ExchangeInstrumentBuilder.java

  1. package org.drip.service.template;

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

  81. /**
  82.  * <i>ExchangeInstrumentBuilder</i> contains static Helper API to facilitate Construction of Exchange-traded
  83.  * Instruments.
  84.  * 
  85.  * <br><br>
  86.  *  <ul>
  87.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  88.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationSupportLibrary.md">Computation Support</a></li>
  89.  *      <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>
  90.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/service/template/README.md">Curve Construction Product Builder Templates</a></li>
  91.  *  </ul>
  92.  * <br><br>
  93.  *
  94.  * @author Lakshmi Krishnamurthy
  95.  */

  97. public class ExchangeInstrumentBuilder {

  99.     /**
  100.      * Generate a Forward Rate Futures Contract corresponding to the Spot Date
  101.      * 
  102.      * @param dtSpot Spot date specifying the contract issue
  103.      * @param strCurrency Contract Currency
  104.      * 
  105.      * @return Forward Rate Futures Component
  106.      */

  108.     public static org.drip.product.rates.SingleStreamComponent ForwardRateFutures (
  109.         final org.drip.analytics.date.JulianDate dtSpot,
  110.         final java.lang.String strCurrency)
  111.     {
  112.         if (null == dtSpot) return null;

  114.         org.drip.product.rates.SingleStreamComponent[] aFutures =
  115.             org.drip.product.creator.SingleStreamComponentBuilder.ForwardRateFuturesPack (dtSpot.addBusDays
  116.                 (0, strCurrency), 1, strCurrency);

  118.         return null == aFutures || 1 != aFutures.length ? null : aFutures[0];
  119.     }

  121.     /**
  122.      * Generate a Forward Rate Futures Pack corresponding to the Spot Date and the Specified Number of
  123.      *  Contracts
  124.      * 
  125.      * @param dtSpot Spot date specifying the contract issue
  126.      * @param iNumContract Number of contracts
  127.      * @param strCurrency Contract currency
  128.      * 
  129.      * @return Array containing the Forward Rate Futures Pack
  130.      */

  132.     public static org.drip.product.rates.SingleStreamComponent[] ForwardRateFuturesPack (
  133.         final org.drip.analytics.date.JulianDate dtSpot,
  134.         final int iNumContract,
  135.         final java.lang.String strCurrency)
  136.     {
  137.         return null == dtSpot ? null :
  138.             org.drip.product.creator.SingleStreamComponentBuilder.ForwardRateFuturesPack (dtSpot.addBusDays
  139.                 (0, strCurrency), iNumContract, strCurrency);
  140.     }

  142.     /**
  143.      * Generate an Instance of Treasury Futures given the Inputs
  144.      * 
  145.      * @param dtSpot The Futures Spot Date
  146.      * @param strCode The Treasury Code
  147.      * @param adtEffective Array of Effective Dates
  148.      * @param adtMaturity Array of Maturity Dates
  149.      * @param adblCoupon Array of Coupons
  150.      * @param adblConversionFactor The Bond Conversion Factor
  151.      * @param strUnderlierType The Underlier Type, e.g., TREASURY
  152.      * @param strUnderlierSubtype The Futures Underlier Sub-type, i.e., BONDS
  153.      * @param strMaturityTenor The Futures Maturity Tenor
  154.      * 
  155.      * @return The Treasury Futures Instance
  156.      */

  158.     public static org.drip.product.govvie.TreasuryFutures TreasuryFutures (
  159.         final org.drip.analytics.date.JulianDate dtSpot,
  160.         final java.lang.String strCode,
  161.         final org.drip.analytics.date.JulianDate[] adtEffective,
  162.         final org.drip.analytics.date.JulianDate[] adtMaturity,
  163.         final double[] adblCoupon,
  164.         final double[] adblConversionFactor,
  165.         final java.lang.String strUnderlierType,
  166.         final java.lang.String strUnderlierSubtype,
  167.         final java.lang.String strMaturityTenor)
  168.     {
  169.         if (null == dtSpot) return null;

