org.drip.product.govvie

Class TreasuryFutures

java.lang.Object

org.drip.product.definition.Component

org.drip.product.govvie.TreasuryFutures

All Implemented Interfaces:

ComponentMarketParamRef

public class TreasuryFutures
extends Component

BondFutures implements the Bond Futures Product Contract Details.

Author:

Lakshmi Krishnamurthy

Field Summary

Fields

Modifier and Type	Field and Description
static int	FORWARD_PRICE_CREDIT_BASIS
static int	FORWARD_PRICE_OAS
static int	FORWARD_PRICE_YIELD
static int	FORWARD_PRICE_ZSPREAD

Constructor Summary

Constructors

Constructor and Description
TreasuryFutures(Bond[] aBond, double[] adblConversionFactor, CashSettleParams csp) BondFutures Constructor

Method Summary

Modifier and Type	Method and Description
Bond[]	basket() Retrieve the Bond Basket Array
CashSettleParams	cashSettleParams() Get the Product's cash settlement parameters
CTDEntry	cheapestToDeliver(int iValueDate, CurveSurfaceQuoteContainer csqc, ValuationCustomizationParams vcp, double[] adblCleanPrice, int iForwardPriceMethod) Extract the Cheapest-to-deliver Entry in the Basket Using the Current Market Parameters
CTDEntry	cheapestToDeliverCreditBasis(int iValueDate, CurveSurfaceQuoteContainer csqc, double[] adblCleanPrice) Extract the Cheapest-to-deliver Entry in the Basket Using Bond Credit Basis Metric
CTDEntry	cheapestToDeliverOAS(int iValueDate, CurveSurfaceQuoteContainer csqc, double[] adblCleanPrice) Extract the Cheapest-to-deliver Entry in the Basket Using Bond OAS Metric
CTDEntry	cheapestToDeliverYield(int iValueDate, double[] adblCleanPrice) Extract the Cheapest-to-deliver Entry in the Basket Using the Current Market Prices Alone
CTDEntry	cheapestToDeliverZSpread(int iValueDate, CurveSurfaceQuoteContainer csqc, double[] adblCleanPrice) Extract the Cheapest-to-deliver Entry in the Basket Using Bond Z Spread Metric
double[]	conversionFactor() Retrieve the Conversion Factor Array
CaseInsensitiveTreeMap<java.lang.String>	couponCurrency() Get the Map of Coupon Currencies
CompositePeriodCouponMetrics	couponMetrics(int iAccrualEndDate, ValuationParams valParams, CurveSurfaceQuoteContainer csqs) Get the Product's coupon Metrics at the specified accrual date
java.util.List<CompositePeriod>	couponPeriods() Get the Product's Cash Flow Periods
CreditLabel	creditLabel() Get the Credit Curve Latent State Identifier Label
int[]	deliveryMonths() Retrieve the Array of Delivery Months
JulianDate	effectiveDate() Get the Effective Date
JulianDate	expiry() Retrieve the Futures Expiration Date
JulianDate	firstCouponDate() Get the First Coupon Date
CaseInsensitiveTreeMap<ForwardLabel>	forwardLabel() Get the Map of Forward Curve Latent State Labels
int	freq() Retrieve the Coupon Frequency
FundingLabel	fundingLabel() Get the Funding Curve Latent State Label
CaseInsensitiveTreeMap<FXLabel>	fxLabel() Get the Map of FX Latent State Identifier Labels
GovvieLabel	govvieLabel() Get the Govvie Curve Latent State Label
double	initialNotional() Get the Initial Notional for the Product
int	lastTradingDayLag() Retrieve the Last Trading Day Lag
JulianDate	maturityDate() Get the Maturity Date
java.lang.String	maximumMaturity() Retrieve the Maximum Maturity of the Contract
java.util.Set<java.lang.String>	measureNames() Retrieve the ordered set of the measure names whose values will be calculated
java.lang.String	minimumMaturity() Retrieve the Minimum Maturity of the Contract
double	minimumPriceMovement() Retrieve the Minimum Price Movement
java.lang.String	name() Get the component name
double	notional(int iDate) Get the Notional for the Product at the given date
double	notional(int iDate1, int iDate2) Get the time-weighted Notional for the Product between 2 dates
double	notionalValue() Retrieve the Notional Value
java.lang.String	payCurrency() Get the Pay Currency
java.lang.String	principalCurrency() Get the Principal Currency
double	pv(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqc, ValuationCustomizationParams vcp) Compute the PV for the specified Market Parameters
double	referenceCoupon() Retrieve the Reference Coupon Rate
boolean	setDeliveryMonths(int[] aiDeliveryMonth) Set the Delivery Months
boolean	setExpiry(JulianDate dtExpiry) Set the Futures Expiration Date
boolean	setLastTradingDayLag(int iLastTradingDayLag) Set the Last Trading Day Lag
boolean	setMaximumMaturity(java.lang.String strDeliverableGradeMaximumMaturity) Retrieve the Deliverable Grade Maximum Maturity
boolean	setMinimumMaturity(java.lang.String strDeliverableGradeMinimumMaturity) Retrieve the Deliverable Grade Minimum Maturity
boolean	setMinimumPriceMovement(double dblMinimumPriceMovement) Retrieve the Minimum Price Movement
boolean	setNotionalValue(double dblNotionalValue) Retrieve the Notional Value
boolean	setReferenceCoupon(double dblReferenceCoupon) Set the Reference Coupon Rate
boolean	setTickValue(double dblTickValue) Retrieve the Tick Value
boolean	setType(java.lang.String strType) Set the Futures Type
double	tickValue() Retrieve the Tick Value
java.lang.String	type() Retrieve the Futures Type
CaseInsensitiveTreeMap<java.lang.Double>	value(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqc, ValuationCustomizationParams vcp) Generate a full list of the Product measures for the full input set of market parameters
CaseInsensitiveTreeMap<VolatilityLabel>	volatilityLabel() Get the Map of Volatility Latent State Identifier Labels

