org.drip.product.params

Class CouponSetting

java.lang.Object

org.drip.product.params.CouponSetting

All Implemented Interfaces:

Validatable

public class CouponSetting
extends java.lang.Object
implements Validatable

CouponSetting contains the coupon type, schedule, and the coupon amount for the component. If available floor and/or ceiling may also be applied to the coupon, in a pre-determined order of precedence. It exports serialization into and de-serialization out of byte arrays.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
CouponSetting(Array2D fs, java.lang.String strCouponType, double dblCouponRate, double dblCouponCeilingRate, double dblCouponFloorRate) Construct the CouponSetting from the coupon schedule, coupon type, and the coupon amount

Method Summary

Modifier and Type	Method and Description
double	couponCeilingRate() Retrieve the Coupon Ceiling Rate
double	couponFloorRate() Retrieve the Coupon Floor Rate
double	couponRate() Retrieve the Coupon Rate
java.lang.String	couponType() Retrieve the Coupon Type
Array2D	factorSchedule() Retrieve the Factor Schedule
double	processCouponWindow(double dblCouponRate, double dblDate) Trim the component coupon if it falls outside the (optionally) specified coupon window.
boolean	validate() Validate the current object state

Methods inherited from class java.lang.Object

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

Constructor Detail

CouponSetting

public CouponSetting(Array2D fs,
                     java.lang.String strCouponType,
                     double dblCouponRate,
                     double dblCouponCeilingRate,
                     double dblCouponFloorRate)

Construct the CouponSetting from the coupon schedule, coupon type, and the coupon amount

Parameters:

fs - Coupon schedule

strCouponType - Coupon Type

dblCouponRate - Coupon Rate

dblCouponCeilingRate - Coupon Ceiling Rate

dblCouponFloorRate - Coupon Floor Rate

Method Detail

processCouponWindow

public double processCouponWindow(double dblCouponRate,
                                  double dblDate)
                           throws java.lang.Exception

Trim the component coupon if it falls outside the (optionally) specified coupon window. Note that trimming the coupon ceiling takes precedence over hiking the coupon floor.

Parameters:

dblCouponRate - Input Coupon Rate

dblDate - Input Date representing the period that the coupon belongs to

Returns:

The "trimmed" coupon Rate

Throws:

java.lang.Exception - Thrown if inputs are invalid

validate

public boolean validate()

Description copied from interface: Validatable

Validate the current object state

Specified by:

validate in interface Validatable

Returns:

Validation successful (true) or failed (false)

factorSchedule

public Array2D factorSchedule()

Retrieve the Factor Schedule

Returns:

The Factor Schedule

couponType

public java.lang.String couponType()

Retrieve the Coupon Type

Returns:

The Coupon Type

couponRate

public double couponRate()

Retrieve the Coupon Rate

Returns:

The Coupon Rate

couponCeilingRate

public double couponCeilingRate()

Retrieve the Coupon Ceiling Rate

Returns:

The Coupon Ceiling Rate

couponFloorRate

public double couponFloorRate()

Retrieve the Coupon Floor Rate

Returns:

The Coupon Floor Rate