  171.         try {
  172.             org.drip.product.govvie.TreasuryFutures tsyFutures = new org.drip.product.govvie.TreasuryFutures
  173.                 (org.drip.service.template.TreasuryBuilder.FromCode (strCode, adtEffective, adtMaturity,
  174.                     adblCoupon), adblConversionFactor, null);

  176.             java.lang.String strCurrency = tsyFutures.basket()[0].currency();

  178.             if (!tsyFutures.setExpiry (dtSpot.addBusDays (0, strCurrency).nextBondFuturesIMM (3,
  179.                 strCurrency)))
  180.                 return null;

  182.             tsyFutures.setType (strCode);

  184.             org.drip.market.exchange.TreasuryFuturesConvention bfc =
  185.                 org.drip.market.exchange.TreasuryFuturesConventionContainer.FromJurisdictionTypeMaturity
  186.                     (strCurrency, strUnderlierType, strUnderlierSubtype, strMaturityTenor);

  188.             if (null == bfc) return tsyFutures;

  190.             double dblBasketNotional = bfc.basketNotional();

  192.             double dblMinimumPriceMovement = bfc.minimumPriceMovement();

  194.             tsyFutures.setNotionalValue (dblBasketNotional);

  196.             tsyFutures.setMinimumPriceMovement (dblMinimumPriceMovement);

  198.             tsyFutures.setTickValue (dblBasketNotional * dblMinimumPriceMovement);

  200.             org.drip.market.exchange.TreasuryFuturesEligibility bfe = bfc.eligibility();

  202.             if (null != bfe) {
  203.                 tsyFutures.setMaximumMaturity (bfe.maturityCeiling());

  205.                 tsyFutures.setMinimumMaturity (bfe.maturityFloor());
  206.             }

  208.             org.drip.market.exchange.TreasuryFuturesSettle bfs = bfc.settle();

  210.             if (null != bfs) {
  211.                 tsyFutures.setReferenceCoupon (bfs.currentReferenceYield());

  213.                 tsyFutures.setLastTradingDayLag (bfs.expiryLastTradingLag());

  215.                 tsyFutures.setDeliveryMonths (bfs.deliveryMonths());
  216.             }

  218.             return tsyFutures;
  219.         } catch (java.lang.Exception e) {
  220.             e.printStackTrace();
  221.         }

  223.         return null;
  224.     }

  226.     /**
  227.      * Generate the Treasury Futures Instance
  228.      * 
  229.      * @param dtSpot The Spot Date Instance
  230.      * @param strFuturesCode The Treasury Futures Code
  231.      * @param aiFuturesComponentTreasuryEffectiveDate Array of the Treasury Futures Component Effective Date
  232.      * @param aiFuturesComponentTreasuryMaturityDate Array of the Treasury Futures Component Maturity Date
  233.      * @param adblFuturesComponentTreasuryCoupon Array of the Treasury Futures Component Coupon
  234.      * @param adblFuturesComponentConversionFactor Array of the Treasury Futures Component Conversion Factor
  235.      * @param strFuturesComponentUnderlierSubtype Treasury Futures Component Underlier SubType (BILL/BOND)
  236.      * @param strFuturesReferenceMaturityTenor Treasury Futures Component Reference Maturity Tenor
  237.      * 
  238.      * @return The Treasury Futures Instance
  239.      */

  241.     public static final org.drip.product.govvie.TreasuryFutures TreasuryFutures (
  242.         final org.drip.analytics.date.JulianDate dtSpot,
  243.         final java.lang.String strFuturesCode,
  244.         final int[] aiFuturesComponentTreasuryEffectiveDate,
  245.         final int[] aiFuturesComponentTreasuryMaturityDate,
  246.         final double[] adblFuturesComponentTreasuryCoupon,
  247.         final double[] adblFuturesComponentConversionFactor,
  248.         final java.lang.String strFuturesComponentUnderlierSubtype,
  249.         final java.lang.String strFuturesReferenceMaturityTenor)
  250.     {
  251.         if (null == dtSpot || null == aiFuturesComponentTreasuryMaturityDate || null ==
  252.             aiFuturesComponentTreasuryEffectiveDate)
  253.             return null;

