OTCInstrumentBuilder.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>OTCInstrumentBuilder</i> contains static Helper API to facilitate Construction of OTC Instruments.
  83.  * 
  84.  * <br><br>
  85.  *  <ul>
  86.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  87.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationSupportLibrary.md">Computation Support</a></li>
  88.  *      <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>
  89.  *      <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>
  90.  *  </ul>
  91.  * <br><br>
  92.  *
  93.  * @author Lakshmi Krishnamurthy
  94.  */

  96. public class OTCInstrumentBuilder {

  98.     /**
  99.      * Construct an OTC Funding Deposit Instrument from the Spot Date and the Maturity Tenor
  100.      * 
  101.      * @param dtSpot The Spot Date
  102.      * @param strCurrency Currency
  103.      * @param strMaturityTenor The Maturity Tenor
  104.      * 
  105.      * @return Funding Deposit Instrument Instance from the Spot Date and the corresponding Maturity Tenor
  106.      */

  108.     public static final org.drip.product.rates.SingleStreamComponent FundingDeposit (
  109.         final org.drip.analytics.date.JulianDate dtSpot,
  110.         final java.lang.String strCurrency,
  111.         final java.lang.String strMaturityTenor)
  112.     {
  113.         if (null == dtSpot || null == strCurrency || strCurrency.isEmpty() || null == strMaturityTenor ||
  114.             strMaturityTenor.isEmpty())
  115.             return null;

  117.         org.drip.market.otc.FixedFloatSwapConvention ffsc =
  118.             org.drip.market.otc.IBORFixedFloatContainer.ConventionFromJurisdiction (strCurrency, "ALL",
  119.                 strMaturityTenor, "MAIN");

  121.         if (null == ffsc) return null;

  123.         org.drip.state.identifier.ForwardLabel forwardLabel = ffsc.floatStreamConvention().floaterIndex();

  125.         org.drip.analytics.date.JulianDate dtEffective = dtSpot.addBusDays (0, strCurrency);

  127.         try {
  128.             java.lang.String strFloaterTenor = forwardLabel.tenor();

  130.             org.drip.analytics.date.JulianDate dtMaturity = strMaturityTenor.contains ("D") ? new
  131.                 org.drip.analytics.date.JulianDate (org.drip.analytics.daycount.Convention.AddBusinessDays
  132.                     (dtEffective.julian(), org.drip.analytics.support.Helper.TenorToDays (strMaturityTenor),
  133.                         strCurrency)) : dtEffective.addTenorAndAdjust (strMaturityTenor, strCurrency);

  135.             return new org.drip.product.rates.SingleStreamComponent ("DEPOSIT_" + strMaturityTenor, new
  136.                 org.drip.product.rates.Stream
  137.                     (org.drip.analytics.support.CompositePeriodBuilder.FloatingCompositeUnit
  138.                         (org.drip.analytics.support.CompositePeriodBuilder.EdgePair (dtEffective,
  139.                             dtMaturity), new org.drip.param.period.CompositePeriodSetting
  140.                                 (org.drip.analytics.support.Helper.TenorToFreq (strFloaterTenor),
  141.                                     strFloaterTenor, strCurrency, null, 1., null, null, null, null), new
  142.                                         org.drip.param.period.ComposableFloatingUnitSetting (strFloaterTenor,
  143.                                             org.drip.analytics.support.CompositePeriodBuilder.EDGE_DATE_SEQUENCE_SINGLE,
  144.                 null, org.drip.state.identifier.ForwardLabel.Create (strCurrency, strFloaterTenor),
  145.                     org.drip.analytics.support.CompositePeriodBuilder.REFERENCE_PERIOD_IN_ADVANCE, 0.))),
  146.                         null);
  147.         } catch (java.lang.Exception e) {
  148.             e.printStackTrace();
  149.         }

  151.         return null;
  152.     }

  154.     /**
  155.      * Construct an OTC Forward Deposit Instrument from Spot Date and the Maturity Tenor
  156.      * 
  157.      * @param dtSpot The Spot Date
  158.      * @param strMaturityTenor The Maturity Tenor
  159.      * @param forwardLabel The Forward Label
  160.      * 
  161.      * @return Forward Deposit Instrument Instance from the Spot Date and the corresponding Maturity Tenor
  162.      */

  164.     public static final org.drip.product.rates.SingleStreamComponent ForwardRateDeposit (
  165.         final org.drip.analytics.date.JulianDate dtSpot,
  166.         final java.lang.String strMaturityTenor,
  167.         final org.drip.state.identifier.ForwardLabel forwardLabel)
  168.     {
  169.         if (null == dtSpot || null == forwardLabel) return null;

  171.         java.lang.String strCalendar = forwardLabel.currency();

  173.         org.drip.analytics.date.JulianDate dtEffective = dtSpot.addBusDays (0, strCalendar);

  175.         return org.drip.product.creator.SingleStreamComponentBuilder.Deposit (dtEffective,
  176.             dtEffective.addTenor (strMaturityTenor), forwardLabel);
  177.     }

  179.     /**
  180.      * Construct an OTC Overnight Deposit Instrument from the Spot Date and the Maturity Tenor
  181.      * 
  182.      * @param dtSpot The Spot Date
  183.      * @param strCurrency Currency
  184.      * @param strMaturityTenor The Maturity Tenor
  185.      * 
  186.      * @return Overnight Deposit Instrument Instance from the Spot Date and the corresponding Maturity Tenor
  187.      */

  189.     public static final org.drip.product.rates.SingleStreamComponent OvernightDeposit (
  190.         final org.drip.analytics.date.JulianDate dtSpot,
  191.         final java.lang.String strCurrency,
  192.         final java.lang.String strMaturityTenor)
  193.     {
  194.         if (null == dtSpot) return null;

