org.drip.market.definition

Class FloaterIndex

java.lang.Object

org.drip.market.definition.FloaterIndex

Direct Known Subclasses:

IBORIndex, OvernightIndex

public abstract class FloaterIndex
extends java.lang.Object

FloaterIndex contains the definitions of the floating rate indexes of different jurisdictions.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
FloaterIndex(java.lang.String strName, java.lang.String strFamily, java.lang.String strCurrency, java.lang.String strDayCount, java.lang.String strCalendar, int iAccrualCompoundingRule) FloaterIndex Constructor

Method Summary

Modifier and Type	Method and Description
int	accrualCompoundingRule() Retrieve the Accrual Compounding Rule
java.lang.String	calendar() Retrieve the Index Holiday Calendar
java.lang.String	currency() Retrieve the Index Currency
java.lang.String	dayCount() Retrieve the Index Day Count Convention
java.lang.String	family() Retrieve the Index Family
java.lang.String	name() Retrieve the Index Name
abstract int	spotLag() Retrieve the Index Spot Lag
DateAdjustParams	spotLagDAPBackward() Retrieve the Spot Lag DAP with Date Roll Previous
DateAdjustParams	spotLagDAPForward() Retrieve the Spot Lag DAP with Date Roll Following

Methods inherited from class java.lang.Object

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

Constructor Detail

FloaterIndex

public FloaterIndex(java.lang.String strName,
                    java.lang.String strFamily,
                    java.lang.String strCurrency,
                    java.lang.String strDayCount,
                    java.lang.String strCalendar,
                    int iAccrualCompoundingRule)
             throws java.lang.Exception

FloaterIndex Constructor

Parameters:

strName - Index Name

strFamily - Index Family

strCurrency - Index Currency

strDayCount - Index Day Count

strCalendar - Index Holiday Calendar

iAccrualCompoundingRule - Accrual Compounding Rule

Throws:

java.lang.Exception - Thrown if Inputs are invalid

Method Detail

name

public java.lang.String name()

Retrieve the Index Name

Returns:

The Index Name

family

public java.lang.String family()

Retrieve the Index Family

Returns:

The Index Family

calendar

public java.lang.String calendar()

Retrieve the Index Holiday Calendar

Returns:

The Index Holiday Calendar

currency

public java.lang.String currency()

Retrieve the Index Currency

Returns:

The Index Currency

dayCount

public java.lang.String dayCount()

Retrieve the Index Day Count Convention

Returns:

The Index Day Count Convention

accrualCompoundingRule

public int accrualCompoundingRule()

Retrieve the Accrual Compounding Rule

Returns:

The Accrual Compounding Rule

spotLagDAPBackward

public DateAdjustParams spotLagDAPBackward()

Retrieve the Spot Lag DAP with Date Roll Previous

Returns:

The Spot Lag DAP with Date Roll Previous

spotLagDAPForward

public DateAdjustParams spotLagDAPForward()

Retrieve the Spot Lag DAP with Date Roll Following

Returns:

The Spot Lag DAP with Date Roll Following

spotLag

public abstract int spotLag()

Retrieve the Index Spot Lag

Returns:

The Index Spot Lag