org.drip.product.creator

Class SingleStreamComponentBuilder

java.lang.Object

org.drip.product.creator.SingleStreamComponentBuilder

public class SingleStreamComponentBuilder
extends java.lang.Object

IRFutureBuilder contains the suite of helper functions for creating the Futures product and product pack from the parameters/codes/byte array streams. It also contains function to construct EDF codes and the EDF product from code.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
SingleStreamComponentBuilder()

Method Summary

Modifier and Type	Method and Description
static SingleStreamComponent	Deposit(JulianDate dtEffective, JulianDate dtMaturity, ForwardLabel fri) Create a Deposit Product from the Effective and the Maturity Dates, and the Forward Label
static FRAStandardComponent	ForwardRateFutures(JulianDate dtSpot, ForwardLabel fri) Create a Forward Rate Futures Product Instance from the Spot Date and the Forward Label
static java.lang.String	ForwardRateFuturesCode(java.lang.String strPrefix, int iEffectiveDate) Construct the Forward Rate Futures Code given a Effective Date
static SingleStreamComponent[]	ForwardRateFuturesPack(JulianDate dtSpot, int iNumContract, java.lang.String strCurrency) Generate a Forward Rate Futures Pack corresponding to the Specified Number of Contracts
static FRAMarketComponent	FRAMarket(JulianDate dtForwardStart, ForwardLabel forwardLabel, double dblStrike) Create a FRA Market Component Instance from the Spot Date, the Forward Label, and the Strike
static FRAStandardComponent	FRAStandard(JulianDate dtForwardStart, ForwardLabel forwardLabel, double dblStrike) Create a Standard FRA from the Spot Date, the Forward Label, and the Strike

Methods inherited from class java.lang.Object

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

Constructor Detail

SingleStreamComponentBuilder

public SingleStreamComponentBuilder()

Method Detail

ForwardRateFuturesCode

public static java.lang.String ForwardRateFuturesCode(java.lang.String strPrefix,
                                                      int iEffectiveDate)

Construct the Forward Rate Futures Code given a Effective Date

Parameters:

strPrefix - The Forward Rate Futures Code Prefix

iEffectiveDate - Double representing the Effective JulianDate

Returns:

The Forward Rate Futures Code

ForwardRateFuturesPack

public static SingleStreamComponent[] ForwardRateFuturesPack(JulianDate dtSpot,
                                                             int iNumContract,
                                                             java.lang.String strCurrency)

Generate a Forward Rate Futures Pack corresponding to the Specified Number of Contracts

Parameters:

dtSpot - Spot Date specifying the Contract Issue

iNumContract - Number of Contracts

strCurrency - Contract Currency String

Returns:

Array of Forward Rate Futures

Deposit

public static final SingleStreamComponent Deposit(JulianDate dtEffective,
                                                  JulianDate dtMaturity,
                                                  ForwardLabel fri)

Create a Deposit Product from the Effective and the Maturity Dates, and the Forward Label

Parameters:

dtEffective - Effective date

dtMaturity - Maturity

fri - The Floating Rate Index

Returns:

Deposit product

FRAStandard

public static final FRAStandardComponent FRAStandard(JulianDate dtForwardStart,
                                                     ForwardLabel forwardLabel,
                                                     double dblStrike)

Create a Standard FRA from the Spot Date, the Forward Label, and the Strike

Parameters:

dtForwardStart - Forward Start Date

forwardLabel - The Floating Rate Index

dblStrike - Futures Strike

Returns:

The Standard FRA Instance

FRAMarket

public static final FRAMarketComponent FRAMarket(JulianDate dtForwardStart,
                                                 ForwardLabel forwardLabel,
                                                 double dblStrike)

Create a FRA Market Component Instance from the Spot Date, the Forward Label, and the Strike

Parameters:

dtForwardStart - Forward Start Date

forwardLabel - The Floating Rate Index

dblStrike - Futures Strike

Returns:

The Futures Product

ForwardRateFutures

public static final FRAStandardComponent ForwardRateFutures(JulianDate dtSpot,
                                                            ForwardLabel fri)

Create a Forward Rate Futures Product Instance from the Spot Date and the Forward Label

Parameters:

dtSpot - Spot Date

fri - The Floating Rate Index

Returns:

The Forward Rate Futures Product Instance