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;
}
}