ForeignCollateralizedDomesticForward.java

package org.drip.product.fx;

/*
 * -*- 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>ForeignCollateralizedDomesticForward</i> contains the Foreign Currency Collateralized Domestic Payout
 * FX forward product contract details.
 * 
 *  <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/fx/README.md">FX Forwards, Cross Currency Swaps</a></li>
 *  </ul>
 * <br><br>
 *  
 * @author Lakshmi Krishnamurthy
 */

public class ForeignCollateralizedDomesticForward {
    private java.lang.String _strCode = "";
    private org.drip.product.params.CurrencyPair _cp = null;
    private int _iMaturityDate = java.lang.Integer.MIN_VALUE;
    private double _dblForexForwardStrike = java.lang.Double.NaN;

    /**
     * Create an ForeignCollateralizedDomesticForward from the currency pair, the strike, and the maturity
     *  dates
     * 
     * @param cp Currency Pair
     * @param dblForexForwardStrike Forex Forward Strike
     * @param dtMaturity Maturity Date
     * 
     * @throws java.lang.Exception Thrown if the inputs are invalid
     */

    public ForeignCollateralizedDomesticForward (
        final org.drip.product.params.CurrencyPair cp,
        final double dblForexForwardStrike,
        final org.drip.analytics.date.JulianDate dtMaturity)
        throws java.lang.Exception
    {
        if (null == (_cp = cp) || !org.drip.numerical.common.NumberUtil.IsValid (_dblForexForwardStrike =
            dblForexForwardStrike) || null == dtMaturity)
            throw new java.lang.Exception ("ForeignCollateralizedDomesticForward ctr: Invalid Inputs");

        _iMaturityDate = dtMaturity.julian();
    }

    public java.lang.String getPrimaryCode()
    {
        return _strCode;
    }

    public void setPrimaryCode (
        final java.lang.String strCode)
    {
        _strCode = strCode;
    }

    public java.lang.String[] getSecondaryCode()
    {
        java.lang.String strPrimaryCode = getPrimaryCode();

        int iNumTokens = 0;
        java.lang.String astrCodeTokens[] = new java.lang.String[2];

        java.util.StringTokenizer stCodeTokens = new java.util.StringTokenizer (strPrimaryCode, ".");

        while (stCodeTokens.hasMoreTokens())
            astrCodeTokens[iNumTokens++] = stCodeTokens.nextToken();

        System.out.println (astrCodeTokens[0]);

        return new java.lang.String[] {astrCodeTokens[0]};
    }

    public org.drip.analytics.date.JulianDate getMaturityDate()
    {
        try {
            return new org.drip.analytics.date.JulianDate (_iMaturityDate);
        } catch (java.lang.Exception e) {
            e.printStackTrace();
        }

        return null;
    }

    public org.drip.product.params.CurrencyPair getCcyPair()
    {
        return _cp;
    }

    public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> value (
        final org.drip.param.valuation.ValuationParams valParams,
        final org.drip.param.pricer.CreditPricerParams pricerParams,
        final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
        final org.drip.param.valuation.ValuationCustomizationParams quotingParams)
    {
        if (null == valParams || null == csqs) return null;

        long lStart = System.nanoTime();

        int iValueDate = valParams.valueDate();

        if (iValueDate > _iMaturityDate) return null;

        org.drip.state.fx.FXCurve fxfc = csqs.fxState (org.drip.state.identifier.FXLabel.Standard (_cp));

        if (null == fxfc) return null;

        java.lang.String strForeignCurrency = _cp.numCcy();

        org.drip.state.discount.MergedDiscountForwardCurve dcForeignCollateral =
            csqs.payCurrencyCollateralCurrencyCurve (strForeignCurrency, strForeignCurrency);

        if (null == dcForeignCollateral) return null;

        org.drip.state.discount.MergedDiscountForwardCurve dcDomesticCurrencyForeignCollateral =
            csqs.payCurrencyCollateralCurrencyCurve (_cp.denomCcy(), strForeignCurrency);

        if (null == dcDomesticCurrencyForeignCollateral) return null;

        double dblPrice = java.lang.Double.NaN;
        double dblSpotFX = java.lang.Double.NaN;
        double dblParForward = java.lang.Double.NaN;
        double dblForeignCollateralDF = java.lang.Double.NaN;
        double dblDomesticCurrencyForeignCollateralDF = java.lang.Double.NaN;

        try {
            dblPrice = (dblSpotFX = fxfc.fx (iValueDate)) * (dblForeignCollateralDF =
                dcForeignCollateral.df (_iMaturityDate)) - ((dblDomesticCurrencyForeignCollateralDF =
                    dcDomesticCurrencyForeignCollateral.df (_iMaturityDate)) * _dblForexForwardStrike);

            dblParForward = dblSpotFX * dblForeignCollateralDF / dblDomesticCurrencyForeignCollateralDF;
        } catch (java.lang.Exception e) {
            e.printStackTrace();

            return null;
        }

        org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapResult = new
            org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>();

        mapResult.put ("CalcTime", (System.nanoTime() - lStart) * 1.e-09);

        mapResult.put ("DomesticCurrencyForeignCollateralDF", dblDomesticCurrencyForeignCollateralDF);

        mapResult.put ("ForeignCollateralDF", dblForeignCollateralDF);

        mapResult.put ("ParForward", dblParForward);

        mapResult.put ("Price", dblPrice);

        mapResult.put ("SpotFX", dblSpotFX);

        return mapResult;
    }

    public java.util.Set<java.lang.String> getMeasureNames()
    {
        java.util.Set<java.lang.String> setstrMeasureNames = new java.util.TreeSet<java.lang.String>();

        setstrMeasureNames.add ("CalcTime");

        setstrMeasureNames.add ("DomesticCurrencyForeignCollateralDF");

        setstrMeasureNames.add ("ForeignCollateralDF");

        setstrMeasureNames.add ("ParForward");

        setstrMeasureNames.add ("Price");

        setstrMeasureNames.add ("SpotFX");

        return setstrMeasureNames;
    }
}