org.drip.feed.metric

Class FixFloatPnLAttributor

java.lang.Object

org.drip.feed.metric.FixFloatPnLAttributor

public class FixFloatPnLAttributor
extends java.lang.Object

FixFloatPnLAttributor generates the Date Valuation and Position Change PnL Explain Attributions for the Standard OTC Fix Float Swap.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
FixFloatPnLAttributor()

Method Summary

Modifier and Type	Method and Description
static boolean	TenorHorizonExplainComponents(java.lang.String strCurrency, java.lang.String[] astrMaturityTenor, int[] aiHorizonGap, java.lang.String strFeedTranformLocation, java.lang.String[] astrFundingDepositTenor, int[] aiFundingDepositColumn, java.lang.String[] astrFundingFixFloatTenor, int[] aiFundingFixFloatColumn, java.lang.String[] astrRollDownHorizonTenor) Generate the Tenor Horizon Explain Components
static java.util.List<PositionChangeComponents>	TenorHorizonExplainComponents(java.lang.String strCurrency, java.lang.String strMaturityTenor, int iHorizonGap, java.lang.String strFeedTranformLocation, java.lang.String[] astrFundingDepositTenor, int[] aiFundingDepositColumn, java.lang.String[] astrFundingFixFloatTenor, int[] aiFundingFixFloatColumn, java.lang.String[] astrRollDownHorizonTenor) Generate the Explain Components for the specified Fix Float Product

Methods inherited from class java.lang.Object

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

Constructor Detail

FixFloatPnLAttributor

public FixFloatPnLAttributor()

Method Detail

TenorHorizonExplainComponents

public static final java.util.List<PositionChangeComponents> TenorHorizonExplainComponents(java.lang.String strCurrency,
                                                                                           java.lang.String strMaturityTenor,
                                                                                           int iHorizonGap,
                                                                                           java.lang.String strFeedTranformLocation,
                                                                                           java.lang.String[] astrFundingDepositTenor,
                                                                                           int[] aiFundingDepositColumn,
                                                                                           java.lang.String[] astrFundingFixFloatTenor,
                                                                                           int[] aiFundingFixFloatColumn,
                                                                                           java.lang.String[] astrRollDownHorizonTenor)

Generate the Explain Components for the specified Fix Float Product

Parameters:

strCurrency - The Fix-Float Swap Currency

strMaturityTenor - The Fix-Float Swap Maturity Tenor

iHorizonGap - The Valuation Horizon Gap

strFeedTranformLocation - The Closing Funding Curve Quotes Location

astrFundingDepositTenor - The Funding Curve Deposit Instrument Maturity Tenors

aiFundingDepositColumn - The Funding Curve Deposit Instrument Quote Columns

astrFundingFixFloatTenor - The Funding Curve Fix Float Swap Instrument Maturity Tenors

aiFundingFixFloatColumn - The Funding Curve Fix Float Swap Instrument Quote Columns

astrRollDownHorizonTenor - Array of the Roll Down Horizon Tenors

Returns:

List of the Position Change Components

TenorHorizonExplainComponents

public static final boolean TenorHorizonExplainComponents(java.lang.String strCurrency,
                                                          java.lang.String[] astrMaturityTenor,
                                                          int[] aiHorizonGap,
                                                          java.lang.String strFeedTranformLocation,
                                                          java.lang.String[] astrFundingDepositTenor,
                                                          int[] aiFundingDepositColumn,
                                                          java.lang.String[] astrFundingFixFloatTenor,
                                                          int[] aiFundingFixFloatColumn,
                                                          java.lang.String[] astrRollDownHorizonTenor)

Generate the Tenor Horizon Explain Components

Parameters:

strCurrency - The Fix-Float Swap Currency

astrMaturityTenor - Array of Fix-Float Swap Maturity Tenors

aiHorizonGap - Array of the Valuation Horizon Gaps

strFeedTranformLocation - The Closing Funding Curve Quotes Location

astrFundingDepositTenor - The Funding Curve Deposit Instrument Maturity Tenors

aiFundingDepositColumn - The Funding Curve Deposit Instrument Quote Columns

astrFundingFixFloatTenor - The Funding Curve Fix Float Swap Instrument Maturity Tenors

aiFundingFixFloatColumn - The Funding Curve Fix Float Swap Instrument Quote Columns

astrRollDownHorizonTenor - Array of the Roll Down Horizon Tenors

Returns:

List of the Position Change Components