  196.         org.drip.state.identifier.OvernightLabel overnightLabel =
  197.             org.drip.state.identifier.OvernightLabel.Create (strCurrency);

  199.         if (null == overnightLabel) return null;

  201.         org.drip.analytics.date.JulianDate dtEffective = dtSpot.addBusDays (0, strCurrency);

  203.         return null == dtEffective ? null : org.drip.product.creator.SingleStreamComponentBuilder.Deposit
  204.             (dtEffective, dtEffective.addTenorAndAdjust (strMaturityTenor, strCurrency),overnightLabel);
  205.     }

  207.     /**
  208.      * Create a Standard FRA from the Spot Date, the Forward Label, and the Strike
  209.      * 
  210.      * @param dtSpot Spot Date
  211.      * @param forwardLabel The Forward Label
  212.      * @param strMaturityTenor Maturity Tenor
  213.      * @param dblStrike Futures Strike
  214.      * 
  215.      * @return The Standard FRA Instance
  216.      */

  218.     public static final org.drip.product.fra.FRAStandardComponent FRAStandard (
  219.         final org.drip.analytics.date.JulianDate dtSpot,
  220.         final org.drip.state.identifier.ForwardLabel forwardLabel,
  221.         final java.lang.String strMaturityTenor,
  222.         final double dblStrike)
  223.     {
  224.         return null == dtSpot || null == forwardLabel ? null :
  225.             org.drip.product.creator.SingleStreamComponentBuilder.FRAStandard (dtSpot.addBusDays (0,
  226.                 forwardLabel.currency()).addTenor (strMaturityTenor), forwardLabel, dblStrike);
  227.     }

  229.     /**
  230.      * Construct an OTC Standard Fix Float Swap using the specified Input Parameters
  231.      * 
  232.      * @param dtSpot The Spot Date
  233.      * @param strCurrency The OTC Currency
  234.      * @param strLocation Location
  235.      * @param strMaturityTenor Maturity Tenor
  236.      * @param strIndex Index
  237.      * @param dblCoupon Coupon
  238.      * 
  239.      * @return The OTC Standard Fix Float Swap constructed using the specified Input Parameters
  240.      */

  242.     public static final org.drip.product.rates.FixFloatComponent FixFloatStandard (
  243.         final org.drip.analytics.date.JulianDate dtSpot,
  244.         final java.lang.String strCurrency,
  245.         final java.lang.String strLocation,
  246.         final java.lang.String strMaturityTenor,
  247.         final java.lang.String strIndex,
  248.         final double dblCoupon)
  249.     {
  250.         if (null == dtSpot) return null;

  252.         org.drip.market.otc.FixedFloatSwapConvention ffsc =
  253.             org.drip.market.otc.IBORFixedFloatContainer.ConventionFromJurisdiction (strCurrency, strLocation,
  254.                 strMaturityTenor, strIndex);

  256.         return null == ffsc ? null : ffsc.createFixFloatComponent (dtSpot.addBusDays (0, strCurrency),
  257.             strMaturityTenor, dblCoupon, 0., 1.);
  258.     }

  260.     /**
  261.      * Construct a Standard Fix Float Swap Instances
  262.      * 
  263.      * @param dtSpot The Spot Date
  264.      * @param forwardLabel The Forward Label
  265.      * @param strMaturityTenor Maturity Tenor
  266.      * 
  267.      * @return A Standard Fix Float Swap Instances
  268.      */

  270.     public static final org.drip.product.rates.FixFloatComponent FixFloatCustom (
  271.         final org.drip.analytics.date.JulianDate dtSpot,
  272.         final org.drip.state.identifier.ForwardLabel forwardLabel,
  273.         final java.lang.String strMaturityTenor)
  274.     {
  275.         if (null == dtSpot || null == forwardLabel) return null;

  277.         java.lang.String strCurrency = forwardLabel.currency();

  279.         java.lang.String strForwardTenor = forwardLabel.tenor();

  281.         int iTenorInMonths = java.lang.Integer.parseInt (strForwardTenor.split ("M")[0]);

  283.         org.drip.analytics.date.JulianDate dtEffective = dtSpot.addBusDays (0, strCurrency).addDays (2);

  285.         org.drip.market.otc.FixedFloatSwapConvention ffsc =
  286.             org.drip.market.otc.IBORFixedFloatContainer.ConventionFromJurisdiction (strCurrency, "ALL",
  287.                 strMaturityTenor, "MAIN");

  289.         if (null == ffsc) return null;

  291.         try {
  292.             org.drip.param.period.ComposableFloatingUnitSetting cfusFloating = new
  293.                 org.drip.param.period.ComposableFloatingUnitSetting (strForwardTenor,
  294.                     org.drip.analytics.support.CompositePeriodBuilder.EDGE_DATE_SEQUENCE_REGULAR, null,
  295.                         forwardLabel,
  296.                             org.drip.analytics.support.CompositePeriodBuilder.REFERENCE_PERIOD_IN_ADVANCE,
  297.                                 0.);

  299.             org.drip.param.period.CompositePeriodSetting cpsFloating = new
  300.                 org.drip.param.period.CompositePeriodSetting (12 / iTenorInMonths, strForwardTenor,
  301.                     strCurrency, null, -1., null, null, null, null);

  303.             org.drip.product.rates.Stream floatingStream = new org.drip.product.rates.Stream
  304.                 (org.drip.analytics.support.CompositePeriodBuilder.FloatingCompositeUnit
  305.                     (org.drip.analytics.support.CompositePeriodBuilder.RegularEdgeDates (dtEffective,
  306.                         strForwardTenor, strMaturityTenor, null), cpsFloating, cfusFloating));

