org.drip.product.params

Class CDXRefDataParams

java.lang.Object

org.drip.product.params.CDXRefDataParams

public class CDXRefDataParams
extends java.lang.Object

CDXRefDataParams contains the complete set of reference data that corresponds to the contract of a standard CDX. It consists of the following category and fields: - Descriptive - Index Label, Index Name, Curve Name, Index Class, Index Group Name, Index Short Group Name, Index Short Name, Short Name - Issuer ID - Curve ID, Red ID, Series, Version, Curvy Curve ID, Location, Bloomberg Ticker - Quote Details - Quote As CDS - Date - Issue Date, Maturity Date - Coupon Parameters - Coupon Rate, Currency, Day Count, Full First Stub, Frequency - Component Details - Original Count, Defaulted Count - Payoff Details - Knock-out on Default, Pay Accrued Amount, Recovery on Default - Other - Index Life Span, Index Factor It also exports serialization into and de-serialization out of byte arrays.

Author:

Lakshmi Krishnamurthy

Field Summary

Fields

Modifier and Type	Field and Description
boolean	_bFullFirstStub Index Full First Stub
boolean	_bKnockOutOnDefault Index Knock-out On Default
boolean	_bPayAccrued Index Pay Accrued
boolean	_bQuoteAsCDS Index Quote As CDS
double	_dblCoupon Index Coupon (bp)
double	_dblIndexFactor Index Factor
double	_dblRecovery Index Recovery
JulianDate	_dtIssue Index Issue Date
JulianDate	_dtMaturity Index Maturity Date
int	_iDefaultedComponentCount Index Defaulted Component Count
int	_iFrequency Index Frequency
int	_iIndexLifeSpan Index Life Span
int	_iIndexSeries Index Series
int	_iIndexVersion Index Version
int	_iOriginalComponentCount Index Original Component Count
java.lang.String	_strBBGTicker Index Bloomberg Ticker
java.lang.String	_strCurrency Index Currency
java.lang.String	_strCurveID Index Curve ID
java.lang.String	_strCurveName Index Curve Name
java.lang.String	_strCurvyCurveID Index Curvy Curve ID
java.lang.String	_strDayCount Index DayCount
java.lang.String	_strIndexClass Index Class
java.lang.String	_strIndexGroupName Index Group Name
java.lang.String	_strIndexLabel Index Label
java.lang.String	_strIndexName Index Name
java.lang.String	_strIndexShortGroupName Index Short Group Name
java.lang.String	_strIndexShortName Index Short Name
java.lang.String	_strLocation Index Location
java.lang.String	_strRedID Index Red ID
java.lang.String	_strShortName Index Short Name
java.lang.String	_strSPN Index Curve SPN

