org.drip.product.creator

Class BondProductBuilder

java.lang.Object

org.drip.product.creator.BondProductBuilder

public class BondProductBuilder
extends java.lang.Object

BondProductBuilder holds the static parameters of the bond product needed for the full bond valuation. It contains the bond identifier parameters (ISIN, CUSIP), the issuer level parameters (Ticker, SPN or the credit curve string), coupon parameters (coupon rate, coupon frequency, coupon type, day count), maturity parameters (maturity date, maturity type, final maturity, redemption value), date parameters (announce, first settle, first coupon, interest accrual start, and issue dates), embedded option parameters (callable, putable, has been exercised), currency parameters (trade, coupon, and redemption currencies), floater parameters (floater flag, floating coupon convention, current coupon, rate index, spread), and whether the bond is perpetual or has defaulted.

Author:

Lakshmi Krishnamurthy

Field Summary

Fields

Modifier and Type	Field and Description
boolean	_bHasBeenCalled Has Been Exercised flag
boolean	_bIsCallable Callable flag
boolean	_bIsDefaulted Is Defaulted flag
boolean	_bIsFloater Is Floater flag
boolean	_bIsPerpetual Is Perpetual flag
boolean	_bIsPutable Putable flag
boolean	_bIsSinkable Sinkable flag
double	_dblCoupon Coupon
double	_dblCurrentCoupon Current Coupon
double	_dblFloatSpread Floater Spread
double	_dblRedemptionValue Redemption Value
JulianDate	_dtAnnounce Announce Date
JulianDate	_dtFinalMaturity Final Maturity Date
JulianDate	_dtFirstCoupon First Coupon Date
JulianDate	_dtFirstSettle First Settle Date
JulianDate	_dtInterestAccrualStart Interest Accrual Start Date
JulianDate	_dtIssue Issue Date
JulianDate	_dtMaturity Maturity
int	_iCouponFreq Coupon Frequency
java.lang.String	_strCalculationType Calculation Type
java.lang.String	_strCouponCurrency Coupon Currency
java.lang.String	_strCouponType Coupon Type
java.lang.String	_strCUSIP CUSIP
java.lang.String	_strDayCountCode Day count Code
java.lang.String	_strFloatCouponConvention Floater Coupon Day Count Convention
java.lang.String	_strISIN ISIN
java.lang.String	_strIssuerSPN Issuer SPN
java.lang.String	_strMaturityType Maturity Type
java.lang.String	_strRateIndex Rate Index
java.lang.String	_strRedemptionCurrency Redemption Currency
java.lang.String	_strTicker Ticker
java.lang.String	_strTradeCurrency Trade Currency

Constructor Summary

Constructors

Constructor and Description
BondProductBuilder() Empty BondProductBuilder ctr - uninitialized members

