org.drip.analytics.support

Class FuturesHelper

java.lang.Object

org.drip.analytics.support.FuturesHelper

public class FuturesHelper
extends java.lang.Object

FuturesHelper contains the Collection of the Futures Valuation related Utility Functions.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
FuturesHelper()

Method Summary

Modifier and Type	Method and Description
static double	ForwardBondCreditPrice(Bond bond, JulianDate dtSpot, JulianDate dtForward, CurveSurfaceQuoteContainer csqc, double dblCleanPrice) Compute the Forward Bond Price Using the Implied Bond Credit Basis
static double	ForwardBondCreditPrice(Bond bond, ValuationParams valParamsSpot, ValuationParams valParamsForward, CurveSurfaceQuoteContainer csqc, ValuationCustomizationParams vcp, double dblCleanPrice) Compute the Forward Bond Price Using the Implied Bond Credit Basis
static double	ForwardBondOASPrice(Bond bond, JulianDate dtSpot, JulianDate dtForward, CurveSurfaceQuoteContainer csqc, double dblCleanPrice) Compute the Forward Bond Price Using the Implied Bond OAS
static double	ForwardBondOASPrice(Bond bond, ValuationParams valParamsSpot, ValuationParams valParamsForward, CurveSurfaceQuoteContainer csqc, ValuationCustomizationParams vcp, double dblCleanPrice) Compute the Forward Bond Price Using the Implied Bond OAS
static double	ForwardBondYieldPrice(Bond bond, JulianDate dtSpot, JulianDate dtForward, CurveSurfaceQuoteContainer csqc, double dblCleanPrice) Compute the Forward Bond Price Using the Implied Bond Yield
static double	ForwardBondYieldPrice(Bond bond, ValuationParams valParamsSpot, ValuationParams valParamsForward, CurveSurfaceQuoteContainer csqc, ValuationCustomizationParams vcp, double dblCleanPrice) Compute the Forward Bond Price Using the Implied Bond Yield
static double	ForwardBondZSpreadPrice(Bond bond, JulianDate dtSpot, JulianDate dtForward, CurveSurfaceQuoteContainer csqc, double dblCleanPrice) Compute the Forward Bond Price Using the Implied Bond Z Spread
static double	ForwardBondZSpreadPrice(Bond bond, ValuationParams valParamsSpot, ValuationParams valParamsForward, CurveSurfaceQuoteContainer csqc, ValuationCustomizationParams vcp, double dblCleanPrice) Compute the Forward Bond Price Using the Implied Bond Z Spread

Methods inherited from class java.lang.Object

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

Constructor Detail

FuturesHelper

public FuturesHelper()

Method Detail

ForwardBondYieldPrice

public static final double ForwardBondYieldPrice(Bond bond,
                                                 ValuationParams valParamsSpot,
                                                 ValuationParams valParamsForward,
                                                 CurveSurfaceQuoteContainer csqc,
                                                 ValuationCustomizationParams vcp,
                                                 double dblCleanPrice)
                                          throws java.lang.Exception

Compute the Forward Bond Price Using the Implied Bond Yield

Parameters:

bond - The Bond Instance

valParamsSpot - The Spot Valuation Parameters

valParamsForward - The Forward Valuation Parameters

csqc - The Market Parameters

vcp - Valuation Customization Parameters

dblCleanPrice - The Clean Bond Price

Returns:

The Forward Bond Price Using the Implied Bond Yield

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

ForwardBondZSpreadPrice

public static final double ForwardBondZSpreadPrice(Bond bond,
                                                   ValuationParams valParamsSpot,
                                                   ValuationParams valParamsForward,
                                                   CurveSurfaceQuoteContainer csqc,
                                                   ValuationCustomizationParams vcp,
                                                   double dblCleanPrice)
                                            throws java.lang.Exception

Compute the Forward Bond Price Using the Implied Bond Z Spread

Parameters:

bond - The Bond Instance

valParamsSpot - The Spot Valuation Parameters

valParamsForward - The Forward Valuation Parameters

csqc - The Market Parameters

vcp - Valuation Customization Parameters

dblCleanPrice - The Clean Bond Price

Returns:

The Forward Bond Price Using the Implied Bond Z Spread

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

ForwardBondOASPrice

public static final double ForwardBondOASPrice(Bond bond,
                                               ValuationParams valParamsSpot,
                                               ValuationParams valParamsForward,
                                               CurveSurfaceQuoteContainer csqc,
                                               ValuationCustomizationParams vcp,
                                               double dblCleanPrice)
                                        throws java.lang.Exception

Compute the Forward Bond Price Using the Implied Bond OAS

Parameters:

bond - The Bond Instance

valParamsSpot - The Spot Valuation Parameters

valParamsForward - The Forward Valuation Parameters

csqc - The Market Parameters

vcp - Valuation Customization Parameters

dblCleanPrice - The Clean Bond Price

Returns:

The Forward Bond Price Using the Implied Bond OAS

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

ForwardBondCreditPrice

public static final double ForwardBondCreditPrice(Bond bond,
                                                  ValuationParams valParamsSpot,
                                                  ValuationParams valParamsForward,
                                                  CurveSurfaceQuoteContainer csqc,
                                                  ValuationCustomizationParams vcp,
                                                  double dblCleanPrice)
                                           throws java.lang.Exception

Compute the Forward Bond Price Using the Implied Bond Credit Basis

Parameters:

bond - The Bond Instance

valParamsSpot - The Spot Valuation Parameters

valParamsForward - The Forward Valuation Parameters

csqc - The Market Parameters

vcp - Valuation Customization Parameters

dblCleanPrice - The Clean Bond Price

Returns:

The Forward Bond Price Using the Implied Bond Credit Basis

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

ForwardBondYieldPrice

public static final double ForwardBondYieldPrice(Bond bond,
                                                 JulianDate dtSpot,
                                                 JulianDate dtForward,
                                                 CurveSurfaceQuoteContainer csqc,
                                                 double dblCleanPrice)
                                          throws java.lang.Exception

Compute the Forward Bond Price Using the Implied Bond Yield

Parameters:

bond - The Bond Instance

dtSpot - The Spot Date

dtForward - The Forward Date

csqc - The Market Parameters

dblCleanPrice - The Clean Bond Price

Returns:

The Forward Bond Price Using the Implied Bond Yield

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

ForwardBondZSpreadPrice

public static final double ForwardBondZSpreadPrice(Bond bond,
                                                   JulianDate dtSpot,
                                                   JulianDate dtForward,
                                                   CurveSurfaceQuoteContainer csqc,
                                                   double dblCleanPrice)
                                            throws java.lang.Exception

Compute the Forward Bond Price Using the Implied Bond Z Spread

Parameters:

bond - The Bond Instance

dtSpot - The Spot Date

dtForward - The Forward Date

csqc - The Market Parameters

dblCleanPrice - The Clean Bond Price

Returns:

The Forward Bond Price Using the Implied Bond Z Spread

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

ForwardBondOASPrice

public static final double ForwardBondOASPrice(Bond bond,
                                               JulianDate dtSpot,
                                               JulianDate dtForward,
                                               CurveSurfaceQuoteContainer csqc,
                                               double dblCleanPrice)
                                        throws java.lang.Exception

Compute the Forward Bond Price Using the Implied Bond OAS

Parameters:

bond - The Bond Instance

dtSpot - The Spot Date

dtForward - The Forward Date

csqc - The Market Parameters

dblCleanPrice - The Clean Bond Price

Returns:

The Forward Bond Price Using the Implied Bond OAS

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

ForwardBondCreditPrice

public static final double ForwardBondCreditPrice(Bond bond,
                                                  JulianDate dtSpot,
                                                  JulianDate dtForward,
                                                  CurveSurfaceQuoteContainer csqc,
                                                  double dblCleanPrice)
                                           throws java.lang.Exception

Compute the Forward Bond Price Using the Implied Bond Credit Basis

Parameters:

bond - The Bond Instance

dtSpot - The Spot Date

dtForward - The Forward Date

csqc - The Market Parameters

dblCleanPrice - The Clean Bond Price

Returns:

The Forward Bond Price Using the Implied Bond Credit Basis

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid