org.drip.market.definition

Class IBORIndex

java.lang.Object

org.drip.market.definition.FloaterIndex

org.drip.market.definition.IBORIndex

public class IBORIndex
extends FloaterIndex

IBORIndex contains the definitions of the IBOR indexes of different jurisdictions.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
IBORIndex(java.lang.String strName, java.lang.String strFamily, java.lang.String strCurrency, java.lang.String strDayCount, java.lang.String strCalendar, int iSpotLag, java.lang.String strShortestMaturity, java.lang.String strLongestMaturity, int iAccrualCompoundingRule) IBORIndex Constructor

Method Summary

Modifier and Type	Method and Description
java.lang.String	longestMaturity() Retrieve the Longest Maturity
java.lang.String	shortestMaturity() Retrieve the Index Shortest Maturity
int	spotLag() Retrieve the Index Spot Lag

Methods inherited from class org.drip.market.definition.FloaterIndex

accrualCompoundingRule, calendar, currency, dayCount, family, name, spotLagDAPBackward, spotLagDAPForward

Methods inherited from class java.lang.Object

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

Constructor Detail

IBORIndex

public IBORIndex(java.lang.String strName,
                 java.lang.String strFamily,
                 java.lang.String strCurrency,
                 java.lang.String strDayCount,
                 java.lang.String strCalendar,
                 int iSpotLag,
                 java.lang.String strShortestMaturity,
                 java.lang.String strLongestMaturity,
                 int iAccrualCompoundingRule)
          throws java.lang.Exception

IBORIndex Constructor

Parameters:

strName - Index Name

strFamily - Index Family

strCurrency - Index Currency

strDayCount - Index Day Count

strCalendar - Index Holiday Calendar

iSpotLag - The Spot Lag

strShortestMaturity - Index Shortest Maturity

strLongestMaturity - Index Longest Maturity

iAccrualCompoundingRule - Accrual Compounding Rule

Throws:

java.lang.Exception - Thrown if Inputs are invalid

Method Detail

spotLag

public int spotLag()

Description copied from class: FloaterIndex

Retrieve the Index Spot Lag

Specified by:

spotLag in class FloaterIndex

Returns:

The Index Spot Lag

shortestMaturity

public java.lang.String shortestMaturity()

Retrieve the Index Shortest Maturity

Returns:

The Index Shortest Maturity

longestMaturity

public java.lang.String longestMaturity()

Retrieve the Longest Maturity

Returns:

The Index Longest Maturity