BondStream.java

  1. package org.drip.product.params;

  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.  * Copyright (C) 2013 Lakshmi Krishnamurthy
  16.  * Copyright (C) 2012 Lakshmi Krishnamurthy
  17.  * Copyright (C) 2011 Lakshmi Krishnamurthy
  18.  * 
  19.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  20.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  21.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  22.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  23.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  24.  *      and computational support.
  25.  *  
  26.  *      https://lakshmidrip.github.io/DROP/
  27.  *  
  28.  *  DROP is composed of three modules:
  29.  *  
  30.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  31.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  32.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  33.  * 
  34.  *  DROP Product Core implements libraries for the following:
  35.  *  - Fixed Income Analytics
  36.  *  - Loan Analytics
  37.  *  - Transaction Cost Analytics
  38.  * 
  39.  *  DROP Portfolio Core implements libraries for the following:
  40.  *  - Asset Allocation Analytics
  41.  *  - Asset Liability Management Analytics
  42.  *  - Capital Estimation Analytics
  43.  *  - Exposure Analytics
  44.  *  - Margin Analytics
  45.  *  - XVA Analytics
  46.  * 
  47.  *  DROP Computational Core implements libraries for the following:
  48.  *  - Algorithm Support
  49.  *  - Computation Support
  50.  *  - Function Analysis
  51.  *  - Model Validation
  52.  *  - Numerical Analysis
  53.  *  - Numerical Optimizer
  54.  *  - Spline Builder
  55.  *  - Statistical Learning
  56.  * 
  57.  *  Documentation for DROP is Spread Over:
  58.  * 
  59.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  60.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  61.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  62.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  63.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  64.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  65.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  66.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  67.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  68.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  69.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  70.  * 
  71.  *  Licensed under the Apache License, Version 2.0 (the "License");
  72.  *      you may not use this file except in compliance with the License.
  73.  *   
  74.  *  You may obtain a copy of the License at
  75.  *      http://www.apache.org/licenses/LICENSE-2.0
  76.  *  
  77.  *  Unless required by applicable law or agreed to in writing, software
  78.  *      distributed under the License is distributed on an "AS IS" BASIS,
  79.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  80.  *  
  81.  *  See the License for the specific language governing permissions and
  82.  *      limitations under the License.
  83.  */

  85. /**
  86.  * <i>BondStream</i> is the place-holder for the bond period generation parameters. Contains the bond date
  87.  * adjustment parameters for period start/end, period accrual start/end, effective, maturity, pay and reset,
  88.  * first coupon date, and interest accrual start date. It exports serialization into and de-serialization out
  89.  * of byte arrays.
  90.  * 
  91.  * <br><br>
  92.  *  <ul>
  93.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  94.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  95.  *      <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>
  96.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/product/params/README.md">Fixed Income Product Customization Parameters</a></li>
  97.  *  </ul>
  98.  * <br><br>
  99.  *
  100.  * @author Lakshmi Krishnamurthy
  101.  */

  103. public class BondStream extends org.drip.product.rates.Stream {
  104.     private java.lang.String _strMaturityType = "";
  105.     private int _iFinalMaturityDate = java.lang.Integer.MIN_VALUE;

  107.     /**
  108.      * Construct an Instance of BondStream from the First/Penultimate Dates using the specified Parameters
  109.      * 
  110.      * @param iMaturityDate Maturity Date
  111.      * @param iEffectiveDate Effective Date
  112.      * @param iFinalMaturityDate Final Maturity Date
  113.      * @param iFirstCouponDate First Coupon Date
  114.      * @param iPenultimateCouponDate Penultimate Coupon Date
  115.      * @param iFreq Coupon Frequency
  116.      * @param dblCoupon Coupon Rate
  117.      * @param strCouponDC Coupon day count convention
  118.      * @param strAccrualDC Accrual day count convention
  119.      * @param dapPay Pay Date Adjustment Parameters
  120.      * @param dapReset Reset Date Adjustment Parameters
  121.      * @param dapMaturity Maturity Date Adjustment Parameters
  122.      * @param dapEffective Effective Date Adjustment Parameters
  123.      * @param dapPeriodEnd Period End Date Adjustment Parameters
  124.      * @param dapAccrualEnd Accrual Date Adjustment Parameters
  125.      * @param dapPeriodStart Period Start Date Adjustment Parameters
  126.      * @param dapAccrualStart Accrual Start  Date Adjustment Parameters
  127.      * @param strMaturityType Maturity Type
  128.      * @param bPeriodsFromForward Generate Periods forward (True) or Backward (False)
  129.      * @param strCalendar Optional Holiday Calendar for Accrual Calculations
  130.      * @param strCurrency Coupon Currency
  131.      * @param floaterLabel The Floater Label
  132.      * @param creditLabel The Credit Label
  133.      * 
  134.      * @return The BondStream Instance
  135.      */

