LastTradingDateSetting.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
 * 
 *  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>LastTradingDateSetting</i> contains the Last Trading Date Generation Scheme for the given Option.
 * 
 * <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 LastTradingDateSetting {

	/**
	 * Quarterly Mid-Curve Option
	 */

	public static final int MID_CURVE_OPTION_QUARTERLY = 0;

	/**
	 * Serial Mid-Curve Option
	 */

	public static final int MID_CURVE_OPTION_SERIAL = 1;

	/**
	 * Generic Mid-Curve Option
	 */

	public static final int MID_CURVE_OPTION = 2;

	private int _iMidCurveOptionType = -1;
	private java.lang.String _strLastTradeExerciseLag = "";
	private int _iLastTradingDate = java.lang.Integer.MIN_VALUE;

	/**
	 * Retrieve the String Version of the Mid Curve Option Setting
	 * 
	 * @param iMidCurveOptionType The Mid Curve Option Type
	 * 
	 * @return String Version of the Mid Curve Option Setting
	 */

	public static final java.lang.String MidCurveOptionString (
		final int iMidCurveOptionType)
	{
		if (MID_CURVE_OPTION_QUARTERLY == iMidCurveOptionType) return "QUARTERLY";

		if (MID_CURVE_OPTION_SERIAL == iMidCurveOptionType) return "SERIAL";

		if (MID_CURVE_OPTION == iMidCurveOptionType) return "REGULAR";

		return null;
	}

	/**
	 * LastTradingDateSetting Constructor
	 * 
	 * @param iMidCurveOptionType Mid Curve Option Type
	 * @param strLastTradeExerciseLag Lag between the Exercise Date and the Last Option Trading Date
	 * @param iLastTradingDate The Last Trading Date
	 * 
	 * @throws java.lang.Exception Thrown if the Inputs are invalid
	 */

	public LastTradingDateSetting (
		final int iMidCurveOptionType,
		final java.lang.String strLastTradeExerciseLag,
		final int iLastTradingDate)
		throws java.lang.Exception
	{
		if (MID_CURVE_OPTION_QUARTERLY != (_iMidCurveOptionType = iMidCurveOptionType) &&
			MID_CURVE_OPTION_SERIAL != _iMidCurveOptionType && MID_CURVE_OPTION != _iMidCurveOptionType)
			throw new java.lang.Exception ("LastTradingDateSetting ctr => Invalid Inputs");

		_iLastTradingDate = iLastTradingDate;
		_strLastTradeExerciseLag = strLastTradeExerciseLag;

		if ((MID_CURVE_OPTION == _iMidCurveOptionType && (null == _strLastTradeExerciseLag ||
			_strLastTradeExerciseLag.isEmpty())) || (MID_CURVE_OPTION_SERIAL == _iMidCurveOptionType &&
				!org.drip.numerical.common.NumberUtil.IsValid (_iLastTradingDate)))
			throw new java.lang.Exception ("LastTradingDateSetting ctr => Invalid Inputs");
	}

	/**
	 * Retrieve the Mid-Curve Option Type
	 * 
	 * @return The Mid-Curve Option Type
	 */

	public int midCurveOptionType()
	{
		return _iMidCurveOptionType;
	}

	/**
	 * Retrieve the Lag between the Last Trading and Exercise Date
	 * 
	 * @return The Lag between the Last Trading and Exercise Date
	 */

	public java.lang.String lastTradeExerciseLag()
	{
		return _strLastTradeExerciseLag;
	}

	/**
	 * Retrieve the Last Trading Date
	 * 
	 * @return The Last Trading Date
	 */

	public double lastTradingDate()
	{
		return _iLastTradingDate;
	}

	/**
	 * Compute the Last Trading Date
	 * 
	 * @param iUnderlyingLastTradingDate The Last Trading Date for the Underlying
	 * @param strCalendar The Calendar
	 * 
	 * @return The Last Trading Date
	 */

	public int lastTradingDate (
		final int iUnderlyingLastTradingDate,
		final java.lang.String strCalendar)
	{
		if (MID_CURVE_OPTION_SERIAL == _iMidCurveOptionType) return _iLastTradingDate;

		if (MID_CURVE_OPTION_QUARTERLY == _iMidCurveOptionType) return iUnderlyingLastTradingDate;

		return new org.drip.analytics.date.JulianDate (iUnderlyingLastTradingDate).subtractTenorAndAdjust
			(_strLastTradeExerciseLag, strCalendar).julian();
	}

	@Override public java.lang.String toString()
	{
		java.lang.String str = "MID CURVE OPTION::" + MidCurveOptionString (_iMidCurveOptionType);

		if (MID_CURVE_OPTION_QUARTERLY == _iMidCurveOptionType) return str;

		if (MID_CURVE_OPTION == _iMidCurveOptionType) return str + "@" + _strLastTradeExerciseLag;

		if (MID_CURVE_OPTION_SERIAL == _iMidCurveOptionType) return str + "@" + _iLastTradingDate;

		return null;
	}
}