Methods inherited from class org.drip.product.definition.Component

customScenarioMeasures, measures, measureValue, tenor

Methods inherited from class java.lang.Object

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

Field Detail

FORWARD_PRICE_OAS

public static final int FORWARD_PRICE_OAS

See Also:

Constant Field Values

FORWARD_PRICE_YIELD

public static final int FORWARD_PRICE_YIELD

See Also:

Constant Field Values

FORWARD_PRICE_ZSPREAD

public static final int FORWARD_PRICE_ZSPREAD

See Also:

Constant Field Values

FORWARD_PRICE_CREDIT_BASIS

public static final int FORWARD_PRICE_CREDIT_BASIS

See Also:

Constant Field Values

Constructor Detail

TreasuryFutures

public TreasuryFutures(Bond[] aBond,
                       double[] adblConversionFactor,
                       CashSettleParams csp)
                throws java.lang.Exception

BondFutures Constructor

Parameters:

aBond - Array of the Bonds on the Basket

adblConversionFactor - The Bond Conversion Factor

csp - Cash Settlement Parameters

Throws:

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

Method Detail

setType

public boolean setType(java.lang.String strType)

Set the Futures Type

Parameters:

strType - The Futures Type

Returns:

TRUE - Futures Type Successfully Set

type

public java.lang.String type()

Retrieve the Futures Type

Returns:

The Futures Type

setNotionalValue

public boolean setNotionalValue(double dblNotionalValue)

Retrieve the Notional Value

Parameters:

dblNotionalValue - The Notional Value

Returns:

TRUE - The Notional Value successfully retrieved

notionalValue

public double notionalValue()

Retrieve the Notional Value

Returns:

The Notional Value

setReferenceCoupon

public boolean setReferenceCoupon(double dblReferenceCoupon)

Set the Reference Coupon Rate

Parameters:

dblReferenceCoupon - The Reference Coupon Rate

Returns:

TRUE - The Reference Coupon Rate successfully set

referenceCoupon

public double referenceCoupon()

Retrieve the Reference Coupon Rate

Returns:

The Reference Coupon Rate

setMinimumMaturity

public boolean setMinimumMaturity(java.lang.String strDeliverableGradeMinimumMaturity)

Retrieve the Deliverable Grade Minimum Maturity

Parameters:

strDeliverableGradeMinimumMaturity - Minimum Maturity of the Deliverable Grade

Returns:

TRUE - Minimum Maturity Successfully set

minimumMaturity

public java.lang.String minimumMaturity()

Retrieve the Minimum Maturity of the Contract

Returns:

The Minimum Maturity of the Contract

setMaximumMaturity

public boolean setMaximumMaturity(java.lang.String strDeliverableGradeMaximumMaturity)

Retrieve the Deliverable Grade Maximum Maturity

Parameters:

strDeliverableGradeMaximumMaturity - Maximum Maturity of the Deliverable Grade

Returns:

TRUE - Maximum Maturity Successfully set

maximumMaturity

public java.lang.String maximumMaturity()

Retrieve the Maximum Maturity of the Contract

Returns:

The Maximum Maturity of the Contract

setDeliveryMonths

public boolean setDeliveryMonths(int[] aiDeliveryMonth)

Set the Delivery Months

Parameters:

aiDeliveryMonth - Array of Delivery Months

Returns:

TRUE - Delivery Months successfully set

deliveryMonths

public int[] deliveryMonths()

Retrieve the Array of Delivery Months

Returns:

Array of Delivery Months

setLastTradingDayLag

public boolean setLastTradingDayLag(int iLastTradingDayLag)

Set the Last Trading Day Lag

Parameters:

iLastTradingDayLag - The Last Trading Day Lag

Returns:

TRUE - Last Trading Day Lag Successfully Set

lastTradingDayLag

public int lastTradingDayLag()

Retrieve the Last Trading Day Lag

Returns:

Last Trading Day Lag

setMinimumPriceMovement

public boolean setMinimumPriceMovement(double dblMinimumPriceMovement)

Retrieve the Minimum Price Movement

Parameters:

dblMinimumPriceMovement - The Minimum Price Movement

Returns:

TRUE - The Minimum Price Movement Successfully Set

minimumPriceMovement

public double minimumPriceMovement()

Retrieve the Minimum Price Movement

Returns:

The Minimum Price Movement

setTickValue

public boolean setTickValue(double dblTickValue)

Retrieve the Tick Value

Parameters:

dblTickValue - The Tick Value

Returns:

TRUE - The Tick Value Successfully Set

tickValue

public double tickValue()

Retrieve the Tick Value

Returns:

The Tick Value

basket

public Bond[] basket()

Retrieve the Bond Basket Array

Returns:

The Bond Basket Array

conversionFactor

public double[] conversionFactor()

Retrieve the Conversion Factor Array

Returns:

The Conversion Factor Array

setExpiry

public boolean setExpiry(JulianDate dtExpiry)

Set the Futures Expiration Date

Parameters:

dtExpiry - The Futures Expiration Date

Returns:

TRUE - The Futures Expiration Date Successfully Set

expiry

public JulianDate expiry()

Retrieve the Futures Expiration Date

Returns:

The Futures Expiration Date

cheapestToDeliver

public CTDEntry cheapestToDeliver(int iValueDate,
                                  CurveSurfaceQuoteContainer csqc,
                                  ValuationCustomizationParams vcp,
                                  double[] adblCleanPrice,
                                  int iForwardPriceMethod)

Extract the Cheapest-to-deliver Entry in the Basket Using the Current Market Parameters

Parameters:

iValueDate - The Valuation Date

csqc - The Market Parameters

vcp - Valuation Customization Parameters

adblCleanPrice - Array of the Bond Clean Prices

iForwardPriceMethod - Forward Price Calculation Method

Returns:

The Cheapest-to-deliver Entry in the Basket Using the Current Market Parameters

cheapestToDeliverYield

public CTDEntry cheapestToDeliverYield(int iValueDate,
                                       double[] adblCleanPrice)

Extract the Cheapest-to-deliver Entry in the Basket Using the Current Market Prices Alone

Parameters:

iValueDate - The Valuation Date

adblCleanPrice - Array of the Bond Clean Prices

Returns:

The Cheapest-to-deliver Entry in the Basket Using the Current Market Prices Alone

cheapestToDeliverOAS

public CTDEntry cheapestToDeliverOAS(int iValueDate,
                                     CurveSurfaceQuoteContainer csqc,
                                     double[] adblCleanPrice)

Extract the Cheapest-to-deliver Entry in the Basket Using Bond OAS Metric

Parameters:

iValueDate - The Valuation Date

csqc - The Market Parameters

adblCleanPrice - Array of the Bond Clean Prices

Returns:

The Cheapest-to-deliver Entry in the Basket Using Bond OAS Metric

cheapestToDeliverZSpread

public CTDEntry cheapestToDeliverZSpread(int iValueDate,
                                         CurveSurfaceQuoteContainer csqc,
                                         double[] adblCleanPrice)

Extract the Cheapest-to-deliver Entry in the Basket Using Bond Z Spread Metric

Parameters:

iValueDate - The Valuation Date

csqc - The Market Parameters

adblCleanPrice - Array of the Bond Clean Prices

Returns:

The Cheapest-to-deliver Entry in the Basket Using Bond Z Spread Metric

cheapestToDeliverCreditBasis

public CTDEntry cheapestToDeliverCreditBasis(int iValueDate,
                                             CurveSurfaceQuoteContainer csqc,
                                             double[] adblCleanPrice)

Extract the Cheapest-to-deliver Entry in the Basket Using Bond Credit Basis Metric

Parameters:

iValueDate - The Valuation Date

csqc - The Market Parameters

adblCleanPrice - Array of the Bond Clean Prices

Returns:

The Cheapest-to-deliver Entry in the Basket Using Bond Credit Basis Metric

name

public java.lang.String name()

Description copied from interface: ComponentMarketParamRef

Get the component name

Returns:

The component name

cashSettleParams

public CashSettleParams cashSettleParams()

Description copied from class: Component

Get the Product's cash settlement parameters

Specified by:

cashSettleParams in class Component

Returns:

Cash settlement Parameters

couponMetrics

public CompositePeriodCouponMetrics couponMetrics(int iAccrualEndDate,
                                                  ValuationParams valParams,
                                                  CurveSurfaceQuoteContainer csqs)

Description copied from class: Component

Get the Product's coupon Metrics at the specified accrual date

Specified by:

couponMetrics in class Component

Parameters:

iAccrualEndDate - Accrual End Date

valParams - The Valuation Parameters

csqs - Component Market Parameters

Returns:

The Product's coupon Nominal/Adjusted Coupon Measures

couponPeriods

public java.util.List<CompositePeriod> couponPeriods()

Description copied from class: Component

Get the Product's Cash Flow Periods

Specified by:

couponPeriods in class Component

Returns:

List of the Product's Cash Flow Periods

effectiveDate

public JulianDate effectiveDate()

Description copied from class: Component

Get the Effective Date

Specified by:

effectiveDate in class Component

Returns:

Effective Date

firstCouponDate

public JulianDate firstCouponDate()

Description copied from class: Component

Get the First Coupon Date

Specified by:

firstCouponDate in class Component

Returns:

First Coupon Date

freq

public int freq()

Description copied from class: Component

Retrieve the Coupon Frequency

Specified by:

freq in class Component

Returns:

The Coupon Frequency

initialNotional

public double initialNotional()

Description copied from class: Component

Get the Initial Notional for the Product

Specified by:

initialNotional in class Component

Returns:

Initial Notional

notional

public double notional(int iDate)
                throws java.lang.Exception

Description copied from class: Component

Get the Notional for the Product at the given date

Specified by:

notional in class Component

Parameters:

iDate - Date

Returns:

Product Notional

Throws:

java.lang.Exception - Thrown if Notional cannot be computed

notional

public double notional(int iDate1,
                       int iDate2)
                throws java.lang.Exception

Description copied from class: Component

Get the time-weighted Notional for the Product between 2 dates

Specified by:

notional in class Component

Parameters:

iDate1 - Date #1

iDate2 - Date #2

Returns:

The Product Notional

Throws:

java.lang.Exception - Thrown if Notional cannot be computed

maturityDate

public JulianDate maturityDate()

Description copied from class: Component

Get the Maturity Date

Specified by:

maturityDate in class Component

Returns:

Maturity Date

couponCurrency

public CaseInsensitiveTreeMap<java.lang.String> couponCurrency()

Description copied from interface: ComponentMarketParamRef

Get the Map of Coupon Currencies

Returns:

The Map of Coupon Currencies

principalCurrency

public java.lang.String principalCurrency()

Description copied from interface: ComponentMarketParamRef

Get the Principal Currency

Returns:

The Principal Currency

payCurrency

public java.lang.String payCurrency()

Description copied from interface: ComponentMarketParamRef

Get the Pay Currency

Returns:

The Pay Currency

creditLabel

public CreditLabel creditLabel()

Description copied from interface: ComponentMarketParamRef

Get the Credit Curve Latent State Identifier Label

Returns:

The Credit Curve Latent State Identifier Label

forwardLabel

public CaseInsensitiveTreeMap<ForwardLabel> forwardLabel()

Description copied from interface: ComponentMarketParamRef

Get the Map of Forward Curve Latent State Labels

Returns:

The Map of the Forward Curve Latent State Labels

fundingLabel

public FundingLabel fundingLabel()

Description copied from interface: ComponentMarketParamRef

Get the Funding Curve Latent State Label

Returns:

Funding Curve Latent State Label

govvieLabel

public GovvieLabel govvieLabel()

Description copied from interface: ComponentMarketParamRef

Get the Govvie Curve Latent State Label

Returns:

Govvie Curve Latent State Label

fxLabel

public CaseInsensitiveTreeMap<FXLabel> fxLabel()

Description copied from interface: ComponentMarketParamRef

Get the Map of FX Latent State Identifier Labels

Returns:

The Map of FX Latent State Identifier Labels

volatilityLabel

public CaseInsensitiveTreeMap<VolatilityLabel> volatilityLabel()

Description copied from interface: ComponentMarketParamRef

Get the Map of Volatility Latent State Identifier Labels

Returns:

The Map of Volatility Latent State Identifier Labels

value

public CaseInsensitiveTreeMap<java.lang.Double> value(ValuationParams valParams,
                                                      CreditPricerParams pricerParams,
                                                      CurveSurfaceQuoteContainer csqc,
                                                      ValuationCustomizationParams vcp)

Description copied from class: Component

Generate a full list of the Product measures for the full input set of market parameters

Specified by:

value in class Component

Parameters:

valParams - ValuationParams

pricerParams - PricerParams

csqc - Market Parameters

vcp - Valuation Customization Parameters

Returns:

Map of measure name and value

measureNames

public java.util.Set<java.lang.String> measureNames()

Description copied from class: Component

Retrieve the ordered set of the measure names whose values will be calculated

Specified by:

measureNames in class Component

Returns:

Set of Measure Names

pv

public double pv(ValuationParams valParams,
                 CreditPricerParams pricerParams,
                 CurveSurfaceQuoteContainer csqc,
                 ValuationCustomizationParams vcp)
          throws java.lang.Exception

Description copied from class: Component

Compute the PV for the specified Market Parameters

Specified by:

pv in class Component

Parameters:

valParams - ValuationParams

pricerParams - PricerParams

csqc - Market Parameters

vcp - Valuation Customization Parameters

Returns:

The PV

Throws:

java.lang.Exception - Thrown if the PV cannot be computed