org.drip.market.definition

Class OvernightIndex

java.lang.Object

org.drip.market.definition.FloaterIndex

org.drip.market.definition.OvernightIndex

public class OvernightIndex
extends FloaterIndex

OvernightIndex contains the definitions of the overnight indexes of different jurisdictions.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

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

Method Summary

Modifier and Type	Method and Description
int	publicationLag() Retrieve the Index Publication Lag
java.lang.String	referenceLag() Retrieve the Index Reference Lag
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

OvernightIndex

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

OvernightIndex Constructor

Parameters:

strName - Index Name

strFamily - Index Family

strCurrency - Index Currency

strDayCount - Index Day Count

strCalendar - Index Holiday Calendar

strReferenceLag - Index Reference Lag

iPublicationLag - Index Publication Lag

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

referenceLag

public java.lang.String referenceLag()

Retrieve the Index Reference Lag

Returns:

The Index Reference Lag

publicationLag

public int publicationLag()

Retrieve the Index Publication Lag

Returns:

The Index Publication Lag