TreasuryFutures.java

  1. package org.drip.product.govvie;

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

  81. /**
  82.  * <i>TreasuryFutures</i> implements the Treasury Futures Product Contract Details.
  83.  * 
  84.  * <br><br>
  85.  *  <ul>
  86.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  87.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  88.  *      <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>
  89.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/product/govvie/README.md">Treasury Bills, Notes, Bonds, Futures</a></li>
  90.  *  </ul>
  91.  * <br><br>
  92.  * 
  93.  * @author Lakshmi Krishnamurthy
  94.  */

  96. public class TreasuryFutures extends org.drip.product.definition.Component {

  98.     /*
  99.      * Bond Futures Valuation Settings
  100.      */

  102.     public static final int FORWARD_PRICE_OAS = 0;
  103.     public static final int FORWARD_PRICE_YIELD = 1;
  104.     public static final int FORWARD_PRICE_ZSPREAD = 2;
  105.     public static final int FORWARD_PRICE_CREDIT_BASIS = 3;

  107.     private double[] _adblConversionFactor = null;
  108.     private org.drip.product.definition.Bond[] _aBond = null;
  109.     private org.drip.analytics.date.JulianDate _dtExpiry = null;
  110.     private org.drip.param.valuation.CashSettleParams _csp = null;

  112.     /*
  113.      * Bond Futures Contract Details
  114.      */

  116.     private int[] _aiDeliveryMonth = null;
  117.     private java.lang.String _strType = "";
  118.     private double _dblTickValue = java.lang.Double.NaN;
  119.     private double _dblNotionalValue = java.lang.Double.NaN;
  120.     private double _dblReferenceCoupon = java.lang.Double.NaN;
  121.     private int _iLastTradingDayLag = java.lang.Integer.MIN_VALUE;
  122.     private double _dblMinimumPriceMovement = java.lang.Double.NaN;
  123.     private java.lang.String _strDeliverableGradeMaximumMaturity = "";
  124.     private java.lang.String _strDeliverableGradeMinimumMaturity = "";

  126.     /**
  127.      * BondFutures Constructor
  128.      * 
  129.      * @param aBond Array of the Bonds on the Basket
  130.      * @param adblConversionFactor The Bond Conversion Factor
  131.      * @param csp Cash Settlement Parameters
  132.      * 
  133.      * @throws java.lang.Exception thrown if the Inputs are Invalid
  134.      */

  136.     public TreasuryFutures (
  137.         final org.drip.product.definition.Bond[] aBond,
  138.         final double[] adblConversionFactor,
  139.         final org.drip.param.valuation.CashSettleParams csp)
  140.         throws java.lang.Exception
  141.     {
  142.         if (null == (_aBond = aBond) || null == (_adblConversionFactor = adblConversionFactor))
  143.             throw new java.lang.Exception ("BondFutures ctr: Invalid Inputs");

  145.         _csp = csp;
  146.         int iNumBond = _aBond.length;

  148.         if (0 == iNumBond || iNumBond != _adblConversionFactor.length)
  149.             throw new java.lang.Exception ("BondFutures ctr: Invalid Inputs");

  151.         for (int i = 0; i < iNumBond; ++i) {
  152.             if (null == _aBond[i] || !org.drip.numerical.common.NumberUtil.IsValid (_adblConversionFactor[i]))
  153.                 throw new java.lang.Exception ("BondFutures ctr: Invalid Inputs");
  154.         }
  155.     }

  157.     /**
  158.      * Set the Futures Type
  159.      * 
  160.      * @param strType The Futures Type
  161.      * 
  162.      * @return TRUE - Futures Type Successfully Set
  163.      */

  165.     public boolean setType (
  166.         final java.lang.String strType)
  167.     {
  168.         return null == (_strType = strType) || _strType.isEmpty() ? false : true;
  169.     }

  171.     /**
  172.      * Retrieve the Futures Type
  173.      * 
  174.      * @return The Futures Type
  175.      */

  177.     public java.lang.String type()
  178.     {
  179.         return _strType;
  180.     }

