org.drip.analytics.support

Class CompositePeriodBuilder

java.lang.Object

org.drip.analytics.support.CompositePeriodBuilder

public class CompositePeriodBuilder
extends java.lang.Object

CompositePeriodBuilder exposes the composite period construction functionality.

Author:

Lakshmi Krishnamurthy

Field Summary

Fields

Modifier and Type	Field and Description
static int	ACCRUAL_COMPOUNDING_RULE_ARITHMETIC Accrual Compounding Rule - Arithmetic
static int	ACCRUAL_COMPOUNDING_RULE_GEOMETRIC Accrual Compounding Rule - Geometric
static int	EDGE_DATE_SEQUENCE_FORWARD Edge Date Generation Sequence - Forward
static int	EDGE_DATE_SEQUENCE_OVERNIGHT Edge Date Generation Sequence - Overnight
static int	EDGE_DATE_SEQUENCE_REGULAR Edge Date Generation Sequence - Regular
static int	EDGE_DATE_SEQUENCE_REVERSE Edge Date Generation Sequence - Reverse
static int	EDGE_DATE_SEQUENCE_SINGLE Edge Date Generation Sequence - Single Edge Date Pair Between Dates
static int	FULL_FRONT_PERIOD Period Set Generation Customization - Merge the front periods to produce a long front
static int	LONG_STUB Period Set Generation Customization - Long Stub (if present) belongs to the front/back end depending upon backwards/forwards generation scheme
static int	REFERENCE_PERIOD_IN_ADVANCE Reference Period Fixing is IN-ADVANCE (i.e., the same as that) of the Coupon Period
static int	REFERENCE_PERIOD_IN_ARREARS Reference Period Fixing is IN-ARREARS (i.e., displaced one period to the right) of the Coupon Period
static int	SHORT_STUB Period Set Generation Customization - Short Stub (i.e., No adjustment on either end)

Constructor Summary

Constructors

Constructor and Description
CompositePeriodBuilder()

Method Summary

Modifier and Type	Method and Description
static java.util.List<java.lang.Integer>	BackwardEdgeDates(int iEffective, int iMaturity, java.lang.String strTenor, DateAdjustParams dap, int iPSEC) Generate a list of period edge dates backward from the end.
static java.util.List<java.lang.Integer>	BackwardEdgeDates(JulianDate dtEffective, JulianDate dtMaturity, java.lang.String strTenor, DateAdjustParams dap, int iPSEC) Generate a list of period edge dates backward from the end.
static java.util.List<java.lang.Integer>	EdgePair(JulianDate dtStart, JulianDate dtEnd) Generate a single Spanning Edge Pair between the specified dates, using the specified Calendar
static java.util.List<CompositePeriod>	FixedCompositeUnit(java.util.List<java.lang.Integer> lsCompositeEdgeDate, CompositePeriodSetting cps, UnitCouponAccrualSetting ucas, ComposableFixedUnitSetting cfus) Construct the List of Composite Fixed Periods from the corresponding composable Fixed Period Units
static java.util.List<ComposableUnitPeriod>	FixedUnits(int iUnitPeriodStartDate, int iUnitPeriodEndDate, UnitCouponAccrualSetting ucas, ComposableFixedUnitSetting cfus) Construct the List of Composable Fixed Units from the inputs
static java.util.List<CompositePeriod>	FloatingCompositeUnit(java.util.List<java.lang.Integer> lsCompositeEdgeDate, CompositePeriodSetting cps, ComposableFloatingUnitSetting cfus) Construct the List of Composite Floating Period from the corresponding composable Floating Period Units
static java.util.List<ComposableUnitPeriod>	FloatingUnits(int iUnitPeriodStartDate, int iUnitPeriodEndDate, ComposableFloatingUnitSetting cfus) Construct the List of Composable Floating Units from the inputs
static java.util.List<java.lang.Integer>	ForwardEdgeDates(int iEffective, int iMaturity, java.lang.String strTenor, DateAdjustParams dap, int iPSEC) Generate a list of period edge dates forward from the start.
static java.util.List<java.lang.Integer>	ForwardEdgeDates(JulianDate dtEffective, JulianDate dtMaturity, java.lang.String strTenor, DateAdjustParams dap, int iPSEC) Generate a list of period edge dates forward from the start.
static java.util.List<java.lang.Integer>	IMMEdgeDates(JulianDate dtSpot, int iRollMonths, java.lang.String strPeriodTenor, java.lang.String strMaturityTenor, DateAdjustParams dap) Generate a list of the IMM period edge dates forward from the spot date.
static ReferenceIndexPeriod	MakeReferencePeriod(int iStartDate, int iEndDate, ForwardLabel forwardLabel, int iReferencePeriodArrearsType) Construct a Reference Period using the Start/End Dates, Fixing DAP, Forward Label, and the Reference Period Arrears Type
static ReferenceIndexPeriod	MakeReferencePeriod(JulianDate dtStart, JulianDate dtEnd, ForwardLabel forwardLabel, int iReferencePeriodArrearsType) Construct a Reference Period using the Start/End Dates, Fixing DAP, Forward Label, and the Reference Period Arrears Type
static java.util.List<java.lang.Integer>	OvernightEdgeDates(int iStartDate, int iEndDate, java.lang.String strCalendar) Generate the List of Overnight Edge Dates between the specified dates, using the specified Calendar
static java.util.List<java.lang.Integer>	OvernightEdgeDates(JulianDate dtStart, JulianDate dtEnd, java.lang.String strCalendar) Generate the List of Overnight Edge Dates between the specified dates, using the specified Calendar
static java.util.List<java.lang.Integer>	RegularEdgeDates(int iStartDate, int iEndDate, java.lang.String strPeriodTenor, DateAdjustParams dap) Generate a list of regular period edge dates forward from the start.
static java.util.List<java.lang.Integer>	RegularEdgeDates(int iEffective, java.lang.String strPeriodTenor, java.lang.String strMaturityTenor, DateAdjustParams dap) Generate a list of regular period edge dates forward from the start.
static java.util.List<java.lang.Integer>	RegularEdgeDates(JulianDate dtEffective, java.lang.String strPeriodTenor, java.lang.String strMaturityTenor, DateAdjustParams dap) Generate a list of regular period edge dates forward from the start.
static java.util.List<java.lang.Integer>	UnitDateEdges(int iUnitPeriodStartDate, int iUnitPeriodEndDate, java.lang.String strCalendar, ComposableUnitBuilderSetting cubs) Retrieve the List of Edge Dates across all Units
static boolean	ValidateCompoundingRule(int iAccrualCompoundingRule) Verify if the Specified Accrual Compounding Rule is a Valid One

Methods inherited from class java.lang.Object

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

Field Detail

EDGE_DATE_SEQUENCE_FORWARD

public static final int EDGE_DATE_SEQUENCE_FORWARD

Edge Date Generation Sequence - Forward

See Also:

Constant Field Values

EDGE_DATE_SEQUENCE_REVERSE

public static final int EDGE_DATE_SEQUENCE_REVERSE

Edge Date Generation Sequence - Reverse

See Also:

Constant Field Values

EDGE_DATE_SEQUENCE_REGULAR

public static final int EDGE_DATE_SEQUENCE_REGULAR

Edge Date Generation Sequence - Regular

See Also:

Constant Field Values

EDGE_DATE_SEQUENCE_OVERNIGHT

public static final int EDGE_DATE_SEQUENCE_OVERNIGHT

Edge Date Generation Sequence - Overnight

See Also:

Constant Field Values

EDGE_DATE_SEQUENCE_SINGLE

public static final int EDGE_DATE_SEQUENCE_SINGLE

Edge Date Generation Sequence - Single Edge Date Pair Between Dates

See Also:

Constant Field Values

SHORT_STUB

public static final int SHORT_STUB

Period Set Generation Customization - Short Stub (i.e., No adjustment on either end)

See Also:

Constant Field Values

FULL_FRONT_PERIOD

public static final int FULL_FRONT_PERIOD

Period Set Generation Customization - Merge the front periods to produce a long front

See Also:

Constant Field Values

LONG_STUB

public static final int LONG_STUB

Period Set Generation Customization - Long Stub (if present) belongs to the front/back end depending upon backwards/forwards generation scheme

See Also:

Constant Field Values

REFERENCE_PERIOD_IN_ARREARS

public static final int REFERENCE_PERIOD_IN_ARREARS

Reference Period Fixing is IN-ARREARS (i.e., displaced one period to the right) of the Coupon Period

See Also:

Constant Field Values

REFERENCE_PERIOD_IN_ADVANCE

public static final int REFERENCE_PERIOD_IN_ADVANCE

Reference Period Fixing is IN-ADVANCE (i.e., the same as that) of the Coupon Period

See Also:

Constant Field Values

ACCRUAL_COMPOUNDING_RULE_ARITHMETIC

public static final int ACCRUAL_COMPOUNDING_RULE_ARITHMETIC

Accrual Compounding Rule - Arithmetic

See Also:

Constant Field Values

ACCRUAL_COMPOUNDING_RULE_GEOMETRIC

public static final int ACCRUAL_COMPOUNDING_RULE_GEOMETRIC

Accrual Compounding Rule - Geometric

See Also:

Constant Field Values

Constructor Detail

CompositePeriodBuilder

public CompositePeriodBuilder()

Method Detail

ValidateCompoundingRule

public static final boolean ValidateCompoundingRule(int iAccrualCompoundingRule)

Verify if the Specified Accrual Compounding Rule is a Valid One

Parameters:

iAccrualCompoundingRule - The Accrual Compounding Rule

Returns:

TRUE - The Accrual Compounding Rule is valid

ForwardEdgeDates

public static final java.util.List<java.lang.Integer> ForwardEdgeDates(JulianDate dtEffective,
                                                                       JulianDate dtMaturity,
                                                                       java.lang.String strTenor,
                                                                       DateAdjustParams dap,
                                                                       int iPSEC)

Generate a list of period edge dates forward from the start.

Parameters:

dtEffective - Effective date

dtMaturity - Maturity date

strTenor - Period Tenor

dap - Inner Date Adjustment Parameters

iPSEC - Period Set Edge Customizer Setting

Returns:

List of Period Edge Dates

BackwardEdgeDates

public static final java.util.List<java.lang.Integer> BackwardEdgeDates(JulianDate dtEffective,
                                                                        JulianDate dtMaturity,
                                                                        java.lang.String strTenor,
                                                                        DateAdjustParams dap,
                                                                        int iPSEC)

Generate a list of period edge dates backward from the end.

Parameters:

dtEffective - Effective date

dtMaturity - Maturity date

strTenor - Period Tenor

dap - Inner Date Adjustment Parameters

iPSEC - Period Set Edge Customizer Setting

Returns:

List of Period Edge Dates

RegularEdgeDates

public static final java.util.List<java.lang.Integer> RegularEdgeDates(JulianDate dtEffective,
                                                                       java.lang.String strPeriodTenor,
                                                                       java.lang.String strMaturityTenor,
                                                                       DateAdjustParams dap)

Generate a list of regular period edge dates forward from the start.

Parameters:

dtEffective - Effective date

strPeriodTenor - Period Tenor

strMaturityTenor - Period Tenor

dap - Inner Date Adjustment Parameters

Returns:

List of Period Edge Dates

RegularEdgeDates

public static final java.util.List<java.lang.Integer> RegularEdgeDates(int iStartDate,
                                                                       int iEndDate,
                                                                       java.lang.String strPeriodTenor,
                                                                       DateAdjustParams dap)

Generate a list of regular period edge dates forward from the start.