  137.     public static final BondStream FromFirstPenultimateCouponDate (
  138.         final int iMaturityDate,
  139.         final int iEffectiveDate,
  140.         final int iFinalMaturityDate,
  141.         final int iFirstCouponDate,
  142.         final int iPenultimateCouponDate,
  143.         final int iFreq,
  144.         final double dblCoupon,
  145.         final java.lang.String strCouponDC,
  146.         final java.lang.String strAccrualDC,
  147.         final org.drip.analytics.daycount.DateAdjustParams dapPay,
  148.         final org.drip.analytics.daycount.DateAdjustParams dapReset,
  149.         final org.drip.analytics.daycount.DateAdjustParams dapMaturity,
  150.         final org.drip.analytics.daycount.DateAdjustParams dapEffective,
  151.         final org.drip.analytics.daycount.DateAdjustParams dapPeriodEnd,
  152.         final org.drip.analytics.daycount.DateAdjustParams dapAccrualEnd,
  153.         final org.drip.analytics.daycount.DateAdjustParams dapPeriodStart,
  154.         final org.drip.analytics.daycount.DateAdjustParams dapAccrualStart,
  155.         final java.lang.String strMaturityType,
  156.         final boolean bPeriodsFromForward,
  157.         final java.lang.String strCalendar,
  158.         final java.lang.String strCurrency,
  159.         final org.drip.state.identifier.FloaterLabel floaterLabel,
  160.         final org.drip.state.identifier.EntityCDSLabel creditLabel)
  161.     {
  162.         java.util.List<org.drip.analytics.cashflow.CompositePeriod> lsCouponPeriod = null == floaterLabel ?
  163.             org.drip.product.creator.StreamBuilder.FirstPenultimateDateFixedStream (
  164.                 iEffectiveDate,
  165.                 iMaturityDate,
  166.                 iFirstCouponDate,
  167.                 iPenultimateCouponDate,
  168.                 iFreq,
  169.                 dblCoupon,
  170.                 strCouponDC,
  171.                 strAccrualDC,
  172.                 dapPay,
  173.                 dapMaturity,
  174.                 dapAccrualEnd,
  175.                 strCurrency,
  176.                 creditLabel
  177.             ) : org.drip.product.creator.StreamBuilder.FirstPenultimateDateFloatStream (
  178.                 iEffectiveDate,
  179.                 iMaturityDate,
  180.                 iFirstCouponDate,
  181.                 iPenultimateCouponDate,
  182.                 iFreq,
  183.                 dblCoupon,
  184.                 dapPay,
  185.                 dapMaturity,
  186.                 dapAccrualEnd,
  187.                 floaterLabel,
  188.                 creditLabel
  189.             );

  191.         try {
  192.             return new BondStream (
  193.                 lsCouponPeriod,
  194.                 iFinalMaturityDate,
  195.                 strMaturityType
  196.             );
  197.         } catch (java.lang.Exception e) {
  198.             e.printStackTrace();
  199.         }

  201.         return null;
  202.     }

  204.     /**
  205.      * Construct and Instance of BondStream from the specified Parameters
  206.      * 
  207.      * @param iMaturityDate Maturity Date
  208.      * @param iEffectiveDate Effective Date
  209.      * @param iFinalMaturityDate Final Maturity Date
  210.      * @param iFirstCouponDate First Coupon Date
  211.      * @param iInterestAccrualStartDate Interest Accrual Start Date
  212.      * @param iFreq Coupon Frequency
  213.      * @param dblCoupon Coupon Rate
  214.      * @param strCouponDC Coupon day count convention
  215.      * @param strAccrualDC Accrual day count convention
  216.      * @param dapPay Pay Date Adjustment Parameters
  217.      * @param dapReset Reset Date Adjustment Parameters
  218.      * @param dapMaturity Maturity Date Adjustment Parameters
  219.      * @param dapEffective Effective Date Adjustment Parameters
  220.      * @param dapPeriodEnd Period End Date Adjustment Parameters
  221.      * @param dapAccrualEnd Accrual Date Adjustment Parameters
  222.      * @param dapPeriodStart Period Start Date Adjustment Parameters
  223.      * @param dapAccrualStart Accrual Start  Date Adjustment Parameters
  224.      * @param strMaturityType Maturity Type
  225.      * @param bPeriodsFromForward Generate Periods forward (True) or Backward (False)
  226.      * @param strCalendar Optional Holiday Calendar for accrual calculations
  227.      * @param strCurrency Coupon Currency
  228.      * @param floaterLabel The Floater Label
  229.      * @param creditLabel The Credit Label
  230.      * 
  231.      * @return The BondStream Instance
  232.      */