  182.     /**
  183.      * Retrieve the Notional Value
  184.      * 
  185.      * @param dblNotionalValue The Notional Value
  186.      * 
  187.      * @return TRUE - The Notional Value successfully retrieved
  188.      */

  190.     public boolean setNotionalValue (
  191.         final double dblNotionalValue)
  192.     {
  193.         return org.drip.numerical.common.NumberUtil.IsValid (_dblNotionalValue = dblNotionalValue);
  194.     }

  196.     /**
  197.      * Retrieve the Notional Value
  198.      * 
  199.      * @return The Notional Value
  200.      */

  202.     public double notionalValue()
  203.     {
  204.         return _dblNotionalValue;
  205.     }

  207.     /**
  208.      * Set the Reference Coupon Rate
  209.      * 
  210.      * @param dblReferenceCoupon The Reference Coupon Rate
  211.      * 
  212.      * @return TRUE - The Reference Coupon Rate successfully set
  213.      */

  215.     public boolean setReferenceCoupon (
  216.         final double dblReferenceCoupon)
  217.     {
  218.         return org.drip.numerical.common.NumberUtil.IsValid (_dblReferenceCoupon = dblReferenceCoupon);
  219.     }

  221.     /**
  222.      * Retrieve the Reference Coupon Rate
  223.      * 
  224.      * @return The Reference Coupon Rate
  225.      */

  227.     public double referenceCoupon()
  228.     {
  229.         return _dblReferenceCoupon;
  230.     }

  232.     /**
  233.      * Retrieve the Deliverable Grade Minimum Maturity
  234.      * 
  235.      * @param strDeliverableGradeMinimumMaturity Minimum Maturity of the Deliverable Grade
  236.      * 
  237.      * @return TRUE - Minimum Maturity Successfully set
  238.      */

  240.     public boolean setMinimumMaturity (
  241.         final java.lang.String strDeliverableGradeMinimumMaturity)
  242.     {
  243.         return null == (_strDeliverableGradeMinimumMaturity = strDeliverableGradeMinimumMaturity) ||
  244.             _strDeliverableGradeMinimumMaturity.isEmpty() ? false : true;
  245.     }

  247.     /**
  248.      * Retrieve the Minimum Maturity of the Contract
  249.      * 
  250.      * @return The Minimum Maturity of the Contract
  251.      */

  253.     public java.lang.String minimumMaturity()
  254.     {
  255.         return _strDeliverableGradeMinimumMaturity;
  256.     }

  258.     /**
  259.      * Retrieve the Deliverable Grade Maximum Maturity
  260.      * 
  261.      * @param strDeliverableGradeMaximumMaturity Maximum Maturity of the Deliverable Grade
  262.      * 
  263.      * @return TRUE - Maximum Maturity Successfully set
  264.      */

  266.     public boolean setMaximumMaturity (
  267.         final java.lang.String strDeliverableGradeMaximumMaturity)
  268.     {
  269.         return null == (_strDeliverableGradeMaximumMaturity = strDeliverableGradeMaximumMaturity) ||
  270.             _strDeliverableGradeMaximumMaturity.isEmpty() ? false : true;
  271.     }

  273.     /**
  274.      * Retrieve the Maximum Maturity of the Contract
  275.      * 
  276.      * @return The Maximum Maturity of the Contract
  277.      */

  279.     public java.lang.String maximumMaturity()
  280.     {
  281.         return _strDeliverableGradeMaximumMaturity;
  282.     }

  284.     /**
  285.      * Set the Delivery Months
  286.      * 
  287.      * @param aiDeliveryMonth Array of Delivery Months
  288.      * 
  289.      * @return TRUE - Delivery Months successfully set
  290.      */

  292.     public boolean setDeliveryMonths (
  293.         final int[] aiDeliveryMonth)
  294.     {
  295.         return null == (_aiDeliveryMonth = aiDeliveryMonth) || 0 == _aiDeliveryMonth.length ? false : true;
  296.     }

  298.     /**
  299.      * Retrieve the Array of Delivery Months
  300.      * 
  301.      * @return Array of Delivery Months
  302.      */

  304.     public int[] deliveryMonths()
  305.     {
  306.         return _aiDeliveryMonth;
  307.     }

