CalendarAPI.java

  1. package org.drip.sample.date;

  3. import java.util.*;

  5. import org.drip.analytics.date.*;
  6. import org.drip.analytics.daycount.Convention;
  7. import org.drip.service.env.EnvManager;

  9. /*
  10.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  11.  */

  13. /*!
  14.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  15.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  16.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  17.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  18.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  19.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  20.  * Copyright (C) 2014 Lakshmi Krishnamurthy
  21.  * Copyright (C) 2013 Lakshmi Krishnamurthy
  22.  * Copyright (C) 2012 Lakshmi Krishnamurthy
  23.  * 
  24.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  25.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  26.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  27.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  28.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  29.  *      and computational support.
  30.  *  
  31.  *      https://lakshmidrip.github.io/DROP/
  32.  *  
  33.  *  DROP is composed of three modules:
  34.  *  
  35.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  36.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  37.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  38.  * 
  39.  *  DROP Product Core implements libraries for the following:
  40.  *  - Fixed Income Analytics
  41.  *  - Loan Analytics
  42.  *  - Transaction Cost Analytics
  43.  * 
  44.  *  DROP Portfolio Core implements libraries for the following:
  45.  *  - Asset Allocation Analytics
  46.  *  - Asset Liability Management Analytics
  47.  *  - Capital Estimation Analytics
  48.  *  - Exposure Analytics
  49.  *  - Margin Analytics
  50.  *  - XVA Analytics
  51.  * 
  52.  *  DROP Computational Core implements libraries for the following:
  53.  *  - Algorithm Support
  54.  *  - Computation Support
  55.  *  - Function Analysis
  56.  *  - Model Validation
  57.  *  - Numerical Analysis
  58.  *  - Numerical Optimizer
  59.  *  - Spline Builder
  60.  *  - Statistical Learning
  61.  * 
  62.  *  Documentation for DROP is Spread Over:
  63.  * 
  64.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  65.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  66.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  67.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  68.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  69.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  70.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  71.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  72.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  73.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  74.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  75.  * 
  76.  *  Licensed under the Apache License, Version 2.0 (the "License");
  77.  *      you may not use this file except in compliance with the License.
  78.  *   
  79.  *  You may obtain a copy of the License at
  80.  *      http://www.apache.org/licenses/LICENSE-2.0
  81.  *  
  82.  *  Unless required by applicable law or agreed to in writing, software
  83.  *      distributed under the License is distributed on an "AS IS" BASIS,
  84.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  85.  *  
  86.  *  See the License for the specific language governing permissions and
  87.  *      limitations under the License.
  88.  */

  90. /**
  91.  * <i>CalendarAPI</i> demonstrates Calendar API Functionality.
  92.  *  
  93.  * <br><br>
  94.  *  <ul>
  95.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  96.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  97.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/README.md">DROP API Construction and Usage</a></li>
  98.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/date/README.md">Calendar Date Roll Day Count</a></li>
  99.  *  </ul>
  100.  * <br><br>
  101.  * 
  102.  * @author Lakshmi Krishnamurthy
  103.  */

  105. public class CalendarAPI {

  107.     /**
  108.      * Sample demonstrating the calendar API
  109.      * 
  110.      *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
  111.      */

  113.     private static final void CalenderAPISample()
  114.         throws Exception
  115.     {
  116.         /*
  117.          * Get all the holiday locations in CreditAnalytics
  118.          */

  120.         /* Set<String> setLoc = CreditAnalytics.GetHolLocations();

  122.         System.out.println ("Num Hol Locations: " + setLoc.size());

  124.         for (String strLoc : setLoc)
  125.             System.out.println (strLoc); */

  127.         /*
  128.          * Get all the holidays in the year according the calendar set
  129.          */

  131.         /* JulianDate[] adtHols = CreditAnalytics.GetHolsInYear (
  132.             "USD,GBP",
  133.             2011
  134.         );

  136.         System.out.println ("USD,GBP has " + adtHols.length + " hols");

  138.         for (int i = 0; i < adtHols.length; ++i)
  139.             System.out.println (adtHols[i]); */

  141.         /*
  142.          * Get all the week day holidays in the year according the calendar set
  143.          */

  145.         /* JulianDate[] adtWeekDayHols = CreditAnalytics.GetWeekDayHolsInYear (
  146.             "USD,GBP",
  147.             2011
  148.         );

  150.         System.out.println ("USD,GBP has " + adtWeekDayHols.length + " week day hols");

  152.         for (int i = 0; i < adtWeekDayHols.length; ++i)
  153.             System.out.println (adtWeekDayHols[i]); */

  155.         /*
  156.          * Get all the weekend holidays in the year according the calendar set
  157.          */

  159.         /* JulianDate[] adtWeekendHols = CreditAnalytics.GetWeekendHolsInYear (
  160.             "USD,GBP",
  161.             2011
  162.         );

  164.         System.out.println ("USD,GBP has " + adtWeekendHols.length + " weekend hols");

  166.         for (int i = 0; i < adtWeekendHols.length; ++i)
  167.             System.out.println (adtWeekendHols[i]); */

  169.         /*
  170.          * Indicate which days correspond to the weekend for the given calendar set
  171.          */

  173.         /* int[] aiWkendDays = CreditAnalytics.GetWeekendDays ("USD,GBP");

  175.         for (int i = 0; i < aiWkendDays.length; ++i)
  176.             System.out.println (DateUtil.DayChars (aiWkendDays[i]));

  178.         System.out.println ("USD,GBP has " + aiWkendDays.length + " weekend days"); */

  180.         /*
  181.          * Check if the given day is a holiday
  182.          */

  184.         /* boolean bIsHoliday = CreditAnalytics.IsHoliday (
  185.             "USD,GBP",
  186.             DateUtil.CreateFromYMD (
  187.                 2011,
  188.                 12,
  189.                 28
  190.             )
  191.         );

  193.         System.out.println (DateUtil.CreateFromYMD (2011, 12, 28) + " is a USD,GBP holiday? " + bIsHoliday); */

  195.         JulianDate dtToday = DateUtil.Today();

  197.         /*
  198.          * List all the holidays between the specified days according to the calendar set
  199.          */

  201.         List<Integer> lsHols = Convention.HolidaySet
  202.             (dtToday.julian(), dtToday.addYears (1).julian(), "USD,GBP");

  204.         for (int iDate : lsHols)
  205.             System.out.println (new JulianDate (iDate).toOracleDate());
  206.     }

  208.     public static final void main (
  209.         final String astrArgs[])
  210.         throws Exception
  211.     {
  212.         // String strConfig = "c:\\Lakshmi\\BondAnal\\Config.xml";

  214.         String strConfig = "";

  216.         EnvManager.InitEnv (strConfig);

  218.         CalenderAPISample();

  220.         EnvManager.TerminateEnv();
  221.     }
  222. }
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