OvernightLabel.java
package org.drip.state.identifier;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2020 Lakshmi Krishnamurthy
* Copyright (C) 2019 Lakshmi Krishnamurthy
* Copyright (C) 2018 Lakshmi Krishnamurthy
* Copyright (C) 2017 Lakshmi Krishnamurthy
* Copyright (C) 2016 Lakshmi Krishnamurthy
* Copyright (C) 2015 Lakshmi Krishnamurthy
*
* This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
* asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
* analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
* equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
* numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
* and computational support.
*
* https://lakshmidrip.github.io/DROP/
*
* DROP is composed of three modules:
*
* - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
* - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
* - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
*
* DROP Product Core implements libraries for the following:
* - Fixed Income Analytics
* - Loan Analytics
* - Transaction Cost Analytics
*
* DROP Portfolio Core implements libraries for the following:
* - Asset Allocation Analytics
* - Asset Liability Management Analytics
* - Capital Estimation Analytics
* - Exposure Analytics
* - Margin Analytics
* - XVA Analytics
*
* DROP Computational Core implements libraries for the following:
* - Algorithm Support
* - Computation Support
* - Function Analysis
* - Model Validation
* - Numerical Analysis
* - Numerical Optimizer
* - Spline Builder
* - Statistical Learning
*
* Documentation for DROP is Spread Over:
*
* - Main => https://lakshmidrip.github.io/DROP/
* - Wiki => https://github.com/lakshmiDRIP/DROP/wiki
* - GitHub => https://github.com/lakshmiDRIP/DROP
* - Repo Layout Taxonomy => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
* - Javadoc => https://lakshmidrip.github.io/DROP/Javadoc/index.html
* - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
* - Release Versions => https://lakshmidrip.github.io/DROP/version.html
* - Community Credits => https://lakshmidrip.github.io/DROP/credits.html
* - Issues Catalog => https://github.com/lakshmiDRIP/DROP/issues
* - JUnit => https://lakshmidrip.github.io/DROP/junit/index.html
* - Jacoco => https://lakshmidrip.github.io/DROP/jacoco/index.html
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
*
* You may obtain a copy of the License at
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
*
* See the License for the specific language governing permissions and
* limitations under the License.
*/
/**
* <i>OvernightLabel</i> contains the Index Parameters referencing an Overnight Index. It provides the
* functionality to Retrieve Index, Tenor, Currency, and Fully Qualified Name.
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
* <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/state/README.md">Latent State Inference and Creation Utilities</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/state/identifier/README.md">Latent State Identifier Labels</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class OvernightLabel extends org.drip.state.identifier.ForwardLabel {
private org.drip.market.definition.OvernightIndex _overnightIndex = null;
/**
* Construct an OvernightLabel from the Jurisdiction
*
* @param strCurrency The Currency
*
* @return The OvernightLabel Instance
*/
public static final OvernightLabel Create (
final java.lang.String strCurrency)
{
try {
return new OvernightLabel
(org.drip.market.definition.OvernightIndexContainer.IndexFromJurisdiction (strCurrency));
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* Construct an OvernightLabel from the Index
*
* @param overnightIndex The Overnight Index Details
*
* @return The OvernightLabel Instance
*/
public static final OvernightLabel Create (
final org.drip.market.definition.OvernightIndex overnightIndex)
{
try {
return new OvernightLabel (overnightIndex);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* OvernightLabel Constructor
*
* @param overnightIndex The Overnight Index Details
*
* @throws java.lang.Exception Thrown if the Inputs are invalid
*/
private OvernightLabel (
final org.drip.market.definition.OvernightIndex overnightIndex)
throws java.lang.Exception
{
super (overnightIndex, "ON");
if (null == (_overnightIndex = overnightIndex))
throw new java.lang.Exception ("OvernightLabel ctr: Invalid Inputs");
}
/**
* Retrieve the Currency
*
* @return The Currency
*/
public java.lang.String currency()
{
return _overnightIndex.currency();
}
/**
* Retrieve the Family
*
* @return The Family
*/
public java.lang.String family()
{
return _overnightIndex.family();
}
/**
* Retrieve the Tenor
*
* @return The Tenor
*/
public java.lang.String tenor()
{
return "ON";
}
/**
* Indicate if the Index is an Overnight Index
*
* @return TRUE - Overnight Index
*/
public boolean overnight()
{
return true;
}
/**
* Retrieve the Overnight Index
*
* @return The Overnight Index
*/
public org.drip.market.definition.OvernightIndex overnightIndex()
{
return _overnightIndex;
}
/**
* Retrieve a Unit Coupon Accrual Setting
*
* @return Unit Coupon Accrual Setting
*/
public org.drip.param.period.UnitCouponAccrualSetting ucas()
{
java.lang.String strDayCount = _overnightIndex.dayCount();
try {
return new org.drip.param.period.UnitCouponAccrualSetting (360, strDayCount, false, strDayCount,
false, _overnightIndex.currency(), false, _overnightIndex.accrualCompoundingRule());
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
@Override public java.lang.String fullyQualifiedName()
{
return _overnightIndex.currency() + "-" + _overnightIndex.family() + "-ON";
}
@Override public boolean match (
final org.drip.state.identifier.LatentStateLabel lslOther)
{
return null == lslOther || !(lslOther instanceof org.drip.state.identifier.OvernightLabel) ? false :
fullyQualifiedName().equalsIgnoreCase (lslOther.fullyQualifiedName());
}
}