  309.     /**
  310.      * Set the Last Trading Day Lag
  311.      * 
  312.      * @param iLastTradingDayLag The Last Trading Day Lag
  313.      * 
  314.      * @return TRUE - Last Trading Day Lag Successfully Set
  315.      */

  317.     public boolean setLastTradingDayLag (
  318.         final int iLastTradingDayLag)
  319.     {
  320.         return 0 > (_iLastTradingDayLag = iLastTradingDayLag) ? false : true;
  321.     }

  323.     /**
  324.      * Retrieve the Last Trading Day Lag
  325.      * 
  326.      * @return Last Trading Day Lag
  327.      */

  329.     public int lastTradingDayLag()
  330.     {
  331.         return _iLastTradingDayLag;
  332.     }

  334.     /**
  335.      * Retrieve the Minimum Price Movement
  336.      * 
  337.      * @param dblMinimumPriceMovement The Minimum Price Movement
  338.      * 
  339.      * @return TRUE - The Minimum Price Movement Successfully Set
  340.      */

  342.     public boolean setMinimumPriceMovement (
  343.         final double dblMinimumPriceMovement)
  344.     {
  345.         return org.drip.numerical.common.NumberUtil.IsValid (_dblMinimumPriceMovement = dblMinimumPriceMovement);
  346.     }

  348.     /**
  349.      * Retrieve the Minimum Price Movement
  350.      * 
  351.      * @return The Minimum Price Movement
  352.      */

  354.     public double minimumPriceMovement()
  355.     {
  356.         return _dblMinimumPriceMovement;
  357.     }

  359.     /**
  360.      * Retrieve the Tick Value
  361.      * 
  362.      * @param dblTickValue The Tick Value
  363.      * 
  364.      * @return TRUE - The Tick Value Successfully Set
  365.      */

  367.     public boolean setTickValue (
  368.         final double dblTickValue)
  369.     {
  370.         return org.drip.numerical.common.NumberUtil.IsValid (_dblTickValue = dblTickValue);
  371.     }

  373.     /**
  374.      * Retrieve the Tick Value
  375.      * 
  376.      * @return The Tick Value
  377.      */

  379.     public double tickValue()
  380.     {
  381.         return _dblTickValue;
  382.     }

  384.     /**
  385.      * Retrieve the Bond Basket Array
  386.      * 
  387.      * @return The Bond Basket Array
  388.      */

  390.     public org.drip.product.definition.Bond[] basket()
  391.     {
  392.         return _aBond;
  393.     }

  395.     /**
  396.      * Retrieve the Conversion Factor Array
  397.      * 
  398.      * @return The Conversion Factor Array
  399.      */

  401.     public double[] conversionFactor()
  402.     {
  403.         return _adblConversionFactor;
  404.     }

  406.     /**
  407.      * Set the Futures Expiration Date
  408.      * 
  409.      * @param dtExpiry The Futures Expiration Date
  410.      * 
  411.      * @return TRUE - The Futures Expiration Date Successfully Set
  412.      */

  414.     public boolean setExpiry (
  415.         final org.drip.analytics.date.JulianDate dtExpiry)
  416.     {
  417.         if (null == dtExpiry) return false;

  419.         _dtExpiry = dtExpiry;
  420.         return true;
  421.     }

  423.     /**
  424.      * Retrieve the Futures Expiration Date
  425.      * 
  426.      * @return The Futures Expiration Date
  427.      */

  429.     public org.drip.analytics.date.JulianDate expiry()
  430.     {
  431.         return _dtExpiry;
  432.     }

  434.     /**
  435.      * Extract the Cheapest-to-deliver Entry in the Basket Using the Current Market Parameters
  436.      * 
  437.      * @param iValueDate The Valuation Date
  438.      * @param csqc The Market Parameters
  439.      * @param vcp Valuation Customization Parameters
  440.      * @param adblCleanPrice Array of the Bond Clean Prices
  441.      * @param iForwardPriceMethod Forward Price Calculation Method
  442.      * 
  443.      * @return The Cheapest-to-deliver Entry in the Basket Using the Current Market Parameters
  444.      */

