TreasuryBuilder.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>TreasuryBuilder</i> contains Static Helper API to facilitate Construction of the Sovereign Treasury
  83.  * Bonds.
  84.  * 
  85.  * <br><br>
  86.  *  <ul>
  87.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalCore.md">Numerical Core Module</a></li>
  88.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/AlgorithmSupportLibrary.md">Algorithm Support Library</a></li>
  89.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/service">Service</a></li>
  90.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/service/template">Curve Construction Product Builder Templates</a></li>
  91.  *  </ul>
  92.  * <br><br>
  93.  *
  94.  * @author Lakshmi Krishnamurthy
  95.  */

  97. public class TreasuryBuilder {

  99.     /**
  100.      * Construct an Instance of the Australian Treasury AUD AGB Bond
  101.      * 
  102.      * @param dtEffective Effective Date
  103.      * @param dtMaturity Maturity Date
  104.      * @param dblCoupon Coupon
  105.      * 
  106.      * @return Instance of the Australian Treasury AUD AGB Bond
  107.      */

  109.     public static final org.drip.product.govvie.TreasuryComponent AGB (
  110.         final org.drip.analytics.date.JulianDate dtEffective,
  111.         final org.drip.analytics.date.JulianDate dtMaturity,
  112.         final double dblCoupon)
  113.     {
  114.         org.drip.market.issue.TreasurySetting ts =
  115.             org.drip.market.issue.TreasurySettingContainer.TreasurySetting ("AGB");

  117.         return null == ts ? null : org.drip.product.creator.BondBuilder.Treasury (ts.code(), dtEffective,
  118.             dtMaturity, ts.currency(), dblCoupon, ts.frequency(), ts.dayCount());
  119.     }

  121.     /**
  122.      * Construct an Instance of the Italian Treasury EUR BTPS Bond
  123.      * 
  124.      * @param dtEffective Effective Date
  125.      * @param dtMaturity Maturity Date
  126.      * @param dblCoupon Coupon
  127.      * 
  128.      * @return Instance of the Italian Treasury EUR BTPS Bond
  129.      */

  131.     public static final org.drip.product.govvie.TreasuryComponent BTPS (
  132.         final org.drip.analytics.date.JulianDate dtEffective,
  133.         final org.drip.analytics.date.JulianDate dtMaturity,
  134.         final double dblCoupon)
  135.     {
  136.         org.drip.market.issue.TreasurySetting ts =
  137.             org.drip.market.issue.TreasurySettingContainer.TreasurySetting ("BTPS");

  139.         return null == ts ? null : org.drip.product.creator.BondBuilder.Treasury (ts.code(), dtEffective,
  140.             dtMaturity, ts.currency(), dblCoupon, ts.frequency(), ts.dayCount());
  141.     }

  143.     /**
  144.      * Construct an Instance of the Canadian Government CAD CAN Bond
  145.      * 
  146.      * @param dtEffective Effective Date
  147.      * @param dtMaturity Maturity Date
  148.      * @param dblCoupon Coupon
  149.      * 
  150.      * @return Instance of the Canadian Government CAD CAN Bond
  151.      */

  153.     public static final org.drip.product.govvie.TreasuryComponent CAN (
  154.         final org.drip.analytics.date.JulianDate dtEffective,
  155.         final org.drip.analytics.date.JulianDate dtMaturity,
  156.         final double dblCoupon)
  157.     {
  158.         org.drip.market.issue.TreasurySetting ts =
  159.             org.drip.market.issue.TreasurySettingContainer.TreasurySetting ("CAN");

  161.         return null == ts ? null : org.drip.product.creator.BondBuilder.Treasury (ts.code(), dtEffective,
  162.             dtMaturity, ts.currency(), dblCoupon, ts.frequency(), ts.dayCount());
  163.     }

  165.     /**
  166.      * Construct an Instance of the German Treasury EUR DBR Bond
  167.      * 
  168.      * @param dtEffective Effective Date
  169.      * @param dtMaturity Maturity Date
  170.      * @param dblCoupon Coupon
  171.      * 
  172.      * @return Instance of the German Treasury EUR DBR Bond
  173.      */

  175.     public static final org.drip.product.govvie.TreasuryComponent DBR (
  176.         final org.drip.analytics.date.JulianDate dtEffective,
  177.         final org.drip.analytics.date.JulianDate dtMaturity,
  178.         final double dblCoupon)
  179.     {
  180.         org.drip.market.issue.TreasurySetting ts =
  181.             org.drip.market.issue.TreasurySettingContainer.TreasurySetting ("DBR");

  183.         return null == ts ? null : org.drip.product.creator.BondBuilder.Treasury (ts.code(), dtEffective,
  184.             dtMaturity, ts.currency(), dblCoupon, ts.frequency(), ts.dayCount());
  185.     }

