org.drip.product.creator

Class BondBuilder

java.lang.Object

org.drip.product.creator.BondBuilder

public class BondBuilder
extends java.lang.Object

BondBuilder contains the suite of helper functions for creating simple fixed/floater bonds, user defined bonds, optionally with custom cash flows and embedded option schedules (European or American). It also constructs bonds by de-serializing the byte stream.

Author:

Lakshmi Krishnamurthy

Field Summary

Fields

Modifier and Type	Field and Description
static int	BOND_TYPE_SIMPLE_FIXED Custom Bond Type Simple Fixed
static int	BOND_TYPE_SIMPLE_FLOATER Custom Bond Type Simple Floater
static int	BOND_TYPE_SIMPLE_FROM_CF Custom Bond Type Simple From Cash flows

Constructor Summary

Constructors

Constructor and Description
BondBuilder()

Method Summary

Modifier and Type	Method and Description
static BondComponent	CreateBondFromCF(java.lang.String strName, JulianDate dtEffective, java.lang.String strCurrency, java.lang.String strCreditCurveName, java.lang.String strDayCount, double dblInitialNotional, double dblCouponRate, int iCouponFrequency, JulianDate[] adtPeriodEnd, double[] adblCouponAmount, double[] adblPrincipalAmount, boolean bIsPrincipalPayDown) Create a bond from custom/user-defined cash flows and coupon conventions
static BondComponent	CreateBondFromParams(TreasuryBenchmarks tsyParams, IdentifierSet idParams, CouponSetting cpnParams, FloaterSetting fltParams, QuoteConvention mktConv, CreditSetting crValParams, TerminationSetting cfteParams, BondStream periodParams, NotionalSetting notlParams) Create the full generic bond object from the complete set of parameters
static BondComponent	CreateSimpleFixed(java.lang.String strName, java.lang.String strCurrency, java.lang.String strCreditCurveName, double dblCoupon, int iFreq, java.lang.String strDayCount, JulianDate dtEffective, JulianDate dtMaturity, Array2D fsPrincipalOutstanding, Array2D fsCoupon) Creates a simple fixed bond from parameters
static BondComponent	CreateSimpleFloater(java.lang.String strName, java.lang.String strCurrency, java.lang.String strRateIndex, java.lang.String strCreditCurveName, double dblSpread, int iFreq, java.lang.String strDayCount, JulianDate dtEffective, JulianDate dtMaturity, Array2D fsPrincipalOutstanding, Array2D fsCoupon) Create a simple floating rate bond
static TreasuryComponent	Treasury(java.lang.String strTreasuryCode, JulianDate dtEffective, JulianDate dtMaturity, java.lang.String strCurrency, double dblCoupon, int iFreq, java.lang.String strDayCount) Creates a Treasury Bond from the Parameters

Methods inherited from class java.lang.Object

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

Field Detail

BOND_TYPE_SIMPLE_FIXED

public static final int BOND_TYPE_SIMPLE_FIXED

Custom Bond Type Simple Fixed

See Also:

Constant Field Values

BOND_TYPE_SIMPLE_FLOATER

public static final int BOND_TYPE_SIMPLE_FLOATER

Custom Bond Type Simple Floater

See Also:

Constant Field Values

BOND_TYPE_SIMPLE_FROM_CF

public static final int BOND_TYPE_SIMPLE_FROM_CF

Custom Bond Type Simple From Cash flows

See Also:

Constant Field Values

Constructor Detail

BondBuilder

public BondBuilder()

Method Detail

CreateBondFromParams

public static final BondComponent CreateBondFromParams(TreasuryBenchmarks tsyParams,
                                                       IdentifierSet idParams,
                                                       CouponSetting cpnParams,
                                                       FloaterSetting fltParams,
                                                       QuoteConvention mktConv,
                                                       CreditSetting crValParams,
                                                       TerminationSetting cfteParams,
                                                       BondStream periodParams,
                                                       NotionalSetting notlParams)