  446.     public org.drip.product.params.CTDEntry cheapestToDeliver (
  447.         final int iValueDate,
  448.         final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
  449.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  450.         final double[] adblCleanPrice,
  451.         final int iForwardPriceMethod)
  452.     {
  453.         if (null == adblCleanPrice) return null;

  455.         int iStartIndex = 0;
  456.         int iBasketSize = adblCleanPrice.length;

  458.         if (iBasketSize != _aBond.length) return null;

  460.         for (int i = 0; i < iBasketSize; ++i) {
  461.             if (org.drip.numerical.common.NumberUtil.IsValid (adblCleanPrice[i])) {
  462.                 iStartIndex = i;
  463.                 break;
  464.             }
  465.         }

  467.         if (iBasketSize <= iStartIndex) return null;

  469.         int iCTDIndex = iStartIndex;
  470.         double dblMinimumScaledPrice = adblCleanPrice[iStartIndex] / _adblConversionFactor[iStartIndex];

  472.         int iExpiryDate = _dtExpiry.julian();

  474.         if (iExpiryDate <= iValueDate) return null;

  476.         org.drip.param.valuation.ValuationParams valParamsSpot =
  477.             org.drip.param.valuation.ValuationParams.Spot (iValueDate);

  479.         org.drip.param.valuation.ValuationParams valParamsExpiry =
  480.             org.drip.param.valuation.ValuationParams.Spot (iExpiryDate);

  482.         for (int i = iStartIndex; i < iBasketSize; ++i) {
  483.             if (!org.drip.numerical.common.NumberUtil.IsValid (adblCleanPrice[i])) continue;

  485.             double dblForwardPrice = java.lang.Double.NaN;

  487.             try {
  488.                 if (FORWARD_PRICE_YIELD == iForwardPriceMethod)
  489.                     dblForwardPrice = org.drip.analytics.support.FuturesHelper.ForwardBondYieldPrice
  490.                         (_aBond[i], valParamsSpot, valParamsExpiry, csqc, vcp, adblCleanPrice[i]);
  491.                 else if (FORWARD_PRICE_OAS == iForwardPriceMethod)
  492.                     dblForwardPrice = org.drip.analytics.support.FuturesHelper.ForwardBondOASPrice
  493.                         (_aBond[i], valParamsSpot, valParamsExpiry, csqc, vcp, adblCleanPrice[i]);
  494.                 else if (FORWARD_PRICE_ZSPREAD == iForwardPriceMethod)
  495.                     dblForwardPrice = org.drip.analytics.support.FuturesHelper.ForwardBondZSpreadPrice
  496.                         (_aBond[i], valParamsSpot, valParamsExpiry, csqc, vcp, adblCleanPrice[i]);
  497.                 else if (FORWARD_PRICE_CREDIT_BASIS == iForwardPriceMethod)
  498.                     dblForwardPrice = org.drip.analytics.support.FuturesHelper.ForwardBondCreditPrice
  499.                         (_aBond[i], valParamsSpot, valParamsExpiry, csqc, vcp, adblCleanPrice[i]);
  500.                 else
  501.                     return null;
  502.             } catch (java.lang.Exception e) {
  503.                 e.printStackTrace();

  505.                 return null;
  506.             }

  508.             double dblScaledPrice = dblForwardPrice / _adblConversionFactor[i];

  510.             if (dblScaledPrice < dblMinimumScaledPrice) {
  511.                 iCTDIndex = i;
  512.                 dblMinimumScaledPrice = dblScaledPrice;
  513.             }
  514.         }

  516.         try {
  517.             return new org.drip.product.params.CTDEntry (_aBond[iCTDIndex], _adblConversionFactor[iCTDIndex],
  518.                 dblMinimumScaledPrice * _adblConversionFactor[iCTDIndex]);
  519.         } catch (java.lang.Exception e) {
  520.             e.printStackTrace();
  521.         }