Constructor Summary

Constructors

Constructor and Description
CDXRefDataParams() Empty Default constructor

Method Summary

Modifier and Type	Method and Description
static CDXRefDataParams	CreateCDXRefDataBuilder(java.lang.String strCurveID, java.lang.String strSPN, java.lang.String strIndexLabel, java.lang.String strIndexName, java.lang.String strCurveName, int iIssueDate, int iMaturityDate, double dblCoupon, java.lang.String strCurrency, java.lang.String strDayCount, boolean bFullFirstStub, double dblRecovery, int iFrequency, java.lang.String strRedID, java.lang.String strIndexClass, int iIndexSeries, java.lang.String strIndexGroupName, java.lang.String strIndexShortName, java.lang.String strIndexShortGroupName, int iIndexVersion, int iIndexLifeSpan, java.lang.String strCurvyCurveID, double dblIndexFactor, int iOriginalComponentCount, int iDefaultedComponentCount, java.lang.String strLocation, boolean bPayAccrued, boolean bKnockOutOnDefault, boolean bQuoteAsCDS, java.lang.String strBBGTicker, java.lang.String strShortName) Create a CDXRefData instance from valid individual parameters (so no additional validation is performed).
boolean	setBBGTicker(java.lang.String strBBGTicker) Set the Index BBG Ticker
java.lang.String	setConstructionString() Return the stringified set of parameters in a java call that can be statically used to re-construct the index.
boolean	setCoupon(double dblCoupon) Set the Index Coupon
boolean	setCurrency(java.lang.String strCurrency) Set the Index Currency
boolean	setCurveID(java.lang.String strCurveID) Set the Index Curve ID
boolean	setCurveName(java.lang.String strCurveName) Set the Index Curve Name
boolean	setCurvyCurveID(java.lang.String strCurvyCurveID) Set the Index Composite Curve ID
boolean	setDayCount(java.lang.String strDayCount) Set the Index Day Count
boolean	setDefaultedComponentCount(int iDefaultedComponentCount) Set the Number of Defaulted Components in the Index
boolean	setFrequency(int iFrequency) Set the Index Coupon Frequency
boolean	setFullFirstStub(boolean bFullFirstStub) Set the flag indicating whether the Index has a Full First Stub
boolean	setIndexClass(java.lang.String strIndexClass) Set the Index Class
boolean	setIndexFactor(double dblIndexFactor) Set the Index Factor
boolean	setIndexGroupName(java.lang.String strIndexGroupName) Set the Index Group Name
boolean	setIndexLabel(java.lang.String strIndexLabel) Set the Index Label
boolean	setIndexLifeSpan(int iIndexLifeSpan) Set the Index Life Span
boolean	setIndexName(java.lang.String strIndexName) Set the Index Name
boolean	setIndexSeries(int iIndexSeries) Set the Index Series
boolean	setIndexShortGroupName(java.lang.String strIndexShortGroupName) Set the Index Short Group Name
boolean	setIndexShortName(java.lang.String strIndexShortName) Set the Index Short Name
boolean	setIndexVersion(int iIndexVersion) Set the Index Version
boolean	setIssueDate(JulianDate dtIssue) Set the Index Issue Date
boolean	setKnockOutOnDefault(boolean bKnockOutOnDefault) Set if the Index knocks out on Default
boolean	setLocation(java.lang.String strLocation) Set the Index Location
boolean	setMaturityDate(JulianDate dtMaturity) Set the Index Maturity Date
boolean	setOriginalComponentCount(int iOriginalComponentCount) Set the Number of Original Components in the Index
boolean	setPayAccrued(boolean bPayAccrued) Set if the Index pays accrued on termination
boolean	setQuoteAsCDS(boolean bQuoteAsCDS) Set whether the quote is marked as a CDS
boolean	setRecovery(double dblRecovery) Set the Index Recovery
boolean	setRedID(java.lang.String strRedID) Set the Index Red ID
boolean	setShortName(java.lang.String strShortName) Set the index short name
boolean	setSPN(java.lang.String strSPN) Set the Index SPN
boolean	validate() Validate the CDXRefData instance

Methods inherited from class java.lang.Object

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

Field Detail

_strCurveID

public java.lang.String _strCurveID

Index Curve ID

_strSPN

public java.lang.String _strSPN

Index Curve SPN

_strIndexLabel

public java.lang.String _strIndexLabel

Index Label

_strIndexName

public java.lang.String _strIndexName

Index Name

_strCurveName

public java.lang.String _strCurveName

Index Curve Name

_dtIssue

public JulianDate _dtIssue

Index Issue Date

_dtMaturity

public JulianDate _dtMaturity

Index Maturity Date

_dblCoupon

public double _dblCoupon

Index Coupon (bp)

_strCurrency

public java.lang.String _strCurrency

Index Currency

_strDayCount

public java.lang.String _strDayCount

Index DayCount

_bFullFirstStub

public boolean _bFullFirstStub

Index Full First Stub

_dblRecovery

public double _dblRecovery

Index Recovery

_iFrequency

public int _iFrequency

Index Frequency

_strRedID

public java.lang.String _strRedID

Index Red ID

_strIndexClass

public java.lang.String _strIndexClass

Index Class

_iIndexSeries

public int _iIndexSeries

Index Series

_strIndexGroupName

public java.lang.String _strIndexGroupName

Index Group Name

_strIndexShortName

public java.lang.String _strIndexShortName

Index Short Name

_strIndexShortGroupName

public java.lang.String _strIndexShortGroupName

Index Short Group Name

_iIndexVersion

public int _iIndexVersion

Index Version

_iIndexLifeSpan

public int _iIndexLifeSpan

Index Life Span

_strCurvyCurveID

public java.lang.String _strCurvyCurveID

Index Curvy Curve ID

_dblIndexFactor

public double _dblIndexFactor

Index Factor

_iOriginalComponentCount

public int _iOriginalComponentCount

Index Original Component Count

_iDefaultedComponentCount

public int _iDefaultedComponentCount

Index Defaulted Component Count

_strLocation

public java.lang.String _strLocation

Index Location

_bPayAccrued

public boolean _bPayAccrued

Index Pay Accrued

_bKnockOutOnDefault

public boolean _bKnockOutOnDefault

Index Knock-out On Default

_bQuoteAsCDS

public boolean _bQuoteAsCDS

Index Quote As CDS

_strBBGTicker

public java.lang.String _strBBGTicker

Index Bloomberg Ticker

_strShortName

public java.lang.String _strShortName

Index Short Name

Constructor Detail

CDXRefDataParams

public CDXRefDataParams()

