cdm.margin.schedule.functions.StandardizedScheduleProductClass Maven / Gradle / Ivy
package cdm.margin.schedule.functions;
import cdm.event.common.Trade;
import cdm.margin.schedule.StandardizedScheduleProductClassEnum;
import cdm.product.qualification.functions.Qualify_BaseProduct_CrossCurrency;
import cdm.product.qualification.functions.Qualify_BaseProduct_EquityForward;
import cdm.product.qualification.functions.Qualify_BaseProduct_EquitySwap;
import cdm.product.qualification.functions.Qualify_BaseProduct_IRSwap;
import cdm.product.qualification.functions.Qualify_Commodity_Forward;
import cdm.product.qualification.functions.Qualify_Commodity_Option;
import cdm.product.qualification.functions.Qualify_Commodity_Swap_Basis;
import cdm.product.qualification.functions.Qualify_Commodity_Swap_FixedFloat;
import cdm.product.qualification.functions.Qualify_Commodity_Swaption;
import cdm.product.qualification.functions.Qualify_CreditDefaultSwap_Index;
import cdm.product.qualification.functions.Qualify_CreditDefaultSwap_IndexTranche;
import cdm.product.qualification.functions.Qualify_CreditDefaultSwap_SingleName;
import cdm.product.qualification.functions.Qualify_CreditDefaultSwaption;
import cdm.product.qualification.functions.Qualify_EquityOption_ParameterReturnCorrelation_Basket;
import cdm.product.qualification.functions.Qualify_EquityOption_ParameterReturnDividend_Basket;
import cdm.product.qualification.functions.Qualify_EquityOption_ParameterReturnDividend_Index;
import cdm.product.qualification.functions.Qualify_EquityOption_ParameterReturnDividend_SingleName;
import cdm.product.qualification.functions.Qualify_EquityOption_ParameterReturnVariance_Basket;
import cdm.product.qualification.functions.Qualify_EquityOption_ParameterReturnVariance_Index;
import cdm.product.qualification.functions.Qualify_EquityOption_ParameterReturnVariance_SingleName;
import cdm.product.qualification.functions.Qualify_EquityOption_ParameterReturnVolatility_Basket;
import cdm.product.qualification.functions.Qualify_EquityOption_ParameterReturnVolatility_Index;
import cdm.product.qualification.functions.Qualify_EquityOption_ParameterReturnVolatility_SingleName;
import cdm.product.qualification.functions.Qualify_EquityOption_PriceReturnBasicPerformance_Basket;
import cdm.product.qualification.functions.Qualify_EquityOption_PriceReturnBasicPerformance_Index;
import cdm.product.qualification.functions.Qualify_EquityOption_PriceReturnBasicPerformance_SingleName;
import cdm.product.qualification.functions.Qualify_EquitySwap_ParameterReturnDividend_Basket;
import cdm.product.qualification.functions.Qualify_EquitySwap_ParameterReturnDividend_Index;
import cdm.product.qualification.functions.Qualify_EquitySwap_ParameterReturnDividend_SingleName;
import cdm.product.qualification.functions.Qualify_EquitySwap_ParameterReturnVariance_Basket;
import cdm.product.qualification.functions.Qualify_EquitySwap_ParameterReturnVariance_Index;
import cdm.product.qualification.functions.Qualify_EquitySwap_ParameterReturnVariance_SingleName;
import cdm.product.qualification.functions.Qualify_EquitySwap_ParameterReturnVolatility_Basket;
import cdm.product.qualification.functions.Qualify_EquitySwap_ParameterReturnVolatility_Index;
import cdm.product.qualification.functions.Qualify_EquitySwap_ParameterReturnVolatility_SingleName;
import cdm.product.qualification.functions.Qualify_ForeignExchange_NDF;