  234.     public static final BondStream Create (
  235.         final int iMaturityDate,
  236.         final int iEffectiveDate,
  237.         final int iFinalMaturityDate,
  238.         final int iFirstCouponDate,
  239.         final int iInterestAccrualStartDate,
  240.         final int iFreq,
  241.         final double dblCoupon,
  242.         final java.lang.String strCouponDC,
  243.         final java.lang.String strAccrualDC,
  244.         final org.drip.analytics.daycount.DateAdjustParams dapPay,
  245.         final org.drip.analytics.daycount.DateAdjustParams dapReset,
  246.         final org.drip.analytics.daycount.DateAdjustParams dapMaturity,
  247.         final org.drip.analytics.daycount.DateAdjustParams dapEffective,
  248.         final org.drip.analytics.daycount.DateAdjustParams dapPeriodEnd,
  249.         final org.drip.analytics.daycount.DateAdjustParams dapAccrualEnd,
  250.         final org.drip.analytics.daycount.DateAdjustParams dapPeriodStart,
  251.         final org.drip.analytics.daycount.DateAdjustParams dapAccrualStart,
  252.         final java.lang.String strMaturityType,
  253.         final boolean bPeriodsFromForward,
  254.         final java.lang.String strCalendar,
  255.         final java.lang.String strCurrency,
  256.         final org.drip.state.identifier.FloaterLabel floaterLabel,
  257.         final org.drip.state.identifier.EntityCDSLabel creditLabel)
  258.     {
  259.         boolean bCouponEOMAdj = null == strCouponDC ? false : strCouponDC.toUpperCase().contains ("EOM");

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

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

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

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

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

  273.         org.drip.analytics.date.JulianDate dtEffective = new org.drip.analytics.date.JulianDate
  274.             (iEffectiveDate);

  276.         org.drip.analytics.date.JulianDate dtMaturity = new org.drip.analytics.date.JulianDate
  277.             (iMaturityDate);

  279.         java.lang.String strTenor = (12 / iFreq) + "M";
  280.         java.util.List<org.drip.analytics.cashflow.CompositePeriod> lsCouponPeriod = null;

  282.         try {
  283.             org.drip.param.period.UnitCouponAccrualSetting ucas = new
  284.                 org.drip.param.period.UnitCouponAccrualSetting (iFreq, strCouponDCAdj, bCouponEOMAdj,
  285.                     strAccrualDCAdj, bAccrualEOMAdj, strCurrency, false,
  286.                         org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC);

  288.             org.drip.param.period.CompositePeriodSetting cps = new
  289.                 org.drip.param.period.CompositePeriodSetting (iFreq, strTenor, strCurrency, dapPay, 1., null,
  290.                     null, null, creditLabel);

  292.             java.util.List<java.lang.Integer> lsStreamEdgeDate = bPeriodsFromForward ?
  293.                 org.drip.analytics.support.CompositePeriodBuilder.ForwardEdgeDates (dtEffective, dtMaturity,
  294.                     strTenor, dapAccrualEnd, org.drip.analytics.support.CompositePeriodBuilder.LONG_STUB) :
  295.                         org.drip.analytics.support.CompositePeriodBuilder.BackwardEdgeDates (dtEffective,
  296.                             dtMaturity, strTenor, dapAccrualEnd,
  297.                                 org.drip.analytics.support.CompositePeriodBuilder.LONG_STUB);

  299.             if (null == floaterLabel) {
  300.                 org.drip.param.period.ComposableFixedUnitSetting cfus = new
  301.                     org.drip.param.period.ComposableFixedUnitSetting (strTenor,
  302.                         org.drip.analytics.support.CompositePeriodBuilder.EDGE_DATE_SEQUENCE_SINGLE, null,
  303.                             dblCoupon, 0., strCurrency);