Method Summary

Modifier and Type	Method and Description
static BondProductBuilder	CreateFromJSONMap(CaseInsensitiveTreeMap<java.lang.String> mapJSON, ScenarioMarketParams mpc) Create BondProductBuilder from the JSON Map and the input MPC
static BondProductBuilder	CreateFromResultSet(java.sql.ResultSet rs, ScenarioMarketParams mpc) Create BondProductBuilder from the SQL ResultSet and the input MPC
TerminationSetting	getCFTEParams() Get the Bond's CF termination event Parameters
CouponSetting	getCouponParams() Get the Bond's Coupon Parameters
CreditSetting	getCRValuationParams() Get the Bond's Credit Component Parameters
FloaterSetting	getFloaterParams() Get the Bond's Floater Parameters
IdentifierSet	getIdentifierParams() Get the Bond's identifier Parameters
QuoteConvention	getMarketConvention() Get the Bond's Market Convention
NotionalSetting	getNotionalParams() Get the Bond's Notional Parameters
BondStream	getPeriodGenParams() Get the Bond's Period Generation Parameters
java.lang.String	makeSQLDelete() Create an SQL Delete statement from the object's state
java.lang.String	makeSQLInsert() Create an SQL Insert statement from the object's state
boolean	setAnnounce(java.lang.String strAnnounce) Set the Bond Announce
boolean	setCalculationType(java.lang.String strCalculationType) Set the Bond Calculation Type
boolean	setCoupon(java.lang.String strCoupon) Set the Bond Coupon
boolean	setCouponCurrency(java.lang.String strCouponCurrency) Set The Coupon Currency
boolean	setCouponFreq(java.lang.String strCouponFreq) Set the Bond Coupon Frequency
boolean	setCouponType(java.lang.String strCouponType) Set the Bond Coupon Type
boolean	setCurrentCoupon(java.lang.String strCurrentCoupon) Set the bond's Current Coupon
boolean	setCUSIP(java.lang.String strCUSIP) Set the Bond CUSIP
boolean	setDayCountCode(java.lang.String strDayCountCode) Set the Bond Day Count Code
boolean	setFinalMaturity(java.lang.String strFinalMaturity) Set the final maturity of the bond
boolean	setFirstCoupon(java.lang.String strFirstCoupon) Set the Bond First Coupon Date
boolean	setFirstSettle(java.lang.String strFirstSettle) Set the Bond First Settle
boolean	setFloatCouponConvention(java.lang.String strFloatCouponConvention) Set the bond's Float Coupon Convention
boolean	setFloatSpread(ScenarioMarketParams mpc) Set the bond's floating rate spread from the MPC
boolean	setFloatSpread(java.lang.String strFloatSpread) Set the bond's floating rate spread
boolean	setHasBeenCalled(java.lang.String strHasBeenCalled) Set whether the bond Has Been Called
boolean	setInterestAccrualStart(java.lang.String strInterestAccrualStart) Set the Bond Interest Accrual Start Date
boolean	setIsCallable(java.lang.String strCallable) Set whether the Bond Is Callable
boolean	setIsDefaulted(java.lang.String strIsDefaulted) Set whether the bond is defaulted or not
boolean	setIsFloater(java.lang.String strIsFloater) Set whether the bond is a floater or not
boolean	setISIN(java.lang.String strISIN) Set the Bond ISIN
boolean	setIsPerpetual(java.lang.String strIsPerpetual) Set whether the bond is perpetual or not
boolean	setIsPutable(java.lang.String strPutable) Set whether the Bond Is Putable
boolean	setIsSinkable(java.lang.String strSinkable) Set whether the Bond Is Sinkable
boolean	setIssue(java.lang.String strIssue) Set the Bond Issue Date
boolean	setIssuerSPN(java.lang.String strIssuerSPN) Set the bond's Issuer SPN
boolean	setMaturity(java.lang.String strMaturity) Set the Bond Maturity
boolean	setMaturityType(java.lang.String strMaturityType) Set the Bond Maturity Type
boolean	setRateIndex(java.lang.String strRateIndex) Set the bond's Rate Index
boolean	setRedemptionCurrency(java.lang.String strRedemptionCurrency) Set The redemption Currency
boolean	setRedemptionValue(java.lang.String strRedemptionValue) Set the Bond Redemption Value
boolean	setTicker(java.lang.String strTicker) Set the Bond Ticker
boolean	setTradeCurrency(java.lang.String strTradeCurrency) Set The Trade Currency
boolean	validate(ScenarioMarketParams mpc) Validate the state