import cdm.product.qualification.functions.Qualify_ForeignExchange_NDS;
import cdm.product.qualification.functions.Qualify_ForeignExchange_ParameterReturnCorrelation;
import cdm.product.qualification.functions.Qualify_ForeignExchange_ParameterReturnVariance;
import cdm.product.qualification.functions.Qualify_ForeignExchange_ParameterReturnVolatility;
import cdm.product.qualification.functions.Qualify_ForeignExchange_Spot_Forward;
import cdm.product.qualification.functions.Qualify_ForeignExchange_Swap;
import cdm.product.qualification.functions.Qualify_InterestRate_CapFloor;
import cdm.product.qualification.functions.Qualify_InterestRate_Fra;
import cdm.product.qualification.functions.Qualify_InterestRate_Option_Swaption;
import cdm.product.template.EconomicTerms;
import cdm.product.template.NonTransferableProduct;
import com.google.inject.ImplementedBy;
import com.rosetta.model.lib.expression.ComparisonResult;
import com.rosetta.model.lib.functions.RosettaFunction;
import com.rosetta.model.lib.mapper.MapperS;
import javax.inject.Inject;
@ImplementedBy(StandardizedScheduleProductClass.StandardizedScheduleProductClassDefault.class)
public abstract class StandardizedScheduleProductClass implements RosettaFunction {
// RosettaFunction dependencies
//
@Inject protected IsCreditNthToDefault isCreditNthToDefault;
@Inject protected IsFXDeliverableOption isFXDeliverableOption;
@Inject protected IsFXNonDeliverableOption isFXNonDeliverableOption;
@Inject protected IsIRSwapWithCallableBermudanRightToEnterExitSwaps isIRSwapWithCallableBermudanRightToEnterExitSwaps;
@Inject protected IsIRSwaptionStraddle isIRSwaptionStraddle;
@Inject protected Qualify_BaseProduct_CrossCurrency qualify_BaseProduct_CrossCurrency;
@Inject protected Qualify_BaseProduct_EquityForward qualify_BaseProduct_EquityForward;
@Inject protected Qualify_BaseProduct_EquitySwap qualify_BaseProduct_EquitySwap;
@Inject protected Qualify_BaseProduct_IRSwap qualify_BaseProduct_IRSwap;
@Inject protected Qualify_Commodity_Forward qualify_Commodity_Forward;
@Inject protected Qualify_Commodity_Option qualify_Commodity_Option;
@Inject protected Qualify_Commodity_Swap_Basis qualify_Commodity_Swap_Basis;
@Inject protected Qualify_Commodity_Swap_FixedFloat qualify_Commodity_Swap_FixedFloat;
@Inject protected Qualify_Commodity_Swaption qualify_Commodity_Swaption;
@Inject protected Qualify_CreditDefaultSwap_Index qualify_CreditDefaultSwap_Index;
@Inject protected Qualify_CreditDefaultSwap_IndexTranche qualify_CreditDefaultSwap_IndexTranche;
@Inject protected Qualify_CreditDefaultSwap_SingleName qualify_CreditDefaultSwap_SingleName;
@Inject protected Qualify_CreditDefaultSwaption qualify_CreditDefaultSwaption;
@Inject protected Qualify_EquityOption_ParameterReturnCorrelation_Basket qualify_EquityOption_ParameterReturnCorrelation_Basket;
@Inject protected Qualify_EquityOption_ParameterReturnDividend_Basket qualify_EquityOption_ParameterReturnDividend_Basket;
@Inject protected Qualify_EquityOption_ParameterReturnDividend_Index qualify_EquityOption_ParameterReturnDividend_Index;
@Inject protected Qualify_EquityOption_ParameterReturnDividend_SingleName qualify_EquityOption_ParameterReturnDividend_SingleName;
@Inject protected Qualify_EquityOption_ParameterReturnVariance_Basket qualify_EquityOption_ParameterReturnVariance_Basket;
