org.drip.historical.engine

Class FixFloatExplainProcessor

java.lang.Object

org.drip.historical.engine.HorizonChangeExplainProcessor

org.drip.historical.engine.FixFloatExplainProcessor

public class FixFloatExplainProcessor
extends HorizonChangeExplainProcessor

FixFloatExplainProcessor contains the Functionality associated with the Horizon Analysis of the Fix Float Swap.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
FixFloatExplainProcessor(FixFloatComponent ffc, int iSettleLag, java.lang.String strMarketMeasureName, double dblMarketMeasureValue, JulianDate dtFirst, JulianDate dtSecond, CurveSurfaceQuoteContainer csqcFirst, CurveSurfaceQuoteContainer csqcSecond, CaseInsensitiveHashMap<CurveSurfaceQuoteContainer> mapCSQCRollDown) FixFloatExplainProcessor Constructor

Method Summary

Modifier and Type	Method and Description
CaseInsensitiveHashMap<java.lang.Double>	crossHorizonDifferentialMetrics(PositionMarketSnap pmsFirst, PositionMarketSnap pmsSecond) Generate the Horizon Differential Metrics Map
PositionMarketSnap	snapFirstMarketValue() Generate and Snap Relevant Fields from the First Market Valuation Parameters
PositionMarketSnap	snapSecondMarketValue() Generate and Snap Relevant Fields from the Second Market Valuation Parameters
boolean	updateFixings() Update the Fixings (if any) to the Second Market Parameters

Methods inherited from class org.drip.historical.engine.HorizonChangeExplainProcessor

component, firstDate, firstMarketParameters, marketMeasureName, marketMeasureValue, metricRollUp, rollDownMarketParameters, rollDownMeasureMap, secondDate, secondMarketParameters, settleLag

Methods inherited from class java.lang.Object

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

Constructor Detail

FixFloatExplainProcessor

public FixFloatExplainProcessor(FixFloatComponent ffc,
                                int iSettleLag,
                                java.lang.String strMarketMeasureName,
                                double dblMarketMeasureValue,
                                JulianDate dtFirst,
                                JulianDate dtSecond,
                                CurveSurfaceQuoteContainer csqcFirst,
                                CurveSurfaceQuoteContainer csqcSecond,
                                CaseInsensitiveHashMap<CurveSurfaceQuoteContainer> mapCSQCRollDown)
                         throws java.lang.Exception

FixFloatExplainProcessor Constructor

Parameters:

ffc - The Fix Float Component

iSettleLag - The Component's Settle Lag

strMarketMeasureName - The Market Measure Name

dblMarketMeasureValue - The Market Measure Value

dtFirst - First Date

dtSecond - Second Date

csqcFirst - First Market Parameters

csqcSecond - Second Market Parameters

mapCSQCRollDown - Map of the Roll Down Market Parameters

Throws:

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

Method Detail

snapFirstMarketValue

public PositionMarketSnap snapFirstMarketValue()

Description copied from class: HorizonChangeExplainProcessor

Generate and Snap Relevant Fields from the First Market Valuation Parameters

Specified by:

snapFirstMarketValue in class HorizonChangeExplainProcessor

Returns:

The First Market Parameters Valuation Snapshot

updateFixings

public boolean updateFixings()

Description copied from class: HorizonChangeExplainProcessor

Update the Fixings (if any) to the Second Market Parameters

Specified by:

updateFixings in class HorizonChangeExplainProcessor

Returns:

TRUE - The Fixings were successfully updated to the Second Market Parameters

snapSecondMarketValue

public PositionMarketSnap snapSecondMarketValue()

Description copied from class: HorizonChangeExplainProcessor

Generate and Snap Relevant Fields from the Second Market Valuation Parameters

Specified by:

snapSecondMarketValue in class HorizonChangeExplainProcessor

Returns:

The Second Market Parameters Valuation Snapshot

crossHorizonDifferentialMetrics

public CaseInsensitiveHashMap<java.lang.Double> crossHorizonDifferentialMetrics(PositionMarketSnap pmsFirst,
                                                                                PositionMarketSnap pmsSecond)

Description copied from class: HorizonChangeExplainProcessor

Generate the Horizon Differential Metrics Map

Specified by:

crossHorizonDifferentialMetrics in class HorizonChangeExplainProcessor

Parameters:

pmsFirst - The First Position Market Snap

pmsSecond - The Second Position Market Snap

Returns:

The Horizon Differential Metrics Map