  308.             org.drip.product.rates.Stream fixedStream = ffsc.fixedStreamConvention().createStream
  309.                 (dtEffective, strMaturityTenor, 0., 1.);

  311.             org.drip.product.rates.FixFloatComponent ffc = new org.drip.product.rates.FixFloatComponent
  312.                 (fixedStream, floatingStream, null);

  314.             ffc.setPrimaryCode ("FixFloat:" + strMaturityTenor);

  316.             return ffc;
  317.         } catch (java.lang.Exception e) {
  318.             e.printStackTrace();
  319.         }

  321.         return null;
  322.     }

  324.     /**
  325.      * Construct an Instance of OTC OIS Fix Float Swap
  326.      * 
  327.      * @param dtSpot Spot Date
  328.      * @param strCurrency Currency
  329.      * @param strMaturityTenor The OIS Maturity Tenor
  330.      * @param dblCoupon The Fixed Coupon Rate
  331.      * @param bFund TRUE - Floater Based off of Fund
  332.      * 
  333.      * @return Instance of OIS Fix Float Swap
  334.      */

  336.     public static final org.drip.product.rates.FixFloatComponent OISFixFloat (
  337.         final org.drip.analytics.date.JulianDate dtSpot,
  338.         final java.lang.String strCurrency,
  339.         final java.lang.String strMaturityTenor,
  340.         final double dblCoupon,
  341.         final boolean bFund)
  342.     {
  343.         if (null == dtSpot) return null;

  345.         org.drip.market.otc.FixedFloatSwapConvention ffsc = bFund ?
  346.             org.drip.market.otc.OvernightFixedFloatContainer.FundConventionFromJurisdiction (strCurrency) :
  347.                 org.drip.market.otc.OvernightFixedFloatContainer.IndexConventionFromJurisdiction (strCurrency,
  348.                     strMaturityTenor);

  350.         return null == ffsc ? null : ffsc.createFixFloatComponent (dtSpot.addBusDays (0, strCurrency),
  351.             strMaturityTenor, dblCoupon, 0., 1.);
  352.     }

  354.     /**
  355.      * Construct an OTC Float-Float Swap Instance
  356.      * 
  357.      * @param dtSpot Spot Date
  358.      * @param strCurrency Currency 
  359.      * @param strDerivedTenor Tenor of the Derived Leg
  360.      * @param strMaturityTenor Maturity Tenor of the Float-Float Swap
  361.      * @param dblBasis The Float-Float Swap Basis
  362.      * 
  363.      * @return The OTC Float-Float Swap Instance
  364.      */

  366.     public static final org.drip.product.rates.FloatFloatComponent FloatFloat (
  367.         final org.drip.analytics.date.JulianDate dtSpot,
  368.         final java.lang.String strCurrency,
  369.         final java.lang.String strDerivedTenor,
  370.         final java.lang.String strMaturityTenor,
  371.         final double dblBasis)
  372.     {
  373.         if (null == dtSpot) return null;

  375.         org.drip.market.otc.FloatFloatSwapConvention ffsc =
  376.             org.drip.market.otc.IBORFloatFloatContainer.ConventionFromJurisdiction (strCurrency);

  378.         return null == ffsc ? null : ffsc.createFloatFloatComponent (dtSpot.addBusDays (0, strCurrency),
  379.             strDerivedTenor, strMaturityTenor, dblBasis, 1.);
  380.     }

  382.     /**
  383.      * Create an Instance of the OTC CDS.
  384.      * 
  385.      * @param dtSpot The Spot Date
  386.      * @param strMaturityTenor Maturity Tenor
  387.      * @param dblCoupon Coupon
  388.      * @param strCurrency Currency
  389.      * @param strCredit Credit Curve
  390.      * 
  391.      * @return The OTC CDS Instance
  392.      */

  394.     public static final org.drip.product.definition.CreditDefaultSwap CDS (
  395.         final org.drip.analytics.date.JulianDate dtSpot,
  396.         final java.lang.String strMaturityTenor,
  397.         final double dblCoupon,
  398.         final java.lang.String strCurrency,
  399.         final java.lang.String strCredit)
  400.     {
  401.         if (null == dtSpot || null == strCurrency) return null;

  403.         org.drip.analytics.date.JulianDate dtFirstCoupon = dtSpot.addBusDays (0, strCurrency).nextCreditIMM
  404.             (3);

  406.         return null == dtFirstCoupon ? null : org.drip.product.creator.CDSBuilder.CreateCDS 
  407.             (dtFirstCoupon.subtractTenor ("3M"), dtFirstCoupon.addTenor (strMaturityTenor), dblCoupon,
  408.                 strCurrency, "CAD".equalsIgnoreCase (strCurrency) || "EUR".equalsIgnoreCase (strCurrency) ||
  409.                     "GBP".equalsIgnoreCase (strCurrency) || "HKD".equalsIgnoreCase (strCurrency) ||
  410.                         "USD".equalsIgnoreCase (strCurrency) ? 0.40 : 0.25, strCredit, strCurrency, true);
  411.     }

  413.     /**
  414.      * Create an OTC FX Forward Component
  415.      * 
  416.      * @param dtSpot Spot Date
  417.      * @param ccyPair Currency Pair
  418.      * @param strMaturityTenor Maturity Tenor
  419.      * 
  420.      * @return The OTC FX Forward Component Instance
  421.      */