@Inject protected Qualify_EquityOption_ParameterReturnVariance_Index qualify_EquityOption_ParameterReturnVariance_Index;
@Inject protected Qualify_EquityOption_ParameterReturnVariance_SingleName qualify_EquityOption_ParameterReturnVariance_SingleName;
@Inject protected Qualify_EquityOption_ParameterReturnVolatility_Basket qualify_EquityOption_ParameterReturnVolatility_Basket;
@Inject protected Qualify_EquityOption_ParameterReturnVolatility_Index qualify_EquityOption_ParameterReturnVolatility_Index;
@Inject protected Qualify_EquityOption_ParameterReturnVolatility_SingleName qualify_EquityOption_ParameterReturnVolatility_SingleName;
@Inject protected Qualify_EquityOption_PriceReturnBasicPerformance_Basket qualify_EquityOption_PriceReturnBasicPerformance_Basket;
@Inject protected Qualify_EquityOption_PriceReturnBasicPerformance_Index qualify_EquityOption_PriceReturnBasicPerformance_Index;
@Inject protected Qualify_EquityOption_PriceReturnBasicPerformance_SingleName qualify_EquityOption_PriceReturnBasicPerformance_SingleName;
@Inject protected Qualify_EquitySwap_ParameterReturnDividend_Basket qualify_EquitySwap_ParameterReturnDividend_Basket;
@Inject protected Qualify_EquitySwap_ParameterReturnDividend_Index qualify_EquitySwap_ParameterReturnDividend_Index;
@Inject protected Qualify_EquitySwap_ParameterReturnDividend_SingleName qualify_EquitySwap_ParameterReturnDividend_SingleName;
@Inject protected Qualify_EquitySwap_ParameterReturnVariance_Basket qualify_EquitySwap_ParameterReturnVariance_Basket;
@Inject protected Qualify_EquitySwap_ParameterReturnVariance_Index qualify_EquitySwap_ParameterReturnVariance_Index;
@Inject protected Qualify_EquitySwap_ParameterReturnVariance_SingleName qualify_EquitySwap_ParameterReturnVariance_SingleName;
@Inject protected Qualify_EquitySwap_ParameterReturnVolatility_Basket qualify_EquitySwap_ParameterReturnVolatility_Basket;
@Inject protected Qualify_EquitySwap_ParameterReturnVolatility_Index qualify_EquitySwap_ParameterReturnVolatility_Index;
@Inject protected Qualify_EquitySwap_ParameterReturnVolatility_SingleName qualify_EquitySwap_ParameterReturnVolatility_SingleName;
@Inject protected Qualify_ForeignExchange_NDF qualify_ForeignExchange_NDF;
@Inject protected Qualify_ForeignExchange_NDS qualify_ForeignExchange_NDS;
@Inject protected Qualify_ForeignExchange_ParameterReturnCorrelation qualify_ForeignExchange_ParameterReturnCorrelation;
@Inject protected Qualify_ForeignExchange_ParameterReturnVariance qualify_ForeignExchange_ParameterReturnVariance;
@Inject protected Qualify_ForeignExchange_ParameterReturnVolatility qualify_ForeignExchange_ParameterReturnVolatility;
@Inject protected Qualify_ForeignExchange_Spot_Forward qualify_ForeignExchange_Spot_Forward;
@Inject protected Qualify_ForeignExchange_Swap qualify_ForeignExchange_Swap;
@Inject protected Qualify_InterestRate_CapFloor qualify_InterestRate_CapFloor;
@Inject protected Qualify_InterestRate_Fra qualify_InterestRate_Fra;
@Inject protected Qualify_InterestRate_Option_Swaption qualify_InterestRate_Option_Swaption;
/**
* @param trade
* @return productClass
*/
public StandardizedScheduleProductClassEnum evaluate(Trade trade) {
StandardizedScheduleProductClassEnum productClass = doEvaluate(trade);
return productClass;
}
protected abstract StandardizedScheduleProductClassEnum doEvaluate(Trade trade);
protected abstract MapperS economicTerms(Trade trade);