  255.         int iNumFuturesComponentMaturity = aiFuturesComponentTreasuryMaturityDate.length;
  256.         int iNumFuturesComponentEffective = aiFuturesComponentTreasuryEffectiveDate.length;
  257.         org.drip.analytics.date.JulianDate[] adtFuturesComponentTreasuryMaturity = null;
  258.         org.drip.analytics.date.JulianDate[] adtFuturesComponentTreasuryEffective = null;

  260.         if (0 != iNumFuturesComponentMaturity)
  261.             adtFuturesComponentTreasuryMaturity = new
  262.                 org.drip.analytics.date.JulianDate[iNumFuturesComponentMaturity];

  264.         if (0 != iNumFuturesComponentEffective)
  265.             adtFuturesComponentTreasuryEffective = new
  266.                 org.drip.analytics.date.JulianDate[iNumFuturesComponentEffective];

  268.         try {
  269.             for (int i = 0; i < iNumFuturesComponentMaturity; ++i)
  270.                 adtFuturesComponentTreasuryMaturity[i] = new org.drip.analytics.date.JulianDate
  271.                     (aiFuturesComponentTreasuryMaturityDate[i]);

  273.             for (int i = 0; i < iNumFuturesComponentEffective; ++i)
  274.                 adtFuturesComponentTreasuryEffective[i] = new org.drip.analytics.date.JulianDate
  275.                     (aiFuturesComponentTreasuryEffectiveDate[i]);
  276.         } catch (java.lang.Exception e) {
  277.             e.printStackTrace();

  279.             return null;
  280.         }

  282.         return TreasuryFutures (dtSpot, strFuturesCode, adtFuturesComponentTreasuryEffective,
  283.             adtFuturesComponentTreasuryMaturity, adblFuturesComponentTreasuryCoupon,
  284.                 adblFuturesComponentConversionFactor, "TREASURY", strFuturesComponentUnderlierSubtype,
  285.                     strFuturesReferenceMaturityTenor);
  286.     }

  288.     /**
  289.      * Generate the Treasury Futures Instance
  290.      * 
  291.      * @param dtSpot The Spot Date Instance
  292.      * @param strFuturesCode The Treasury Futures Code
  293.      * @param aiFuturesComponentTreasuryEffectiveDate Array of the Treasury Futures Component Effective Date
  294.      * @param aiFuturesComponentTreasuryMaturityDate Array of the Treasury Futures Component Maturity Date
  295.      * @param adblFuturesComponentTreasuryCoupon Array of the Treasury Futures Component Coupon
  296.      * @param adblFuturesComponentConversionFactor Array of the Treasury Futures Component Conversion Factor
  297.      * 
  298.      * @return The Treasury Futures Instance
  299.      */

  301.     public static final org.drip.product.govvie.TreasuryFutures TreasuryFutures (
  302.         final org.drip.analytics.date.JulianDate dtSpot,
  303.         final java.lang.String strFuturesCode,
  304.         final int[] aiFuturesComponentTreasuryEffectiveDate,
  305.         final int[] aiFuturesComponentTreasuryMaturityDate,
  306.         final double[] adblFuturesComponentTreasuryCoupon,
  307.         final double[] adblFuturesComponentConversionFactor)
  308.     {
  309.         org.drip.market.exchange.TreasuryFuturesContract tfc =
  310.             org.drip.market.exchange.TreasuryFuturesContractContainer.TreasuryFuturesContract
  311.                 (strFuturesCode);

  313.         return null == tfc ? null : TreasuryFutures (dtSpot, tfc.code(),
  314.             aiFuturesComponentTreasuryEffectiveDate, aiFuturesComponentTreasuryMaturityDate,
  315.                 adblFuturesComponentTreasuryCoupon, adblFuturesComponentConversionFactor, tfc.type(),
  316.                     tfc.tenor());
  317.     }
  318. }
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