DiscountCurveInputInstrument.java

  1. package org.drip.service.api;

  3. /*
  4.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  5.  */

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  11.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  12.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  13.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  14.  * Copyright (C) 2014 Lakshmi Krishnamurthy
  15.  * Copyright (C) 2013 Lakshmi Krishnamurthy
  16.  * 
  17.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  18.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  19.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  20.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  21.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  22.  *      and computational support.
  23.  *  
  24.  *      https://lakshmidrip.github.io/DROP/
  25.  *  
  26.  *  DROP is composed of three modules:
  27.  *  
  28.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  29.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  30.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  31.  * 
  32.  *  DROP Product Core implements libraries for the following:
  33.  *  - Fixed Income Analytics
  34.  *  - Loan Analytics
  35.  *  - Transaction Cost Analytics
  36.  * 
  37.  *  DROP Portfolio Core implements libraries for the following:
  38.  *  - Asset Allocation Analytics
  39.  *  - Asset Liability Management Analytics
  40.  *  - Capital Estimation Analytics
  41.  *  - Exposure Analytics
  42.  *  - Margin Analytics
  43.  *  - XVA Analytics
  44.  * 
  45.  *  DROP Computational Core implements libraries for the following:
  46.  *  - Algorithm Support
  47.  *  - Computation Support
  48.  *  - Function Analysis
  49.  *  - Model Validation
  50.  *  - Numerical Analysis
  51.  *  - Numerical Optimizer
  52.  *  - Spline Builder
  53.  *  - Statistical Learning
  54.  * 
  55.  *  Documentation for DROP is Spread Over:
  56.  * 
  57.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  58.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  59.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  60.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  61.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  62.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  63.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  64.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  65.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  66.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  67.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  68.  * 
  69.  *  Licensed under the Apache License, Version 2.0 (the "License");
  70.  *      you may not use this file except in compliance with the License.
  71.  *   
  72.  *  You may obtain a copy of the License at
  73.  *      http://www.apache.org/licenses/LICENSE-2.0
  74.  *  
  75.  *  Unless required by applicable law or agreed to in writing, software
  76.  *      distributed under the License is distributed on an "AS IS" BASIS,
  77.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  78.  *  
  79.  *  See the License for the specific language governing permissions and
  80.  *      limitations under the License.
  81.  */

  83. /**
  84.  * <i>DiscountCurveInputInstrument</i> contains the input instruments and their quotes.
  85.  * 
  86.  * <br><br>
  87.  *  <ul>
  88.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  89.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationSupportLibrary.md">Computation Support</a></li>
  90.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/service/README.md">Environment, Product/Definition Containers, and Scenario/State Manipulation APIs</a></li>
  91.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/service/api/README.md">Horizon Roll Attribution Service API</a></li>
  92.  *  </ul>
  93.  * <br><br>
  94.  * 
  95.  * @author Lakshmi Krishnamurthy
  96.  */

  98. public class DiscountCurveInputInstrument {
  99.     private org.drip.analytics.date.JulianDate _dt = null;
  100.     private java.util.List<java.lang.Double> _lsCashQuote = null;
  101.     private java.util.List<java.lang.String> _lsCashTenor = null;
  102.     private java.util.List<java.lang.Double> _lsSwapQuote = null;
  103.     private java.util.List<java.lang.String> _lsSwapTenor = null;
  104.     private java.util.List<java.lang.Double> _lsFutureQuote = null;
  105.     private java.util.List<java.lang.String> _lsFutureTenor = null;

  107.     /**
  108.      * DiscountCurveInputInstrument constructor
  109.      * 
  110.      * @param dt Curve Epoch Date
  111.      * @param lsCashTenor List of Cash Tenors
  112.      * @param lsCashQuote List of Cash Quotes
  113.      * @param lsFutureTenor List of Future Tenors
  114.      * @param lsFutureQuote List of Future Quotes
  115.      * @param lsSwapTenor List of Swap Tenors
  116.      * @param lsSwapQuote List of Swap Quotes
  117.      * 
  118.      * @throws java.lang.Exception Thrown if Inputs are invalid
  119.      */

  121.     public DiscountCurveInputInstrument (
  122.         final org.drip.analytics.date.JulianDate dt,
  123.         final java.util.List<java.lang.String> lsCashTenor,
  124.         final java.util.List<java.lang.Double> lsCashQuote,
  125.         final java.util.List<java.lang.String> lsFutureTenor,
  126.         final java.util.List<java.lang.Double> lsFutureQuote,
  127.         final java.util.List<java.lang.String> lsSwapTenor,
  128.         final java.util.List<java.lang.Double> lsSwapQuote)
  129.         throws java.lang.Exception
  130.     {
  131.         if (null == (_dt = dt))
  132.             throw new java.lang.Exception ("DiscountCurveInputInstrument ctr: Invalid Inputs");

  134.         int iNumCashQuote = null == (_lsCashQuote = lsCashQuote) ? 0 : _lsCashQuote.size();

  136.         int iNumCashTenor = null == (_lsCashTenor = lsCashTenor) ? 0 : _lsCashTenor.size();

  138.         int iNumFutureQuote = null == (_lsFutureQuote = lsFutureQuote) ? 0 : _lsFutureQuote.size();

  140.         int iNumFutureTenor = null == (_lsFutureTenor = lsFutureTenor) ? 0 : _lsFutureTenor.size();

  142.         int iNumSwapQuote = null == (_lsSwapQuote = lsSwapQuote) ? 0 : _lsSwapQuote.size();

  144.         int iNumSwapTenor = null == (_lsSwapTenor = lsSwapTenor) ? 0 : _lsSwapTenor.size();

  146.         if (iNumCashQuote != iNumCashTenor || iNumFutureQuote != iNumFutureTenor || iNumSwapQuote !=
  147.             iNumSwapTenor || (0 == iNumCashTenor && 0 == iNumFutureTenor && 0 == iNumSwapTenor))
  148.             throw new java.lang.Exception ("DiscountCurveInputInstrument ctr: Invalid Inputs");
  149.     }

  151.     /**
  152.      * Retrieve the Curve Epoch Date
  153.      * 
  154.      * @return The Curve Epoch Date
  155.      */

  157.     public org.drip.analytics.date.JulianDate date()
  158.     {
  159.         return _dt;
  160.     }

  162.     /**
  163.      * Retrieve the Array of Cash Quotes
  164.      * 
  165.      * @return The Array of Cash Quotes
  166.      */

  168.     public double[] cashQuote()
  169.     {
  170.         if (null == _lsCashQuote) return null;

  172.         int iNumQuote = _lsCashQuote.size();

  174.         if (0 == iNumQuote) return null;

  176.         int i = 0;
  177.         double[] adblQuote = new double[iNumQuote];

  179.         for (double dblQuote : _lsCashQuote)
  180.             adblQuote[i++] = dblQuote;

  182.         return adblQuote;
  183.     }

  185.     /**
  186.      * Retrieve the Array of Cash Tenors
  187.      * 
  188.      * @return The Array of Cash Tenors
  189.      */

  191.     public java.lang.String[] cashTenor()
  192.     {
  193.         if (null == _lsCashTenor) return null;

  195.         int iNumTenor = _lsCashTenor.size();

  197.         if (0 == iNumTenor) return null;

  199.         int i = 0;
  200.         java.lang.String[] astrTenor = new java.lang.String[iNumTenor];

  202.         for (java.lang.String strTenor : _lsCashTenor)
  203.             astrTenor[i++] = strTenor;

  205.         return astrTenor;
  206.     }

  208.     /**
  209.      * Retrieve the Array of Future Quotes
  210.      * 
  211.      * @return The Array of Future Quotes
  212.      */

  214.     public double[] futureQuote()
  215.     {
  216.         if (null == _lsFutureQuote) return null;

  218.         int iNumQuote = _lsFutureQuote.size();

  220.         if (0 == iNumQuote) return null;

  222.         int i = 0;
  223.         double[] adblQuote = new double[iNumQuote];

  225.         for (double dblQuote : _lsFutureQuote)
  226.             adblQuote[i++] = dblQuote;

  228.         return adblQuote;
  229.     }

  231.     /**
  232.      * Retrieve the Array of Future Tenors
  233.      * 
  234.      * @return The Array of Future Tenors
  235.      */

  237.     public java.lang.String[] futureTenor()
  238.     {
  239.         if (null == _lsFutureTenor) return null;

  241.         int iNumTenor = _lsFutureTenor.size();

  243.         if (0 == iNumTenor) return null;

  245.         int i = 0;
  246.         java.lang.String[] astrTenor = new java.lang.String[iNumTenor];

  248.         for (java.lang.String strTenor : _lsFutureTenor)
  249.             astrTenor[i++] = strTenor;

  251.         return astrTenor;
  252.     }

  254.     /**
  255.      * Retrieve the Array of Swap Quotes
  256.      * 
  257.      * @return The Array of Swap Quotes
  258.      */

  260.     public double[] swapQuote()
  261.     {
  262.         if (null == _lsSwapQuote) return null;

  264.         int iNumQuote = _lsSwapQuote.size();

  266.         if (0 == iNumQuote) return null;

  268.         int i = 0;
  269.         double[] adblQuote = new double[iNumQuote];

  271.         for (double dblQuote : _lsSwapQuote)
  272.             adblQuote[i++] = dblQuote;

  274.         return adblQuote;
  275.     }

  277.     /**
  278.      * Retrieve the Array of Swap Tenors
  279.      * 
  280.      * @return The Array of Swap Tenors
  281.      */

  283.     public java.lang.String[] swapTenor()
  284.     {
  285.         if (null == _lsSwapTenor) return null;

  287.         int iNumTenor = _lsSwapTenor.size();

  289.         if (0 == iNumTenor) return null;

  291.         int i = 0;
  292.         java.lang.String[] astrTenor = new java.lang.String[iNumTenor];

  294.         for (java.lang.String strTenor : _lsSwapTenor)
  295.             astrTenor[i++] = strTenor;

  297.         return astrTenor;
  298.     }
  299. }
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