NotionalSetting.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>NotionalSetting</i> contains the product's notional schedule and the amount. It also incorporates hints
 * on how the notional factors are to be interpreted - off of the original or the current notional. Further
 * flags tell whether the notional factor is to be applied at the start/end/average of the coupon period. 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 NotionalSetting implements org.drip.product.params.Validatable {

    /**
     * Period amortization proxies to the period start factor
     */

    public static final int PERIOD_AMORT_AT_START = 1;

    /**
     * Period amortization proxies to the period end factor
     */

    public static final int PERIOD_AMORT_AT_END = 2;

    /**
     * Period amortization proxies to the period effective factor
     */

    public static final int PERIOD_AMORT_EFFECTIVE = 3;

    private boolean _bPriceOffOriginalNotional = false;
    private java.lang.String _strDenominationCurrency = "";
    private double _dblNotionalAmount = java.lang.Double.NaN;
    private int _iPeriodAmortizationMode = PERIOD_AMORT_AT_START;
    private org.drip.numerical.common.Array2D _fsOutstanding = null;

    /**
     * Construct the NotionalSetting from the notional schedule and the amount.
     * 
     * @param fsOutstanding Outstanding Factor Schedule
     * @param dblNotionalAmount Notional Amount
     * @param strDenominationCurrency The Currency of Denomination
     * @param iPeriodAmortizationMode Period Amortization Proxy Mode
     * @param bPriceOffOriginalNotional Indicates whether the price is based off of the original notional
     */

    public NotionalSetting (
        final double dblNotionalAmount,
        final java.lang.String strDenominationCurrency,
        final org.drip.numerical.common.Array2D fsOutstanding,
        final int iPeriodAmortizationMode,
        final boolean bPriceOffOriginalNotional)
    {
        _fsOutstanding = fsOutstanding;
        _dblNotionalAmount = dblNotionalAmount;
        _iPeriodAmortizationMode = iPeriodAmortizationMode;
        _strDenominationCurrency = strDenominationCurrency;
        _bPriceOffOriginalNotional = bPriceOffOriginalNotional;
    }

    @Override public boolean validate()
    {
        if (!org.drip.numerical.common.NumberUtil.IsValid (_dblNotionalAmount) || null ==
            _strDenominationCurrency || _strDenominationCurrency.isEmpty())
            return false;

        if (null == _fsOutstanding) _fsOutstanding = org.drip.numerical.common.Array2D.BulletSchedule();

        return true;
    }

    /**
     * Retrieve the Notional Amount
     * 
     * @return The Notional Amount
     */

    public double notionalAmount()
    {
        return _dblNotionalAmount;
    }

    /**
     * Retrieve "Price Off Of Original Notional" Flag
     * 
     * @return TRUE - Price Quote is based off of the original notional
     */

    public boolean priceOffOfOriginalNotional()
    {
        return _bPriceOffOriginalNotional;
    }

    /**
     * Retrieve the Period Amortization Mode
     * 
     * @return The Period Amortization Mode
     */

    public int periodAmortizationMode()
    {
        return _iPeriodAmortizationMode;
    }

    /**
     * Retrieve the Outstanding Factor Schedule
     * 
     * @return The Outstanding Factor Schedule
     */

    public org.drip.numerical.common.Array2D outstandingFactorSchedule()
    {
        return _fsOutstanding;
    }

    /**
     * Currency in which the Notional is specified
     * 
     * @return The Currency of Denomination
     */

    public java.lang.String denominationCurrency()
    {
        return _strDenominationCurrency;
    }
}