  523.         return null;
  524.     }

  526.     /**
  527.      * Extract the Cheapest-to-deliver Entry in the Basket Using the Current Market Prices Alone
  528.      * 
  529.      * @param iValueDate The Valuation Date
  530.      * @param adblCleanPrice Array of the Bond Clean Prices
  531.      * 
  532.      * @return The Cheapest-to-deliver Entry in the Basket Using the Current Market Prices Alone
  533.      */

  535.     public org.drip.product.params.CTDEntry cheapestToDeliverYield (
  536.         final int iValueDate,
  537.         final double[] adblCleanPrice)
  538.     {
  539.         return cheapestToDeliver (iValueDate, null, null, adblCleanPrice, FORWARD_PRICE_YIELD);
  540.     }

  542.     /**
  543.      * Extract the Cheapest-to-deliver Entry in the Basket Using Bond OAS Metric
  544.      * 
  545.      * @param iValueDate The Valuation Date
  546.      * @param csqc The Market Parameters
  547.      * @param adblCleanPrice Array of the Bond Clean Prices
  548.      * 
  549.      * @return The Cheapest-to-deliver Entry in the Basket Using Bond OAS Metric
  550.      */

  552.     public org.drip.product.params.CTDEntry cheapestToDeliverOAS (
  553.         final int iValueDate,
  554.         final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
  555.         final double[] adblCleanPrice)
  556.     {
  557.         return cheapestToDeliver (iValueDate, csqc, null, adblCleanPrice, FORWARD_PRICE_OAS);
  558.     }

  560.     /**
  561.      * Extract the Cheapest-to-deliver Entry in the Basket Using Bond Z Spread Metric
  562.      * 
  563.      * @param iValueDate The Valuation Date
  564.      * @param csqc The Market Parameters
  565.      * @param adblCleanPrice Array of the Bond Clean Prices
  566.      * 
  567.      * @return The Cheapest-to-deliver Entry in the Basket Using Bond Z Spread Metric
  568.      */

  570.     public org.drip.product.params.CTDEntry cheapestToDeliverZSpread (
  571.         final int iValueDate,
  572.         final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
  573.         final double[] adblCleanPrice)
  574.     {
  575.         return cheapestToDeliver (iValueDate, csqc, null, adblCleanPrice, FORWARD_PRICE_ZSPREAD);
  576.     }

  578.     /**
  579.      * Extract the Cheapest-to-deliver Entry in the Basket Using Bond Credit Basis Metric
  580.      * 
  581.      * @param iValueDate The Valuation Date
  582.      * @param csqc The Market Parameters
  583.      * @param adblCleanPrice Array of the Bond Clean Prices
  584.      * 
  585.      * @return The Cheapest-to-deliver Entry in the Basket Using Bond Credit Basis Metric
  586.      */

  588.     public org.drip.product.params.CTDEntry cheapestToDeliverCreditBasis (
  589.         final int iValueDate,
  590.         final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
  591.         final double[] adblCleanPrice)
  592.     {
  593.         return cheapestToDeliver (iValueDate, csqc, null, adblCleanPrice, FORWARD_PRICE_CREDIT_BASIS);
  594.     }

  596.     @Override public java.lang.String name()
  597.     {
  598.         return (null == _strType || _strType.isEmpty() ? _aBond[0].currency() : _strType) +
  599.             (null == _strDeliverableGradeMaximumMaturity || _strDeliverableGradeMaximumMaturity.isEmpty() ?
  600.                 _aBond[0].tenor() : _strDeliverableGradeMaximumMaturity);
  601.     }

  603.     @Override public org.drip.param.valuation.CashSettleParams cashSettleParams()
  604.     {
  605.         return _csp;
  606.     }

  608.     @Override public org.drip.analytics.output.CompositePeriodCouponMetrics couponMetrics (
  609.         final int iAccrualEndDate,
  610.         final org.drip.param.valuation.ValuationParams valParams,
  611.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs)
  612.     {
  613.         return null;
  614.     }

  616.     @Override public java.util.List<org.drip.analytics.cashflow.CompositePeriod> couponPeriods()
  617.     {
  618.         return null;
  619.     }

  621.     @Override public org.drip.analytics.date.JulianDate effectiveDate()
  622.     {
  623.         return _dtExpiry.subtractTenor ("3M");
  624.     }

  626.     @Override public org.drip.analytics.date.JulianDate firstCouponDate()
  627.     {
  628.         return null;
  629.     }

  631.     @Override public int freq()
  632.     {
  633.         return _aBond[0].freq();
  634.     }

  636.     @Override public double initialNotional()
  637.     {
  638.         return _dblNotionalValue;
  639.     }

  641.     @Override public double notional (
  642.         final int iDate)
  643.         throws java.lang.Exception
  644.     {
  645.         return _dblNotionalValue;
  646.     }

  648.     @Override public double notional (
  649.         final int iDate1,
  650.         final int iDate2)
  651.         throws java.lang.Exception
  652.     {
  653.         return _dblNotionalValue;
  654.     }

  656.     @Override public org.drip.analytics.date.JulianDate maturityDate()
  657.     {
  658.         return _dtExpiry;
  659.     }

  661.     @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.String> couponCurrency()
  662.     {
  663.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.String> mapCouponCurrency = new
  664.             org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.String>();

  666.         for (org.drip.product.definition.Bond bond : _aBond)
  667.             mapCouponCurrency.putAll (bond.couponCurrency());

  669.         return 0 == mapCouponCurrency.size() ? null : mapCouponCurrency;
  670.     }

  672.     @Override public java.lang.String principalCurrency()
  673.     {
  674.         return _aBond[0].principalCurrency();
  675.     }

  677.     @Override public java.lang.String payCurrency()
  678.     {
  679.         return _aBond[0].payCurrency();
  680.     }

  682.     @Override public org.drip.state.identifier.EntityCDSLabel creditLabel()
  683.     {
  684.         return _aBond[0].creditLabel();
  685.     }

  687.     @Override public
  688.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.ForwardLabel>
  689.             forwardLabel()
  690.     {
  691.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.ForwardLabel>
  692.             mapForwardLabel = new
  693.                 org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.ForwardLabel>();

  695.         for (org.drip.product.definition.Bond bond : _aBond)
  696.             mapForwardLabel.putAll (bond.forwardLabel());

  698.         return 0 == mapForwardLabel.size() ? null : mapForwardLabel;
  699.     }

  701.     @Override public
  702.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.OTCFixFloatLabel>
  703.             otcFixFloatLabel()
  704.     {
  705.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.OTCFixFloatLabel>
  706.             mapOTCFixFloatLabel = new
  707.                 org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.OTCFixFloatLabel>();

  709.         for (org.drip.product.definition.Bond bond : _aBond)
  710.             mapOTCFixFloatLabel.putAll (bond.otcFixFloatLabel());

  712.         return 0 == mapOTCFixFloatLabel.size() ? null : mapOTCFixFloatLabel;
  713.     }

  715.     @Override public org.drip.state.identifier.FundingLabel fundingLabel()
  716.     {
  717.         return _aBond[0].fundingLabel();
  718.     }

  720.     @Override public org.drip.state.identifier.GovvieLabel govvieLabel()
  721.     {
  722.         return _aBond[0].govvieLabel();
  723.     }

  725.     @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.FXLabel>
  726.         fxLabel()
  727.     {
  728.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.FXLabel> mapFXLabel = new
  729.             org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.FXLabel>();

  731.         for (org.drip.product.definition.Bond bond : _aBond)
  732.             mapFXLabel.putAll (bond.fxLabel());

  734.         return 0 == mapFXLabel.size() ? null : mapFXLabel;
  735.     }

  737.     @Override public
  738.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.VolatilityLabel>
  739.             volatilityLabel()
  740.     {
  741.         return null;
  742.     }

  744.     @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> value (
  745.         final org.drip.param.valuation.ValuationParams valParams,
  746.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  747.         final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
  748.         final org.drip.param.valuation.ValuationCustomizationParams vcp)
  749.     {
  750.         int iNumBond = _aBond.length;
  751.         double dblCTDRepoRate = java.lang.Double.NaN;
  752.         double[] adblCleanPrice = new double[iNumBond];
  753.         double dblCTDTreasuryYield = java.lang.Double.NaN;