  305.                 lsCouponPeriod = org.drip.analytics.support.CompositePeriodBuilder.FixedCompositeUnit
  306.                     (lsStreamEdgeDate, cps, ucas, cfus);
  307.             } else {
  308.                 org.drip.param.period.ComposableFloatingUnitSetting cfus = new
  309.                     org.drip.param.period.ComposableFloatingUnitSetting (strTenor,
  310.                         org.drip.analytics.support.CompositePeriodBuilder.EDGE_DATE_SEQUENCE_SINGLE, null,
  311.                             floaterLabel,
  312.                                 org.drip.analytics.support.CompositePeriodBuilder.REFERENCE_PERIOD_IN_ADVANCE,
  313.                     dblCoupon);

  315.                 lsCouponPeriod = org.drip.analytics.support.CompositePeriodBuilder.FloatingCompositeUnit
  316.                     (lsStreamEdgeDate, cps, cfus);
  317.             }

  319.             return new BondStream (lsCouponPeriod, iFinalMaturityDate, strMaturityType);
  320.         } catch (java.lang.Exception e) {
  321.             e.printStackTrace();
  322.         }

  324.         return null;
  325.     }

  327.     /**
  328.      * Construct the BondStream instance from the list of coupon periods
  329.      * 
  330.      * @param lsCouponPeriod List of Coupon Period
  331.      * @param iFinalMaturityDate Final Maturity Date
  332.      * @param strMaturityType Maturity Type
  333.      * 
  334.      * @throws java.lang.Exception Thrown if Inputs are invalid
  335.      */

  337.     public BondStream (
  338.         final java.util.List<org.drip.analytics.cashflow.CompositePeriod> lsCouponPeriod,
  339.         final int iFinalMaturityDate,
  340.         final java.lang.String strMaturityType)
  341.         throws java.lang.Exception
  342.     {
  343.         super (lsCouponPeriod);

  345.         _strMaturityType = strMaturityType;
  346.         _iFinalMaturityDate = iFinalMaturityDate;
  347.     }

  349.     /**
  350.      * Return the first Coupon period
  351.      * 
  352.      * @return The first Coupon period
  353.      */

  355.     public org.drip.analytics.cashflow.CompositePeriod firstPeriod()
  356.     {
  357.         return periods().get (0);
  358.     }

  360.     /**
  361.      * Returns the final Coupon period
  362.      * 
  363.      * @return The final Coupon period
  364.      */

  366.     public org.drip.analytics.cashflow.CompositePeriod lastPeriod()
  367.     {
  368.         java.util.List<org.drip.analytics.cashflow.CompositePeriod> lsCouponPeriod = periods();

  370.         return lsCouponPeriod.get (lsCouponPeriod.size() - 1);
  371.     }

  373.     /**
  374.      * Return the period index containing the specified date
  375.      * 
  376.      * @param iDate Date input
  377.      * 
  378.      * @return Period index containing the date
  379.      * 
  380.      * @throws java.lang.Exception Thrown if the input date not in the period set range
  381.      */

  383.     public int periodIndex (
  384.         final int iDate)
  385.         throws java.lang.Exception
  386.     {
  387.         int i = 0;

  389.         for (org.drip.analytics.cashflow.CompositePeriod period : periods()) {
  390.             if (period.contains (iDate)) return i;

  392.             ++i;
  393.         }

  395.         throw new java.lang.Exception ("BondStream::periodIndex => Input date not in the period set range!");
  396.     }
  397.     
  398.     /**
  399.      * Retrieve the period corresponding to the given index
  400.      * 
  401.      * @param iIndex Period index
  402.      * 
  403.      * @return Period object corresponding to the input index
  404.      */

  406.     public org.drip.analytics.cashflow.CompositePeriod period (
  407.         final int iIndex)
  408.     {
  409.         try {
  410.             return periods().get (iIndex);
  411.         } catch (java.lang.Exception e) {
  412.         }

  414.         return null;
  415.     }

  417.     /**
  418.      * Retrieve the Maturity Type
  419.      * 
  420.      * @return The Maturity Type
  421.      */

  423.     public java.lang.String maturityType()
  424.     {
  425.         return _strMaturityType;
  426.     }

  428.     /**
  429.      * Retrieve the Final Maturity Date
  430.      * 
  431.      * @return The Final Maturity Date
  432.      */

  434.     public int finalMaturityDate()
  435.     {
  436.         return _iFinalMaturityDate;
  437.     }
  438. }
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