org.drip.market.otc

Class FixedStreamConvention

java.lang.Object

org.drip.market.otc.FixedStreamConvention

public class FixedStreamConvention
extends java.lang.Object

FixedStreamConvention contains the details of the fixed stream of an OTC fixed-float IBOR/Overnight Swap Contact.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
FixedStreamConvention(java.lang.String strCurrency, java.lang.String strDayCount, java.lang.String strCalendar, java.lang.String strUnitPeriodTenor, java.lang.String strCompositePeriodTenor, int iAccrualCompoundingRule) FixedStreamConvention Constructor

Method Summary

Modifier and Type	Method and Description
int	accrualCompoundingRule() Retrieve the Accrual Compounding Rule
java.lang.String	calendar() Retrieve the Holiday Calendar
java.lang.String	compositePeriodTenor() Retrieve the Composite Period Tenor
Stream	createStream(JulianDate dtEffective, java.lang.String strMaturityTenor, double dblCoupon, double dblNotional) Create a Fixed Stream Instance
java.lang.String	currency() Retrieve the Currency
java.lang.String	dayCount() Retrieve the Day Count Convention
java.lang.String	toString()
java.lang.String	unitPeriodTenor() Retrieve the Unit Period Tenor

Methods inherited from class java.lang.Object

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

Constructor Detail

FixedStreamConvention

public FixedStreamConvention(java.lang.String strCurrency,
                             java.lang.String strDayCount,
                             java.lang.String strCalendar,
                             java.lang.String strUnitPeriodTenor,
                             java.lang.String strCompositePeriodTenor,
                             int iAccrualCompoundingRule)
                      throws java.lang.Exception

FixedStreamConvention Constructor

Parameters:

strCurrency - Currency

strDayCount - Day Count

strCalendar - Calendar

strUnitPeriodTenor - Unit Period Tenor

strCompositePeriodTenor - Composite Period Tenor

iAccrualCompoundingRule - Accrual Compounding Rule

Throws:

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

Method Detail

calendar

public java.lang.String calendar()

Retrieve the Holiday Calendar

Returns:

The Holiday Calendar

currency

public java.lang.String currency()

Retrieve the Currency

Returns:

The Currency

dayCount

public java.lang.String dayCount()

Retrieve the Day Count Convention

Returns:

The Day Count Convention

unitPeriodTenor

public java.lang.String unitPeriodTenor()

Retrieve the Unit Period Tenor

Returns:

The Unit Period Tenor

compositePeriodTenor

public java.lang.String compositePeriodTenor()

Retrieve the Composite Period Tenor

Returns:

The Composite Period Tenor

accrualCompoundingRule

public int accrualCompoundingRule()

Retrieve the Accrual Compounding Rule

Returns:

The Accrual Compounding Rule

createStream

public Stream createStream(JulianDate dtEffective,
                           java.lang.String strMaturityTenor,
                           double dblCoupon,
                           double dblNotional)

Create a Fixed Stream Instance

Parameters:

dtEffective - Effective Date

strMaturityTenor - Maturity Tenor

dblCoupon - Coupon

dblNotional - Notional

Returns:

The Fixed Stream Instance

toString

public java.lang.String toString()

Overrides:

toString in class java.lang.Object