Parameters:

iStartDate - Start Date

iEndDate - End Date

strPeriodTenor - Period Tenor

dap - Inner Date Adjustment Parameters

Returns:

List of Period Edge Dates

IMMEdgeDates

public static final java.util.List<java.lang.Integer> IMMEdgeDates(JulianDate dtSpot,
                                                                   int iRollMonths,
                                                                   java.lang.String strPeriodTenor,
                                                                   java.lang.String strMaturityTenor,
                                                                   DateAdjustParams dap)

Generate a list of the IMM period edge dates forward from the spot date.

Parameters:

dtSpot - Spot Date

iRollMonths - Number of Months to Roll to the Next IMM Date

strPeriodTenor - Period Tenor

strMaturityTenor - Period Tenor

dap - Inner Date Adjustment Parameters

Returns:

List of IMM Period Edge Dates

OvernightEdgeDates

public static final java.util.List<java.lang.Integer> OvernightEdgeDates(JulianDate dtStart,
                                                                         JulianDate dtEnd,
                                                                         java.lang.String strCalendar)

Generate the List of Overnight Edge Dates between the specified dates, using the specified Calendar

Parameters:

dtStart - Start Date

dtEnd - End Date

strCalendar - Calendar

Returns:

List of Overnight Edge Dates

EdgePair

public static final java.util.List<java.lang.Integer> EdgePair(JulianDate dtStart,
                                                               JulianDate dtEnd)

Generate a single Spanning Edge Pair between the specified dates, using the specified Calendar

Parameters:

dtStart - Start Date

dtEnd - End Date

Returns:

List Containing the Pair

MakeReferencePeriod

public static final ReferenceIndexPeriod MakeReferencePeriod(JulianDate dtStart,
                                                             JulianDate dtEnd,
                                                             ForwardLabel forwardLabel,
                                                             int iReferencePeriodArrearsType)

Construct a Reference Period using the Start/End Dates, Fixing DAP, Forward Label, and the Reference Period Arrears Type

Parameters:

dtStart - Start Date

dtEnd - End Date

forwardLabel - Forward Label

iReferencePeriodArrearsType - Reference Period Arrears Type

Returns:

The Reference Period

ForwardEdgeDates

public static final java.util.List<java.lang.Integer> ForwardEdgeDates(int iEffective,
                                                                       int iMaturity,
                                                                       java.lang.String strTenor,
                                                                       DateAdjustParams dap,
                                                                       int iPSEC)

Generate a list of period edge dates forward from the start.

Parameters:

iEffective - Effective Date

iMaturity - Maturity Date

strTenor - Period Tenor

dap - Inner Date Adjustment Parameters

iPSEC - Period Set Edge Customizer Setting

Returns:

List of Period Edge Dates

BackwardEdgeDates

public static final java.util.List<java.lang.Integer> BackwardEdgeDates(int iEffective,
                                                                        int iMaturity,
                                                                        java.lang.String strTenor,
                                                                        DateAdjustParams dap,
                                                                        int iPSEC)

Generate a list of period edge dates backward from the end.

Parameters:

iEffective - Effective Date

iMaturity - Maturity Date

strTenor - Period Tenor

dap - Inner Date Adjustment Parameters

iPSEC - Period Set Edge Customizer Setting

Returns:

List of Period Edge Dates

RegularEdgeDates

public static final java.util.List<java.lang.Integer> RegularEdgeDates(int iEffective,
                                                                       java.lang.String strPeriodTenor,
                                                                       java.lang.String strMaturityTenor,
                                                                       DateAdjustParams dap)

Generate a list of regular period edge dates forward from the start.

