org.drip.service.product

Class TreasuryAPI

java.lang.Object

org.drip.service.product.TreasuryAPI

public class TreasuryAPI
extends java.lang.Object

TreasuryAPI demonstrates the Details behind the Pricing and the Scenario Runs behind a Treasury Bond.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
TreasuryAPI()

Method Summary

Modifier and Type	Method and Description
static PositionChangeComponents	HorizonChangeAttribution(GovvieCurve gcFirst, GovvieCurve gcSecond, CaseInsensitiveHashMap<GovvieCurve> mapRollDownGovvieCurve, java.lang.String strMaturityTenor, java.lang.String strCode) Compute the Horizon Change Attribution Details for the Specified Treasury Bond
static java.util.List<PositionChangeComponents>	HorizonChangeAttribution(JulianDate[] adtSpot, int iHorizonGap, java.lang.String[] astrGovvieTreasuryInstrumentTenor, double[][] aadblGovvieTreasuryInstrumentQuote, java.lang.String strMaturityTenor, java.lang.String strCode, java.lang.String[] astrRollDownHorizon, int iLatentStateType) Generate the Govvie Curve Horizon Metrics
static PositionChangeComponents	HorizonChangeAttribution(JulianDate dtFirst, JulianDate dtSecond, java.lang.String[] astrGovvieTreasuryInstrumentTenor, double[] adblFirstGovvieTreasuryInstrument, double[] adblSecondGovvieTreasuryInstrument, java.lang.String strMaturityTenor, java.lang.String strCode, java.lang.String[] astrRollDownHorizon, int iLatentStateType) Generate the Govvie Curve Horizon Metrics

Methods inherited from class java.lang.Object

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

Constructor Detail

TreasuryAPI

public TreasuryAPI()

Method Detail

HorizonChangeAttribution

public static final PositionChangeComponents HorizonChangeAttribution(GovvieCurve gcFirst,
                                                                      GovvieCurve gcSecond,
                                                                      CaseInsensitiveHashMap<GovvieCurve> mapRollDownGovvieCurve,
                                                                      java.lang.String strMaturityTenor,
                                                                      java.lang.String strCode)

Compute the Horizon Change Attribution Details for the Specified Treasury Bond

Parameters:

gcFirst - First Day Govvie Curve

gcSecond - Second Date Govvie Curve

mapRollDownGovvieCurve - Map of the Roll Down Govvie Curves

strMaturityTenor - Treasury Bond Maturity Tenor

strCode - Treasury Bond Code

Returns:

The Horizon Change Attribution Instance

HorizonChangeAttribution

public static final PositionChangeComponents HorizonChangeAttribution(JulianDate dtFirst,
                                                                      JulianDate dtSecond,
                                                                      java.lang.String[] astrGovvieTreasuryInstrumentTenor,
                                                                      double[] adblFirstGovvieTreasuryInstrument,
                                                                      double[] adblSecondGovvieTreasuryInstrument,
                                                                      java.lang.String strMaturityTenor,
                                                                      java.lang.String strCode,
                                                                      java.lang.String[] astrRollDownHorizon,
                                                                      int iLatentStateType)

Generate the Govvie Curve Horizon Metrics

Parameters:

dtFirst - The First Date

dtSecond - The Second Date

astrGovvieTreasuryInstrumentTenor - Array of Govvie Curve Treasury Instrument Maturity Tenors

adblFirstGovvieTreasuryInstrument - Array of First Date Govvie Curve Treasury Instrument Quotes

adblSecondGovvieTreasuryInstrument - Array of Second Date Govvie Curve Treasury Instrument Quotes

strMaturityTenor - Treasury Bond Maturity Tenor

strCode - Treasury Bond Code

astrRollDownHorizon - Array of the Roll Down Horizon Tenors

iLatentStateType - Latent State Type

Returns:

The Govvie Curve Horizon Metrics

HorizonChangeAttribution

public static final java.util.List<PositionChangeComponents> HorizonChangeAttribution(JulianDate[] adtSpot,
                                                                                      int iHorizonGap,
                                                                                      java.lang.String[] astrGovvieTreasuryInstrumentTenor,
                                                                                      double[][] aadblGovvieTreasuryInstrumentQuote,
                                                                                      java.lang.String strMaturityTenor,
                                                                                      java.lang.String strCode,
                                                                                      java.lang.String[] astrRollDownHorizon,
                                                                                      int iLatentStateType)

Generate the Govvie Curve Horizon Metrics

Parameters:

adtSpot - Array of the Spot Dates

iHorizonGap - The Horizon Gap

astrGovvieTreasuryInstrumentTenor - Array of Govvie Curve Treasury Instrument Maturity Tenors

aadblGovvieTreasuryInstrumentQuote - Array of Govvie Curve Treasury Instrument Quotes

strMaturityTenor - Treasury Bond Maturity Tenor

strCode - Treasury Bond Code

astrRollDownHorizon - Array of the Roll Down Horizon Tenors

iLatentStateType - Latent State Type

Returns:

The Govvie Curve Horizon Metrics