org.drip.service.product

Class FixFloatAPI

java.lang.Object

org.drip.service.product.FixFloatAPI

public class FixFloatAPI
extends java.lang.Object

FixFloatAPI contains the Functionality associated with the Horizon Analysis of the Fix Float Swap.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
FixFloatAPI()

Method Summary

Modifier and Type	Method and Description
static java.util.List<PositionChangeComponents>	HorizonChangeAttribution(JulianDate[] adtSpot, int iHorizonGap, java.lang.String[] astrFundingDepositInstrumentTenor, double[][] aadblFundingDepositInstrumentQuote, java.lang.String[] astrFundingFixFloatTenor, double[][] aadblFundingFixFloatQuote, java.lang.String strCurrency, java.lang.String strMaturityTenor, java.lang.String[] astrRollDownHorizon, int iLatentStateType) Generate the Funding Curve Horizon Metrics
static PositionChangeComponents	HorizonChangeAttribution(JulianDate dtFirst, JulianDate dtSecond, java.lang.String[] astrFundingDepositInstrumentTenor, double[] adblFirstFundingDepositInstrument, double[] adblSecondFundingDepositInstrument, java.lang.String[] astrFundingFixFloatTenor, double[] adblFirstFundingFixFloat, double[] adblSecondFundingFixFloat, java.lang.String strCurrency, java.lang.String strMaturityTenor, java.lang.String[] astrRollDownHorizon, int iLatentStateType) Generate the Funding Curve Horizon Metrics
static PositionChangeComponents	HorizonChangeAttribution(MergedDiscountForwardCurve dcFirst, MergedDiscountForwardCurve dcSecond, CaseInsensitiveHashMap<MergedDiscountForwardCurve> mapRollDownDiscountCurve, java.lang.String strMaturityTenor) Compute the Horizon Change Attribution Details for the Specified Fix-Float Swap

Methods inherited from class java.lang.Object

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

Constructor Detail

FixFloatAPI

public FixFloatAPI()

Method Detail

HorizonChangeAttribution

public static final PositionChangeComponents HorizonChangeAttribution(MergedDiscountForwardCurve dcFirst,
                                                                      MergedDiscountForwardCurve dcSecond,
                                                                      CaseInsensitiveHashMap<MergedDiscountForwardCurve> mapRollDownDiscountCurve,
                                                                      java.lang.String strMaturityTenor)

Compute the Horizon Change Attribution Details for the Specified Fix-Float Swap

Parameters:

dcFirst - First Day Discount Curve

dcSecond - Second Date Discount Curve

mapRollDownDiscountCurve - Map of the Roll Down Discount Curve

strMaturityTenor - Fix Float Swap Maturity Tenor

Returns:

The Horizon Change Attribution Instance

HorizonChangeAttribution

public static final PositionChangeComponents HorizonChangeAttribution(JulianDate dtFirst,
                                                                      JulianDate dtSecond,
                                                                      java.lang.String[] astrFundingDepositInstrumentTenor,
                                                                      double[] adblFirstFundingDepositInstrument,
                                                                      double[] adblSecondFundingDepositInstrument,
                                                                      java.lang.String[] astrFundingFixFloatTenor,
                                                                      double[] adblFirstFundingFixFloat,
                                                                      double[] adblSecondFundingFixFloat,
                                                                      java.lang.String strCurrency,
                                                                      java.lang.String strMaturityTenor,
                                                                      java.lang.String[] astrRollDownHorizon,
                                                                      int iLatentStateType)

Generate the Funding Curve Horizon Metrics

Parameters:

dtFirst - The First Date

dtSecond - The Second Date

astrFundingDepositInstrumentTenor - Array of Funding Curve Deposit Instrument Maturity Tenors

adblFirstFundingDepositInstrument - Array of First Date Funding Curve Deposit Instrument Quotes

adblSecondFundingDepositInstrument - Array of Second Date Funding Curve Deposit Instrument Quotes

astrFundingFixFloatTenor - Array of Funding Curve Fix Float Instrument Maturity Tenors

adblFirstFundingFixFloat - Array of First Date Funding Curve Fix Float Swap Rates

adblSecondFundingFixFloat - Array of Second Date Funding Curve Fix Float Swap Rates

strCurrency - Funding Currency

strMaturityTenor - Maturity Tenor

astrRollDownHorizon - Array of the Roll Down Horizon Tenors

iLatentStateType - Latent State Type

Returns:

The Funding Curve Horizon Metrics

HorizonChangeAttribution

public static final java.util.List<PositionChangeComponents> HorizonChangeAttribution(JulianDate[] adtSpot,
                                                                                      int iHorizonGap,
                                                                                      java.lang.String[] astrFundingDepositInstrumentTenor,
                                                                                      double[][] aadblFundingDepositInstrumentQuote,
                                                                                      java.lang.String[] astrFundingFixFloatTenor,
                                                                                      double[][] aadblFundingFixFloatQuote,
                                                                                      java.lang.String strCurrency,
                                                                                      java.lang.String strMaturityTenor,
                                                                                      java.lang.String[] astrRollDownHorizon,
                                                                                      int iLatentStateType)

Generate the Funding Curve Horizon Metrics

Parameters:

adtSpot - Array of Spot

iHorizonGap - The Horizon Gap

astrFundingDepositInstrumentTenor - Array of Funding Curve Deposit Instrument Maturity Tenors

aadblFundingDepositInstrumentQuote - Array of Funding Curve Deposit Instrument Forward Rates

astrFundingFixFloatTenor - Array of Funding Curve Fix Float Instrument Maturity Tenors

aadblFundingFixFloatQuote - Array of Funding Curve Fix Float Instrument Swap Rates

strCurrency - Funding Currency

strMaturityTenor - Maturity Tenor

astrRollDownHorizon - Array of the Roll Down Horizon Tenors

iLatentStateType - Latent State Type

Returns:

The Funding Curve Horizon Metrics