Create the full generic bond object from the complete set of parameters

Parameters:

tsyParams - Bond Treasury Parameters

idParams - Bond Identifier Parameters

cpnParams - Bond Coupon Parameters

fltParams - Bond Floater Parameters

mktConv - Bond Market Quote Convention

crValParams - Bond Credit Valuation Parameters

cfteParams - Bond Cash-flow Termination Event Parameters

periodParams - Bond Period Generation Parameters

notlParams - Bond Notional Parameters

Returns:

The Bond object

CreateSimpleFixed

public static final BondComponent CreateSimpleFixed(java.lang.String strName,
                                                    java.lang.String strCurrency,
                                                    java.lang.String strCreditCurveName,
                                                    double dblCoupon,
                                                    int iFreq,
                                                    java.lang.String strDayCount,
                                                    JulianDate dtEffective,
                                                    JulianDate dtMaturity,
                                                    Array2D fsPrincipalOutstanding,
                                                    Array2D fsCoupon)

Creates a simple fixed bond from parameters

Parameters:

strName - Bond Name

strCurrency - Bond Currency

strCreditCurveName - Credit Curve Name

dblCoupon - Bond Fixed Coupon

iFreq - Coupon Frequency

strDayCount - Bond Coupon Day count convention

dtEffective - Effective Date

dtMaturity - Maturity Date

fsPrincipalOutstanding - Outstanding Principal schedule

fsCoupon - Bond Coupon Schedule

Returns:

The Bond Object

CreateSimpleFloater

public static final BondComponent CreateSimpleFloater(java.lang.String strName,
                                                      java.lang.String strCurrency,
                                                      java.lang.String strRateIndex,
                                                      java.lang.String strCreditCurveName,
                                                      double dblSpread,
                                                      int iFreq,
                                                      java.lang.String strDayCount,
                                                      JulianDate dtEffective,
                                                      JulianDate dtMaturity,
                                                      Array2D fsPrincipalOutstanding,
                                                      Array2D fsCoupon)

Create a simple floating rate bond

Parameters:

strName - Bond Name

strCurrency - Bond Currency

strRateIndex - Floating Rate Index

strCreditCurveName - Credit Curve Name

dblSpread - Bond Floater Spread

iFreq - Coupon Frequency

strDayCount - Coupon Day Count Convention

dtEffective - Effective date

dtMaturity - Maturity Date

fsPrincipalOutstanding - Outstanding Principal Schedule

fsCoupon - Coupon Schedule

Returns:

The Bond object

CreateBondFromCF

public static final BondComponent CreateBondFromCF(java.lang.String strName,
                                                   JulianDate dtEffective,
                                                   java.lang.String strCurrency,
                                                   java.lang.String strCreditCurveName,
                                                   java.lang.String strDayCount,
                                                   double dblInitialNotional,
                                                   double dblCouponRate,
                                                   int iCouponFrequency,
                                                   JulianDate[] adtPeriodEnd,
                                                   double[] adblCouponAmount,
                                                   double[] adblPrincipalAmount,
                                                   boolean bIsPrincipalPayDown)

Create a bond from custom/user-defined cash flows and coupon conventions

Parameters:

strName - Bond Name

dtEffective - Effective Date

strCurrency - Bond Currency

strCreditCurveName - Credit Curve Name

strDayCount - Coupon Day Count Convention

dblInitialNotional - The Initial Notional

dblCouponRate - The Coupon Rate

iCouponFrequency - Coupon Frequency

adtPeriodEnd - Array of Period End Dates

adblCouponAmount - Matching Array of Coupon Amounts

adblPrincipalAmount - Matching Array of Principal Amounts

bIsPrincipalPayDown - Flag indicating whether principal is pay down or outstanding

Returns:

The Bond object

Treasury

public static final TreasuryComponent Treasury(java.lang.String strTreasuryCode,
                                               JulianDate dtEffective,
                                               JulianDate dtMaturity,
                                               java.lang.String strCurrency,
                                               double dblCoupon,
                                               int iFreq,
                                               java.lang.String strDayCount)

Creates a Treasury Bond from the Parameters

Parameters:

strTreasuryCode - Treasury Code

strCurrency - Bond Currency

dblCoupon - Bond Fixed Coupon

iFreq - Coupon Frequency

strDayCount - Bond Coupon Day count convention

dtEffective - Effective Date

dtMaturity - Maturity Date

Returns:

The Treasury Bond Instance