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;
}
}