org.drip.market.otc

Class FloatStreamConvention

java.lang.Object

org.drip.market.otc.FloatStreamConvention

public class FloatStreamConvention
extends java.lang.Object

FloatStreamConvention contains the details of the Floating Stream of an OTC IBOR/Overnight fix-float Swap Contract.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
FloatStreamConvention(ForwardLabel forwardLabel, java.lang.String strCompositePeriodTenor) FloatStreamConvention Constructor

Method Summary

Modifier and Type	Method and Description
java.lang.String	compositePeriodTenor() Retrieve the Composite Period Tenor
Stream	createStream(JulianDate dtEffective, java.lang.String strMaturityTenor, double dblBasis, double dblNotional) Create a Floating Stream Instance
ForwardLabel	floaterIndex() Retrieve the Forward Label
java.lang.String	toString()

Methods inherited from class java.lang.Object

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

Constructor Detail

FloatStreamConvention

public FloatStreamConvention(ForwardLabel forwardLabel,
                             java.lang.String strCompositePeriodTenor)
                      throws java.lang.Exception

FloatStreamConvention Constructor

Parameters:

forwardLabel - The Forward Label

strCompositePeriodTenor - Composite Period Tenor

Throws:

java.lang.Exception - Thrown if Inputs are invalid

Method Detail

floaterIndex

public ForwardLabel floaterIndex()

Retrieve the Forward Label

Returns:

The Forward Label

compositePeriodTenor

public java.lang.String compositePeriodTenor()

Retrieve the Composite Period Tenor

Returns:

The Composite Period Tenor

createStream

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

Create a Floating Stream Instance

Parameters:

dtEffective - Effective Date

strMaturityTenor - Maturity Tenor

dblBasis - Basis

dblNotional - Notional

Returns:

The Fixed Stream Instance

toString

public java.lang.String toString()

Overrides:

toString in class java.lang.Object