CouponSetting.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>CouponSetting</i> contains the coupon type, schedule, and the coupon amount for the component. If
  87.  * available floor and/or ceiling may also be applied to the coupon, in a pre-determined order of precedence.
  88.  * It exports serialization into and de-serialization out of byte arrays.
  89.  * 
  90.  * <br><br>
  91.  *  <ul>
  92.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  93.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  94.  *      <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>
  95.  *      <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>
  96.  *  </ul>
  97.  * <br><br>
  98.  *
  99.  * @author Lakshmi Krishnamurthy
  100.  */

  102. public class CouponSetting implements org.drip.product.params.Validatable {
  103.     private double _dblCouponRateExtension = 0.;
  104.     private java.lang.String _strCouponType = "";
  105.     private org.drip.numerical.common.Array2D _fs = null;
  106.     private double _dblCouponRate = java.lang.Double.NaN;
  107.     private double _dblCouponFloorRate = java.lang.Double.NaN;
  108.     private double _dblCouponCeilingRate = java.lang.Double.NaN;

  110.     /**
  111.      * Construct the CouponSetting from the coupon schedule, coupon type, and the coupon amount
  112.      * 
  113.      * @param fs Coupon schedule
  114.      * @param strCouponType Coupon Type
  115.      * @param dblCouponRate Coupon Rate
  116.      * @param dblCouponCeilingRate Coupon Ceiling Rate
  117.      * @param dblCouponFloorRate Coupon Floor Rate
  118.      */

  120.     public CouponSetting (
  121.         final org.drip.numerical.common.Array2D fs,
  122.         final java.lang.String strCouponType,
  123.         final double dblCouponRate,
  124.         final double dblCouponCeilingRate,
  125.         final double dblCouponFloorRate)
  126.     {
  127.         _fs = fs;
  128.         _dblCouponRate = dblCouponRate;
  129.         _strCouponType = strCouponType;
  130.         _dblCouponFloorRate = dblCouponFloorRate;
  131.         _dblCouponCeilingRate = dblCouponCeilingRate;
  132.     }

  134.     /**
  135.      * Construct the CouponSetting from the coupon schedule, coupon type, the coupon rate, and its extension
  136.      * 
  137.      * @param fs Coupon schedule
  138.      * @param strCouponType Coupon Type
  139.      * @param dblCouponRate Coupon Rate
  140.      * @param dblCouponRateExtension Coupon Rate Extension
  141.      * @param dblCouponCeilingRate Coupon Ceiling Rate
  142.      * @param dblCouponFloorRate Coupon Floor Rate
  143.      */

  145.     public CouponSetting (
  146.         final org.drip.numerical.common.Array2D fs,
  147.         final java.lang.String strCouponType,
  148.         final double dblCouponRate,
  149.         final double dblCouponRateExtension,
  150.         final double dblCouponCeilingRate,
  151.         final double dblCouponFloorRate)
  152.     {
  153.         _fs = fs;
  154.         _dblCouponRate = dblCouponRate;
  155.         _strCouponType = strCouponType;
  156.         _dblCouponFloorRate = dblCouponFloorRate;
  157.         _dblCouponCeilingRate = dblCouponCeilingRate;
  158.         _dblCouponRateExtension = dblCouponRateExtension;
  159.     }

  161.     /**
  162.      * Trim the component coupon if it falls outside the (optionally) specified coupon window. Note that
  163.      *  trimming the coupon ceiling takes precedence over hiking the coupon floor.
  164.      * 
  165.      * @param dblCouponRate Input Coupon Rate
  166.      * @param dblDate Input Date representing the period that the coupon belongs to
  167.      * 
  168.      * @return The "trimmed" coupon Rate
  169.      * 
  170.      * @throws java.lang.Exception Thrown if inputs are invalid
  171.      */

  173.     public double processCouponWindow (
  174.         final double dblCouponRate,
  175.         final double dblDate)
  176.         throws java.lang.Exception
  177.     {
  178.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblCouponRate) ||
  179.             !org.drip.numerical.common.NumberUtil.IsValid (dblDate))
  180.             throw new java.lang.Exception ("CouponSetting::processCouponWindow => Invalid Inputs");

  182.         if (!org.drip.numerical.common.NumberUtil.IsValid (_dblCouponCeilingRate) &&
  183.             !org.drip.numerical.common.NumberUtil.IsValid (_dblCouponFloorRate))
  184.             return dblCouponRate;

  186.         if (!!org.drip.numerical.common.NumberUtil.IsValid (_dblCouponCeilingRate) && dblCouponRate >
  187.             _dblCouponCeilingRate)
  188.             return _dblCouponCeilingRate;

  190.         if (!!org.drip.numerical.common.NumberUtil.IsValid (_dblCouponFloorRate) && dblCouponRate <
  191.             _dblCouponFloorRate)
  192.             return _dblCouponFloorRate;

  194.         return dblCouponRate;
  195.     }

  197.     @Override public boolean validate()
  198.     {
  199.         if (!org.drip.numerical.common.NumberUtil.IsValid (_dblCouponRate) ||
  200.             !org.drip.numerical.common.NumberUtil.IsValid (_dblCouponRateExtension))
  201.             return false;

  203.         if (null == _fs) _fs = org.drip.numerical.common.Array2D.BulletSchedule();

  205.         if (org.drip.numerical.common.NumberUtil.IsValid (_dblCouponCeilingRate) &&
  206.             org.drip.numerical.common.NumberUtil.IsValid (_dblCouponFloorRate) && _dblCouponCeilingRate <
  207.                 _dblCouponFloorRate)
  208.             return false;

  210.         return true;
  211.     }

  213.     /**
  214.      * Retrieve the Factor Schedule
  215.      * 
  216.      * @return The Factor Schedule
  217.      */

  219.     public org.drip.numerical.common.Array2D factorSchedule()
  220.     {
  221.         return _fs;
  222.     }

  224.     /**
  225.      * Retrieve the Coupon Type
  226.      * 
  227.      * @return The Coupon Type
  228.      */

  230.     public java.lang.String couponType()
  231.     {
  232.         return _strCouponType;
  233.     }

  235.     /**
  236.      * Retrieve the Coupon Rate
  237.      * 
  238.      * @return The Coupon Rate
  239.      */

  241.     public double couponRate()
  242.     {
  243.         return _dblCouponRate;
  244.     }

  246.     /**
  247.      * Retrieve the Coupon Rate Extension
  248.      * 
  249.      * @return The Coupon Rate Extension
  250.      */

  252.     public double couponRateExtension()
  253.     {
  254.         return _dblCouponRateExtension;
  255.     }

  257.     /**
  258.      * Retrieve the Coupon Ceiling Rate
  259.      * 
  260.      * @return The Coupon Ceiling Rate
  261.      */

  263.     public double couponCeilingRate()
  264.     {
  265.         return _dblCouponCeilingRate;
  266.     }

  268.     /**
  269.      * Retrieve the Coupon Floor Rate
  270.      * 
  271.      * @return The Coupon Floor Rate
  272.      */

  274.     public double couponFloorRate()
  275.     {
  276.         return _dblCouponFloorRate;
  277.     }
  278. }
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