  423.     public static final org.drip.product.fx.FXForwardComponent FXForward (
  424.         final org.drip.analytics.date.JulianDate dtSpot,
  425.         final org.drip.product.params.CurrencyPair ccyPair,
  426.         final java.lang.String strMaturityTenor)
  427.     {
  428.         if (null == dtSpot || null == ccyPair) return null;

  430.         org.drip.analytics.date.JulianDate dtEffective = dtSpot.addBusDays (0, ccyPair.denomCcy());

  432.         try {
  433.             return new org.drip.product.fx.FXForwardComponent ("FXFWD::" + ccyPair.code() + "::" +
  434.                 strMaturityTenor, ccyPair, dtEffective.julian(), dtEffective.addTenor
  435.                     (strMaturityTenor).julian(), 1., null);
  436.         } catch (java.lang.Exception e) {
  437.             e.printStackTrace();
  438.         }

  440.         return null;
  441.     }

  443.     /**
  444.      * Construct an Array of OTC Funding Deposit Instruments from their corresponding Maturity Tenors
  445.      * 
  446.      * @param dtSpot Spot Date
  447.      * @param strCurrency Currency
  448.      * @param astrMaturityTenor Array of Maturity Tenors
  449.      * 
  450.      * @return Array of OTC Funding Deposit Instruments from their corresponding Maturity Tenors
  451.      */

  453.     public static final org.drip.product.rates.SingleStreamComponent[] FundingDeposit (
  454.         final org.drip.analytics.date.JulianDate dtSpot,
  455.         final java.lang.String strCurrency,
  456.         final java.lang.String[] astrMaturityTenor)
  457.     {
  458.         if (null == astrMaturityTenor) return null;

  460.         int iNumDeposit = astrMaturityTenor.length;
  461.         org.drip.product.rates.SingleStreamComponent[] aSSCDeposit = new
  462.             org.drip.product.rates.SingleStreamComponent[iNumDeposit];

  464.         if (0 == iNumDeposit) return null;

  466.         for (int i = 0; i < astrMaturityTenor.length; ++i) {
  467.             if (null == (aSSCDeposit[i] = FundingDeposit (dtSpot, strCurrency, astrMaturityTenor[i])))
  468.                 return null;

  470.             aSSCDeposit[i].setPrimaryCode (astrMaturityTenor[i]);
  471.         }

  473.         return aSSCDeposit;
  474.     }

  476.     /**
  477.      * Construct an Array of OTC Funding Deposit and Futures Instruments
  478.      * 
  479.      * @param dtSpot Spot Date
  480.      * @param strCurrency Currency
  481.      * @param astrDepositMaturityTenor Array of Deposit Maturity Tenors
  482.      * @param iNumFutures Number of Serial Futures to be included
  483.      * 
  484.      * @return Array of OTC Funding Deposit Instruments from their corresponding Maturity Tenors
  485.      */

  487.     public static final org.drip.product.rates.SingleStreamComponent[] FundingDepositFutures (
  488.         final org.drip.analytics.date.JulianDate dtSpot,
  489.         final java.lang.String strCurrency,
  490.         final java.lang.String[] astrDepositMaturityTenor,
  491.         final int iNumFutures)
  492.     {
  493.         if (null == astrDepositMaturityTenor) return null;

  495.         int iNumDeposit = astrDepositMaturityTenor.length;
  496.         org.drip.product.rates.SingleStreamComponent[] aSSCDepositFutures = new
  497.             org.drip.product.rates.SingleStreamComponent[iNumDeposit + iNumFutures];

  499.         if (0 == iNumDeposit) return null;

  501.         for (int i = 0; i < iNumDeposit; ++i) {
  502.             if (null == (aSSCDepositFutures[i] = FundingDeposit (dtSpot, strCurrency,
  503.                 astrDepositMaturityTenor[i])))
  504.                 return null;

  506.             aSSCDepositFutures[i].setPrimaryCode (astrDepositMaturityTenor[i]);
  507.         }

  509.         if (0 == iNumFutures) return aSSCDepositFutures;

  511.         org.drip.product.rates.SingleStreamComponent[] aSSCFutures =
  512.             org.drip.service.template.ExchangeInstrumentBuilder.ForwardRateFuturesPack (dtSpot, iNumFutures,
  513.                 strCurrency);

  515.         if (null == aSSCFutures) return null;

  517.         for (int i = iNumDeposit; i < iNumDeposit + iNumFutures; ++i) {
  518.             if (null == (aSSCDepositFutures[i] = aSSCFutures[i - iNumDeposit])) return null;
  519.         }

  521.         return aSSCDepositFutures;
  522.     }

  524.     /**
  525.      * Construct an Array of OTC Forward Deposit Instruments from the corresponding Maturity Tenors
  526.      * 
  527.      * @param dtSpot Spot Date
  528.      * @param astrMaturityTenor Array of Maturity Tenors
  529.      * @param forwardLabel The Forward Label
  530.      * 
  531.      * @return Forward Deposit Instrument Instance from the corresponding Maturity Tenor
  532.      */

  534.     public static final org.drip.product.rates.SingleStreamComponent[] ForwardRateDeposit (
  535.         final org.drip.analytics.date.JulianDate dtSpot,
  536.         final java.lang.String[] astrMaturityTenor,
  537.         final org.drip.state.identifier.ForwardLabel forwardLabel)
  538.     {
  539.         if (null == astrMaturityTenor) return null;

  541.         int iNumDeposit = astrMaturityTenor.length;
  542.         org.drip.product.rates.SingleStreamComponent[] aSSCDeposit = new
  543.             org.drip.product.rates.SingleStreamComponent[iNumDeposit];

  545.         if (0 == iNumDeposit) return null;

