CouponSetting.java
package org.drip.product.params;
/*
* -*- 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
* Copyright (C) 2013 Lakshmi Krishnamurthy
* Copyright (C) 2012 Lakshmi Krishnamurthy
* Copyright (C) 2011 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>CouponSetting</i> contains the coupon type, schedule, and the coupon amount for the component. If
* available floor and/or ceiling may also be applied to the coupon, in a pre-determined order of precedence.
* It exports serialization into and de-serialization out of byte arrays.
*
* <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/params/README.md">Fixed Income Product Customization Parameters</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class CouponSetting implements org.drip.product.params.Validatable {
private double _dblCouponRateExtension = 0.;
private java.lang.String _strCouponType = "";
private org.drip.numerical.common.Array2D _fs = null;
private double _dblCouponRate = java.lang.Double.NaN;
private double _dblCouponFloorRate = java.lang.Double.NaN;
private double _dblCouponCeilingRate = java.lang.Double.NaN;
/**
* Construct the CouponSetting from the coupon schedule, coupon type, and the coupon amount
*
* @param fs Coupon schedule
* @param strCouponType Coupon Type
* @param dblCouponRate Coupon Rate
* @param dblCouponCeilingRate Coupon Ceiling Rate
* @param dblCouponFloorRate Coupon Floor Rate
*/
public CouponSetting (
final org.drip.numerical.common.Array2D fs,
final java.lang.String strCouponType,
final double dblCouponRate,
final double dblCouponCeilingRate,
final double dblCouponFloorRate)
{
_fs = fs;
_dblCouponRate = dblCouponRate;
_strCouponType = strCouponType;
_dblCouponFloorRate = dblCouponFloorRate;
_dblCouponCeilingRate = dblCouponCeilingRate;
}
/**
* Construct the CouponSetting from the coupon schedule, coupon type, the coupon rate, and its extension
*
* @param fs Coupon schedule
* @param strCouponType Coupon Type
* @param dblCouponRate Coupon Rate
* @param dblCouponRateExtension Coupon Rate Extension
* @param dblCouponCeilingRate Coupon Ceiling Rate
* @param dblCouponFloorRate Coupon Floor Rate
*/
public CouponSetting (
final org.drip.numerical.common.Array2D fs,
final java.lang.String strCouponType,
final double dblCouponRate,
final double dblCouponRateExtension,
final double dblCouponCeilingRate,
final double dblCouponFloorRate)
{
_fs = fs;
_dblCouponRate = dblCouponRate;
_strCouponType = strCouponType;
_dblCouponFloorRate = dblCouponFloorRate;
_dblCouponCeilingRate = dblCouponCeilingRate;
_dblCouponRateExtension = dblCouponRateExtension;
}
/**
* Trim the component coupon if it falls outside the (optionally) specified coupon window. Note that
* trimming the coupon ceiling takes precedence over hiking the coupon floor.
*
* @param dblCouponRate Input Coupon Rate
* @param dblDate Input Date representing the period that the coupon belongs to
*
* @return The "trimmed" coupon Rate
*
* @throws java.lang.Exception Thrown if inputs are invalid
*/
public double processCouponWindow (
final double dblCouponRate,
final double dblDate)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblCouponRate) ||
!org.drip.numerical.common.NumberUtil.IsValid (dblDate))
throw new java.lang.Exception ("CouponSetting::processCouponWindow => Invalid Inputs");
if (!org.drip.numerical.common.NumberUtil.IsValid (_dblCouponCeilingRate) &&
!org.drip.numerical.common.NumberUtil.IsValid (_dblCouponFloorRate))
return dblCouponRate;
if (!!org.drip.numerical.common.NumberUtil.IsValid (_dblCouponCeilingRate) && dblCouponRate >
_dblCouponCeilingRate)
return _dblCouponCeilingRate;
if (!!org.drip.numerical.common.NumberUtil.IsValid (_dblCouponFloorRate) && dblCouponRate <
_dblCouponFloorRate)
return _dblCouponFloorRate;
return dblCouponRate;
}
@Override public boolean validate()
{
if (!org.drip.numerical.common.NumberUtil.IsValid (_dblCouponRate) ||
!org.drip.numerical.common.NumberUtil.IsValid (_dblCouponRateExtension))
return false;
if (null == _fs) _fs = org.drip.numerical.common.Array2D.BulletSchedule();
if (org.drip.numerical.common.NumberUtil.IsValid (_dblCouponCeilingRate) &&
org.drip.numerical.common.NumberUtil.IsValid (_dblCouponFloorRate) && _dblCouponCeilingRate <
_dblCouponFloorRate)
return false;
return true;
}
/**
* Retrieve the Factor Schedule
*
* @return The Factor Schedule
*/
public org.drip.numerical.common.Array2D factorSchedule()
{
return _fs;
}
/**
* Retrieve the Coupon Type
*
* @return The Coupon Type
*/
public java.lang.String couponType()
{
return _strCouponType;
}
/**
* Retrieve the Coupon Rate
*
* @return The Coupon Rate
*/
public double couponRate()
{
return _dblCouponRate;
}
/**
* Retrieve the Coupon Rate Extension
*
* @return The Coupon Rate Extension
*/
public double couponRateExtension()
{
return _dblCouponRateExtension;
}
/**
* Retrieve the Coupon Ceiling Rate
*
* @return The Coupon Ceiling Rate
*/
public double couponCeilingRate()
{
return _dblCouponCeilingRate;
}
/**
* Retrieve the Coupon Floor Rate
*
* @return The Coupon Floor Rate
*/
public double couponFloorRate()
{
return _dblCouponFloorRate;
}
}