org.drip.product.params

Class EmbeddedOptionSchedule

java.lang.Object

org.drip.product.params.EmbeddedOptionSchedule

public class EmbeddedOptionSchedule
extends java.lang.Object

EmbeddedOptionSchedule is a place holder for the embedded option schedule for the component. It contains the schedule of exercise dates and factors, the exercise notice period, and the option is to call or put. Further, if the option is of the type fix-to-float on exercise, contains the post-exercise floater index and floating spread. If the exercise is not discrete (American option), the exercise dates/factors are discretized according to a pre-specified discretization grid. It exports serialization into and de-serialization out of byte arrays.

Author:

Lakshmi Krishnamurthy

Field Summary

Fields

Modifier and Type	Field and Description
static int	CALL_NOTICE_PERIOD_DEFAULT

Constructor Summary

Constructors

Constructor and Description
EmbeddedOptionSchedule(EmbeddedOptionSchedule eosOther) Construct a Deep Copy EOS from another EOS
EmbeddedOptionSchedule(int[] aiDate, double[] adblFactor, boolean bIsPut, int iNoticePeriod, boolean bFixToFloatOnExercise, double dblFixToFloatExerciseDate, java.lang.String strFloatIndex, double dblFixToFloatSpread) Construct the EOS from the array of dates and factors

Method Summary

Modifier and Type	Method and Description
static EmbeddedOptionSchedule	CreateFromDateFactorSet(java.lang.String strDates, java.lang.String strFactors, int iNoticePeriod, boolean bIsPut, boolean bIsDiscrete, int iScheduleStart, boolean bFixToFloatOnExercise, double dblFixToFloatExerciseDate, java.lang.String strFloatIndex, double dblFixToFloatSpread) Create the EOS from the dates/factors string arrays
int[]	dates() Get the array of dates
int	exerciseNoticePeriod() Retrieve the exercise notice period
double	factor(int iIndex) Get the specific indexed factor
double[]	factors() Get the array of factors
static EmbeddedOptionSchedule	FromAmerican(int iValDate, int[] aiDate, double[] adblFactor, boolean bIsPut, int iNoticePeriod, boolean bFixToFloatOnExercise, double dblFixToFloatExerciseDate, java.lang.String strFloatIndex, double dblFixToFloatSpread) Create the discretized American EOS schedule from the array of dates and factors
boolean	isFixToFloatOnExercise() Return whether the component is fix to float on exercise
boolean	isPut() Whether the component is putable or callable

Methods inherited from class java.lang.Object

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

Field Detail

CALL_NOTICE_PERIOD_DEFAULT

public static final int CALL_NOTICE_PERIOD_DEFAULT

See Also:

Constant Field Values

Constructor Detail

EmbeddedOptionSchedule

public EmbeddedOptionSchedule(int[] aiDate,
                              double[] adblFactor,
                              boolean bIsPut,
                              int iNoticePeriod,
                              boolean bFixToFloatOnExercise,
                              double dblFixToFloatExerciseDate,
                              java.lang.String strFloatIndex,
                              double dblFixToFloatSpread)
                       throws java.lang.Exception

Construct the EOS from the array of dates and factors

Parameters:

aiDate - Array of dates

adblFactor - Matched Array of Factors

bIsPut - True (Put), False (Call)

iNoticePeriod - Exercise Notice Period

bFixToFloatOnExercise - True - component becomes a floater on call

dblFixToFloatExerciseDate - Date at which the fix to float conversion happens

strFloatIndex - Floater Rate Index

dblFixToFloatSpread - Floater Spread

Throws:

java.lang.Exception - Thrown if inputs are invalid

EmbeddedOptionSchedule

public EmbeddedOptionSchedule(EmbeddedOptionSchedule eosOther)

Construct a Deep Copy EOS from another EOS

Parameters:

eosOther - The Other EOS

Method Detail

CreateFromDateFactorSet

public static final EmbeddedOptionSchedule CreateFromDateFactorSet(java.lang.String strDates,
                                                                   java.lang.String strFactors,
                                                                   int iNoticePeriod,
                                                                   boolean bIsPut,
                                                                   boolean bIsDiscrete,
                                                                   int iScheduleStart,
                                                                   boolean bFixToFloatOnExercise,
                                                                   double dblFixToFloatExerciseDate,
                                                                   java.lang.String strFloatIndex,
                                                                   double dblFixToFloatSpread)

Create the EOS from the dates/factors string arrays

Parameters:

strDates - String representing the date array

strFactors - String representing the factor array

iNoticePeriod - Exercise Notice Period

bIsPut - True (Put), False (Call)

bIsDiscrete - True (Discrete), False (Continuous)

iScheduleStart - Schedule start Date

bFixToFloatOnExercise - True - component becomes a floater on call

dblFixToFloatExerciseDate - Date at which the fix to float conversion happens

strFloatIndex - Floater Rate Index

dblFixToFloatSpread - Floater Spread

Returns:

EOS object

FromAmerican

public static final EmbeddedOptionSchedule FromAmerican(int iValDate,
                                                        int[] aiDate,
                                                        double[] adblFactor,
                                                        boolean bIsPut,
                                                        int iNoticePeriod,
                                                        boolean bFixToFloatOnExercise,
                                                        double dblFixToFloatExerciseDate,
                                                        java.lang.String strFloatIndex,
                                                        double dblFixToFloatSpread)

Create the discretized American EOS schedule from the array of dates and factors

Parameters:

iValDate - Valuation Date - date to which the component is assumed to not have been exercised

aiDate - Array of dates

adblFactor - Matched Array of Factors

bIsPut - True (Put), False (Call)

iNoticePeriod - Exercise Notice Period

bFixToFloatOnExercise - True - component becomes a floater on call

dblFixToFloatExerciseDate - Date at which the fix to float conversion happens

strFloatIndex - Floater Rate Index

dblFixToFloatSpread - Floater Spread

Returns:

Discretized EOS

isPut

public boolean isPut()

Whether the component is putable or callable

Returns:

True (Put), False (Call)

dates

public int[] dates()

Get the array of dates

Returns:

The array of dates

factors

public double[] factors()

Get the array of factors

Returns:

The array of factors

factor

public double factor(int iIndex)

Get the specific indexed factor

Parameters:

iIndex - Factor index

Returns:

Factor corresponding to the index

exerciseNoticePeriod

public int exerciseNoticePeriod()

Retrieve the exercise notice period

Returns:

Minimum Exercise Notice Period in Days

isFixToFloatOnExercise

public boolean isFixToFloatOnExercise()

Return whether the component is fix to float on exercise

Returns:

True (component becomes a floater on call), False (component does not change)