public static class StandardizedScheduleProductClassDefault extends StandardizedScheduleProductClass {
@Override
protected StandardizedScheduleProductClassEnum doEvaluate(Trade trade) {
StandardizedScheduleProductClassEnum productClass = null;
return assignOutput(productClass, trade);
}
protected StandardizedScheduleProductClassEnum assignOutput(StandardizedScheduleProductClassEnum productClass, Trade trade) {
final Boolean boolean0 = isIRSwapWithCallableBermudanRightToEnterExitSwaps.evaluate(economicTerms(trade).get());
if ((boolean0 == null ? false : boolean0)) {
productClass = StandardizedScheduleProductClassEnum.SWAP_WITH_CALLABLE_BERMUDAN_RIGHT_TO_ENTER_EXIT_SWAPS;
} else {
final Boolean boolean1 = qualify_BaseProduct_IRSwap.evaluate(economicTerms(trade).get());
if ((boolean1 == null ? false : boolean1)) {
productClass = StandardizedScheduleProductClassEnum.SWAP;
} else {
final Boolean boolean2 = qualify_BaseProduct_CrossCurrency.evaluate(economicTerms(trade).get());
if ((boolean2 == null ? false : boolean2)) {
productClass = StandardizedScheduleProductClassEnum.CROSS_CURRENCY_SWAP;
} else {
final Boolean boolean3 = isIRSwaptionStraddle.evaluate(economicTerms(trade).get());
if ((boolean3 == null ? false : boolean3)) {
productClass = StandardizedScheduleProductClassEnum.SWAPTION_STRADDLE;
} else {
final Boolean boolean4 = qualify_InterestRate_Option_Swaption.evaluate(economicTerms(trade).get());
if ((boolean4 == null ? false : boolean4)) {
productClass = StandardizedScheduleProductClassEnum.SWAPTION;
} else {
final Boolean boolean5 = qualify_InterestRate_CapFloor.evaluate(economicTerms(trade).get());
if ((boolean5 == null ? false : boolean5)) {
productClass = StandardizedScheduleProductClassEnum.OPTION;
} else {
final Boolean boolean6 = qualify_InterestRate_Fra.evaluate(economicTerms(trade).get());
if ((boolean6 == null ? false : boolean6)) {
productClass = StandardizedScheduleProductClassEnum.FORWARD_RATE_AGREEMENT;
} else {
final Boolean boolean7 = qualify_CreditDefaultSwap_SingleName.evaluate(economicTerms(trade).get());
if ((boolean7 == null ? false : boolean7)) {
productClass = StandardizedScheduleProductClassEnum.SINGLE_NAME_CREDIT_DEFAULT_SWAP;
} else {
final Boolean boolean8 = qualify_CreditDefaultSwap_Index.evaluate(economicTerms(trade).get());
if ((boolean8 == null ? false : boolean8)) {
productClass = StandardizedScheduleProductClassEnum.INDEX_CDS;
} else {
final Boolean boolean9 = qualify_CreditDefaultSwap_IndexTranche.evaluate(economicTerms(trade).get());
if ((boolean9 == null ? false : boolean9)) {
productClass = StandardizedScheduleProductClassEnum.INDEX_TRANCHE;
} else {
final Boolean boolean10 = qualify_CreditDefaultSwaption.evaluate(economicTerms(trade).get());
if ((boolean10 == null ? false : boolean10)) {
productClass = StandardizedScheduleProductClassEnum.SWAPTION;
} else {
final Boolean boolean11 = isCreditNthToDefault.evaluate(economicTerms(trade).get());
if ((boolean11 == null ? false : boolean11)) {
productClass = StandardizedScheduleProductClassEnum.CREDIT_NTH_TO_DEFAULT;
} else {
final Boolean boolean12 = qualify_ForeignExchange_Swap.evaluate(economicTerms(trade).get());
if ((boolean12 == null ? false : boolean12)) {
productClass = StandardizedScheduleProductClassEnum.DELIVERABLE_SWAP;
} else {
final Boolean boolean13 = qualify_ForeignExchange_NDS.evaluate(economicTerms(trade).get());
if ((boolean13 == null ? false : boolean13)) {
