org.drip.market.otc

Class FloatFloatSwapConvention

java.lang.Object

org.drip.market.otc.FloatFloatSwapConvention

public class FloatFloatSwapConvention
extends java.lang.Object

FloatFloatSwapConvention contains the Details of the IBOR Float-Float Component of an OTC contact.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
FloatFloatSwapConvention(java.lang.String strCurrency, java.lang.String strReferenceTenor, boolean bBasisOnDerivedStream, boolean bBasisOnDerivedComponent, boolean bIsDerivedCompoundedToReference, boolean bIsComponentPair, int iSpotLag) FloatFloatSwapConvention Constructor

Method Summary

Modifier and Type	Method and Description
boolean	basisOnDerivedComponent() Retrieve the Flag indicating whether the Basis is to be applied to the Derived or the Reference Component
boolean	basisOnDerivedStream() Retrieve the Flag indicating whether the Basis is to be applied to the Derived or the Reference Stream
boolean	componentPair() Retrieve the Flag indicating whether the Float-Float Swap is a Component Pair of 2 Fix-Float Swaps
ComponentPair	createFixFloatComponentPair(JulianDate dtSpot, java.lang.String strDerivedTenor, java.lang.String strMaturityTenor, double dblReferenceFixedCoupon, double dblDerivedFixedCoupon, double dblBasis, double dblNotional) Create an Instance of the Fix-Float Component Pair
FloatFloatComponent	createFloatFloatComponent(JulianDate dtSpot, java.lang.String strDerivedTenor, java.lang.String strMaturityTenor, double dblBasis, double dblNotional) Create an Instance of the Float-Float Component
java.lang.String	currency() Retrieve the Currency
boolean	derivedCompoundedToReference() Retrieve the Flag indicating whether the Derived Periods are to be compounded onto the Reference Period
java.lang.String	referenceTenor() Retrieve the Reference Tenor
int	spotLag() Retrieve the Spot Lag

Methods inherited from class java.lang.Object

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

Constructor Detail

FloatFloatSwapConvention

public FloatFloatSwapConvention(java.lang.String strCurrency,
                                java.lang.String strReferenceTenor,
                                boolean bBasisOnDerivedStream,
                                boolean bBasisOnDerivedComponent,
                                boolean bIsDerivedCompoundedToReference,
                                boolean bIsComponentPair,
                                int iSpotLag)
                         throws java.lang.Exception

FloatFloatSwapConvention Constructor

Parameters:

strCurrency - The Currency

strReferenceTenor - The Reference Tenor

bBasisOnDerivedStream - TRUE - Apply the Basis to the Derived Stream

bBasisOnDerivedComponent - TRUE - Apply the Basis to the Derived Component

bIsDerivedCompoundedToReference - TRUE - The Derived Periods are Compounded onto the Reference

bIsComponentPair - TRUE - The Float-Float Swap is a Component Pair of 2 Fix-Float Swaps

iSpotLag - Spot Lag

Throws:

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

Method Detail

currency

public java.lang.String currency()

Retrieve the Currency

Returns:

The Currency

referenceTenor

public java.lang.String referenceTenor()

Retrieve the Reference Tenor

Returns:

The Reference Tenor

basisOnDerivedStream

public boolean basisOnDerivedStream()

Retrieve the Flag indicating whether the Basis is to be applied to the Derived or the Reference Stream

Returns:

TRUE - The Basis is applied to the Derived Stream

basisOnDerivedComponent

public boolean basisOnDerivedComponent()

Retrieve the Flag indicating whether the Basis is to be applied to the Derived or the Reference Component

Returns:

TRUE - The Basis is applied to the Derived Component

derivedCompoundedToReference

public boolean derivedCompoundedToReference()

Retrieve the Flag indicating whether the Derived Periods are to be compounded onto the Reference Period

Returns:

TRUE - The Derived Periods are Compounded onto the Reference

componentPair

public boolean componentPair()

Retrieve the Flag indicating whether the Float-Float Swap is a Component Pair of 2 Fix-Float Swaps

Returns:

TRUE - The Float-Float Swap is a Component Pair of 2 Fix-Float Swaps

spotLag

public int spotLag()

Retrieve the Spot Lag

Returns:

The Spot Lag

createFloatFloatComponent

public FloatFloatComponent createFloatFloatComponent(JulianDate dtSpot,
                                                     java.lang.String strDerivedTenor,
                                                     java.lang.String strMaturityTenor,
                                                     double dblBasis,
                                                     double dblNotional)

Create an Instance of the Float-Float Component

Parameters:

dtSpot - Spot Date

strDerivedTenor - The Derived Tenor

strMaturityTenor - The Maturity Tenor

dblBasis - Basis

dblNotional - Notional

Returns:

Instance of the Float-Float Component

createFixFloatComponentPair

public ComponentPair createFixFloatComponentPair(JulianDate dtSpot,
                                                 java.lang.String strDerivedTenor,
                                                 java.lang.String strMaturityTenor,
                                                 double dblReferenceFixedCoupon,
                                                 double dblDerivedFixedCoupon,
                                                 double dblBasis,
                                                 double dblNotional)

Create an Instance of the Fix-Float Component Pair

Parameters:

dtSpot - Spot Date

strDerivedTenor - The Derived Tenor

strMaturityTenor - The Maturity Tenor

dblReferenceFixedCoupon - Fixed Coupon Rate for the Reference Component

dblDerivedFixedCoupon - Fixed Coupon Rate for the Derived Component

dblBasis - Basis

dblNotional - Notional

Returns:

Instance of the Fix-Float Component Pair