org.drip.market.exchange

Class TreasuryFuturesConvention

java.lang.Object

org.drip.market.exchange.TreasuryFuturesConvention

public class TreasuryFuturesConvention
extends java.lang.Object

TreasuryFuturesConvention contains the Details for the Futures Basket of the Exchange-Traded Treasury Futures Contracts.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description

TreasuryFuturesConvention(java.lang.String strName, java.lang.String[] astrCode, java.lang.String strCurrency, java.lang.String strCalendar, java.lang.String strMaturityTenor, double dblBasketNotional, double dblMinimumPriceMovement, double dblComponentNotionalMinimum, java.lang.String[] astrExchange, java.lang.String strUnderlierType, java.lang.String strUnderlierSubtype, DateInMonth dimExpiry, TreasuryFuturesEligibility bfe, TreasuryFuturesSettle bfs) TreasuryFuturesConvention Constructor

Method Summary

Modifier and Type	Method and Description
double	basketNotional() Retrieve the Treasury Futures Basket Notional
java.lang.String	calendar() Retrieve the Treasury Futures Settle Calendar
java.lang.String[]	codes() Retrieve the Treasury Futures Code Array
java.lang.String	currency() Retrieve the Treasury Futures Currency
DateInMonth	dimExpiry() Retrieve the Date In Month Expiry Settings
TreasuryFuturesEligibility	eligibility() Retrieve the Treasury Futures Eligibility Settings
TreasuryFuturesEventDates	eventDates(int iYear, int iMonth) Retrieve the TreasuryFuturesEventDates Instance corresponding to the Futures Expiry Year/Month
java.lang.String[]	exchanges() Retrieve the Bond Futures Exchanges Array
boolean	isEligible(JulianDate dtValue, Bond bond, double dblOutstandingNotional, java.lang.String strIssuer) Indicate whether the given bond is eligible to be delivered
java.lang.String	maturityTenor() Retrieve the Treasury Futures Maturity Tenor
double	minimumComponentNotional() Retrieve the Minimum Treasury Futures Component Notional
double	minimumPriceMovement() Retrieve the Minimimum Price Movement - a.k.a Tick
java.lang.String	name() Retrieve the Treasury Futures Name
double	referencePrice(double dblFuturesQuotedIndex) Compute the Reference Bond Price from the Quoted Futures Index Level
double	referencePrice(JulianDate dtValue, Bond bond, double dblFuturesQuotedIndex) Compute the Reference Bond Price from the Quoted Futures Index Level
TreasuryFuturesSettle	settle() Retrieve the Treasury Futures Settle Settings
java.lang.String	toString()
java.lang.String	underlierSubtype() Retrieve the Treasury Futures Underlier Sub-type
java.lang.String	underlierType() Retrieve the Treasury Futures Underlier Type

Methods inherited from class java.lang.Object

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

Constructor Detail

TreasuryFuturesConvention

public TreasuryFuturesConvention(java.lang.String strName,
                                 java.lang.String[] astrCode,
                                 java.lang.String strCurrency,
                                 java.lang.String strCalendar,
                                 java.lang.String strMaturityTenor,
                                 double dblBasketNotional,
                                 double dblMinimumPriceMovement,
                                 double dblComponentNotionalMinimum,
                                 java.lang.String[] astrExchange,
                                 java.lang.String strUnderlierType,
                                 java.lang.String strUnderlierSubtype,
                                 DateInMonth dimExpiry,
                                 TreasuryFuturesEligibility bfe,
                                 TreasuryFuturesSettle bfs)
                          throws java.lang.Exception

TreasuryFuturesConvention Constructor

Parameters:

strName - The Futures Name

astrCode - The Array of the Futures Codes

strCurrency - The Futures Currency

strCalendar - The Futures Settle Calendar

strMaturityTenor - The Maturity Tenor

dblBasketNotional - Basket Notional

dblMinimumPriceMovement - The Minimum Price Movement

dblComponentNotionalMinimum - The Minimum Component Notional

astrExchange - Exchange Array

strUnderlierType - Underlier Type

strUnderlierSubtype - Underlier Sub-Type

dimExpiry - The Expiry Date-In-Month Setting

bfe - Eligibility Settings

bfs - Settlement Settings

Throws:

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

Method Detail

name

public java.lang.String name()

Retrieve the Treasury Futures Name

Returns:

The Treasury Futures Name

calendar

public java.lang.String calendar()

Retrieve the Treasury Futures Settle Calendar

Returns:

The Treasury Futures Settle Calendar

codes

public java.lang.String[] codes()

Retrieve the Treasury Futures Code Array

Returns:

The Treasury Futures Code Array

currency

public java.lang.String currency()

Retrieve the Treasury Futures Currency

Returns:

The Treasury Futures Currency

maturityTenor

public java.lang.String maturityTenor()

Retrieve the Treasury Futures Maturity Tenor

Returns:

The Treasury Futures Maturity Tenor

basketNotional

public double basketNotional()

Retrieve the Treasury Futures Basket Notional

Returns:

The Treasury Futures Basket Notional

minimumPriceMovement

public double minimumPriceMovement()

Retrieve the Minimimum Price Movement - a.k.a Tick

Returns:

The Minimum Price Movement

minimumComponentNotional

public double minimumComponentNotional()

Retrieve the Minimum Treasury Futures Component Notional

Returns:

The Minimum Treasury Futures Component Notional

exchanges

public java.lang.String[] exchanges()

Retrieve the Bond Futures Exchanges Array

Returns:

The Bond Futures Exchanges Array

underlierType

public java.lang.String underlierType()

Retrieve the Treasury Futures Underlier Type

Returns:

The Treasury Futures Underlier Type

underlierSubtype

public java.lang.String underlierSubtype()

Retrieve the Treasury Futures Underlier Sub-type

Returns:

The Treasury Futures Underlier Sub-type

dimExpiry

public DateInMonth dimExpiry()

Retrieve the Date In Month Expiry Settings

Returns:

The Date In Month Expiry Settings

eligibility

public TreasuryFuturesEligibility eligibility()

Retrieve the Treasury Futures Eligibility Settings

Returns:

The Treasury Futures Eligibility Settings

settle

public TreasuryFuturesSettle settle()

Retrieve the Treasury Futures Settle Settings

Returns:

The Treasury Futures Settle Settings

eventDates

public TreasuryFuturesEventDates eventDates(int iYear,
                                            int iMonth)

Retrieve the TreasuryFuturesEventDates Instance corresponding to the Futures Expiry Year/Month

Parameters:

iYear - Futures Year

iMonth - Futures Month

Returns:

The TreasuryFuturesEventDates Instance

referencePrice

public double referencePrice(double dblFuturesQuotedIndex)
                      throws java.lang.Exception

Compute the Reference Bond Price from the Quoted Futures Index Level

Parameters:

dblFuturesQuotedIndex - The Quoted Futures Index Level

Returns:

The Reference Price

Throws:

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

referencePrice

public double referencePrice(JulianDate dtValue,
                             Bond bond,
                             double dblFuturesQuotedIndex)
                      throws java.lang.Exception

Compute the Reference Bond Price from the Quoted Futures Index Level

Parameters:

dtValue - The Valuation Date

bond - The Bond Instance

dblFuturesQuotedIndex - The Quoted Futures Index Level

Returns:

The Reference Price

Throws:

java.lang.Exception - Thrown if the Treasury Futures Price Generic cannot be computed

isEligible

public boolean isEligible(JulianDate dtValue,
                          Bond bond,
                          double dblOutstandingNotional,
                          java.lang.String strIssuer)

Indicate whether the given bond is eligible to be delivered

Parameters:

dtValue - The Value Date

bond - The Bond whose Eligibility is to be evaluated

dblOutstandingNotional - The Outstanding Notional

strIssuer - The Issuer

Returns:

TRUE - The given bond is eligible to be delivered

toString

public java.lang.String toString()

Overrides:

toString in class java.lang.Object