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;
    }
}