productClass = StandardizedScheduleProductClassEnum.NON_DELIVERABLE_CROSS_CURRENCY_SWAP;
} else {
final Boolean boolean14 = qualify_ForeignExchange_Spot_Forward.evaluate(economicTerms(trade).get());
if ((boolean14 == null ? false : boolean14)) {
productClass = StandardizedScheduleProductClassEnum.DELIVERABLE_FORWARD;
} else {
final Boolean boolean15 = qualify_ForeignExchange_NDF.evaluate(economicTerms(trade).get());
if ((boolean15 == null ? false : boolean15)) {
productClass = StandardizedScheduleProductClassEnum.NON_DELIVERABLE_FORWARD;
} else {
final Boolean boolean16 = isFXDeliverableOption.evaluate(economicTerms(trade).get());
if ((boolean16 == null ? false : boolean16)) {
productClass = StandardizedScheduleProductClassEnum.DELIVERABLE_OPTION;
} else {
final Boolean boolean17 = isFXNonDeliverableOption.evaluate(economicTerms(trade).get());
if ((boolean17 == null ? false : boolean17)) {
productClass = StandardizedScheduleProductClassEnum.NON_DELIVERABLE_OPTION;
} else {
final Boolean boolean18 = qualify_ForeignExchange_ParameterReturnVariance.evaluate(economicTerms(trade).get());
if ((boolean18 == null ? false : boolean18)) {
productClass = StandardizedScheduleProductClassEnum.VARIANCE_SWAP;
} else {
final Boolean boolean19 = qualify_ForeignExchange_ParameterReturnVolatility.evaluate(economicTerms(trade).get());
if ((boolean19 == null ? false : boolean19)) {
productClass = StandardizedScheduleProductClassEnum.VOLATILITY_SWAP;
} else {
final Boolean boolean20 = qualify_ForeignExchange_ParameterReturnCorrelation.evaluate(economicTerms(trade).get());
if ((boolean20 == null ? false : boolean20)) {
productClass = StandardizedScheduleProductClassEnum.CORRELATION_SWAP;
} else if (ComparisonResult.of(MapperS.of(qualify_EquityOption_PriceReturnBasicPerformance_Basket.evaluate(economicTerms(trade).get()))).or(ComparisonResult.of(MapperS.of(qualify_EquityOption_PriceReturnBasicPerformance_Index.evaluate(economicTerms(trade).get())))).or(ComparisonResult.of(MapperS.of(qualify_EquityOption_PriceReturnBasicPerformance_SingleName.evaluate(economicTerms(trade).get())))).or(ComparisonResult.of(MapperS.of(qualify_EquityOption_ParameterReturnVolatility_Basket.evaluate(economicTerms(trade).get())))).or(ComparisonResult.of(MapperS.of(qualify_EquityOption_ParameterReturnVolatility_Index.evaluate(economicTerms(trade).get())))).or(ComparisonResult.of(MapperS.of(qualify_EquityOption_ParameterReturnVolatility_SingleName.evaluate(economicTerms(trade).get())))).or(ComparisonResult.of(MapperS.of(qualify_EquityOption_ParameterReturnVariance_Basket.evaluate(economicTerms(trade).get())))).or(ComparisonResult.of(MapperS.of(qualify_EquityOption_ParameterReturnVariance_Index.evaluate(economicTerms(trade).get())))).or(ComparisonResult.of(MapperS.of(qualify_EquityOption_ParameterReturnVariance_SingleName.evaluate(economicTerms(trade).get())))).or(ComparisonResult.of(MapperS.of(qualify_EquityOption_ParameterReturnCorrelation_Basket.evaluate(economicTerms(trade).get())))).or(ComparisonResult.of(MapperS.of(qualify_EquityOption_ParameterReturnDividend_Basket.evaluate(economicTerms(trade).get())))).or(ComparisonResult.of(MapperS.of(qualify_EquityOption_ParameterReturnDividend_Index.evaluate(economicTerms(trade).get())))).or(ComparisonResult.of(MapperS.of(qualify_EquityOption_ParameterReturnDividend_SingleName.evaluate(economicTerms(trade).get())))).getOrDefault(false)) {
