org.drip.analytics.cashflow

Class ComposableUnitPeriod

java.lang.Object

org.drip.analytics.cashflow.ComposableUnitPeriod

Direct Known Subclasses:

ComposableUnitFixedPeriod, ComposableUnitFloatingPeriod

public abstract class ComposableUnitPeriod
extends java.lang.Object

ComposableUnitPeriod contains the cash flow periods' composable unit period details. Currently it holds the accrual start date, the accrual end date, the fixed coupon, the basis spread, coupon and accrual day counts, and the EOM adjustment flags.

Author:

Lakshmi Krishnamurthy

Field Summary

Fields

Modifier and Type	Field and Description
static int	NODE_INSIDE_SEGMENT Node is Inside the Period
static int	NODE_LEFT_OF_SEGMENT Node is to the Left of the Period
static int	NODE_RIGHT_OF_SEGMENT Node is to the Right of the Period

Method Summary

Modifier and Type	Method and Description
int	accrualCompoundingRule() Retrieve the Accrual Compounding Rule
java.lang.String	accrualDC() Retrieve the Accrual Day Count
double	accrualDCF(int iAccrualEnd) Get the Period Accrual Day Count Fraction to an Accrual End Date
boolean	accrualEOMAdjustment() Retrieve the Accrual EOM Adjustment Flag
abstract double	baseRate(CurveSurfaceQuoteContainer csqs) Get the Period Base Coupon Rate
abstract double	basis() Get the Period Coupon Basis
java.lang.String	calendar() Retrieve the Calendar
abstract java.lang.String	couponCurrency() Get the Period Coupon Currency
java.lang.String	couponDC() Retrieve the Coupon Day Count
boolean	couponDCFOffOfFreq() Retrieve the Flag indicating whether Coupon DCF is computed off of the DCF Flag
boolean	couponEOMAdjustment() Retrieve the Coupon EOM Adjustment Flag
int	dateLocation(int iDateNode) Place the Date Node Location in relation to the segment Location
int	endDate() Retrieve the Accrual End Date
int	freq() Retrieve the Coupon Frequency
double	fullCouponDCF() Retrieve the Period Full Coupon DCF
double	fullCouponRate(CurveSurfaceQuoteContainer csqs) Get the Period Full Coupon Rate
int	startDate() Retrieve the Accrual Start Date
java.lang.String	tenor() Convert the Coupon Frequency into a Tenor

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

NODE_LEFT_OF_SEGMENT

public static final int NODE_LEFT_OF_SEGMENT

Node is to the Left of the Period

See Also:

Constant Field Values

NODE_INSIDE_SEGMENT

public static final int NODE_INSIDE_SEGMENT

Node is Inside the Period

See Also:

Constant Field Values

NODE_RIGHT_OF_SEGMENT

public static final int NODE_RIGHT_OF_SEGMENT

Node is to the Right of the Period

See Also:

Constant Field Values

Method Detail

startDate

public int startDate()

Retrieve the Accrual Start Date

Returns:

The Accrual Start Date

endDate

public int endDate()

Retrieve the Accrual End Date

Returns:

The Accrual End Date

freq

public int freq()

Retrieve the Coupon Frequency

Returns:

The Coupon Frequency

couponDC

public java.lang.String couponDC()

Retrieve the Coupon Day Count

Returns:

The Coupon Day Count

couponEOMAdjustment

public boolean couponEOMAdjustment()

Retrieve the Coupon EOM Adjustment Flag

Returns:

The Coupon EOM Adjustment Flag

accrualDC

public java.lang.String accrualDC()

Retrieve the Accrual Day Count

Returns:

The Accrual Day Count

accrualEOMAdjustment

public boolean accrualEOMAdjustment()

Retrieve the Accrual EOM Adjustment Flag

Returns:

The Accrual EOM Adjustment Flag

couponDCFOffOfFreq

public boolean couponDCFOffOfFreq()

Retrieve the Flag indicating whether Coupon DCF is computed off of the DCF Flag

Returns:

true - The Flag indicating whether Coupon DCF is computed off of the DCF Flag

calendar

public java.lang.String calendar()

Retrieve the Calendar

Returns:

The Calendar

accrualCompoundingRule

public int accrualCompoundingRule()

Retrieve the Accrual Compounding Rule

Returns:

The Accrual Compounding Rule

fullCouponDCF

public double fullCouponDCF()

Retrieve the Period Full Coupon DCF

Returns:

The Period Full Coupon DCF

tenor

public java.lang.String tenor()

Convert the Coupon Frequency into a Tenor

Returns:

The Coupon Frequency converted into a Tenor

dateLocation

public int dateLocation(int iDateNode)

Place the Date Node Location in relation to the segment Location

Parameters:

iDateNode - The Node Ordinate

Returns:

One of NODE_LEFT_OF_SEGMENT, NODE_RIGHT_OF_SEGMENT, or NODE_INSIDE_SEGMENT

accrualDCF

public double accrualDCF(int iAccrualEnd)
                  throws java.lang.Exception

Get the Period Accrual Day Count Fraction to an Accrual End Date

Parameters:

iAccrualEnd - Accrual End Date

Returns:

The Accrual DCF

Throws:

java.lang.Exception - Thrown if inputs are invalid, or if the date does not lie within the period

fullCouponRate

public double fullCouponRate(CurveSurfaceQuoteContainer csqs)
                      throws java.lang.Exception

Get the Period Full Coupon Rate

Parameters:

csqs - The Market Curve and Surface

Returns:

The Period Full Coupon Rate

Throws:

java.lang.Exception - Thrown if the full Coupon Rate cannot be calculated

baseRate

public abstract double baseRate(CurveSurfaceQuoteContainer csqs)
                         throws java.lang.Exception

Get the Period Base Coupon Rate

Parameters:

csqs - The Market Curve and Surface

Returns:

The Period Base Coupon Rate

Throws:

java.lang.Exception - Thrown if the base Coupon Rate cannot be calculated

basis

public abstract double basis()

Get the Period Coupon Basis

Returns:

The Period Coupon Basis

couponCurrency

public abstract java.lang.String couponCurrency()

Get the Period Coupon Currency

Returns:

The Period Coupon Currency