org.drip.market.otc

Class CreditIndexConvention

java.lang.Object

org.drip.market.otc.CreditIndexConvention

public class CreditIndexConvention
extends java.lang.Object

CreditIndexConvention contains the details of the Credit Index of an OTC Index CDS Contract.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
CreditIndexConvention(java.lang.String strIndexType, java.lang.String strIndexSubType, java.lang.String strSeriesName, java.lang.String strTenor, java.lang.String strCurrency, JulianDate dtEffective, JulianDate dtMaturity, int iFreq, java.lang.String strDayCount, double dblFixedCoupon, double dblRecoveryRate, int iNumConstituent) CreditIndexConvention Constructor

Method Summary

Modifier and Type	Method and Description
java.lang.String	currency() Retrieve the Currency
java.lang.String	dayCount() Retrieve the Day Count
JulianDate	effectiveDate() Retrieve the Effective Date
double	fixedCoupon() Retrieve the Fixed Coupon
int	frequency() Retrieve the Coupon Frequency
java.lang.String	fullName() Retrieve the Full Name of the Credit Index
CreditDefaultSwap	indexCDS() Create an Instance of the Specified Index CDS Product
java.lang.String	indexSubType() Retrieve the Index Sub-Type
java.lang.String	indexType() Retrieve the Index Type
JulianDate	maturityDate() Retrieve the Maturity Date
int	numberOfConstituents() Retrieve the Number of Constituents
double	recoveryRate() Retrieve the Recovery Rate
java.lang.String	seriesName() Retrieve the Series Name
java.lang.String	tenor() Retrieve the Tenor

Methods inherited from class java.lang.Object

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

Constructor Detail

CreditIndexConvention

public CreditIndexConvention(java.lang.String strIndexType,
                             java.lang.String strIndexSubType,
                             java.lang.String strSeriesName,
                             java.lang.String strTenor,
                             java.lang.String strCurrency,
                             JulianDate dtEffective,
                             JulianDate dtMaturity,
                             int iFreq,
                             java.lang.String strDayCount,
                             double dblFixedCoupon,
                             double dblRecoveryRate,
                             int iNumConstituent)
                      throws java.lang.Exception

CreditIndexConvention Constructor

Parameters:

strIndexType - Index Type

strIndexSubType - Index Sub-Type

strSeriesName - Series Name

strTenor - Index Tenor

strCurrency - Index Currency

dtEffective - Effective Date

dtMaturity - Maturity Date

iFreq - Coupon/Pay Frequency

strDayCount - Index Day Count

dblFixedCoupon - Index Fixed Coupon

dblRecoveryRate - Fixed Recovery Rate

iNumConstituent - Number of Constituents

Throws:

java.lang.Exception - Thrown if Inputs are Invalid

Method Detail

indexType

public java.lang.String indexType()

Retrieve the Index Type

Returns:

The Index Type

indexSubType

public java.lang.String indexSubType()

Retrieve the Index Sub-Type

Returns:

The Index Sub-Type

seriesName

public java.lang.String seriesName()

Retrieve the Series Name

Returns:

The Series Name

tenor

public java.lang.String tenor()

Retrieve the Tenor

Returns:

The Tenor

currency

public java.lang.String currency()

Retrieve the Currency

Returns:

The Currency

effectiveDate

public JulianDate effectiveDate()

Retrieve the Effective Date

Returns:

The Effective Date

maturityDate

public JulianDate maturityDate()

Retrieve the Maturity Date

Returns:

The Maturity Date

frequency

public int frequency()

Retrieve the Coupon Frequency

Returns:

The Coupon Frequency

dayCount

public java.lang.String dayCount()

Retrieve the Day Count

Returns:

The Day Count

fixedCoupon

public double fixedCoupon()

Retrieve the Fixed Coupon

Returns:

The Fixed Coupon

recoveryRate

public double recoveryRate()

Retrieve the Recovery Rate

Returns:

The Recovery Rate

numberOfConstituents

public int numberOfConstituents()

Retrieve the Number of Constituents

Returns:

The Number of Constituents

fullName

public java.lang.String fullName()

Retrieve the Full Name of the Credit Index

Returns:

The Full Name of the Credit Index

indexCDS

public CreditDefaultSwap indexCDS()

Create an Instance of the Specified Index CDS Product

Returns:

Instance of the Specified Index CDS Product