productClass = StandardizedScheduleProductClassEnum.OPTION;
} else {
final Boolean boolean21 = qualify_BaseProduct_EquityForward.evaluate(economicTerms(trade).get());
if ((boolean21 == null ? false : boolean21)) {
productClass = StandardizedScheduleProductClassEnum.FORWARD;
} else if (ComparisonResult.of(MapperS.of(qualify_EquitySwap_ParameterReturnDividend_Basket.evaluate(economicTerms(trade).get()))).or(ComparisonResult.of(MapperS.of(qualify_EquitySwap_ParameterReturnDividend_Index.evaluate(economicTerms(trade).get())))).or(ComparisonResult.of(MapperS.of(qualify_EquitySwap_ParameterReturnDividend_SingleName.evaluate(economicTerms(trade).get())))).getOrDefault(false)) {
productClass = StandardizedScheduleProductClassEnum.DIVIDEND_SWAP;
} else if (ComparisonResult.of(MapperS.of(qualify_EquitySwap_ParameterReturnVariance_Basket.evaluate(economicTerms(trade).get()))).or(ComparisonResult.of(MapperS.of(qualify_EquitySwap_ParameterReturnVariance_Index.evaluate(economicTerms(trade).get())))).or(ComparisonResult.of(MapperS.of(qualify_EquitySwap_ParameterReturnVariance_SingleName.evaluate(economicTerms(trade).get())))).getOrDefault(false)) {
productClass = StandardizedScheduleProductClassEnum.VARIANCE_SWAP;
} else if (ComparisonResult.of(MapperS.of(qualify_EquitySwap_ParameterReturnVolatility_Basket.evaluate(economicTerms(trade).get()))).or(ComparisonResult.of(MapperS.of(qualify_EquitySwap_ParameterReturnVolatility_Index.evaluate(economicTerms(trade).get())))).or(ComparisonResult.of(MapperS.of(qualify_EquitySwap_ParameterReturnVolatility_SingleName.evaluate(economicTerms(trade).get())))).getOrDefault(false)) {
productClass = StandardizedScheduleProductClassEnum.VOLATILITY_SWAP;
} else {
final Boolean boolean22 = qualify_BaseProduct_EquitySwap.evaluate(economicTerms(trade).get());
if ((boolean22 == null ? false : boolean22)) {
productClass = StandardizedScheduleProductClassEnum.SWAPS_AND_PORTFOLIO_SWAPS;
} else {
final Boolean boolean23 = qualify_Commodity_Forward.evaluate(economicTerms(trade).get());
if ((boolean23 == null ? false : boolean23)) {
productClass = StandardizedScheduleProductClassEnum.FORWARD;
} else {
final Boolean boolean24 = qualify_Commodity_Option.evaluate(economicTerms(trade).get());
if ((boolean24 == null ? false : boolean24)) {
productClass = StandardizedScheduleProductClassEnum.OPTION;
} else {
final Boolean boolean25 = qualify_Commodity_Swap_FixedFloat.evaluate(economicTerms(trade).get());
if ((boolean25 == null ? false : boolean25)) {
productClass = StandardizedScheduleProductClassEnum.FIXED_FLOAT_SWAP;
} else {
final Boolean boolean26 = qualify_Commodity_Swap_Basis.evaluate(economicTerms(trade).get());
if ((boolean26 == null ? false : boolean26)) {
productClass = StandardizedScheduleProductClassEnum.BASIS_SWAP;
} else {
final Boolean boolean27 = qualify_Commodity_Swaption.evaluate(economicTerms(trade).get());
if ((boolean27 == null ? false : boolean27)) {
productClass = StandardizedScheduleProductClassEnum.SWAPTION;
} else {
productClass = null;
}
}
}
}
}
}
}
}
}
}
}
}
}
}
}
}
}
}
}
}
}
}
}
}
}
}
}
}
return productClass;
}
@Override
protected MapperS economicTerms(Trade trade) {
return MapperS.of(trade).map("getProduct", _trade -> _trade.getProduct()).map("getEconomicTerms", nonTransferableProduct -> nonTransferableProduct.getEconomicTerms());
}
}
}
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