  755.         int iValueDate = valParams.valueDate();

  757.         for (int i = 0; i < iNumBond; ++i) {
  758.             org.drip.param.definition.ProductQuote pqBond = csqc.productQuote (_aBond[i].name());

  760.             if (null == pqBond || !pqBond.containsQuote ("Price") ||
  761.                 !org.drip.numerical.common.NumberUtil.IsValid (adblCleanPrice[i] = pqBond.quote ("Price").value
  762.                     ("mid")))
  763.                 return null;
  764.         }

  766.         org.drip.product.params.CTDEntry ctdEntry = cheapestToDeliverYield (iValueDate, adblCleanPrice);

  768.         if (null == ctdEntry || null == csqc) return null;

  770.         org.drip.product.definition.Bond bondCTD = ctdEntry.bond();

  772.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapBondFuturesMeasure =
  773.             bondCTD.value (valParams, pricerParams, csqc, vcp);

  775.         if (null == mapBondFuturesMeasure || null == (mapBondFuturesMeasure =
  776.             org.drip.numerical.common.CollectionUtil.PrefixKeys (bondCTD.value (valParams, pricerParams, csqc,
  777.                 vcp), "CTD::")))
  778.             return null;

  780.         double dblCTDForwardPrice = ctdEntry.forwardPrice();

  782.         double dblCTDConversionFactor = ctdEntry.conversionFactor();

  784.         mapBondFuturesMeasure.put ("CTDConversionFactor", dblCTDConversionFactor);

  786.         mapBondFuturesMeasure.put ("CTDForwardPrice", dblCTDForwardPrice);

  788.         org.drip.state.repo.RepoCurve repoState = csqc.repoState
  789.             (org.drip.state.identifier.RepoLabel.Standard (bondCTD.name()));

  791.         org.drip.state.govvie.GovvieCurve gc = csqc.govvieState (govvieLabel());

  793.         int iExpiryDate = _dtExpiry.julian();

  795.         try {
  796.             if (null != repoState)
  797.                 mapBondFuturesMeasure.put ("CTDRepoRate", dblCTDRepoRate = repoState.repo (iExpiryDate));

  799.             if (null != gc)
  800.                 mapBondFuturesMeasure.put ("CTDTreasuryYield", dblCTDTreasuryYield = gc.yield (iExpiryDate));
  801.         } catch (java.lang.Exception e) {
  802.             e.printStackTrace();

  804.             return null;
  805.         }

  807.         double dblCTDSpotPrice = csqc.productQuote (bondCTD.name()).quote ("Price").value ("mid");

  809.         mapBondFuturesMeasure.put ("CTDSpotPrice", dblCTDSpotPrice);

  811.         if (org.drip.numerical.common.NumberUtil.IsValid (dblCTDRepoRate) &&
  812.             org.drip.numerical.common.NumberUtil.IsValid (dblCTDTreasuryYield))
  813.             mapBondFuturesMeasure.put ("CostOfCarry", dblCTDRepoRate - dblCTDTreasuryYield);

  815.         org.drip.param.definition.ProductQuote pqFutures = csqc.productQuote (name());

  817.         if (null != pqFutures && pqFutures.containsQuote ("Price")) {
  818.             double dblFuturesQuote = pqFutures.quote ("Price").value ("mid");

  820.             if (org.drip.numerical.common.NumberUtil.IsValid (dblFuturesQuote)) {
  821.                 if (iExpiryDate > iValueDate) {
  822.                     double dblImpliedRepoRate = 365.25 * (((dblFuturesQuote - dblCTDSpotPrice) /
  823.                         dblCTDSpotPrice) - 1.) / (iExpiryDate - iValueDate);

  825.                     mapBondFuturesMeasure.put ("ImpliedRepo", dblImpliedRepoRate);

  827.                     mapBondFuturesMeasure.put ("ImpliedRepoRate", dblImpliedRepoRate);

  829.                     if (org.drip.numerical.common.NumberUtil.IsValid (dblCTDRepoRate))
  830.                         mapBondFuturesMeasure.put ("NetBasis", dblImpliedRepoRate - dblCTDRepoRate);
  831.                 }