Parameters:

iEffective - Effective Date

strPeriodTenor - Period Tenor

strMaturityTenor - Period Tenor

dap - Inner Date Adjustment Parameters

Returns:

List of Period Edge Dates

OvernightEdgeDates

public static final java.util.List<java.lang.Integer> OvernightEdgeDates(int iStartDate,
                                                                         int iEndDate,
                                                                         java.lang.String strCalendar)

Generate the List of Overnight Edge Dates between the specified dates, using the specified Calendar

Parameters:

iStartDate - Start Date

iEndDate - End Date

strCalendar - Calendar

Returns:

List of Overnight Edge Dates

MakeReferencePeriod

public static final ReferenceIndexPeriod MakeReferencePeriod(int iStartDate,
                                                             int iEndDate,
                                                             ForwardLabel forwardLabel,
                                                             int iReferencePeriodArrearsType)

Construct a Reference Period using the Start/End Dates, Fixing DAP, Forward Label, and the Reference Period Arrears Type

Parameters:

iStartDate - Start Date

iEndDate - End Date

forwardLabel - Forward Label

iReferencePeriodArrearsType - Reference Period Arrears Type

Returns:

The Reference Period

UnitDateEdges

public static final java.util.List<java.lang.Integer> UnitDateEdges(int iUnitPeriodStartDate,
                                                                    int iUnitPeriodEndDate,
                                                                    java.lang.String strCalendar,
                                                                    ComposableUnitBuilderSetting cubs)

Retrieve the List of Edge Dates across all Units

Parameters:

iUnitPeriodStartDate - Unit Period Start Date

iUnitPeriodEndDate - Unit Period End Date

strCalendar - Unit Date Generation Calendar

cubs - Composable Unit Builder Setting

Returns:

List of Edge Dates across all Units

FixedUnits

public static final java.util.List<ComposableUnitPeriod> FixedUnits(int iUnitPeriodStartDate,
                                                                    int iUnitPeriodEndDate,
                                                                    UnitCouponAccrualSetting ucas,
                                                                    ComposableFixedUnitSetting cfus)

Construct the List of Composable Fixed Units from the inputs

Parameters:

iUnitPeriodStartDate - Unit Period Start Date

iUnitPeriodEndDate - Unit Period End Date

ucas - Unit Coupon/Accrual Setting

cfus - Composable Fixed Unit Setting

Returns:

The List of Composable Floating Units

FloatingUnits

public static final java.util.List<ComposableUnitPeriod> FloatingUnits(int iUnitPeriodStartDate,
                                                                       int iUnitPeriodEndDate,
                                                                       ComposableFloatingUnitSetting cfus)

Construct the List of Composable Floating Units from the inputs

Parameters:

iUnitPeriodStartDate - Unit Period Start Date

iUnitPeriodEndDate - Unit Period End Date

cfus - Composable Floating Unit Setting

Returns:

The List of Composable Floating Units

FixedCompositeUnit

public static final java.util.List<CompositePeriod> FixedCompositeUnit(java.util.List<java.lang.Integer> lsCompositeEdgeDate,
                                                                       CompositePeriodSetting cps,
                                                                       UnitCouponAccrualSetting ucas,
                                                                       ComposableFixedUnitSetting cfus)

Construct the List of Composite Fixed Periods from the corresponding composable Fixed Period Units

Parameters:

lsCompositeEdgeDate - The Composite Period Edge Dates

cps - Composite Period Setting Instance

ucas - Unit Coupon/Accrual Setting

cfus - Composable Fixed Unit Setting

Returns:

List of Composite Fixed Periods

FloatingCompositeUnit

public static final java.util.List<CompositePeriod> FloatingCompositeUnit(java.util.List<java.lang.Integer> lsCompositeEdgeDate,
                                                                          CompositePeriodSetting cps,
                                                                          ComposableFloatingUnitSetting cfus)

Construct the List of Composite Floating Period from the corresponding composable Floating Period Units

Parameters:

lsCompositeEdgeDate - The Composite Period Edge Dates

cps - Composite Period Setting Instance

cfus - Composable Floating Unit Setting

Returns:

List of Composite Floating Periods