  547.         for (int i = 0; i < astrMaturityTenor.length; ++i) {
  548.             if (null == (aSSCDeposit[i] = ForwardRateDeposit (dtSpot, astrMaturityTenor[i], forwardLabel)))
  549.                 return null;

  551.             aSSCDeposit[i].setPrimaryCode (astrMaturityTenor[i]);
  552.         }

  554.         return aSSCDeposit;
  555.     }

  557.     /**
  558.      * Construct an Array of OTC Overnight Deposit Instrument from their Maturity Tenors
  559.      * 
  560.      * @param dtSpot Spot Date
  561.      * @param strCurrency Currency
  562.      * @param astrMaturityTenor Array of Maturity Tenor
  563.      * 
  564.      * @return Array of Overnight Deposit Instrument from their Maturity Tenors
  565.      */

  567.     public static final org.drip.product.rates.SingleStreamComponent[] OvernightDeposit (
  568.         final org.drip.analytics.date.JulianDate dtSpot,
  569.         final java.lang.String strCurrency,
  570.         final java.lang.String[] astrMaturityTenor)
  571.     {
  572.         if (null == astrMaturityTenor) return null;

  574.         int iNumDeposit = astrMaturityTenor.length;
  575.         org.drip.product.rates.SingleStreamComponent[] aSSCDeposit = new
  576.             org.drip.product.rates.SingleStreamComponent[iNumDeposit];

  578.         if (0 == iNumDeposit) return null;

  580.         for (int i = 0; i < iNumDeposit; ++i) {
  581.             if (null == (aSSCDeposit[i] = OvernightDeposit (dtSpot, strCurrency, astrMaturityTenor[i])))
  582.                 return null;
  583.         }
  584.         return aSSCDeposit;
  585.     }

  587.     /**
  588.      * Create an Array of Standard FRAs from the Spot Date, the Forward Label, and the Strike
  589.      * 
  590.      * @param dtSpot Spot Date
  591.      * @param forwardLabel The Forward Label
  592.      * @param astrMaturityTenor Array of Maturity Tenors
  593.      * @param adblFRAStrike Array of FRA Strikes
  594.      * 
  595.      * @return Array of Standard FRA Instances
  596.      */

  598.     public static final org.drip.product.fra.FRAStandardComponent[] FRAStandard (
  599.         final org.drip.analytics.date.JulianDate dtSpot,
  600.         final org.drip.state.identifier.ForwardLabel forwardLabel,
  601.         final java.lang.String[] astrMaturityTenor,
  602.         final double[] adblFRAStrike)
  603.     {
  604.         if (null == astrMaturityTenor || null == adblFRAStrike) return null;

  606.         int iNumFRA = astrMaturityTenor.length;
  607.         org.drip.product.fra.FRAStandardComponent[] aFRA = new
  608.             org.drip.product.fra.FRAStandardComponent[iNumFRA];

  610.         if (0 == iNumFRA || iNumFRA != adblFRAStrike.length) return null;

  612.         for (int i = 0; i < iNumFRA; ++i) {
  613.             if (null == (aFRA[i] = FRAStandard (dtSpot, forwardLabel, astrMaturityTenor[i],
  614.                 adblFRAStrike[i])))
  615.                 return null;
  616.         }

  618.         return aFRA;
  619.     }

  621.     /**
  622.      * Construct an Array of OTC Fix Float Swaps using the specified Input Parameters
  623.      * 
  624.      * @param dtSpot The Spot Date
  625.      * @param strCurrency The OTC Currency
  626.      * @param strLocation Location
  627.      * @param astrMaturityTenor Array of Maturity Tenors
  628.      * @param strIndex Index
  629.      * @param dblCoupon Coupon
  630.      * 
  631.      * @return The Array of OTC Fix Float Swaps
  632.      */

  634.     public static final org.drip.product.rates.FixFloatComponent[] FixFloatStandard (
  635.         final org.drip.analytics.date.JulianDate dtSpot,
  636.         final java.lang.String strCurrency,
  637.         final java.lang.String strLocation,
  638.         final java.lang.String[] astrMaturityTenor,
  639.         final java.lang.String strIndex,
  640.         final double dblCoupon)
  641.     {
  642.         if (null == astrMaturityTenor) return null;

  644.         int iNumFixFloat = astrMaturityTenor.length;
  645.         org.drip.product.rates.FixFloatComponent[] aFFC = new
  646.             org.drip.product.rates.FixFloatComponent[iNumFixFloat];

  648.         if (0 == iNumFixFloat) return null;

  650.         for (int i = 0; i < iNumFixFloat; ++i) {
  651.             if (null == (aFFC[i] = FixFloatStandard (dtSpot, strCurrency, strLocation, astrMaturityTenor[i],
  652.                 strIndex, 0.)))
  653.                 return null;
  654.         }

  656.         return aFFC;
  657.     }

  659.     /**
  660.      * Construct an Array of Custom Fix Float Swap Instances
  661.      * 
  662.      * @param dtSpot The Spot Date
  663.      * @param forwardLabel The Forward Label
  664.      * @param astrMaturityTenor Array of Maturity Tenors
  665.      * 
  666.      * @return Array of Custom Fix Float Swap Instances
  667.      */

  669.     public static final org.drip.product.rates.FixFloatComponent[] FixFloatCustom (
  670.         final org.drip.analytics.date.JulianDate dtSpot,
  671.         final org.drip.state.identifier.ForwardLabel forwardLabel,
  672.         final java.lang.String[] astrMaturityTenor)
  673.     {
  674.         if (null == dtSpot || null == forwardLabel || null == astrMaturityTenor) return null;