Empty Default constructor

Method Detail

CreateCDXRefDataBuilder

public static final CDXRefDataParams CreateCDXRefDataBuilder(java.lang.String strCurveID,
                                                             java.lang.String strSPN,
                                                             java.lang.String strIndexLabel,
                                                             java.lang.String strIndexName,
                                                             java.lang.String strCurveName,
                                                             int iIssueDate,
                                                             int iMaturityDate,
                                                             double dblCoupon,
                                                             java.lang.String strCurrency,
                                                             java.lang.String strDayCount,
                                                             boolean bFullFirstStub,
                                                             double dblRecovery,
                                                             int iFrequency,
                                                             java.lang.String strRedID,
                                                             java.lang.String strIndexClass,
                                                             int iIndexSeries,
                                                             java.lang.String strIndexGroupName,
                                                             java.lang.String strIndexShortName,
                                                             java.lang.String strIndexShortGroupName,
                                                             int iIndexVersion,
                                                             int iIndexLifeSpan,
                                                             java.lang.String strCurvyCurveID,
                                                             double dblIndexFactor,
                                                             int iOriginalComponentCount,
                                                             int iDefaultedComponentCount,
                                                             java.lang.String strLocation,
                                                             boolean bPayAccrued,
                                                             boolean bKnockOutOnDefault,
                                                             boolean bQuoteAsCDS,
                                                             java.lang.String strBBGTicker,
                                                             java.lang.String strShortName)

Create a CDXRefData instance from valid individual parameters (so no additional validation is performed).

Parameters:

strCurveID - Index Curve ID

strSPN - Index SPN

strIndexLabel - Index Label

strIndexName - Index Name

strCurveName - Index Curve Name

iIssueDate - Index Issue Date

iMaturityDate - Index Maturity Date

dblCoupon - Index Coupon

strCurrency - Index Currency

strDayCount - Index Day Count Convention

bFullFirstStub - Index Flag indicating whether it is a full front stub

dblRecovery - Index Recovery Rate

iFrequency - Index Frequency

strRedID - Index Reference Entity Database ID

strIndexClass - Index Class

iIndexSeries - Index Series

strIndexGroupName - Index Group Name

strIndexShortName - Index Short Name

strIndexShortGroupName - Index SHort Group Name

iIndexVersion - Index Version

iIndexLifeSpan - Index Life Span

strCurvyCurveID - Full Index Curve ID

dblIndexFactor - Index Factor

iOriginalComponentCount - Original Index Component Count

iDefaultedComponentCount - Defaulted Component Count in the Index

strLocation - Index Domicile Location

bPayAccrued - Does Index Pay Accrued

bKnockOutOnDefault - Does the Index Knock Out On Default

bQuoteAsCDS - Is the Index Quoted as a CDS (i.e., spread/up-front)

strBBGTicker - Index Bloomberg Ticker

strShortName - Index Short Name

Returns:

The CDXRefData instance

setCurveID

public boolean setCurveID(java.lang.String strCurveID)

Set the Index Curve ID

Parameters:

strCurveID - Index Curve ID

Returns:

TRUE if successful

setSPN

public boolean setSPN(java.lang.String strSPN)

Set the Index SPN

Parameters:

strSPN - Index SPN

Returns:

TRUE if successful

setIndexLabel

public boolean setIndexLabel(java.lang.String strIndexLabel)

Set the Index Label

Parameters:

strIndexLabel - Index Label

Returns:

TRUE if successful

setIndexName

public boolean setIndexName(java.lang.String strIndexName)

Set the Index Name

Parameters:

strIndexName - Index Name

Returns:

TRUE if successful

setCurveName

public boolean setCurveName(java.lang.String strCurveName)

Set the Index Curve Name

Parameters:

strCurveName - Index Curve Name

Returns:

TRUE if successful

setIssueDate

public boolean setIssueDate(JulianDate dtIssue)

Set the Index Issue Date

Parameters:

dtIssue - Index Issue Date

Returns:

TRUE if successful

setMaturityDate

public boolean setMaturityDate(JulianDate dtMaturity)

Set the Index Maturity Date

Parameters:

dtMaturity - Index Maturity Date

Returns:

TRUE if successful

setCoupon

public boolean setCoupon(double dblCoupon)

Set the Index Coupon

Parameters:

dblCoupon - Index Coupon

Returns:

TRUE if successful

setCurrency

public boolean setCurrency(java.lang.String strCurrency)

Set the Index Currency

Parameters:

strCurrency - Index Currency

Returns:

TRUE if successful

setDayCount

public boolean setDayCount(java.lang.String strDayCount)

Set the Index Day Count

Parameters:

strDayCount - Index Day Count

Returns:

