org.drip.market.exchange

Class TreasuryFuturesSettle

java.lang.Object

org.drip.market.exchange.TreasuryFuturesSettle

public class TreasuryFuturesSettle
extends java.lang.Object

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

Author:

Lakshmi Krishnamurthy

Field Summary

Fields

Modifier and Type	Field and Description
static int	QUOTE_REFERENCE_INDEX_AUD_BOND_FUTURES_STYLE Settle Quote Type - Uses a Reference Index Based off of Conversion Factor Computed AUD Bond Futures Style
static int	QUOTE_REFERENCE_INDEX_CONVERSION_FACTOR Settle Quote Type - Uses a Reference Index Based off of Conversion Factor
static int	QUOTE_REFERENCE_INDEX_FLAT Settle Quote Type - AUD Bank Bill Type - Uses a Flat Reference Index
static int	SETTLE_TYPE_CASH Cash Settled Futures
static int	SETTLE_TYPE_PHYSICAL_DELIVERY Physically Settled Futures

Constructor Summary

Constructors

Constructor and Description
TreasuryFuturesSettle(int iExpiryFirstDeliveryLag, int iExpiryFinalDeliveryLag, int iExpiryDeliveryNoticeLag, int iExpiryLastTradingLag, int iSettleType, int iSettleQuoteStyle, boolean bWildCardOption, double dblReferenceCouponCurrent, double dblReferenceCouponOriginal, int[] aiDeliveryMonth) TreasuryFuturesSettle Constructor

Method Summary

Modifier and Type	Method and Description
double	currentReferenceYield() Retrieve the Current Reference Coupon
int[]	deliveryMonths() Retrieve the Delivery Months
int	expiryDeliveryNoticeLag() Retrieve the Lag Between the Expiry and the Delivery Notice Dates
int	expiryFinalDeliveryLag() Retrieve the Lag Between the Expiry and the Final Delivery Dates
int	expiryFirstDeliveryLag() Retrieve the Lag Between the Expiry and the First Delivery Dates
int	expiryLastTradingLag() Retrieve the Lag Between the Expiry and the Last Trading Dates
double	originalReferenceCoupon() Retrieve the Original Reference Coupon
int	settleQuoteStyle() Retrieve the Settle Quote Style
int	settleType() Retrieve the Settle Type
java.lang.String	toString()
boolean	wildCardOption() Retrieve the Bond Futures Wild Card Option Setting

Methods inherited from class java.lang.Object

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

Field Detail

SETTLE_TYPE_CASH

public static final int SETTLE_TYPE_CASH

Cash Settled Futures

See Also:

Constant Field Values

SETTLE_TYPE_PHYSICAL_DELIVERY

public static final int SETTLE_TYPE_PHYSICAL_DELIVERY

Physically Settled Futures

See Also:

Constant Field Values

QUOTE_REFERENCE_INDEX_FLAT

public static final int QUOTE_REFERENCE_INDEX_FLAT

Settle Quote Type - AUD Bank Bill Type - Uses a Flat Reference Index

See Also:

Constant Field Values

QUOTE_REFERENCE_INDEX_CONVERSION_FACTOR

public static final int QUOTE_REFERENCE_INDEX_CONVERSION_FACTOR

Settle Quote Type - Uses a Reference Index Based off of Conversion Factor

See Also:

Constant Field Values

QUOTE_REFERENCE_INDEX_AUD_BOND_FUTURES_STYLE

public static final int QUOTE_REFERENCE_INDEX_AUD_BOND_FUTURES_STYLE

Settle Quote Type - Uses a Reference Index Based off of Conversion Factor Computed AUD Bond Futures Style

See Also:

Constant Field Values

Constructor Detail

TreasuryFuturesSettle

public TreasuryFuturesSettle(int iExpiryFirstDeliveryLag,
                             int iExpiryFinalDeliveryLag,
                             int iExpiryDeliveryNoticeLag,
                             int iExpiryLastTradingLag,
                             int iSettleType,
                             int iSettleQuoteStyle,
                             boolean bWildCardOption,
                             double dblReferenceCouponCurrent,
                             double dblReferenceCouponOriginal,
                             int[] aiDeliveryMonth)
                      throws java.lang.Exception

TreasuryFuturesSettle Constructor

Parameters:

iExpiryFirstDeliveryLag - Lag Between the Expiry and the First Delivery Dates

iExpiryFinalDeliveryLag - Lag Between the Expiry and the Final Delivery Dates

iExpiryDeliveryNoticeLag - Lag between the Expiry and the Delivery Notice

iExpiryLastTradingLag - Lag between the Expiry and the Last Trading Day

iSettleType - Settlement Type

iSettleQuoteStyle - Settlement Quote Style

bWildCardOption - TRUE - Turn ON the Wild Card Option

dblReferenceCouponCurrent - The Current Reference Coupon

dblReferenceCouponOriginal - The Original Reference Coupon

aiDeliveryMonth - Array of the Delivery Months

Throws:

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

Method Detail

expiryFirstDeliveryLag

public int expiryFirstDeliveryLag()

Retrieve the Lag Between the Expiry and the First Delivery Dates

Returns:

The Lag Between the Expiry and the First Delivery Dates

expiryFinalDeliveryLag

public int expiryFinalDeliveryLag()

Retrieve the Lag Between the Expiry and the Final Delivery Dates

Returns:

The Lag Between the Expiry and the Final Delivery Dates

expiryDeliveryNoticeLag

public int expiryDeliveryNoticeLag()

Retrieve the Lag Between the Expiry and the Delivery Notice Dates

Returns:

The Lag Between the Expiry and the Delivery Notice Dates

expiryLastTradingLag

public int expiryLastTradingLag()

Retrieve the Lag Between the Expiry and the Last Trading Dates

Returns:

The Lag Between the Expiry and the Last Trading Dates

settleType

public int settleType()

Retrieve the Settle Type

Returns:

The Settle Type

settleQuoteStyle

public int settleQuoteStyle()

Retrieve the Settle Quote Style

Returns:

The Settle Quote Style

wildCardOption

public boolean wildCardOption()

Retrieve the Bond Futures Wild Card Option Setting

Returns:

Bond Futures Wild Card Option Setting

currentReferenceYield

public double currentReferenceYield()

Retrieve the Current Reference Coupon

Returns:

The Current Reference Coupon

originalReferenceCoupon

public double originalReferenceCoupon()

Retrieve the Original Reference Coupon

Returns:

The Original Reference Coupon

deliveryMonths

public int[] deliveryMonths()

Retrieve the Delivery Months

Returns:

The Array of Delivery Months

toString

public java.lang.String toString()

Overrides:

toString in class java.lang.Object