Methods inherited from class java.lang.Object

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

Field Detail

_strISIN

public java.lang.String _strISIN

ISIN

_strCUSIP

public java.lang.String _strCUSIP

CUSIP

_strTicker

public java.lang.String _strTicker

Ticker

_dblCoupon

public double _dblCoupon

Coupon

_dtMaturity

public JulianDate _dtMaturity

Maturity

_iCouponFreq

public int _iCouponFreq

Coupon Frequency

_strCouponType

public java.lang.String _strCouponType

Coupon Type

_strMaturityType

public java.lang.String _strMaturityType

Maturity Type

_strCalculationType

public java.lang.String _strCalculationType

Calculation Type

_strDayCountCode

public java.lang.String _strDayCountCode

Day count Code

_dblRedemptionValue

public double _dblRedemptionValue

Redemption Value

_dtAnnounce

public JulianDate _dtAnnounce

Announce Date

_dtFirstSettle

public JulianDate _dtFirstSettle

First Settle Date

_dtFirstCoupon

public JulianDate _dtFirstCoupon

First Coupon Date

_dtInterestAccrualStart

public JulianDate _dtInterestAccrualStart

Interest Accrual Start Date

_dtIssue

public JulianDate _dtIssue

Issue Date

_bIsCallable

public boolean _bIsCallable

Callable flag

_bIsPutable

public boolean _bIsPutable

Putable flag

_bIsSinkable

public boolean _bIsSinkable

Sinkable flag

_strRedemptionCurrency

public java.lang.String _strRedemptionCurrency

Redemption Currency

_strCouponCurrency

public java.lang.String _strCouponCurrency

Coupon Currency

_strTradeCurrency

public java.lang.String _strTradeCurrency

Trade Currency

_bHasBeenCalled

public boolean _bHasBeenCalled

Has Been Exercised flag

_strFloatCouponConvention

public java.lang.String _strFloatCouponConvention

Floater Coupon Day Count Convention

_dblCurrentCoupon

public double _dblCurrentCoupon

Current Coupon

_bIsFloater

public boolean _bIsFloater

Is Floater flag

_dtFinalMaturity

public JulianDate _dtFinalMaturity

Final Maturity Date

_bIsPerpetual

public boolean _bIsPerpetual

Is Perpetual flag

_bIsDefaulted

public boolean _bIsDefaulted

Is Defaulted flag

_dblFloatSpread

public double _dblFloatSpread

Floater Spread

_strRateIndex

public java.lang.String _strRateIndex

Rate Index

_strIssuerSPN

public java.lang.String _strIssuerSPN

Issuer SPN

Constructor Detail

BondProductBuilder

public BondProductBuilder()

Empty BondProductBuilder ctr - uninitialized members

Method Detail

CreateFromResultSet

public static final BondProductBuilder CreateFromResultSet(java.sql.ResultSet rs,
                                                           ScenarioMarketParams mpc)

Create BondProductBuilder from the SQL ResultSet and the input MPC

Parameters:

rs - SQL ResultSet

mpc - org.drip.param.definition.MarketParams to help fill some of the fields in

Returns:

BondProductBuilder object

CreateFromJSONMap

public static final BondProductBuilder CreateFromJSONMap(CaseInsensitiveTreeMap<java.lang.String> mapJSON,
                                                         ScenarioMarketParams mpc)

Create BondProductBuilder from the JSON Map and the input MPC

Parameters:

mapJSON - The JSON Ref Data Map

mpc - org.drip.param.definition.MarketParams to help fill some of the fields in

Returns:

BondProductBuilder object

setISIN

public boolean setISIN(java.lang.String strISIN)

Set the Bond ISIN

Parameters:

strISIN - ISIN input

Returns:

Success (true), failure (false)

setCUSIP

public boolean setCUSIP(java.lang.String strCUSIP)

Set the Bond CUSIP

Parameters:

strCUSIP - CUSIP input

Returns:

Success (true), failure (false)

setTicker

public boolean setTicker(java.lang.String strTicker)

Set the Bond Ticker

Parameters:

strTicker - Ticker input

Returns:

Success (true), failure (false)

setCoupon

public boolean setCoupon(java.lang.String strCoupon)

Set the Bond Coupon

Parameters:

strCoupon - Coupon input

Returns:

Success (true), failure (false)

setMaturity

public boolean setMaturity(java.lang.String strMaturity)

Set the Bond Maturity

Parameters:

strMaturity - Maturity input

Returns:

Success (true), failure (false)

setCouponFreq

public boolean setCouponFreq(java.lang.String strCouponFreq)

Set the Bond Coupon Frequency

Parameters:

strCouponFreq - Coupon Frequency input

Returns:

Success (true), failure (false)

setCouponType

public boolean setCouponType(java.lang.String strCouponType)

Set the Bond Coupon Type

Parameters:

strCouponType - Coupon Type input

Returns:

Success (true), failure (false)

setMaturityType

public boolean setMaturityType(java.lang.String strMaturityType)

Set the Bond Maturity Type

Parameters:

strMaturityType - Maturity Type input

Returns:

Success (true), failure (false)

setCalculationType

public boolean setCalculationType(java.lang.String strCalculationType)

Set the Bond Calculation Type

Parameters:

strCalculationType - Calculation Type input

Returns:

Success (true), failure (false)

setDayCountCode

public boolean setDayCountCode(java.lang.String strDayCountCode)

Set the Bond Day Count Code

Parameters:

strDayCountCode - Day Count Code input

Returns:

Success (true), failure (false)

setRedemptionValue

public boolean setRedemptionValue(java.lang.String strRedemptionValue)

Set the Bond Redemption Value

Parameters:

strRedemptionValue - Redemption Value input

Returns:

Success (true), failure (false)

setAnnounce

public boolean setAnnounce(java.lang.String strAnnounce)

Set the Bond Announce

Parameters:

strAnnounce - Announce Date String

Returns:

Success (true), failure (false)

setFirstSettle

public boolean setFirstSettle(java.lang.String strFirstSettle)

Set the Bond First Settle

Parameters:

strFirstSettle - First Settle Date String

Returns:

Success (true), failure (false)

setFirstCoupon

public boolean setFirstCoupon(java.lang.String strFirstCoupon)

Set the Bond First Coupon Date

Parameters:

strFirstCoupon - First Coupon Date String

Returns:

Success (true), failure (false)

setInterestAccrualStart

public boolean setInterestAccrualStart(java.lang.String strInterestAccrualStart)

Set the Bond Interest Accrual Start Date

Parameters:

strInterestAccrualStart - Interest Accrual Start Date String

Returns:

Success (true), failure (false)

setIssue

public boolean setIssue(java.lang.String strIssue)

Set the Bond Issue Date

Parameters:

strIssue - Issue Date String

Returns:

Success (true), failure (false)

setIsCallable

public boolean setIsCallable(java.lang.String strCallable)

Set whether the Bond Is Callable

Parameters:

strCallable - Callable String

Returns:

Success (true), failure (false)

setIsPutable

public boolean setIsPutable(java.lang.String strPutable)

Set whether the Bond Is Putable

Parameters:

strPutable - Putable String

Returns:

Success (true), failure (false)

setIsSinkable

public boolean setIsSinkable(java.lang.String strSinkable)

Set whether the Bond Is Sinkable

Parameters:

strSinkable - Sinkable String

Returns:

Success (true), failure (false)

setRedemptionCurrency

public boolean setRedemptionCurrency(java.lang.String strRedemptionCurrency)

Set The redemption Currency

Parameters:

strRedemptionCurrency - Redemption Currency String

Returns:

Success (true), failure (false)

setCouponCurrency

public boolean setCouponCurrency(java.lang.String strCouponCurrency)

Set The Coupon Currency

Parameters:

strCouponCurrency - Coupon Currency String

Returns:

Success (true), failure (false)

setTradeCurrency

public boolean setTradeCurrency(java.lang.String strTradeCurrency)

Set The Trade Currency

Parameters:

strTradeCurrency - Trade Currency String

Returns:

Success (true), failure (false)

setHasBeenCalled

public boolean setHasBeenCalled(java.lang.String strHasBeenCalled)

Set whether the bond Has Been Called

Parameters:

strHasBeenCalled - Has Been Called String

Returns:

Success (true), failure (false)

setFloatCouponConvention

public boolean setFloatCouponConvention(java.lang.String strFloatCouponConvention)

Set the bond's Float Coupon Convention

Parameters:

strFloatCouponConvention - Float Coupon Convention String

Returns:

Success (true), failure (false)

setCurrentCoupon

public boolean setCurrentCoupon(java.lang.String strCurrentCoupon)

Set the bond's Current Coupon

Parameters:

strCurrentCoupon - Current Coupon String

Returns:

Success (true), failure (false)

setIsFloater

public boolean setIsFloater(java.lang.String strIsFloater)

Set whether the bond is a floater or not

Parameters:

strIsFloater - String indicating whether the bond is a floater

Returns:

Success (true), failure (false)

setFinalMaturity

public boolean setFinalMaturity(java.lang.String strFinalMaturity)

Set the final maturity of the bond

Parameters:

strFinalMaturity - String representing the bond's final maturity

Returns:

Success (true), failure (false)

setIsPerpetual

public boolean setIsPerpetual(java.lang.String strIsPerpetual)

Set whether the bond is perpetual or not

Parameters:

strIsPerpetual - String representing whether the bond is perpetual or not

Returns:

Success (true), failure (false)

setIsDefaulted

public boolean setIsDefaulted(java.lang.String strIsDefaulted)

Set whether the bond is defaulted or not

Parameters:

strIsDefaulted - String representing whether the bond is defaulted or not

Returns:

Success (true), failure (false)

setFloatSpread

public boolean setFloatSpread(java.lang.String strFloatSpread)

Set the bond's floating rate spread

Parameters:

strFloatSpread - String representing the bond's floating spread

Returns:

Success (true), failure (false)

setFloatSpread

public boolean setFloatSpread(ScenarioMarketParams mpc)

Set the bond's floating rate spread from the MPC

Parameters:

mpc - org.drip.param.definition.MarketParams

Returns:

Success (true), failure (false)

setRateIndex

public boolean setRateIndex(java.lang.String strRateIndex)

Set the bond's Rate Index

Parameters:

strRateIndex - Rate Index

Returns:

Success (true), failure (false)

setIssuerSPN

public boolean setIssuerSPN(java.lang.String strIssuerSPN)

Set the bond's Issuer SPN

Parameters:

strIssuerSPN - Issuer SPN String

Returns:

Success (true), failure (false)

validate

public boolean validate(ScenarioMarketParams mpc)

Validate the state

Parameters:

mpc - org.drip.param.definition.MarketParams

Returns:

Success (true), failure (false)

makeSQLInsert

public java.lang.String makeSQLInsert()

Create an SQL Insert statement from the object's state

Returns:

String representing the SQL Insert

getIdentifierParams

public IdentifierSet getIdentifierParams()

Get the Bond's identifier Parameters

Returns:

BondIdentifierParams object

getCouponParams

public CouponSetting getCouponParams()

Get the Bond's Coupon Parameters

Returns:

BondCouponParams object

getFloaterParams

public FloaterSetting getFloaterParams()

Get the Bond's Floater Parameters

Returns:

BondFloaterParams object

getMarketConvention

public QuoteConvention getMarketConvention()

Get the Bond's Market Convention

Returns:

MarketConvention object

getCRValuationParams

public CreditSetting getCRValuationParams()

Get the Bond's Credit Component Parameters

Returns:

CompCRValParams object

getCFTEParams

public TerminationSetting getCFTEParams()

Get the Bond's CF termination event Parameters

Returns:

BondCFTerminationEvent object

getNotionalParams

public NotionalSetting getNotionalParams()

Get the Bond's Notional Parameters

Returns:

BondNotionalParams object

getPeriodGenParams

public BondStream getPeriodGenParams()

Get the Bond's Period Generation Parameters

Returns:

BondPeriodGenerationParams object

makeSQLDelete

public java.lang.String makeSQLDelete()

Create an SQL Delete statement from the object's state

Returns:

String representing the SQL Delete