  676.         int iNumComp = astrMaturityTenor.length;
  677.         org.drip.param.period.CompositePeriodSetting cpsFloating = null;
  678.         org.drip.param.period.ComposableFloatingUnitSetting cfusFloating = null;
  679.         org.drip.product.rates.FixFloatComponent[] aFFC = new
  680.             org.drip.product.rates.FixFloatComponent[iNumComp];

  682.         if (0 == iNumComp) return null;

  684.         java.lang.String strCurrency = forwardLabel.currency();

  686.         java.lang.String strForwardTenor = forwardLabel.tenor();

  688.         int iTenorInMonths = java.lang.Integer.parseInt (strForwardTenor.split ("M")[0]);

  690.         org.drip.analytics.date.JulianDate dtEffective = dtSpot.addBusDays (0, strCurrency).addDays (2);

  692.         try {
  693.             cfusFloating = new org.drip.param.period.ComposableFloatingUnitSetting (strForwardTenor,
  694.                 org.drip.analytics.support.CompositePeriodBuilder.EDGE_DATE_SEQUENCE_REGULAR, null,
  695.                     forwardLabel,
  696.                         org.drip.analytics.support.CompositePeriodBuilder.REFERENCE_PERIOD_IN_ADVANCE, 0.);

  698.             cpsFloating = new org.drip.param.period.CompositePeriodSetting (12 / iTenorInMonths,
  699.                 strForwardTenor, strCurrency, null, -1., null, null, null, null);
  700.         } catch (java.lang.Exception e) {
  701.             e.printStackTrace();

  703.             return null;
  704.         }

  706.         for (int i = 0; i < iNumComp; ++i) {
  707.             org.drip.market.otc.FixedFloatSwapConvention ffsc =
  708.                 org.drip.market.otc.IBORFixedFloatContainer.ConventionFromJurisdiction (strCurrency, "ALL",
  709.                     astrMaturityTenor[i], "MAIN");

  711.             if (null == ffsc) return null;

  713.             try {
  714.                 org.drip.product.rates.Stream floatingStream = new org.drip.product.rates.Stream
  715.                     (org.drip.analytics.support.CompositePeriodBuilder.FloatingCompositeUnit
  716.                         (org.drip.analytics.support.CompositePeriodBuilder.RegularEdgeDates (dtEffective,
  717.                             strForwardTenor, astrMaturityTenor[i], null), cpsFloating, cfusFloating));

  719.                 org.drip.product.rates.Stream fixedStream = ffsc.fixedStreamConvention().createStream
  720.                     (dtEffective, astrMaturityTenor[i], 0., 1.);

  722.                 aFFC[i] = new org.drip.product.rates.FixFloatComponent (fixedStream, floatingStream, null);
  723.             } catch (java.lang.Exception e) {
  724.                 e.printStackTrace();

  726.                 return null;
  727.             }

  729.             aFFC[i].setPrimaryCode ("FixFloat:" + astrMaturityTenor[i]);
  730.         }

  732.         return aFFC;
  733.     }

  735.     /**
  736.      * Construct an Array of OTC Fix Float OIS Instances
  737.      * 
  738.      * @param dtSpot Spot Date
  739.      * @param strCurrency Currency
  740.      * @param astrMaturityTenor Array of OIS Maturity Tenors
  741.      * @param adblCoupon OIS Fixed Rate Coupon
  742.      * @param bFund TRUE - Floater Based off of Fund
  743.      * 
  744.      * @return Array of Fix Float OIS Instances
  745.      */

  747.     public static final org.drip.product.rates.FixFloatComponent[] OISFixFloat (
  748.         final org.drip.analytics.date.JulianDate dtSpot,
  749.         final java.lang.String strCurrency,
  750.         final java.lang.String[] astrMaturityTenor,
  751.         final double[] adblCoupon,
  752.         final boolean bFund)
  753.     {
  754.         if (null == astrMaturityTenor) return null;

  756.         int iNumOIS = astrMaturityTenor.length;
  757.         org.drip.product.rates.FixFloatComponent[] aFixFloatOIS = new
  758.             org.drip.product.rates.FixFloatComponent[iNumOIS];

  760.         if (0 == iNumOIS) return null;

  762.         for (int i = 0; i < iNumOIS; ++i) {
  763.             if (null == (aFixFloatOIS[i] = OISFixFloat (dtSpot, strCurrency, astrMaturityTenor[i],
  764.                 adblCoupon[i], bFund)))
  765.                 return null;
  766.         }

  768.         return aFixFloatOIS;
  769.     }

  771.     /**
  772.      * Construct an Array of OTC OIS Fix-Float Futures
  773.      * 
  774.      * @param dtSpot Spot Date
  775.      * @param strCurrency Currency
  776.      * @param astrEffectiveTenor Array of Effective Tenors
  777.      * @param astrMaturityTenor Array of Maturity Tenors
  778.      * @param adblCoupon Array of Coupons
  779.      * @param bFund TRUE - Floater Based off of Fund
  780.      * 
  781.      * @return Array of OIS Fix-Float Futures
  782.      */

  784.     public static final org.drip.product.rates.FixFloatComponent[] OISFixFloatFutures (
  785.         final org.drip.analytics.date.JulianDate dtSpot,
  786.         final java.lang.String strCurrency,
  787.         final java.lang.String[] astrEffectiveTenor,
  788.         final java.lang.String[] astrMaturityTenor,
  789.         final double[] adblCoupon,
  790.         final boolean bFund)
  791.     {
  792.         if (null == dtSpot || null == astrEffectiveTenor || null == astrMaturityTenor || null == adblCoupon)
  793.             return null;