TRUE if successful

setFullFirstStub

public boolean setFullFirstStub(boolean bFullFirstStub)

Set the flag indicating whether the Index has a Full First Stub

Parameters:

bFullFirstStub - Flag indicating whether the Index has a Full First Stub

Returns:

TRUE if successful

setRecovery

public boolean setRecovery(double dblRecovery)

Set the Index Recovery

Parameters:

dblRecovery - Index Recovery

Returns:

TRUE if successful

setFrequency

public boolean setFrequency(int iFrequency)

Set the Index Coupon Frequency

Parameters:

iFrequency - Index Coupon Frequency

Returns:

TRUE if successful

setRedID

public boolean setRedID(java.lang.String strRedID)

Set the Index Red ID

Parameters:

strRedID - Index Red ID

Returns:

TRUE if successful

setIndexClass

public boolean setIndexClass(java.lang.String strIndexClass)

Set the Index Class

Parameters:

strIndexClass - Index Class

Returns:

TRUE if successful

setIndexSeries

public boolean setIndexSeries(int iIndexSeries)

Set the Index Series

Parameters:

iIndexSeries - Index Series

Returns:

TRUE if successful

setIndexGroupName

public boolean setIndexGroupName(java.lang.String strIndexGroupName)

Set the Index Group Name

Parameters:

strIndexGroupName - Index Group Name

Returns:

TRUE if successful

setIndexShortName

public boolean setIndexShortName(java.lang.String strIndexShortName)

Set the Index Short Name

Parameters:

strIndexShortName - Index Short Name

Returns:

TRUE if successful

setIndexShortGroupName

public boolean setIndexShortGroupName(java.lang.String strIndexShortGroupName)

Set the Index Short Group Name

Parameters:

strIndexShortGroupName - Index Short Group Name

Returns:

TRUE if successful

setIndexVersion

public boolean setIndexVersion(int iIndexVersion)

Set the Index Version

Parameters:

iIndexVersion - Index Version

Returns:

TRUE if successful

setIndexLifeSpan

public boolean setIndexLifeSpan(int iIndexLifeSpan)

Set the Index Life Span

Parameters:

iIndexLifeSpan - Index Life Span

Returns:

TRUE if successful

setCurvyCurveID

public boolean setCurvyCurveID(java.lang.String strCurvyCurveID)

Set the Index Composite Curve ID

Parameters:

strCurvyCurveID - Index Composite Curve ID

Returns:

TRUE if successful

setIndexFactor

public boolean setIndexFactor(double dblIndexFactor)

Set the Index Factor

Parameters:

dblIndexFactor - Index Factor

Returns:

TRUE if successful

setOriginalComponentCount

public boolean setOriginalComponentCount(int iOriginalComponentCount)

Set the Number of Original Components in the Index

Parameters:

iOriginalComponentCount - Number of Original Components in the Index

Returns:

TRUE if successful

setDefaultedComponentCount

public boolean setDefaultedComponentCount(int iDefaultedComponentCount)

Set the Number of Defaulted Components in the Index

Parameters:

iDefaultedComponentCount - Number of Defaulted Components in the Index

Returns:

TRUE if successful

setLocation

public boolean setLocation(java.lang.String strLocation)

Set the Index Location

Parameters:

strLocation - Index Location

Returns:

TRUE if successful

setPayAccrued

public boolean setPayAccrued(boolean bPayAccrued)

Set if the Index pays accrued on termination

Parameters:

bPayAccrued - Flag indicating if the Index pays accrued on termination

Returns:

TRUE if successful

setKnockOutOnDefault

public boolean setKnockOutOnDefault(boolean bKnockOutOnDefault)

Set if the Index knocks out on Default

Parameters:

bKnockOutOnDefault - Flag indicating if the Index knocks out on Default

Returns:

TRUE if successful

setQuoteAsCDS

public boolean setQuoteAsCDS(boolean bQuoteAsCDS)

Set whether the quote is marked as a CDS

Parameters:

bQuoteAsCDS - Flag indicating whether the quote is marked as a CDS

Returns:

TRUE if successful

setBBGTicker

public boolean setBBGTicker(java.lang.String strBBGTicker)

Set the Index BBG Ticker

Parameters:

strBBGTicker - Index BBG Ticker

Returns:

TRUE if successful

setShortName

public boolean setShortName(java.lang.String strShortName)

Set the index short name

Parameters:

strShortName - Index Short Name

Returns:

TRUE if successful

validate

public boolean validate()

Validate the CDXRefData instance

Returns:

TRUE if successful

setConstructionString

public java.lang.String setConstructionString()

Return the stringified set of parameters in a java call that can be statically used to re-construct the index.

Returns:

Set of Stringified parameters as a java call.