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;
}
}