  795.         int iNumOISFutures = astrEffectiveTenor.length;
  796.         org.drip.product.rates.FixFloatComponent[] aOISFutures = new
  797.             org.drip.product.rates.FixFloatComponent[iNumOISFutures];

  799.         if (0 == iNumOISFutures || iNumOISFutures != astrMaturityTenor.length || iNumOISFutures !=
  800.             adblCoupon.length)
  801.             return null;

  803.         for (int i = 0; i < iNumOISFutures; ++i) {
  804.             if (null == (aOISFutures[i] = OISFixFloat (dtSpot.addTenor (astrEffectiveTenor[i]), strCurrency,
  805.                 astrMaturityTenor[i], adblCoupon[i], bFund)))
  806.                 return null;
  807.         }

  809.         return aOISFutures;
  810.     }

  812.     /**
  813.      * Construct an Array of OTC Float-Float Swap Instances
  814.      * 
  815.      * @param dtSpot Spot Date
  816.      * @param strCurrency Currency 
  817.      * @param strDerivedTenor Tenor of the Derived Leg
  818.      * @param astrMaturityTenor Array of the Float-Float Swap Maturity Tenors
  819.      * @param dblBasis The Float-Float Swap Basis
  820.      * 
  821.      * @return Array of OTC Float-Float Swap Instances
  822.      */

  824.     public static final org.drip.product.rates.FloatFloatComponent[] FloatFloat (
  825.         final org.drip.analytics.date.JulianDate dtSpot,
  826.         final java.lang.String strCurrency,
  827.         final java.lang.String strDerivedTenor,
  828.         final java.lang.String[] astrMaturityTenor,
  829.         final double dblBasis)
  830.     {
  831.         if (null == astrMaturityTenor) return null;

  833.         org.drip.market.otc.FloatFloatSwapConvention ffsc =
  834.             org.drip.market.otc.IBORFloatFloatContainer.ConventionFromJurisdiction (strCurrency);

  836.         int iNumFFC = astrMaturityTenor.length;
  837.         org.drip.product.rates.FloatFloatComponent[] aFFC = new
  838.             org.drip.product.rates.FloatFloatComponent[iNumFFC];

  840.         if (null == ffsc || 0 == iNumFFC) return null;

  842.         for (int i = 0; i < iNumFFC; ++i) {
  843.             if (null == (aFFC[i] = ffsc.createFloatFloatComponent (dtSpot, strDerivedTenor,
  844.                 astrMaturityTenor[i], dblBasis, 1.)))
  845.                 return null;
  846.         }

  848.         return aFFC;
  849.     }

  851.     /**
  852.      * Create an Array of the OTC CDS Instance.
  853.      * 
  854.      * @param dtSpot Spot Date
  855.      * @param astrMaturityTenor Array of Maturity Tenors
  856.      * @param adblCoupon Array of Coupon
  857.      * @param strCurrency Currency
  858.      * @param strCredit Credit Curve
  859.      * 
  860.      * @return Array of OTC CDS Instances
  861.      */

  863.     public static final org.drip.product.definition.CreditDefaultSwap[] CDS (
  864.         final org.drip.analytics.date.JulianDate dtSpot,
  865.         final java.lang.String[] astrMaturityTenor,
  866.         final double[] adblCoupon,
  867.         final java.lang.String strCurrency,
  868.         final java.lang.String strCredit)
  869.     {
  870.         if (null == dtSpot || null == strCurrency || null == astrMaturityTenor || null == adblCoupon)
  871.             return null;

  873.         int iNumCDS = astrMaturityTenor.length;
  874.         java.lang.String strCalendar = strCurrency;
  875.         org.drip.product.definition.CreditDefaultSwap[] aCDS = new
  876.             org.drip.product.definition.CreditDefaultSwap[iNumCDS];

  878.         if (0 == iNumCDS || iNumCDS != adblCoupon.length) return null;

  880.         org.drip.analytics.date.JulianDate dtFirstCoupon = dtSpot.addBusDays (0, strCalendar).nextCreditIMM
  881.             (3);

  883.         if (null == dtFirstCoupon) return null;

  885.         org.drip.analytics.date.JulianDate dtEffective = dtFirstCoupon.subtractTenor ("3M");

  887.         if (null == dtEffective) return null;

  889.         double dblRecovery = "CAD".equalsIgnoreCase (strCurrency) || "EUR".equalsIgnoreCase (strCurrency) ||
  890.             "GBP".equalsIgnoreCase (strCurrency) || "HKD".equalsIgnoreCase (strCurrency) ||
  891.                 "USD".equalsIgnoreCase (strCurrency) ? 0.40 : 0.25;

  893.         for (int i = 0; i < iNumCDS; ++i)
  894.             aCDS[i] = org.drip.product.creator.CDSBuilder.CreateCDS (dtEffective, dtFirstCoupon.addTenor
  895.                 (astrMaturityTenor[i]), adblCoupon[i], strCurrency, dblRecovery, strCredit, strCalendar,
  896.                     true);

  898.         return aCDS;
  899.     }

  901.     /**
  902.      * Create an Array of OTC FX Forward Components
  903.      * 
  904.      * @param dtSpot Spot Date
  905.      * @param ccyPair Currency Pair
  906.      * @param astrMaturityTenor Array of Maturity Tenors
  907.      * 
  908.      * @return Array of OTC FX Forward Component Instances
  909.      */

  911.     public static final org.drip.product.fx.FXForwardComponent[] FXForward (
  912.         final org.drip.analytics.date.JulianDate dtSpot,
  913.         final org.drip.product.params.CurrencyPair ccyPair,
  914.         final java.lang.String[] astrMaturityTenor)
  915.     {
  916.         if (null == astrMaturityTenor) return null;

  918.         int iNumFXComp = astrMaturityTenor.length;
  919.         org.drip.product.fx.FXForwardComponent[] aFXFC = new 
  920.             org.drip.product.fx.FXForwardComponent[iNumFXComp];

  922.         if (0 == iNumFXComp) return null;

  924.         for (int i = 0; i < iNumFXComp; ++i)
  925.             aFXFC[i] = FXForward (dtSpot, ccyPair, astrMaturityTenor[i]);

  927.         return aFXFC;
  928.     }

  930.     /**
  931.      * Construct an Instance of the Standard OTC FRA Cap/Floor
  932.      * 
  933.      * @param dtSpot Spot Date
  934.      * @param forwardLabel The Forward Label
  935.      * @param strMaturityTenor Cap/Floor Maturity Tenor
  936.      * @param dblStrike Cap/Floor Strike
  937.      * @param bIsCap TRUE - Contract is a Cap
  938.      * 
  939.      * @return The Cap/Floor Instance
  940.      */

  942.     public static final org.drip.product.fra.FRAStandardCapFloor CapFloor (
  943.         final org.drip.analytics.date.JulianDate dtSpot,
  944.         final org.drip.state.identifier.ForwardLabel forwardLabel,
  945.         final java.lang.String strMaturityTenor,
  946.         final double dblStrike,
  947.         final boolean bIsCap)
  948.     {
  949.         if (null == dtSpot || null == forwardLabel) return null;

  951.         java.lang.String strForwardTenor = forwardLabel.tenor();

  953.         java.lang.String strCurrency = forwardLabel.currency();

  955.         java.lang.String strCalendar = strCurrency;

  957.         org.drip.analytics.date.JulianDate dtEffective = dtSpot.addBusDays (0, strCalendar);

  959.         try {
  960.             org.drip.param.period.ComposableFloatingUnitSetting cfus = new
  961.                 org.drip.param.period.ComposableFloatingUnitSetting (strForwardTenor,
  962.                     org.drip.analytics.support.CompositePeriodBuilder.EDGE_DATE_SEQUENCE_SINGLE, null,
  963.                         forwardLabel,
  964.                             org.drip.analytics.support.CompositePeriodBuilder.REFERENCE_PERIOD_IN_ADVANCE,
  965.                                 0.);

  967.             org.drip.param.period.CompositePeriodSetting cps = new
  968.                 org.drip.param.period.CompositePeriodSetting
  969.                     (org.drip.analytics.support.Helper.TenorToFreq (strForwardTenor),
  970.                         strForwardTenor, strCurrency, null, 1., null, null, null, null);

  972.             org.drip.product.rates.Stream floatStream = new org.drip.product.rates.Stream
  973.                 (org.drip.analytics.support.CompositePeriodBuilder.FloatingCompositeUnit
  974.                     (org.drip.analytics.support.CompositePeriodBuilder.RegularEdgeDates
  975.                         (dtEffective.julian(), strForwardTenor, strMaturityTenor, null), cps, cfus));

  977.             return new org.drip.product.fra.FRAStandardCapFloor (forwardLabel.fullyQualifiedName() + (bIsCap
  978.                 ? "::CAP" : "::FLOOR"), floatStream, "ParForward", bIsCap, dblStrike, new
  979.                     org.drip.product.params.LastTradingDateSetting
  980.                         (org.drip.product.params.LastTradingDateSetting.MID_CURVE_OPTION_QUARTERLY, "",
  981.                             java.lang.Integer.MIN_VALUE), null, new
  982.                                 org.drip.pricer.option.BlackScholesAlgorithm());
  983.         } catch (java.lang.Exception e) {
  984.             e.printStackTrace();
  985.         }

  987.         return null;
  988.     }

  990.     /**
  991.      * Construct an Instance of the Standard OTC FRA Cap/Floor
  992.      * 
  993.      * @param dtSpot Spot Date
  994.      * @param forwardLabel The Forward Label
  995.      * @param astrMaturityTenor Array of Cap/Floor Maturity Tenors
  996.      * @param adblStrike Array of Cap/Floor Strikes
  997.      * @param bIsCap TRUE - Contract is a Cap
  998.      * 
  999.      * @return The Cap/Floor Instance
  1000.      */

  1002.     public static final org.drip.product.fra.FRAStandardCapFloor[] CapFloor (
  1003.         final org.drip.analytics.date.JulianDate dtSpot,
  1004.         final org.drip.state.identifier.ForwardLabel forwardLabel,
  1005.         final java.lang.String[] astrMaturityTenor,
  1006.         final double[] adblStrike,
  1007.         final boolean bIsCap)
  1008.     {
  1009.         if (null == astrMaturityTenor || null == adblStrike) return null;

  1011.         int iNumCapFloor = astrMaturityTenor.length;
  1012.         org.drip.product.fra.FRAStandardCapFloor[] aFRACapFloor = new
  1013.             org.drip.product.fra.FRAStandardCapFloor[iNumCapFloor];

  1015.         if (0 == iNumCapFloor || iNumCapFloor != adblStrike.length) return null;

  1017.         for (int i = 0; i < iNumCapFloor; ++i) {
  1018.             if (null == (aFRACapFloor[i] = org.drip.service.template.OTCInstrumentBuilder.CapFloor (dtSpot,
  1019.                 forwardLabel, astrMaturityTenor[i], adblStrike[i], bIsCap)))
  1020.                 return null;
  1021.         }

  1023.         return aFRACapFloor;
  1024.     }
  1025. }
Created with JaCoCo 0.7.9.201702052155