  187.     /**
  188.      * Construct an Instance of the French Treasury EUR FRTR Bond
  189.      * 
  190.      * @param dtEffective Effective Date
  191.      * @param dtMaturity Maturity Date
  192.      * @param dblCoupon Coupon
  193.      * 
  194.      * @return Instance of the French Treasury EUR FRTR Bond
  195.      */

  197.     public static final org.drip.product.govvie.TreasuryComponent FRTR (
  198.         final org.drip.analytics.date.JulianDate dtEffective,
  199.         final org.drip.analytics.date.JulianDate dtMaturity,
  200.         final double dblCoupon)
  201.     {
  202.         org.drip.market.issue.TreasurySetting ts =
  203.             org.drip.market.issue.TreasurySettingContainer.TreasurySetting ("FRTR");

  205.         return null == ts ? null : org.drip.product.creator.BondBuilder.Treasury (ts.code(), dtEffective,
  206.             dtMaturity, ts.currency(), dblCoupon, ts.frequency(), ts.dayCount());
  207.     }

  209.     /**
  210.      * Construct an Instance of the Greek Treasury EUR GGB Bond
  211.      * 
  212.      * @param dtEffective Effective Date
  213.      * @param dtMaturity Maturity Date
  214.      * @param dblCoupon Coupon
  215.      * 
  216.      * @return Instance of the Greek Treasury EUR GGB Bond
  217.      */

  219.     public static final org.drip.product.govvie.TreasuryComponent GGB (
  220.         final org.drip.analytics.date.JulianDate dtEffective,
  221.         final org.drip.analytics.date.JulianDate dtMaturity,
  222.         final double dblCoupon)
  223.     {
  224.         org.drip.market.issue.TreasurySetting ts =
  225.             org.drip.market.issue.TreasurySettingContainer.TreasurySetting ("GGB");

  227.         return null == ts ? null : org.drip.product.creator.BondBuilder.Treasury (ts.code(), dtEffective,
  228.             dtMaturity, ts.currency(), dblCoupon, ts.frequency(), ts.dayCount());
  229.     }

  231.     /**
  232.      * Construct an Instance of the UK Treasury GBP GILT Bond
  233.      * 
  234.      * @param dtEffective Effective Date
  235.      * @param dtMaturity Maturity Date
  236.      * @param dblCoupon Coupon
  237.      * 
  238.      * @return Instance of the UK Treasury GBP GILT Bond
  239.      */

  241.     public static final org.drip.product.govvie.TreasuryComponent GILT (
  242.         final org.drip.analytics.date.JulianDate dtEffective,
  243.         final org.drip.analytics.date.JulianDate dtMaturity,
  244.         final double dblCoupon)
  245.     {
  246.         org.drip.market.issue.TreasurySetting ts =
  247.             org.drip.market.issue.TreasurySettingContainer.TreasurySetting ("GILT");

  249.         return null == ts ? null : org.drip.product.creator.BondBuilder.Treasury (ts.code(), dtEffective,
  250.             dtMaturity, ts.currency(), dblCoupon, ts.frequency(), ts.dayCount());
  251.     }

  253.     /**
  254.      * Construct an Instance of the Japanese Treasury JPY JGB Bond
  255.      * 
  256.      * @param dtEffective Effective Date
  257.      * @param dtMaturity Maturity Date
  258.      * @param dblCoupon Coupon
  259.      * 
  260.      * @return Instance of the Japanese Treasury JPY JGB Bond
  261.      */

  263.     public static final org.drip.product.govvie.TreasuryComponent JGB (
  264.         final org.drip.analytics.date.JulianDate dtEffective,
  265.         final org.drip.analytics.date.JulianDate dtMaturity,
  266.         final double dblCoupon)
  267.     {
  268.         org.drip.market.issue.TreasurySetting ts =
  269.             org.drip.market.issue.TreasurySettingContainer.TreasurySetting ("JGB");

  271.         return null == ts ? null : org.drip.product.creator.BondBuilder.Treasury (ts.code(), dtEffective,
  272.             dtMaturity, ts.currency(), dblCoupon, ts.frequency(), ts.dayCount());
  273.     }

  275.     /**
  276.      * Construct an Instance of the Mexican Treasury MXN MBONO Bond
  277.      * 
  278.      * @param dtEffective Effective Date
  279.      * @param dtMaturity Maturity Date
  280.      * @param dblCoupon Coupon
  281.      * 
  282.      * @return Instance of the Mexican Treasury MXN MBONO Bond
  283.      */

  285.     public static final org.drip.product.govvie.TreasuryComponent MBONO (
  286.         final org.drip.analytics.date.JulianDate dtEffective,
  287.         final org.drip.analytics.date.JulianDate dtMaturity,
  288.         final double dblCoupon)
  289.     {
  290.         org.drip.market.issue.TreasurySetting ts =
  291.             org.drip.market.issue.TreasurySettingContainer.TreasurySetting ("MBONO");

