CurrencyPair.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>CurrencyPair</i> class contains the numerator currency, the denominator currency, the quote currency,
* and the PIP Factor. 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 CurrencyPair {
private java.lang.String _strNumCcy = "";
private java.lang.String _strDenomCcy = "";
private java.lang.String _strQuoteCcy = "";
private double _dblPIPFactor = java.lang.Double.NaN;
/**
* Construct the Currency Pair from the Code
*
* @param strCode Currency Pair Code
*
* @return The Currency Pair
*/
public static final CurrencyPair FromCode (
final java.lang.String strCode)
{
if (null == strCode || strCode.isEmpty()) return null;
java.lang.String[] astrCcy = strCode.split ("/");
if (null == astrCcy || 2 != astrCcy.length || null == astrCcy[0] || astrCcy[0].isEmpty() || null ==
astrCcy[1] || astrCcy[1].isEmpty())
return null;
try {
return new CurrencyPair (astrCcy[0], astrCcy[1], astrCcy[0], 1.);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* Construct the currency pair from the numerator currency, the denominator currency, the quote
* currency, and the PIP Factor
*
* @param strNumCcy Numerator currency
* @param strDenomCcy Denominator currency
* @param strQuoteCcy Quote Currency
* @param dblPIPFactor PIP Factor
*
* @throws java.lang.Exception Thrown if the inputs are invalid
*/
public CurrencyPair (
final java.lang.String strNumCcy,
final java.lang.String strDenomCcy,
final java.lang.String strQuoteCcy,
final double dblPIPFactor)
throws java.lang.Exception
{
if (null == strNumCcy || strNumCcy.isEmpty() || null == strDenomCcy || strDenomCcy.isEmpty() || null
== strQuoteCcy || strNumCcy.equalsIgnoreCase (strDenomCcy) || (!strQuoteCcy.equalsIgnoreCase
(strNumCcy) && !strQuoteCcy.equalsIgnoreCase (strDenomCcy)) ||
!org.drip.numerical.common.NumberUtil.IsValid (dblPIPFactor))
throw new java.lang.Exception ("CurrencyPair ctr: Invalid parameters");
_strNumCcy = strNumCcy;
_strDenomCcy = strDenomCcy;
_strQuoteCcy = strQuoteCcy;
_dblPIPFactor = dblPIPFactor;
}
/**
* Get the numerator currency
*
* @return Numerator currency
*/
public java.lang.String numCcy()
{
return _strNumCcy;
}
/**
* Get the denominator currency
*
* @return Denominator currency
*/
public java.lang.String denomCcy()
{
return _strDenomCcy;
}
/**
* Get the quote currency
*
* @return Quote currency
*/
public java.lang.String quoteCcy()
{
return _strQuoteCcy;
}
/**
* Get the currency pair code
*
* @return Currency pair code
*/
public java.lang.String code()
{
return _strNumCcy + "/" + _strDenomCcy;
}
/**
* Get the inverse currency pair code
*
* @return The Inverse Currency pair code
*/
public java.lang.String inverseCode()
{
return _strDenomCcy + "/" + _strNumCcy;
}
/**
* Get the PIP Factor
*
* @return PIP Factor
*/
public double pipFactor()
{
return _dblPIPFactor;
}
@Override public java.lang.String toString()
{
return _strNumCcy + " | " + _strDenomCcy + " | " + _strQuoteCcy + " | " + _dblPIPFactor;
}
}