org.drip.feed.metric

Class TreasuryBondPnLAttributor

java.lang.Object

org.drip.feed.metric.TreasuryBondPnLAttributor

public class TreasuryBondPnLAttributor
extends java.lang.Object

TreasuryBondPnLAttributor generates the Date Valuation and Position Change PnL Explain Attributions for the Specified Treasury Bond.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
TreasuryBondPnLAttributor()

Method Summary

Modifier and Type	Method and Description
static boolean	TenorHorizonExplainComponents(java.lang.String[] astrMaturityTenor, java.lang.String strCode, int[] aiHorizonGap, java.lang.String strFeedTranformLocation, java.lang.String[] astrGovvieTreasuryTenor, int[] aiGovvieTreasuryColumn, java.lang.String[] astrRollDownHorizonTenor) Generate the Tenor Horizon Explain Components
static java.util.List<PositionChangeComponents>	TenorHorizonExplainComponents(java.lang.String strMaturityTenor, java.lang.String strCode, int iHorizonGap, java.lang.String strFeedTranformLocation, java.lang.String[] astrGovvieTreasuryTenor, int[] aiGovvieTreasuryColumn, java.lang.String[] astrRollDownHorizonTenor) Generate the Explain Components for the specified Treasury Bond

Methods inherited from class java.lang.Object

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

Constructor Detail

TreasuryBondPnLAttributor

public TreasuryBondPnLAttributor()

Method Detail

TenorHorizonExplainComponents

public static final java.util.List<PositionChangeComponents> TenorHorizonExplainComponents(java.lang.String strMaturityTenor,
                                                                                           java.lang.String strCode,
                                                                                           int iHorizonGap,
                                                                                           java.lang.String strFeedTranformLocation,
                                                                                           java.lang.String[] astrGovvieTreasuryTenor,
                                                                                           int[] aiGovvieTreasuryColumn,
                                                                                           java.lang.String[] astrRollDownHorizonTenor)

Generate the Explain Components for the specified Treasury Bond

Parameters:

strMaturityTenor - Treasury Bond Maturity Tenor

strCode - Treasury Bond Code

iHorizonGap - The Valuation Horizon Gap

strFeedTranformLocation - The Closing Funding Curve Quotes Location

astrGovvieTreasuryTenor - The Govvie Curve Treasury Bond Maturity Tenors

aiGovvieTreasuryColumn - The Govvie Curve Treasury Bond 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[] astrMaturityTenor,
                                                          java.lang.String strCode,
                                                          int[] aiHorizonGap,
                                                          java.lang.String strFeedTranformLocation,
                                                          java.lang.String[] astrGovvieTreasuryTenor,
                                                          int[] aiGovvieTreasuryColumn,
                                                          java.lang.String[] astrRollDownHorizonTenor)

Generate the Tenor Horizon Explain Components

Parameters:

astrMaturityTenor - Array of Treasury Bond Maturity Tenors

strCode - Treasury Bond Code

aiHorizonGap - Array of the Valuation Horizon Gaps

strFeedTranformLocation - The Closing Funding Curve Quotes Location

astrGovvieTreasuryTenor - The Govvie Curve Treasury Bond Maturity Tenors

aiGovvieTreasuryColumn - The Govvie Curve Treasury Bond Maturity Columns

astrRollDownHorizonTenor - Array of the Roll Down Horizon Tenors

Returns:

TRUE - The Treasury Bond Tenor Explain Components Successfully generated