  293.         return null == ts ? null : org.drip.product.creator.BondBuilder.Treasury (ts.code(), dtEffective,
  294.             dtMaturity, ts.currency(), dblCoupon, ts.frequency(), ts.dayCount());
  295.     }

  297.     /**
  298.      * Construct an Instance of the Spanish Treasury EUR SPGB Bond
  299.      * 
  300.      * @param dtEffective Effective Date
  301.      * @param dtMaturity Maturity Date
  302.      * @param dblCoupon Coupon
  303.      * 
  304.      * @return Instance of the Spanish Treasury EUR SPGB Bond
  305.      */

  307.     public static final org.drip.product.govvie.TreasuryComponent SPGB (
  308.         final org.drip.analytics.date.JulianDate dtEffective,
  309.         final org.drip.analytics.date.JulianDate dtMaturity,
  310.         final double dblCoupon)
  311.     {
  312.         org.drip.market.issue.TreasurySetting ts =
  313.             org.drip.market.issue.TreasurySettingContainer.TreasurySetting ("SPGB");

  315.         return null == ts ? null : org.drip.product.creator.BondBuilder.Treasury (ts.code(), dtEffective,
  316.             dtMaturity, ts.currency(), dblCoupon, ts.frequency(), ts.dayCount());
  317.     }

  319.     /**
  320.      * Construct an Instance of the US Treasury USD UST Bond
  321.      * 
  322.      * @param dtEffective Effective Date
  323.      * @param dtMaturity Maturity Date
  324.      * @param dblCoupon Coupon
  325.      * 
  326.      * @return Instance of the US Treasury USD UST Bond
  327.      */

  329.     public static final org.drip.product.govvie.TreasuryComponent UST (
  330.         final org.drip.analytics.date.JulianDate dtEffective,
  331.         final org.drip.analytics.date.JulianDate dtMaturity,
  332.         final double dblCoupon)
  333.     {
  334.         org.drip.market.issue.TreasurySetting ts =
  335.             org.drip.market.issue.TreasurySettingContainer.TreasurySetting ("UST");

  337.         return null == ts ? null : org.drip.product.creator.BondBuilder.Treasury (ts.code(), dtEffective,
  338.             dtMaturity, ts.currency(), dblCoupon, ts.frequency(), ts.dayCount());
  339.     }

  341.     /**
  342.      * Construct an Instance of the Treasury Bond From the Code
  343.      * 
  344.      * @param strCode The Treasury Code
  345.      * @param dtEffective Effective Date
  346.      * @param dtMaturity Maturity Date
  347.      * @param dblCoupon Coupon
  348.      * 
  349.      * @return Instance of the Treasury Bond From the Code
  350.      */

  352.     public static final org.drip.product.govvie.TreasuryComponent FromCode (
  353.         final java.lang.String strCode,
  354.         final org.drip.analytics.date.JulianDate dtEffective,
  355.         final org.drip.analytics.date.JulianDate dtMaturity,
  356.         final double dblCoupon)
  357.     {
  358.         org.drip.market.issue.TreasurySetting ts =
  359.             org.drip.market.issue.TreasurySettingContainer.TreasurySetting (strCode);

  361.         return null == ts ? null : org.drip.product.creator.BondBuilder.Treasury (ts.code(), dtEffective,
  362.             dtMaturity, ts.currency(), dblCoupon, ts.frequency(), ts.dayCount());
  363.     }

  365.     /**
  366.      * Construct an Array of the Treasury Instances from the Code
  367.      * 
  368.      * @param strCode The Treasury Code
  369.      * @param adtEffective Array of Effective Dates
  370.      * @param adtMaturity Array of Maturity Dates
  371.      * @param adblCoupon Array of Coupons
  372.      * 
  373.      * @return Array of the Treasury Instances from the Code
  374.      */

  376.     public static final org.drip.product.govvie.TreasuryComponent[] FromCode (
  377.         final java.lang.String strCode,
  378.         final org.drip.analytics.date.JulianDate[] adtEffective,
  379.         final org.drip.analytics.date.JulianDate[] adtMaturity,
  380.         final double[] adblCoupon)
  381.     {
  382.         if (null == adtEffective || null == adtMaturity || null == adblCoupon) return null;

  384.         int iNumTreasury = adtEffective.length;
  385.         org.drip.product.govvie.TreasuryComponent[] aTreasury = new
  386.             org.drip.product.govvie.TreasuryComponent[iNumTreasury];

  388.         if (0 == iNumTreasury || iNumTreasury != adtMaturity.length || iNumTreasury != adblCoupon.length)
  389.             return null;

  391.         for (int i = 0; i < iNumTreasury; ++i) {
  392.             if (null == (aTreasury[i] = FromCode (strCode, adtEffective[i], adtMaturity[i], adblCoupon[i])))
  393.                 return null;
  394.         }

  396.         return aTreasury;
  397.     }
  398. }
Created with JaCoCo 0.7.9.201702052155