  833.                 double dblSettlementAmount = dblFuturesQuote * dblCTDConversionFactor - dblCTDForwardPrice;

  835.                 mapBondFuturesMeasure.put ("PV", dblSettlementAmount);

  837.                 mapBondFuturesMeasure.put ("SettlementAmount", dblSettlementAmount);

  839.                 mapBondFuturesMeasure.put ("SettlePV", dblSettlementAmount);

  841.                 org.drip.state.discount.MergedDiscountForwardCurve dcFunding = csqc.fundingState
  842.                     (fundingLabel());

  844.                 if (null != dcFunding) {
  845.                     try {
  846.                         mapBondFuturesMeasure.put ("SpotPV", dblSettlementAmount * dcFunding.df
  847.                             (iExpiryDate));
  848.                     } catch (java.lang.Exception e) {
  849.                         e.printStackTrace();
  850.                     }
  851.                 }
  852.             }
  853.         }

  855.         return mapBondFuturesMeasure;
  856.     }

  858.     @Override public java.util.Set<java.lang.String> measureNames()
  859.     {
  860.         java.util.Set<java.lang.String> setMeasure = _aBond[0].measureNames();

  862.         setMeasure.add ("CostOfCarry");

  864.         setMeasure.add ("CTDConversionFactor");

  866.         setMeasure.add ("CTDForwardPrice");

  868.         setMeasure.add ("CTDRepoRate");

  870.         setMeasure.add ("CTDSpotPrice");

  872.         setMeasure.add ("CTDTreasuryYield");

  874.         setMeasure.add ("ImpliedRepo");

  876.         setMeasure.add ("ImpliedRepoRate");

  878.         setMeasure.add ("NetBasis");

  880.         setMeasure.add ("PV");

  882.         setMeasure.add ("SettlementAmount");

  884.         setMeasure.add ("SettlePV");

  886.         setMeasure.add ("SpotPV");

  888.         return setMeasure;
  889.     }

  891.     @Override public double pv (
  892.         final org.drip.param.valuation.ValuationParams valParams,
  893.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  894.         final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
  895.         final org.drip.param.valuation.ValuationCustomizationParams vcp)
  896.         throws java.lang.Exception
  897.     {
  898.         int iNumBond = _aBond.length;
  899.         double[] adblCleanPrice = new double[iNumBond];

  901.         int iValueDate = valParams.valueDate();

  903.         for (int i = 0; i < iNumBond; ++i) {
  904.             org.drip.param.definition.ProductQuote pqBond = csqc.productQuote (_aBond[i].name());

  906.             if (null == pqBond || !pqBond.containsQuote ("Price") ||
  907.                 !org.drip.numerical.common.NumberUtil.IsValid (adblCleanPrice[i] = pqBond.quote ("Price").value
  908.                     ("mid")))
  909.                 throw new java.lang.Exception ("BondFutures::pv - Invalid Inputs");
  910.         }

  912.         org.drip.product.params.CTDEntry ctdEntry = cheapestToDeliverYield (iValueDate, adblCleanPrice);

  914.         if (null == ctdEntry || null == csqc)
  915.             throw new java.lang.Exception ("BondFutures::pv - Invalid Inputs");

  917.         double dblFuturesQuote = java.lang.Double.NaN;

  919.         double dblCTDForwardPrice = ctdEntry.forwardPrice();

  921.         double dblCTDConversionFactor = ctdEntry.conversionFactor();

  923.         org.drip.param.definition.ProductQuote pqFutures = csqc.productQuote (name());

  925.         if (null != pqFutures && pqFutures.containsQuote ("Price"))
  926.             dblFuturesQuote = pqFutures.quote ("Price").value ("mid");

  928.         double dblAccrued = ctdEntry.bond().accrued (iValueDate, csqc);

  930.         return org.drip.numerical.common.NumberUtil.IsValid (dblFuturesQuote) ? dblFuturesQuote *
  931.             dblCTDConversionFactor + dblAccrued : dblCTDForwardPrice + dblAccrued;
  932.     }
  933. }
Created with JaCoCo 0.7.9.201702052155