Frequency
  313.      * @param dblFloatSpread The Float Spread
  314.      * @param dapPay Pay Date Adjustment Parameter
  315.      * @param dapStreamEnd Stream End Date Adjustment Parameter
  316.      * @param dapAccrualEnd Accrual End Date Adjustment Parameter
  317.      * @param forwardLabel Forward Label
  318.      * @param creditLabel Credit Label
  319.      * 
  320.      * @return The Mixed Stream
  321.      */

  323.     public static final java.util.List<org.drip.analytics.cashflow.CompositePeriod>
  324.         FirstPenultimateDateFixedFloat (
  325.             final int iStreamStartDate,
  326.             final int iFixedStreamEndDate,
  327.             final int iFixedFirstCouponDate,
  328.             final int iFixedPenultimateCouponDate,
  329.             final int iFixedFreq,
  330.             final double dblFixedCoupon,
  331.             final java.lang.String strFixedCouponDC,
  332.             final java.lang.String strFixedAccrualDC,
  333.             final int iFloatStreamEndDate,
  334.             final int iFloatFirstCouponDate,
  335.             final int iFloatPenultimateCouponDate,
  336.             final int iFloatFreq,
  337.             final double dblFloatSpread,
  338.             final org.drip.analytics.daycount.DateAdjustParams dapPay,
  339.             final org.drip.analytics.daycount.DateAdjustParams dapStreamEnd,
  340.             final org.drip.analytics.daycount.DateAdjustParams dapAccrualEnd,
  341.             final org.drip.state.identifier.ForwardLabel forwardLabel,
  342.             final org.drip.state.identifier.EntityCDSLabel creditLabel)
  343.     {
  344.         if (null == forwardLabel) return null;

  346.         java.util.List<org.drip.analytics.cashflow.CompositePeriod> lsMixedPeriod =
  347.             FirstPenultimateDateFixedStream (
  348.                 iStreamStartDate,
  349.                 iFixedStreamEndDate,
  350.                 iFixedFirstCouponDate,
  351.                 iFixedPenultimateCouponDate,
  352.                 iFixedFreq,
  353.                 dblFixedCoupon,
  354.                 strFixedCouponDC,
  355.                 strFixedAccrualDC,
  356.                 dapPay,
  357.                 dapStreamEnd,
  358.                 dapAccrualEnd,
  359.                 forwardLabel.currency(),
  360.                 creditLabel
  361.             );

  363.         if (null == lsMixedPeriod) return null;

  365.         java.util.List<org.drip.analytics.cashflow.CompositePeriod> lsFloatPeriod =
  366.             FirstPenultimateDateFloatStream (
  367.                 iFixedStreamEndDate,
  368.                 iFloatStreamEndDate,
  369.                 iFloatFirstCouponDate,
  370.                 iFloatPenultimateCouponDate,
  371.                 iFloatFreq,
  372.                 dblFloatSpread,
  373.                 dapPay,
  374.                 dapStreamEnd,
  375.                 dapAccrualEnd,
  376.                 forwardLabel,
  377.                 creditLabel
  378.             );

  380.         if (null == lsFloatPeriod) return null;

  382.         lsMixedPeriod.addAll (lsFloatPeriod);

  384.         return lsMixedPeriod;
  385.     }
  386. }
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